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Document 32016R1702

Commission Implementing Regulation (EU) 2016/1702 of 18 August 2016 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance)

C/2016/5248

OJ L 263, 29.9.2016, p. 1–513 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

Legal status of the document No longer in force, Date of end of validity: 27/06/2021; Implicitly repealed by 32021R0451

ELI: http://data.europa.eu/eli/reg_impl/2016/1702/oj

29.9.2016   

EN

Official Journal of the European Union

L 263/1


COMMISSION IMPLEMENTING REGULATION (EU) 2016/1702

of 18 August 2016

amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1) and in particular the fourth subparagraph of Article 99(5), the fourth subparagraph of Article 99(6), the third subparagraph of Article 101(4) and the third subparagraph of Article 394(4) thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) No 680/2014 (2) lays down the requirements according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. Given that the regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of regulatory technical standards, Implementing Regulation (EU) No 680/2014 needs to be updated accordingly to reflect those rules.

(2)

In order to ensure a correct and uniform application of the requirements laid down in Implementing Regulation (EU) No 680/2014, further precision should be provided with regard to the templates and instructions including definitions used for the purposes of institutions’ supervisory reporting. Implementing Regulation (EU) No 680/2014 should also be updated to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of the application of that Regulation. Therefore, for reasons of legal clarity, it is appropriate to replace several templates of Annexes I, III and IV and to amend some of the instructions laid down in Annexes II, V, VII and IX.

(3)

To provide institutions and competent authorities with adequate time to implement the amendments set out in this Regulation, it should apply from 1 December 2016.

(4)

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

(5)

Given that the necessary amendments to Implementing Regulation (EU) No 680/2014 do not involve significant changes in substantive terms, in accordance with the second subparagraph of Article 15(1) of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (3), the EBA has not conducted any open public consultation, considering that it would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.

(6)

Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) No 680/2014 is amended as follows:

(1)

the index and template numbers 2, 4, 7, 9.1, 9.2, 9.3, 9.4, 18 and 21 of Annex I to Implementing Regulation (EU) No 680/2014 are replaced by the index and templates set out in Annex I to this Regulation;

(2)

Annex II to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex II to this Regulation;

(3)

template numbers 1.2, 2, 8, 14, 16, 17, 18, 19, 20, 30, 31, 41, 43 and 45 of Annex III to Implementing Regulation (EU) No 680/2014 are replaced by the templates set out in Annex III to this Regulation;

(4)

Annex IV to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex IV to this Regulation;

(5)

Annex V to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex V to this Regulation;

(6)

Annex VII to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex VI to this Regulation;

(7)

Annex IX to Implementing Regulation (EU) No 680/2014 is replaced by the text set out in Annex VII to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 1 December 2016 with the first reporting reference date being 31 December 2016.

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

Done at Brussels, 18 August 2016.

For the Commission

The President

Jean-Claude JUNCKER


(1)  OJ L 176, 27.6.2013, p. 1.

(2)  Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

(3)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).


ANNEX I

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

COREP TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

 

 

CAPITAL ADEQUACY

CA

1

C 01.00

OWN FUNDS

CA1

2

C 02.00

OWN FUNDS REQUIREMENTS

CA2

3

C 03.00

CAPITAL RATIOS

CA3

4

C 04.00

MEMORANDUM ITEMS:

CA4

 

 

TRANSITIONAL PROVISIONS

CA5

5.1

C 05.01

TRANSITIONAL PROVISIONS

CA5.1

5.2

C 05.02

GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID

CA5.2

 

 

GROUP SOLVENCY

GS

6.1

C 06.01

GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL

GS Total

6.2

C 06.02

GROUP SOLVENCY: INFORMATION ON AFFILIATES

GS

 

 

CREDIT RISK

CR

7

C 07.00

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS

CR SA

 

 

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

CR IRB

8.1

C 08.01

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS

CR IRB 1

8.2

C 08.02

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)

CR IRB 2

 

 

GEOGRAPHICAL BREAKDOWN

CR GB

9.1

C 09.01

Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)

CR GB 1

9.2

C 09.02

Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)

CR GB 2

9.4

C 09.04

Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate

CCB

 

 

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB

10.1

C 10.01

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB 1

10.2

C 10.02

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

CR EQU IRB 2

11

C 11.00

SETTLEMENT/DELIVERY RISK

CR SETT

12

C 12.00

CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC SA

13

C 13.00

CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS

CR SEC IRB

14

C 14.00

DETAILED INFORMATION ON SECURITISATIONS

CR SEC Details

 

 

OPERATIONAL RISK

OPR

16

C 16.00

OPERATIONAL RISK

OPR

17

C 17.00

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

OPR Details

 

 

MARKET RISK

MKR

18

C 18.00

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

MKR SA TDI

19

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

20

C 20.00

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

MKR SA CTP

21

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

22

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

23

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

24

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

25

C 25.00

CREDIT VALUE ADJUSTMENT RISK

CVA


C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

010

1

TOTAL RISK EXPOSURE AMOUNT

 

020

1*

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

 

030

1**

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

 

040

1.1

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

 

050

1.1.1

Standardised approach (SA)

 

060

1.1.1.1

SA exposure classes excluding securitisation positions

 

070

1.1.1.1.01

Central governments or central banks

 

080

1.1.1.1.02

Regional governments or local authorities

 

090

1.1.1.1.03

Public sector entities

 

100

1.1.1.1.04

Multilateral Development Banks

 

110

1.1.1.1.05

International Organisations

 

120

1.1.1.1.06

Institutions

 

130

1.1.1.1.07

Corporates

 

140

1.1.1.1.08

Retail

 

150

1.1.1.1.09

Secured by mortgages on immovable property

 

160

1.1.1.1.10

Exposures in default

 

170

1.1.1.1.11

Items associated with particular high risk

 

180

1.1.1.1.12

Covered bonds

 

190

1.1.1.1.13

Claims on institutions and corporates with a short-term credit assessment

 

200

1.1.1.1.14

Collective investments undertakings (CIU)

 

210

1.1.1.1.15

Equity

 

211

1.1.1.1.16

Other items

 

220

1.1.1.2

Securitisation positions SA

 

230

1.1.1.2*

of which: resecuritisation

 

240

1.1.2

Internal ratings based Approach (IRB)

 

250

1.1.2.1

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

 

260

1.1.2.1.01

Central governments and central banks

 

270

1.1.2.1.02

Institutions

 

280

1.1.2.1.03

Corporates - SME

 

290

1.1.2.1.04

Corporates - Specialised Lending

 

300

1.1.2.1.05

Corporates - Other

 

310

1.1.2.2

IRB approaches when own estimates of LGD and/or Conversion Factors are used

 

320

1.1.2.2.01

Central governments and central banks

 

330

1.1.2.2.02

Institutions

 

340

1.1.2.2.03

Corporates - SME

 

350

1.1.2.2.04

Corporates - Specialised Lending

 

360

1.1.2.2.05

Corporates - Other

 

370

1.1.2.2.06

Retail - Secured by real estate SME

 

380

1.1.2.2.07

Retail - Secured by real estate non-SME

 

390

1.1.2.2.08

Retail - Qualifying revolving

 

400

1.1.2.2.09

Retail - Other SME

 

410

1.1.2.2.10

Retail - Other non-SME

 

420

1.1.2.3

Equity IRB

 

430

1.1.2.4

Securitisation positions IRB

 

440

1.1.2.4*

Of which: resecuritisation

 

450

1.1.2.5

Other non credit-obligation assets

 

460

1.1.3

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

 

490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

 

500

1.2.1

Settlement/delivery risk in the non-Trading book

 

510

1.2.2

Settlement/delivery risk in the Trading book

 

520

1.3

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

 

530

1.3.1

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

 

540

1.3.1.1

Traded debt instruments

 

550

1.3.1.2

Equity

 

555

1.3.1.3

Particular approach for position risk in CIUs

 

556

1.3.1.3*

Memo item: CIUs exclusively invested in traded debt instruments

 

557

1.3.1.3**

Memo item: CIUs invested exclusively in equity instruments or in mixed instruments

 

560

1.3.1.4

Foreign Exchange

 

570

1.3.1.5

Commodities

 

580

1.3.2

Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)

 

590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

 

600

1.4.1

OpR Basic indicator approach (BIA)

 

610

1.4.2

OpR Standardised (STA) / Alternative Standardised (ASA) approaches

 

620

1.4.3

OpR Advanced measurement approaches (AMA)

 

630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

 

640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

 

650

1.6.1

Advanced method

 

660

1.6.2

Standardised method

 

670

1.6.3

Based on OEM

 

680

1.7

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

 

690

1.8

OTHER RISK EXPOSURE AMOUNTS

 

710

1.8.2

Of which: Additional stricter prudential requirements based on Art 458

 

720

1.8.2*

Of which: requirements for large exposures

 

730

1.8.2**

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

 

740

1.8.2***

Of which: due to intra financial sector exposures

 

750

1.8.3

Of which: Additional stricter prudential requirements based on Art 459

 

760

1.8.4

Of which: Additional risk exposure amount due to Article 3 CRR

 


C 04.00 - MEMORANDUM ITEMS (CA4)

Row

ID

Item

Column

Deferred tax assest and liabilities

010

010

1

Total deferred tax assets

 

020

1.1

Deferred tax assets that do not rely on future profitability

 

030

1.2

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

 

040

1.3

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

 

050

2

Total deferred tax liabilities

 

060

2.1

Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

 

070

2.2

Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

 

080

2.2.1

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

 

090

2.2.2

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

 

Credit risk adjustments and expected losses

100

3

IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

 

110

3.1

Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

 

120

3.1.1

General credit risk adjustments

 

130

3.1.2

Specific credit risk adjustments

 

131

3.1.3

Additional value adjustments and other own funds reductions

 

140

3.2

Total expected losses eligible

 

145

4

IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

 

150

4.1

Specific credit risk adjustments and positions treated similarily

 

155

4.2

Total expected losses eligible

 

160

5

Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

 

170

6

Total gross provisions eligible for inclusion in T2 capital

 

180

7

Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

 

Thresholds for Common Equity Tier 1 deductions

190

8

Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

 

200

9

10% CET1 threshold

 

210

10

17.65% CET1 threshold

 

225

11.1

Eligible capital for the purposes of qualifying holdings outside the financial sector

 

226

11.2

Eligible capital for the purposes of large exposures

 

Investments in the capital of financial sector entities where the institution does not have a significant investment

230

12

Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

 

240

12.1

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

 

250

12.1.1

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

 

260

12.1.2

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

 

270

12.2

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

 

280

12.2.1

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

 

290

12.2.2

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

 

291

12.3

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

 

292

12.3.1

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

 

293

12.3.2

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

 

300

13

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

 

310

13.1

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

 

320

13.1.1

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

 

330

13.1.2

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

 

340

13.2

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

 

350

13.2.1

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

 

360

13.2.2

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

 

361

13.3

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

 

362

13.3.1

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

 

363

13.3.2

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

 

370

14

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

 

380

14.1

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

 

390

14.1.1

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

 

400

14.1.2

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

 

410

14.2

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

 

420

14.2.1

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

 

430

14.2.2

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

 

431

14.3

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

 

432

14.3.1

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

 

433

14.3.2

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

 

Investments in the capital of financial sector entities where the institution has a significant investment

440

15

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

 

450

15.1

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

 

460

15.1.1

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

 

470

15.1.2

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

 

480

15.2

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

 

490

15.2.1

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

 

500

15.2.2

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

 

501

15.3

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

 

502

15.3.1

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

 

503

15.3.2

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

 

510

16

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

 

520

16.1

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

 

530

16.1.1

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

 

540

16.1.2

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

 

550

16.2

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

 

560

16.2.1

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

 

570

16.2.2

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

 

571

16.3

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

 

572

16.3.1

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

 

573

16.3.2

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

 

580

17

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

 

590

17.1

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

 

600

17.1.1

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

 

610

17.1.2

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

 

620

17.2

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

 

630

17.2.1

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

 

640

17.2.2

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

 

641

17.3

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

 

642

17.3.1

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

 

643

17.3.2

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

 

Total risk exposure amounts of holdings not deducted from the corresponding capital category:

650

18

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

 

660

19

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

 

670

20

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

 

Temporary waiver from deduction from own funds

680

21

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

 

690

22

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

 

700

23

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

 

710

24

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

 

720

25

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

 

730

26

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

 

Capital buffers

740

27

Combined buffer requirement

 

750

 

Capital conservation buffer

 

760

 

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

 

770

 

Institution specific countercyclical capital buffer

 

780

 

Systemic risk buffer

 

790

 

Systemical important institution buffer

 

800

 

Global Systemically Important Institution buffer

 

810

 

Other Systemically Important Institution buffer

 

Pillar II requirements

820

28

Own funds requirements related to Pillar II adjustments

 

Additional information for investment firms

830

29

Initial capital

 

840

30

Own funds based on Fixed Overheads

 

Additional information for calculation of reporting thresholds

850

31

Non-domestic original exposures

 

860

32

Total original exposures

 

Basel I floor

870

 

Adjustments to total own funds

 

880

 

Own funds fully adjusted for Basel I floor

 

890

 

Own funds requirements for Basel I floor

 

900

 

Own funds requirements for Basel I floor - SA alternative

 

910

 

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

 


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

SA Exposure class

 

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

FULLY ADJUSTED EXPOSURE VALUE (E*)

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

EXPOSURE VALUE

 

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

 

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

VOLATILITY ADJUSTMENT TO THE EXPOSURE

(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

0%

20%

50%

100%

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI

OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

 

(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

010

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

215

220

230

240

010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

015

of which: Defaulted exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

020

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

070

On balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

Off balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures/Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

Securities Financing Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

Derivatives & Long Settlement Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

From Contractual Cross Product Netting

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

140

0%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

2%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

160

4%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

170

10%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

180

20%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

190

35%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

200

50%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

210

70%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

220

75%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

230

100%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

240

150%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

250

250%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

260

370%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

270

1250%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

280

Other risk weights

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MEMORANDUM ITEMS

290

Exposures secured by mortgages on commercial immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

300

Exposures in default subject to a risk weight of 100%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

310

Exposures secured by mortgages on residential property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320

Exposures in default subject to a risk weight of 150%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


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

Country:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposures in default

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Of which: write off

Credit risk adjustments/write-offs for observed new defaults

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

010

020

040

050

055

060

070

075

080

090

010

Central governments or central banks

 

 

 

 

 

 

 

 

 

 

020

Regional governments or local authorities

 

 

 

 

 

 

 

 

 

 

030

Public sector entities

 

 

 

 

 

 

 

 

 

 

040

Multilateral Development Banks

 

 

 

 

 

 

 

 

 

 

050

International Organisations

 

 

 

 

 

 

 

 

 

 

060

Institutions

 

 

 

 

 

 

 

 

 

 

070

Corporates

 

 

 

 

 

 

 

 

 

 

075

of which: SME

 

 

 

 

 

 

 

 

 

 

080

Retail

 

 

 

 

 

 

 

 

 

 

085

of which: SME

 

 

 

 

 

 

 

 

 

 

090

Secured by mortgages on immovable property

 

 

 

 

 

 

 

 

 

 

095

of which: SME

 

 

 

 

 

 

 

 

 

 

100

Exposures in default

 

 

 

 

 

 

 

 

 

 

110

Items associated with particularly high risk

 

 

 

 

 

 

 

 

 

 

120

Covered bonds

 

 

 

 

 

 

 

 

 

 

130

Claims on institutions and corporates with a short-term credit assessment

 

 

 

 

 

 

 

 

 

 

140

Collective investments undertakings (CIU)

 

 

 

 

 

 

 

 

 

 

150

Equity exposures

 

 

 

 

 

 

 

 

 

 

160

Other exposures

 

 

 

 

 

 

 

 

 

 

170

Total exposures

 

 

 

 

 

 

 

 

 

 


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

Country:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Of which: defaulted

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Of which: write off

Credit risk adjustments/write-offs for observed new defaults

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL(%)

EXPOSURE WEIGHTED AVERAGE LGD (%)

Of which: defaulted

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Of which: defaulted

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

EXPECTED LOSS AMOUNT

010

030

040

050

055

060

070

080

090

100

105

110

120

125

130

010

Central governments or central banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

020

Institutions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

Corporates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

Of Which: Specialised Lending

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

Of Which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

070

Secured by real estate property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

080

SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

090

Non-SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100

Qualifying Revolving

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

110

Other Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120

SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

130

Non-SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

Equity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

Total exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


C 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)

Country:

 

Amount

Percentage

Qualitative information

010

020

030

Relevant credit exposures - Credit Risk

 

 

 

010

Exposure value under the Standardised Approach

 

 

 

020

Exposure value under the IRB Approach

 

 

 

Relevant credit exposures – Market risk

 

 

 

030

Sum of long and short positions of trading book exposures for standardised approaches

 

 

 

040

Value of trading book exposures for internal models

 

 

 

Relevant credit exposures – Securitisation

 

 

 

050

Exposure value of securitisation positions in the banking book under the Standardised Approach

 

 

 

060

Exposure value of securitisation positions in the banking book under the IRB Approach

 

 

 

Own funds requirements and weights

 

 

 

070

Total own funds requirements for CCB

 

 

 

080

Own funds requirements for relevant credit exposures – Credit risk

 

 

 

090

Own funds requirements for relevant credit exposures – Market risk

 

 

 

100

Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

 

 

 

110

Own funds requirements weights

 

 

 

Countercyclical capital buffer rates

 

 

 

120

Countercyclical capital buffer rate set by the Designated Authority

 

 

 

130

Countercyclical capital buffer rate applicable for the country of the institution

 

 

 

140

Institution-specific countercyclical capital buffer rate

 

 

 

Use of 2 % threshold

 

 

 

150

Use of 2 % threshold for general credit exposure

 

 

 

160

Use of 2 % threshold for trading book exposure

 

 

 


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

Currency:

 

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

010

020

030

040

050

060

070

010

TRADED DEBT INSTRUMENTS IN TRADING BOOK

 

 

 

 

 

 

Cell linked to CA2

011

General risk

 

 

 

 

 

 

 

012

Derivatives

 

 

 

 

 

 

 

013

Other assets and liabilities

 

 

 

 

 

 

 

020

Maturity-based approach

 

 

 

 

 

 

 

030

Zone 1

 

 

 

 

 

 

 

040

0 ≤ 1 month

 

 

 

 

 

 

 

050

> 1 ≤ 3 months

 

 

 

 

 

 

 

060

> 3 ≤ 6 months

 

 

 

 

 

 

 

070

> 6 ≤ 12 months

 

 

 

 

 

 

 

080

Zone 2

 

 

 

 

 

 

 

090

> 1 ≤ 2 (1,9 for cupon of less than 3%) years

 

 

 

 

 

 

 

100

> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years

 

 

 

 

 

 

 

110

> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years

 

 

 

 

 

 

 

120

Zone 3

 

 

 

 

 

 

 

130

> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years

 

 

 

 

 

 

 

140

> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years

 

 

 

 

 

 

 

150

> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years

 

 

 

 

 

 

 

160

> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years

 

 

 

 

 

 

 

170

> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years

 

 

 

 

 

 

 

180

> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years

 

 

 

 

 

 

 

190

(> 12,0 ≤ 20,0 for cupon of less than 3%) years

 

 

 

 

 

 

 

200

(> 20 for cupon of less than 3%) years

 

 

 

 

 

 

 

210

Duration-based approach

 

 

 

 

 

 

 

220

Zone 1

 

 

 

 

 

 

 

230

Zone 2

 

 

 

 

 

 

 

240

Zone 3

 

 

 

 

 

 

 

250

Specific risk

 

 

 

 

 

 

 

251

Own funds requirement for non-securitisation debt instruments

 

 

 

 

 

 

 

260

Debt securities under the first category in Table 1

 

 

 

 

 

 

 

270

Debt securities under the second category in Table 1

 

 

 

 

 

 

 

280

With residual term ≤ 6 months

 

 

 

 

 

 

 

290

With a residual term > 6 months and ≤ 24 months

 

 

 

 

 

 

 

300

With a residual term > 24 months

 

 

 

 

 

 

 

310

Debt securities under the third category in Table 1

 

 

 

 

 

 

 

320

Debt securities under the fourth category in Table 1

 

 

 

 

 

 

 

321

Rated nth-to default credit derivatives

 

 

 

 

 

 

 

325

Own funds requirement for securitisation instruments

 

 

 

 

 

 

 

330

Own funds requirement for the correlation trading portfolio

 

 

 

 

 

 

 

350

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

360

Simplified method

 

 

 

 

 

 

 

370

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

380

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

390

Scenario matrix approach

 

 

 

 

 

 

 


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

National market:

 

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

010

020

030

040

050

060

070

010

EQUITIES IN TRADING BOOK

 

 

 

 

 

 

Cell linked to CA

020

General risk

 

 

 

 

 

 

 

021

Derivatives

 

 

 

 

 

 

 

022

Other assets and liabilities

 

 

 

 

 

 

 

030

Exchange traded stock-index futures broadly diversified subject to particular approach

 

 

 

 

 

 

 

040

Other equities than exchange traded stock-index futures broadly diversified

 

 

 

 

 

 

 

050

Specific risk

 

 

 

 

 

 

 

090

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

100

Simplified method

 

 

 

 

 

 

 

110

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

120

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

130

Scenario matrix approach

 

 

 

 

 

 

 


ANNEX II

‘ANNEX II

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents

PART I: GENERAL INSTRUCTIONS 44

1.

STRUCTURE AND CONVENTIONS 44

1.1.

STRUCTURE 44

1.2.

NUMBERING CONVENTION 44

1.3.

SIGN CONVENTION 44
PART II: TEMPLATE RELATED INSTRUCTIONS 44

1.

CAPITAL ADEQUACY OVERVIEW (CA) 44

1.1.

GENERAL REMARKS 44

1.2.

C 01.00 — OWN FUNDS (CA1) 46

1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 46

1.3.

C 02.00 — OWN FUNDS REQUIREMENTS (CA2) 61

1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 61

1.4.

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 68

1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 68

1.5.

C 04.00 — MEMORANDUM ITEMS (CA4) 69

1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 69

1.6.

TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5) 85

1.6.1.

GENERAL REMARKS 85

1.6.2.

C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) 85

1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 86

1.6.3.

C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 94

1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 94

2.

GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 96

2.1.

GENERAL REMARKS 96

2.2.

DETAILED GROUP SOLVENCY INFORMATION 97

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY 97

2.4.

C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES — TOTAL (GS TOTAL) 98

2.5.

C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 98

3.

CREDIT RISK TEMPLATES 105

3.1.

GENERAL REMARKS 105

3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT 105

3.1.2.

REPORTING OF COUNTERPARTY CREDIT RISK 106

3.2.

C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) 106

3.2.1.

GENERAL REMARKS 106

3.2.2.

SCOPE OF THE CR SA TEMPLATE 106

3.2.3.

ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH 107

3.2.4.

CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR 110

3.2.4.1.

EXPOSURE CLASS ‘INSTITUTIONS’ 110

3.2.4.2.

EXPOSURE CLASS ‘COVERED BONDS’ 111

3.2.4.3.

EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’ 111

3.2.5.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 111

3.3.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB) 119

3.3.1.

SCOPE OF THE CR IRB TEMPLATE 119

3.3.2.

BREAKDOWN OF THE CR IRB TEMPLATE 120

3.3.3.

C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) 121

3.3.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 121

3.3.4.

C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2 TEMPLATE) 129

3.4.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB) 130

3.4.1.

C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) 130

3.4.1.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 130

3.4.2.

C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) 132

3.4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 132

3.4.3.

C 09.04 — BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB) 135

3.4.3.1.

GENERAL REMARKS 135

3.4.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 135

3.5.

C 10.01 AND C 10.02 — EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2) 140

3.5.1.

GENERAL REMARKS 140

3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2) 141

3.6.

C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT) 144

3.6.1.

GENERAL REMARKS 144

3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 144

3.7.

C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) 146

3.7.1.

GENERAL REMARKS 146

3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 146

3.8.

C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) 153

3.8.1.

GENERAL REMARKS 153

3.8.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 153

3.9.

C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 161

3.9.1.

GENERAL REMARKS 161

3.9.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 162

4.

OPERATIONAL RISK TEMPLATES 170

4.1.

C 16.00 — OPERATIONAL RISK (OPR) 170

4.1.1.

GENERAL REMARKS 170

4.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 171

4.2.

C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS) 173

4.2.1.

GENERAL REMARKS 173

4.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 175

5.

MARKET RISK TEMPLATES 177

5.1.

C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) 177

5.1.1.

GENERAL REMARKS 177

5.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 178

5.2.

C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) … 179

5.2.1.

GENERAL REMARKS 179

5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 180

5.3.

C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 182

5.3.1.

GENERAL REMARKS 182

5.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 183

5.4.

C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) 185

5.4.1.

GENERAL REMARKS 185

5.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 185

5.5.

C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 187

5.5.1.

GENERAL REMARKS 187

5.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 187

5.6.

C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 189

5.6.1.

GENERAL REMARKS 189

5.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 189

5.7.

C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM) 190

5.7.1.

GENERAL REMARKS 190

5.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 191

5.8.

C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA) 193

5.8.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 193

PART I:   GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS

1.1.   STRUCTURE

1.

Overall, the framework consists of five blocks of templates:

(a)

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

(b)

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

(c)

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

(d)

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

(e)

operational risk.

2.

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

3.

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

1.2.   NUMBERING CONVENTION

4.

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

5.

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

6.

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

7.

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

8.

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

1.3.   SIGN CONVENTION

9.

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

PART II:   TEMPLATE RELATED INSTRUCTIONS

1.   CAPITAL ADEQUACY OVERVIEW (CA)

1.1.   GENERAL REMARKS

10.

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

a)

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

b)

CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 (‘CRR’)

c)

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

d)

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

e)

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

11.

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

12.

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

13.

Transitional provisions are treated as follows in CA templates:

a)

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

b)

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

c)

Template CA5 is exclusively used for reporting the transitional provisions.

14.

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

a)

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

b)

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

c)

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

1.2.   C 01.00 — OWN FUNDS (CA1)

1.2.1.   Instructions concerning specific positions

Row

Legal references and instructions

010

1.   Own funds

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

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

015

1.1   Tier 1 capital

Article 25 of CRR

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

020

1.1.1   Common Equity Tier 1 capital

Article 50 of CRR

030

1.1.1.1   Capital instruments eligible as CET1 capital

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

040

1.1.1.1.1   Paid up capital instruments

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

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

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

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

045

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

Article 31 of CRR

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

050

1.1.1.1.2*   Memorandum item: Capital instruments not eligible

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

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

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

060

1.1.1.1.3   Share premium

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

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

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

070

1.1.1.1.4   (-) Own CET1 instruments

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

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

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

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

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

080

1.1.1.1.4.1   (-) Direct holdings of CET1 instruments

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

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

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

090

1.1.1.1.4.2   (-) Indirect holdings of CET1 instruments

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

091

1.1.1.1.4.3   (-) Synthetic holdings of CET1 instruments

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

092

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

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

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

130

1.1.1.2   Retained earnings

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

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

140

1.1.1.2.1   Previous years retained earnings

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

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

150

1.1.1.2.2   Profit or loss eligible

Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR

Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.

On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR.

160

1.1.1.2.2.1   Profit or loss attributable to owners of the parent

Articles 26(2) and 36(1) point (a) of CRR

The amount to be reported shall be the profit or loss reported in the accounting income statement.

170

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

Article 26(2) of CRR

This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1.

If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends)

Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.

180

1.1.1.3   Accumulated other comprehensive income

Articles 4(1)(100) and 26(1) point (d) of CRR

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014.

200

1.1.1.4   Other reserves

Articles 4(1)(117) and 26(1) point (e) of CRR

Other reserves are defined in CRR as ‘Reserves within the meaning of the applicable accounting standard that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings’.

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

210

1.1.1.5   Funds for general banking risk

Articles 4(1)(112) and 26(1) point (f) of CRR

Funds for general banking risk are defined in article 38 of Directive 86/635/EEC as ‘Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking’

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

220

1.1.1.6   Transitional adjustments due to grandfathered CET1 Capital instruments

Articles 483(1) to (3), and 484 to 487 of CRR

Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.

230

1.1.1.7   Minority interest given recognition in CET1 capital

Article 4(120) and 84 of CRR

Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

240

1.1.1.8   Transitional adjustments due to additional minority interests

Articles 479 and 480 of CRR

Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.

250

1.1.1.9   Adjustments to CET1 due to prudential filters

Articles 32 to 35 of CRR

260

1.1.1.9.1   (-) Increases in equity resulting from securitised assets

Article 32(1) of CRR

The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard.

For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.

270

1.1.1.9.2   Cash flow hedge reserve

Article 33(1) point (a) of CRR

The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

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

280

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

Article 33(1) point (b) of CRR

The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

285

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

Article 33(1) point (c) and 33(2) of CRR

The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

290

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

Articles 34 and 105 of CRR

Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR

300

1.1.1.10   (-) Goodwill

Articles 4(1)(113), 36(1) point (b) and 37 of CRR

310

1.1.1.10.1   (-) Goodwill accounted for as intangible asset

Articles 4(1)(113) and 36(1) point (b) of CRR

Goodwill has the same meaning as under the applicable accounting standard.

The amount to be reported here shall be the same that is reported in the balance sheet.

320

1.1.1.10.2   (-) Goodwill included in the valuation of significant investments

Article 37 point (b) and 43 of CRR

330

1.1.1.10.3   Deferred tax liabilities associated to goodwill

Article 37 point (a) of CRR

Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard

340

1.1.1.11   (-) Other intangible assets

Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

350

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

Articles 4(1)(115) and 36(1) point (b) of CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.

360

1.1.1.11.2   Deferred tax liabilities associated to other intangible assets

Article 37 point (a) of CRR

Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard

370

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

Articles 36(1) point (c) and 38 of CRR

380

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

Articles 36(1) point (d), 40, 158 and 159 of CRR

The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses’ (Article 40 of CRR)

390

1.1.1.14   (-) Defined benefit pension fund assets

Articles 4(1)(109), 36(1) point (e) and 41 of CRR

400

1.1.1.14.1   (-) Defined benefit pension fund assets

Articles 4(1)(109), 36(1) point (e) of CRR

Defined benefit pension fund assets are defined as ‘the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan’

The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).

410

1.1.1.14.2   Deferred tax liabilities associated to defined benefit pension fund assets

Articles 4(1)(108) and (109), and 41(1) point (a) of CRR

Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.

420

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

Articles 4(1)(109) and 41(1) point (b) of CRR

This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted.

The assets included in this row shall receive a risk weight for credit risk requirements.

430

1.1.1.15   (-) Reciprocal cross holdings in CET1 Capital

Articles 4(1)(122), 36(1) point (g) and 44 of CRR

Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.

440

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

Article 36(1) point (j) of CRR

The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1.

450

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

Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR

Qualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking’.

According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

460

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

Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR

Securitisation positions which are subject to a 1 250  % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item.

470

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

Articles 36(1) point (k) (iii) and 379(3) of CRR

Free deliveries are subject to a 1 250  % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.

471

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

Articles 36(1) point (k) (iv) and 153(8) of CRR

According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

472

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

Articles 36(1) point (k) (v) and 155(4) of CRR

According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

480

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

Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1

See alternatives to deduction when consolidation is applied (Article 49(2) and (3))

490

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

Articles 36(1) point (c); 38 and 48(1) point (a) of CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.

500

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

Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR

Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR.

See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).

510

1.1.1.25   (-) Amount exceeding the 17,65 % threshold

Article 48(1) of CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(1) of CRR.

520

1.1.1.26   Other transitional adjustments to CET1 Capital

Articles 469 to 472, 478 and 481 of CRR

Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.

524

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

Article 3 CRR

529

1.1.1.28   CET1 capital elements or deductions — other

This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524.

This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

530

1.1.2   ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR

540

1.1.2.1   Capital instruments eligible as AT1 Capital

Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR

550

1.1.2.1.1   Paid up capital instruments

Articles 51 point (a) and 52 to 54 of CRR

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

560

1.1.2.1.2   (*) Memorandum item: Capital instruments not eligible

Article 52(1) points (c), (e) and (f) of CRR

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

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

570

1.1.2.1.3   Share premium

Article 51 point (b) of CRR

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

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

580

1.1.2.1.4   (-) Own AT1 instruments

Articles 52(1) point (b), 56 point (a) and 57 of CRR

Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR.

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

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

Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.

590

1.1.2.1.4.1   (-) Direct holdings of AT1 instruments

Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR

Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.

620

1.1.2.1.4.2   (-) Indirect holdings of AT1 instruments

Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR

621

1.1.2.1.4.3   (-) Synthetic holdings of AT1 instruments

Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR

622

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

Articles 56 point (a) and 57 of CRR

According to Article 56 point (a) of CRR, ‘own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.

660

1.1.2.2   Transitional adjustments due to grandfathered AT1 Capital instruments

Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR

Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.

670

1.1.2.3   Instruments issued by subsidiaries that are given recognition in AT1 Capital

Articles 83, 85 and 86 of CRR

Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.

Qualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included.

680

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

Article 480 of CRR

Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.

690

1.1.2.5   (-) Reciprocal cross holdings in AT1 Capital

Articles 4(1)(122), 56 point (b) and 58 of CRR

Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.

700

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

Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1

710

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

Articles 4(1)(27), 56 point (d), 59 and 79 of CRR

Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted

720

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

Article 56 point (e) of CRR

The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1).

730

1.1.2.9   Other transitional adjustments to AT1 Capital

Articles 474, 475, 478 and 481 of CRR

Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.

740

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

Article 36(1) point (j) of CRR

Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.

With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.

744

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

Article 3 CRR

748

1.1.2.12   AT1 capital elements or deductions — other

This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744.

This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR)!

750

1.2   TIER 2 CAPITAL

Article 71 of CRR

760

1.2.1   Capital instruments and subordinated loans eligible as T2 Capital

Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR

770

1.2.1.1   Paid up capital instruments and subordinated loans

Articles 62 point (a), 63 and 65 of CRR

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

780

1.2.1.2   (*)Memorandum item: Capital instruments and subordinated loans not eligible

Article 63 points (c), (e) and (f); and article 64 of CRR

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

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

790

1.2.1.3   Share premium

Articles 62 point (b) and 65 of CRR

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

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

800

1.2.1.4   (-) Own T2 instruments

Article 63 point (b) (i), 66 point (a), and 67 of CRR

Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR.

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

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

Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.

810

1.2.1.4.1   (-) Direct holdings of T2 instruments

Articles 63 point (b), 66 point (a) and 67 of CRR

Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.

840

1.2.1.4.2   (-) Indirect holdings of T2 instruments

Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR

841

1.2.1.4.3   (-) Synthetic holdings of T2 instruments

Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR

842

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

Articles 66 point (a) and 67 of CRR

According to Article 66 point (a) of CRR, ‘own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.

880

1.2.2   Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR

Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.

890

1.2.3   Instruments issued by subsidiaries that are given recognition in T2 Capital

Articles 83, 87 and 88 of CRR

Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.

Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included.

900

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

Article 480 of CRR

Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.

910

1.2.5   IRB Excess of provisions over expected losses eligible

Article 62 point (d) of CRR

For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.

920

1.2.6   SA General credit risk adjustments

Article 62 point (c) of CRR

For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.

930

1.2.7   (-) Reciprocal cross holdings in T2 Capital

Articles 4(1)(122), 66 point (b) and 68 of CRR

Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.

940

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

Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.

950

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

Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR

Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.

960

1.2.10   Other transitional adjustments to T2 Capital

Articles 476 to 478 and 481 of CRR

Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.

970

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

Article 56 point (e) of CRR

Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1.

With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.

974

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

Article 3 CRR

978

1.2.13   T2 capital elements or deductions — other

This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974.

This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

1.3.   C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

1.3.1.   Instructions concerning specific positions

Row

Legal references and instructions

010

1.   TOTAL RISK EXPOSURE AMOUNT

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

020

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

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

030

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

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

040

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

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

050

1.1.1   Standardised approach (SA)

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

060

1.1.1.1   SA exposure classes excluding securitisations positions

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

070

1.1.1.1.01   Central governments or central banks

See CR SA template

080

1.1.1.1.02   Regional governments or local authorities

See CR SA template

090

1.1.1.1.03   Public sector entities

See CR SA template

100

1.1.1.1.04   Multilateral Development Banks

See CR SA template

110

1.1.1.1.05   International Organisations

See CR SA template

120

1.1.1.1.06   Institutions

See CR SA template

130

1.1.1.1.07   Corporates

See CR SA template

140

1.1.1.1.08   Retail

See CR SA template

150

1.1.1.1.09   Secured by mortgages on immovable property

See CR SA template

160

1.1.1.1.10   Exposures in default

See CR SA template

170

1.1.1.1.11   Items associated with particular high risk

See CR SA template

180

1.1.1.1.12   Covered bonds

See CR SA template

190

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

See CR SA template

200

1.1.1.1.14   Collective investments undertakings (CIU)

See CR SA template

210

1.1.1.1.15   Equity

See CR SA template

211

1.1.1.1.16   Other items

See CR SA template

220

1.1.1.2   Securitisations positions SA

CR SEC SA template at the level of total securitisation types

230

1.1.1.2.*   Of which: resecuritisation

CR SEC SA template at the level of total securitisation types

240

1.1.2

Internal ratings based Approach (IRB)

250

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

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

260

1.1.2.1.01   Central governments and central banks

See CR IRB template

270

1.1.2.1.02   Institutions

See CR IRB template

280

1.1.2.1.03   Corporates — SME

See CR IRB template

290

1.1.2.1.04   Corporates – Specialised Lending

See CR IRB template

300

1.1.2.1.05   Corporates – Other

See CR IRB template

310

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

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

320

1.1.2.2.01   Central governments and central banks

See CR IRB template

330

1.1.2.2.02   Institutions

See CR IRB template

340

1.1.2.2.03   Corporates — SME

See CR IRB template

350

1.1.2.2.04   Corporates – Specialised Lending

See CR IRB template

360

1.1.2.2.05   Corporates – Other

See CR IRB template

370

1.1.2.2.06   Retail – secure by real estate SME

See CR IRB template

380

1.1.2.2.07   Retail – secure by real estate non-SME

See CR IRB template

390

1.1.2.2.08   Retail – Qualifying revolving

See CR IRB template

400

1.1.2.2. 09   Retail – Other SME

See CR IRB template

410

1.1.2.2.10   Retail – Other non-SME

See CR IRB template

420

1.1.2.3   Equity IRB

See CR EQU IRB template

430

1.1.2.4   Securitisations positions IRB

CR SEC IRB template at the level of total securitisation types

440

1.1.2.4*   Of which: resecuritisation

CR SEC IRB template at the level of total securitisation types

450

1.1.2.5   Other non credit-obligation assets

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

460

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

Articles 307 to 309 of CRR

490

1.2   TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

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

500

1.2.1   Settlement/delivery risk in the non-Trading book

See CR SETT template

510

1.2.2   Settlement/delivery risk in the Trading book

See CR SETT template

520

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

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

530

1.3.1

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

540

1.3.1.1   Traded debt instruments

MKR SA TDI template at the level of total currencies.

550

1.3.1.2   Equity

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

555

1.3.1.3   Particular approach for position risk in CIUs

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

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

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

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

556

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

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

557

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

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

560

1.3.1.4   Foreign Exchange

See MKR SA FX template

570

1.3.1.5   Commodities

See MKR SA COM template

580

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

See MKR IM template

590

1.4   TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

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

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

600

1.4.1   OpR Basic Indicator approach (BIA)

See OPR template

610

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

See OPR template

620

1.4.3   OpR Advanced measurement approaches (AMA)

See OPR template

630

1.5   ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

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

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

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

Investment firms under Article 95 of CRR shall report:

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

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

640

1.6   TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

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

650

1.6.1   Advanced method

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

660

1.6.2   Standardised method

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

670

1.6.3.   Based on OEM

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

680

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

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

690

1.8   OTHER RISK EXPOSURE AMOUNTS

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

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

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

Additional risk exposure amounts due to Article 3 CRR

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

710

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

Article 458 of CRR

720

1.8.2*   Of which: requirements for large exposures

Article 458 of CRR

730

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

Article 458 of CRR

740

1.8.2***   Of which: Of which: due to intra financial sector exposures

Article 458 of CRR

750

1.8.3   Of which: Additional stricter prudential requirements based on Art 459

Article 459 of CRR

760

1.8.4   Of which: Additional risk exposure amount due to Article 3 CRR

Article 3 CRR

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

1.4.   C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1.   Instructions concerning specific positions

Rows

010

1   CET1 Capital ratio

Article 92(2) point (a) of CRR

The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.

020

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

This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

030

3   T1 Capital ratio

Article 92(2) point (b) of CRR

The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.

040

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

This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

050

5   Total capital ratio

Article 92(2) point (c) of CRR

The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.

060

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

This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

070

CET1 capital ratio including Pillar II adjustments

Article 92(2) point (a) of CRR and Article 104(2) CRD IV

This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.

080

Target CET1 capital ratio due to Pillar II adjustments

Article 104(2) CRD IV

This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.

090

T1 capital ratio including Pillar II adjustments

Article 92(2) point (b) of CRR and Article 104(2) CRD IV

This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.

100

Target T1 capital ratio due to Pillar II adjustments

Article 104(2) CRD IV

This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.

110

Total capital ratio including Pillar II adjustments

Article 92(2) point (c) of CRR and Article 104(2) CRD IV

This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.

120

Target Total capital ratio due to Pillar II adjustments

Article 104(2) CRD IV

This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.

1.5.   C 04.00 — MEMORANDUM ITEMS (CA4)

1.5.1.   Instructions concerning specific positions

Rows

010

1.   Total deferred tax assets

The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.

020

1.1   Deferred tax assets that do not rely on future profitability

Article 39 of CRR

Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.

030

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

Articles 36(1) point (c) and 38 of CRR

Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).

040

1.3   Deferred tax assets that rely on future profitability and arise from temporary differences

Articles 36(1) point (c); 38 and 48(1) point (a) of CRR

Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 of CRR.

050

2.   Total deferred tax liabilities

The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.

060

2.1   Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

Article 38(3) and (4) of CRR

Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.

070

2.2   Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

Article 38 of CRR

080

2.2.1   Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

Article 38(3), (4) and (5) of CRR

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

090

2.2.2   Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences

Article 38(3), (4) and (5) of CRR

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

100

3.   IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR

This item shall only be reported by IRB institutions.

110

3.1   Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

Article 159 of CRR

This item shall only be reported by IRB institutions.

120

3.1.1   General credit risk adjustments

Article 159 of CRR

This item shall only be reported by IRB institutions.

130

3.1.2   Specific credit risk adjustments

Article 159 of CRR

This item shall only be reported by IRB institutions.

131

3.1.3   Additional value adjustments and other own funds reductions

Articles 34, 110 and 159 of CRR

This item shall only be reported by IRB institutions.

140

3.2   Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR

This item shall only be reported by IRB institutions. Only the expected loss related to non defaulted exposures shall be reported.

145

4.   IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR

This item shall only be reported by IRB institutions.

150

4.1   Specific credit risk adjustments and positions treated similarily

Article 159 of CRR

This item shall only be reported by IRB institutions.

155

4.2   Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR

This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.

160

5   Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

Article 62 point (d) of CRR

For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB approach.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap.

170

6   Total gross provisions eligible for inclusion in T2 capital

Article 62 point (c) of CRR

This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.

The amount to be reported shall be gross of tax effects.

180

7   Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

Article 62 point (c) of CRR

According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap.

190

8   Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

Article 46(1) point (a) of CRR

This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

200

9   10 % CET1 threshold

Article 48(1) points (a) and (b) of CRR

This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences.

The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

210

10   17,65 % CET1 threshold

Article 48(1) of CRR

This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.

The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions.

225

11.1   Eligible capital for the purposes of qualifying holdings outside the financial sector

Article 4(1)(71)(a)

226

11.2   Eligible capital for the purposes of large exposures

Article 4(1)(71)(b)

230

12   Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 44 to 46 and 49 of CRR

240

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

Articles 44, 45, 46 and 49 of CRR

250

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

Articles 44, 46 and 49 of CRR

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

a)

Underwriting positions held for 5 working days or fewer;

b)

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

c)

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

260

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

Article 45 of CRR

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

270

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

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

280

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

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

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

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

290

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

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

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

291

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

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

292

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

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

293

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

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

300

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

Articles 58 to 60 of CRR

310

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

Articles 58, 59 and 60(2) of CRR

320

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

Articles 58 and 60(2) of CRR

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

a)

Underwriting positions held for 5 working days or fewer; and

b)

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

330

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

Article 59 of CRR

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

340

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

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

350

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

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

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

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

360

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

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

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

361

13.3   Synthetic holdings of AT1 capital of financi