Total risk exposure amounts (TREA)

Total own funds requirements

a

b

c

T

T-1

T

1

Credit risk (excluding CCR)

2

Of which the standardised approach

3

Of which the Foundation IRB (F-IRB) approach

4

Of which slotting approach

EU 4a

Of which equities under the simple riskweighted approach

5

Of which the Advanced IRB (A-IRB) approach

6

Counterparty credit risk - CCR

7

Of which the standardised approach

8

Of which internal model method (IMM)

EU 8a

Of which exposures to a CCP

EU 8b

Of which credit valuation adjustment - CVA

9

Of which other CCR

10

Not applicable

11

Not applicable

12

Not applicable

13

Not applicable

14

Not applicable

15

Settlement risk

16

Securitisation exposures in the non-trading book (after the cap)

17

Of which SEC-IRBA approach

18

Of which SEC-ERBA (including IAA)

19

Of which SEC-SA approach

EU 19a

Of which 1 250  % / deduction

20

Position, foreign exchange and commodities risks (Market risk)

21

Of which the standardised approach

22

Of which IMA

EU 22a

Large exposures

23

Operational risk

EU 23a

Of which basic indicator approach

EU 23b

Of which standardised approach

EU 23c

Of which advanced measurement approach

24

Amounts below the thresholds for deduction (subject to 250 % risk weight)

25

Not applicable

26

Not applicable

27

Not applicable

28

Not applicable

29

Total

a

b

c

d

e

T

T-1

T-2

T-3

T-4

Available own funds (amounts)

1

Common Equity Tier 1 (CET1) capital

2

Tier 1 capital

3

Total capital

Risk-weighted exposure amounts

4

Total risk exposure amount

Capital ratios (as a percentage of risk-weighted exposure amount)

5

Common Equity Tier 1 ratio (%)

6

Tier 1 ratio (%)

7

Total capital ratio (%)

Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)

EU 7a

Additional own funds requirements to address risks other than the risk of excessive leverage (%)

EU 7b

of which: to be made up of CET1 capital (percentage points)

EU 7c

of which: to be made up of Tier 1 capital (percentage points)

EU 7d

Total SREP own funds requirements (%)

Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)

8

Capital conservation buffer (%)

EU 8a

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

9

Institution specific countercyclical capital buffer (%)

EU 9a

Systemic risk buffer (%)

10

Global Systemically Important Institution buffer (%)

EU 10a

Other Systemically Important Institution buffer (%)

11

Combined buffer requirement (%)

EU 11a

Overall capital requirements (%)

12

CET1 available after meeting the total SREP own funds requirements (%)

Leverage ratio

13

Total exposure measure

14

Leverage ratio (%)

Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)

EU 14a

Additional own funds requirements to address the risk of excessive leverage (%)

EU 14b

of which: to be made up of CET1 capital (percentage points)

EU 14c

Total SREP leverage ratio requirements (%)

Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)

EU 14d

Leverage ratio buffer requirement (%)

EU 14e

Overall leverage ratio requirement (%)

Liquidity Coverage Ratio

15

Total high-quality liquid assets (HQLA) (Weighted value -average)

EU 16a

Cash outflows - Total weighted value

EU 16b

Cash inflows - Total weighted value

16

Total net cash outflows (adjusted value)

17

Liquidity coverage ratio (%)

Net Stable Funding Ratio

18

Total available stable funding

19

Total required stable funding

20

NSFR ratio (%)

a

b

Exposure value

Risk exposure amount

1

Own fund instruments held in insurance or re-insurance undertakings or insurance holding company not deducted from own funds

a

T

1

Supplementary own fund requirements of the financial conglomerate (amount)

2

Capital adequacy ratio of the financial conglomerate (%)

Legal basis

Row number

Free format

Article 438(a) CRR

(a)

Approach to assessing the adequacy of the internal capital

Article 438(c) CRR

(b)

Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process

Legal references and instructions

Column number

Explanation

a

Total risk exposure amounts (TREA)

Total risk exposure amount calculated in accordance with Articles 92(3) and Articles 95, 96 and 98 CRR

b

TREA (T-1)

TREA as disclosed in the previous disclosure period

c

Total own funds requirements

Own fund requirements corresponding to the RWEAs for the different risk categories

Legal references and instructions

Row number

Explanation

1

Credit risk (excluding CCR)

RWEAs and own funds requirements calculated in accordance with Chapters 1 to 4 of Title II of Part Three CRR, and with Article 379 CRR. RWEAs for securitisation exposures in the non-trading book and for CCR are excluded and disclosed in rows 6 and 16 of this template. Institutions shall include, in the amount disclosed in this row, RWEAs and own funds requirements for free deliveries risk calculated in accordance with Article 379 CRR.

2

Credit risk (excluding CCR) - Of which the standardised approach

RWEAs and own funds requirements calculated in accordance with the CR standardised approach (Chapter 2 of Title II of Part Three CRR and Article 379 CRR).

3

Credit risk (excluding CCR) - Of which the Foundation IRB (F-IRB) approach

RWEAs and own funds requirements calculated in accordance with the CR – Foundation Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach, and in row EU 4a for equities under the simple risk weighted approach, and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR.

4

Credit risk (excluding CCR) - Of which: slotting approach

RWEAs and own funds requirements for specialised lending exposures subject to the slotting approach calculated in accordance with Article 153(5) CRR.

EU 4a

Credit risk (excluding CCR) - Of which: equities under the simple risk weighted approach

RWEAs and own funds requirements for equities under the simple risk weighted approach calculated in accordance with Article 155(2) CRR.

5

Credit risk (excluding CCR) - Of which the Advanced IRB (A-IRB) approach

RWEAs and own funds requirements calculated in accordance with the CR – Advanced Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach and in row EU 4a for equities under the simple risk weighted approach and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR.

6

Counterparty credit risk – CCR

RWEAs and own funds requirements calculated in accordance with Chapter 6 of Title II of Part Three CRR for counterparty credit risk.

7

CCR - Of which the standardised approach

RWEAs and own funds requirements calculated in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR.

8

CCR - Of which internal model method (IMM)

RWEAs and own funds requirements calculated in accordance with Article 283 CRR.

EU 8a

CCR – Of which exposures to a CCP

RWEAs and own funds requirements calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.

EU 8b

CCR – Of which credit valuation adjustment – CVA

RWEAs and own funds requirements calculated in accordance with Title VI of Part Three CRR.

9

CCR - Of which other CCR

CCR RWEAs and own funds requirements that are not disclosed under rows 7, 8, EU 8a and EU 8b.

10

Not applicable

11

Not applicable

12

Not applicable

13

Not applicable

14

Not applicable

15

Settlement risk

Risk exposure amount (REA) and own funds requirements calculated for settlement/delivery risk in accordance with Article 378 CRR.

16

Securitisation exposures in the non-trading book (after the cap)

RWEAs and own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR.

17

Securitisation - Of which SEC-IRBA approach

RWEAs and own funds requirements calculated in accordance with the SEC-IRBA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR.

18

Securitisation - Of which SEC-ERBA (including IAA)

RWEAs and own funds requirements calculated in accordance with the SEC-ERBA (including IAA) regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR.

19

Securitisation - Of which SEC-SA approach

RWEAs and own funds requirements calculated in accordance with the SEC-SA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR.

EU 19a

Securitisation - Of which 1 250  % / deduction

RWEAs and own funds requirements for securitisation exposures on the non-trading book risk-weigh at 1 250  % or deducted from own funds in accordance with Chapter 5 of Title II of Part Three CRR.

20

Position, foreign exchange and commodities risks (Market risk)

RWEAs and own funds requirements calculated in accordance with Title IV of Part Three CRR.

21

Market risk - Of which the standardised approach

RWEAs and own funds requirements calculated in accordance with Chapters 2 to 4 of Title IV of Part Three CRR.

22

Market risk - Of which IMA

REA and own funds requirements calculated in accordance with Chapter 5 of Title IV of Part Three CRR.

EU 22a

Large exposures

REA and own funds requirements calculated in accordance with point (b)(ii) of Article 92(3) CRR.

23

Operational risk

REA and own funds requirements calculated in accordance with Title III of Part Three CRR.

EU 23a

Operational risk - Of which basic indicator approach

REA and own funds requirements calculated in accordance with Chapter 2 of Title III of Part Three CRR.

EU 23b

Operational risk - Of which standardised approach

REA and own funds requirements calculated in accordance with Chapter 3 of Title III of Part Three CRR.

EU 23c

Operational risk - Of which advanced measurement approach

REA and own funds requirements calculated in accordance with Chapter 4 of Title III of Part Three CRR.

24

Amount below the thresholds for deduction (subject to 250% risk weight)

The amount shall correspond to the sum of amounts of the items subject to a 250% risk weight referred to in Article 48(4) CRR after application of the 250% risk weight. Those amounts include:

The information in this row is disclosed for information purposes only as the amount included here is also included in row 1, where institutions are asked to disclose information on credit risk.

25

Not applicable

26

Not applicable

27

Not applicable

28

Not applicable

29

Total

Total risk exposure amount calculated in accordance with Article 92(3) and Articles 95, 96 and 98 CRR.

Legal references and instructions

Column number

Explanation

a - e

Disclosure periods T, T-1, T-2, T-3 and T-4 are defined as quarterly periods and shall be populated depending on the frequency set by Articles 433a, 433b and 433c CRR.

Institutions disclosing the information contained in this template on a quarterly basis shall provide data for periods T, T-1, T-2, T-3 and T-4; institutions disclosing the information in this template on a semi-annual basis shall provide data for periods T, T-2 and T-4; and institutions disclosing the information in this template on an annual basis shall provide data for periods T and T-4.

Institutions shall disclose the dates corresponding to the disclosure periods.

The disclosure of data for previous periods is not required when data are disclosed for the first time.

Legal references and instructions

Row number

Explanation

1

Common Equity Tier 1 (CET1) capital

Amount of CET1 capital shall be the amount disclosed by institutions inf Annex VII to this Implementing Regulation (row 29 of template EU CC1 Composition of regulatory own funds)

2

Tier 1 capital

Amount of Tier 1 capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 45 of template EU CC1 Composition of regulatory own funds)

3

Total capital

Amount of total capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 59 of template EU CC1 Composition of regulatory own funds)

4

Total risk exposure amount

Amount of total risk exposure amount (TREA) shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 60 of template EU CC1 Composition of regulatory own funds)

5

Common Equity Tier 1 ratio (%)

CET1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 61 of template EU CC1 Composition of regulatory own funds)

6

Tier 1 ratio (%)

Tier 1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 62 of template EU CC1 Composition of regulatory own funds)

7

Total capital ratio (%)

Total capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 63 of template EU CC1 Composition of regulatory own funds)

EU 7a

Additional own funds requirements to address risks other than the risk of excessive leverage (%)

Additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total risk exposure amount.

EU 7b

of which: to be made up of CET1 capital (percentage points)

The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Common Equity Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4).

EU 7c

of which: to be made up of Tier 1 capital (percentage points)

The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4).

EU 7d

Total SREP own funds requirements (TSCR ratio) (%)

The sum of values determined under points (i) and (ii) as follows:

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

(ii)  the additional own funds requirements to address risks other than the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD and determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (1) (‘EBA SREP GL’), expressed as a percentage of the total RWEAs.

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

Where no additional own funds requirements imposed to address risks other than the risk of excessive leverage were communicated by the competent authority, only point (i) shall be disclosed.

8

Capital conservation buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(1) and Article 129 CRD, expressed as a percentage of total RWEAs.

EU 8a

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

Amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, expressed as a percentage of total RWEAs.

9

Institution specific countercyclical capital buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(2), Article 130, and Articles 135 to 140 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

EU 9a

Systemic risk buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(5), Articles 133 and 134 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

10

Global Systemically Important Institution buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128 (3) and Article 131 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

EU 10a

Other Systemically Important Institution buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(4) and Article 131 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

11

Combined buffer requirement (%)

In accordance with point (6) of Article 128 CRD, expressed as a percentage of total RWEAs.

EU 11a

Overall capital requirements (OCR) (%)

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

(i)  the TSCR ratio referred to in row EU 7d;

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

This item shall reflect the Overall Capital Requirement (OCR) ratio as defined in Section 1.2 EBA SREP GL.

Where no buffer requirement is applicable, only point (i) shall be disclosed.

12

CET1 available after meeting the total SREP own funds requirements (%)

13

Total exposure measure

Total exposure measure in accordance with the amount disclosed by institutions in Annex XI to this Implementing Regulation (row 24 of template EU LR2 - LRCom: Leverage ratio common disclosure)

14

Leverage ratio (%)

Leverage ratio in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 25 of template EU LR2 - LRCom: Leverage ratio common disclosure)

EU 14a

Additional own funds requirements to address the risk of excessive leverage (%)

The additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure.

Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26a of template EU LR2 - LRCom: Leverage ratio common disclosure).

EU 14b

of which: to be made up of CET1 capital (percentage points)

The part of the additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with CET1 capital in accordance with the third subparagraph of Article 104a(4).

Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26b of template EU LR2 - LRCom: Leverage ratio common disclosure).

EU 14c

Total SREP leverage ratio requirements (%)

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

(i)  the minimum leverage ratio requirement as specified in point (d) of Article 92(1) CRR or the adjusted leverage ratio requirement calculated in accordance with Article 429a(7) CRR, as applicable;

(ii)  the additional own funds requirements to address the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure.

This item shall reflect the total SREP leverage ratio requirement (TSLRR) as communicated to the institution by the competent authority.

If no additional own funds requirements to address the risk of excessive leverage were imposed by the competent authority, only point (i) shall be disclosed.

EU 14d

Leverage ratio buffer requirement (%)

Article 92(1a) CRR

Applicable leverage ratio buffer in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 27 of template EU LR2 - LRCom: Leverage ratio common disclosure)

EU 14e

Overall leverage ratio requirement (%)

Sum of rows EU 14c and EU 14d

15

Total high-quality liquid assets (HQLA) (Weighted value - average)

Institutions shall disclose as the weighted value the value of the liquid assets in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 (2) before applying the adjustment mechanism set out in Article 17(2) of Delegated Regulation (EU) 2015/61.

EU 16a

Cash outflows - Total weighted value

Institutions shall disclose the sum of the weighted value of their cash outflows, as disclosed in Annex XIII (row 16 of Template EU LIQ1 - Quantitative information of LCR).

EU 16b

Cash inflows - Total weighted value

Institutions shall disclose the sum of the weighted value of their cash inflows, as disclosed in Annex XIII (row 20 of Template EU LIQ1 - Quantitative information of LCR.

16

Total net cash outflows (Adjusted value)

Institutions shall disclose as the adjusted value the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90% cap less the reduction for inflows subject to the 75% cap.

17

Liquidity coverage ratio (%)

Institutions shall disclose as the adjusted value the percentage of the item 'Liquidity coverage ratio (%)' as defined in Article 4(1) of Delegated Regulation (EU) 2015/61.

The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar days stress period and shall be expressed as a percentage.

18

Total available stable funding

Institutions shall disclose the amount of available stable funding calculated in accordance with Chapter 3 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 14 of Template EU LIQ2 – Net Stable Funding Ratio).

19

Total required stable funding

Institutions shall disclose the amount of required stable funding calculated in accordance with Chapter 4 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 33 of Template EU LIQ2 – Net Stable Funding Ratio).

20

NSFR ratio (%)

NSFR ratio calculated in accordance with Article 428b CRR.

Legal references and instructions

Column number

Explanation

a

Exposure value

Exposure value of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis.

b

Risk exposure amount

Risk exposure amount of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis.

Legal references and instructions

Row number

Explanation

1

Supplementary own fund requirements of the financial conglomerate (amount)

The amount of supplementary own fund requirements of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 of European Parliament and of the Council (1) and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied.

2

Capital adequacy ratio of the financial conglomerate (%)

The capital adequacy ratio of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied.

Legal references and instructions

Row number

Explanation

(a)

Approach to assessing the adequacy of their internal capital

Institutions shall disclose a summary of their approach to assessing the adequacy of their internal capital to support current and future activities.

(b)

Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process

This information shall only be disclosed by institutions when required by the relevant competent authority.

Legal basis

Row number

Qualitative information - Free format

Point (f) of Article 435(1) CRR

(a)

Disclosure of concise risk statement approved by the management body

Point (b) of Article 435(1) CRR

(b)

Information on the risk governance structure for each type of risk

Point (e) of Article 435(1) CRR

(c)

Declaration approved by the management body on the adequacy of the risk management arrangements.

Point (c) of Article 435(1) CRR

(d)

Disclosure on the scope and nature of risk disclosure and/or measurement systems.

Point (c) of Article 435(1) CRR

(e)

Disclose information on the main features of risk disclosure and measurement systems.

Point (a) of Article 435(1) CRR

(f)

Strategies and processes to manage risks for each separate category of risk.

Points (a) and (d) of Article 435(1) CRR

(g)

Information on the strategies and processes to manage, hedge and mitigate risks, as well as on the monitoring of the effectiveness of hedges and mitigants.

Legal basis

Row number

Free format

Point (a) of Article 435(2) CRR

(a)

The number of directorships held by members of the management body.

Point (b) of Article 435(2) CRR

(b)

Information regarding the recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise.

Point (c) of Article 435(2) CRR

(c)

Information on the diversity policy with regard of the members of the management body.

Point (d) of Article 435(2) CRR

(d)

Information whether or not the institution has set up a separate risk committee and the frequency of the meetings.

Point (e) Article 435(2) CRR

(e)

Description on the information flow on risk to the management body.

Legal references and instructions

Row number

Explanation

(a)

The concise risk statement approved by the management body in the application of point (f) of Article 435(1) CRR shall describe how the business model determines and interacts with the overall risk profile: for instance, the key risks related to the business model and how each of these risks is reflected and described in the risk disclosures, or how the risk profile of the institution interacts with the risk tolerance approved by the management body.

Within the risk statement in the application of point (f) of Article 435(1) CRR, institutions shall also disclose the nature, extent, purpose and economic substance of material transactions within the group, affiliates and related parties. The disclosure shall be limited to transactions that have a material impact on the risk profile of the institution (including reputational risk) or the distribution of risks within the group. Institutions shall also include key ratios and figures that show how the risk profile of the institution interacts with the risk tolerance set by the management body.

(b)

Information to be disclosed in the application of point (b) of Article 435(1) CRR includes the risk governance structure for each type of risk: responsibilities attributed throughout the institution (including, where relevant, oversight and delegation of authority and breakdown of responsibilities between the management body, the business lines and the risk management function by type of risk, business unit, and other relevant information); relationships between the bodies and functions involved in risk management processes (including, as appropriate, the management body, risk committee, risk management function, compliance function, internal audit function); and the organisational and internal control procedures.

When disclosing the structure and organisation of the relevant risk management function, institutions shall complement the disclosure with the following information:

(c)

The declaration that institutions shall disclose in compliance with point (e) of Article 435(1) CRR, on the adequacy of the risk management arrangements, has to be approved by the management body and provide assurance that the risk management systems put in place are adequate taking into account the institution’s risk profile and its strategy.

(d)

As part of the disclosures required in point (c) of Article 435(1) CRR, institutions shall disclose the scope and nature of risk disclosure and/or measurement systems and the description of the flow on risk to the management body and senior management.

(e)

When providing information on the main features of risk disclosure and measurement systems in the application of point (c) of Article 435(1) CRR, institutions shall disclose their policies regarding systematic and regular reviews of risk management strategies, and the periodical assessment of their effectiveness.

(f)

Disclosure on the strategies and processes to manage risk in the application of point (a) of Article 435(1) CRR shall include qualitative information on stress testing, such as the portfolios subject to stress testing, scenarios adopted and methodologies used, and the use of stress testing in risk management.

(g)

Institutions shall provide information on the strategies and processes to manage, hedge and mitigate risks, as well as on the monitoring of the effectiveness of hedges and mitigants in accordance with points (a) and (d) of Article 435(1) CRR for risks that arise from the institutions’ business model.

Legal references and instructions

Row number

Explanation

(a)

Institutions shall disclose the number of directorships held by members of the management body in accordance with point (a) of Article 435(2) CRR. When disclosing this information, the following specifications apply:

(b)

When disclosing information regarding the recruitment policy for the selection of members of the management body in accordance with point (b) of Article 435(2) CRR, institutions shall include information on the actual knowledge, skills and expertise of the members. Institutions shall include information on the policy possibly resulting from succession planning and on any foreseeable changes within the overall composition of the management body.

(c)

When disclosing their diversity policy in accordance with point (c) of Article 435(2) CRR, institutions shall disclose information on the objectives and any relevant targets set out in that policy, and the extent to which those objectives and targets have been achieved.

In particular institutions shall disclose the policy on gender diversity, including:

(d)

Institution shall disclose if they have set up a separate risk committee, and the number of times the risk committee has met in accordance with point (d) of Article 435(2) CRR.

(e)

As part of data on the information flow on risk to the management body in the application of point (e) of Article 435(2) CRR, institutions shall describe the process of the risk disclosure provided to the management body, particularly the frequency, scope and main content of risk exposure and how the management body was involved in defining the content to be disclosed.

a

b

c

d

e

f

g

Carrying values as reported in published financial statements

Carrying values under scope of prudential consolidation

Carrying values of items

Subject to the credit risk framework

Subject to the CCR framework

Subject to the securitisation framework

Subject to the market risk framework

Not subject to own funds requirements or subject to deduction from own funds

Breakdown by asset clases according to the balance sheet in the published financial statements

1

2

3

….

xxx

Total assets

Breakdown by liability classes according to the balance sheet in the published financial statements

1

2

3

….

xxx

Total liabilities

a

b

c

d

e

Total

Items subject to

Credit risk framework

Securitisation framework

CCR framework

Market risk framework

1

Assets carrying value amount under the scope of prudential consolidation (as per template LI1)

2

Liabilities carrying value amount under the scope of prudential consolidation (as per template LI1)

3

Total net amount under the scope of prudential consolidation

4

Off-balance-sheet amounts

5

Differences in valuations

6

Differences due to different netting rules, other than those already included in row 2

7

Differences due to consideration of provisions

8

Differences due to the use of credit risk mitigation techniques (CRMs)

9

Differences due to credit conversion factors

10

Differences due to Securitisation with risk transfer

11

Other differences

12

Exposure amounts considered for regulatory purposes

a

b

c

d

e

f

g

h

Name of the entity

Method of accounting consolidation

Method of prudential consolidation

Description of the entity

Full consolidation

Proportional consolidation

Equity method

Neither consolidated nor deducted

Deducted

Entity A

Full consolidation

X

Credit institution

Entity N

Full consolidation

X

Credit institution

Entity Z

Full consolidation

X

Insurance entity

Entity AA

Full consolidation

X

Immaterial leasing company

Legal basis

Row number

Qualitative information - Free format

Article 436(b) CRR

(a)

Differences between columns (a) and (b) in template EU LI1

Article 436(d) CRR

(b)

Qualitative information on the main sources of differences between the accounting and regulatoy scope of consolidation shown in template EU LI2

Legal basis

Row number

Qualitative information - Free format

Article 436(f) CRR

(a)

Impediment to the prompt transfer of own funds or to the repayment of liabilities within the group

Article 436(g) CRR

(b)

Subsidiaries not included in the consolidation with own funds less than required

Article 436(h) CRR

(c)

Use of derogation referred to in Article 7 CRR or individual consolidation method laid down in Article 9 CRR

Article 436(g) CRR

(d)

Aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation

a

b

c

d

e

EU e1

EU e2

f

g

h

Risk category

Category level AVA - Valuation uncertainty

Total category level post-diversification

Category level AVA

Equity

Interest Rates

Foreign exchange

Credit

Commodities

Unearned credit spreads AVA

Investment and funding costs AVA

Of which: Total core approach in the trading book

Of which: Total core approach in the banking book

1

Market price uncertainty

2

Not applicable

3

Close-out cost

4

Concentrated positions

5

Early termination

6

Model risk

7

Operational risk

8

Not applicable

9

Not applicable

10

Future administrative costs

11

Not applicable

12

Total Additional Valuation Adjustments (AVAs)

Legal references and instructions

Row number

Explanation

1 to XXX

Total Assets

The row structure shall be the same as the row structure of the balance sheet used in the latest available financial reporting of the institution.

‘Financial reporting’ refers to the annual individual or consolidated financial statements defined in Articles 4 and 24 of Directive (EU) 2013/34 (1), as well as (when applicable) to the financial statements in the meaning of the international accounting standards as endorsed in the EU in the application of Regulation (EC) 1606/2002 (2).

1 to XXX

Total Liabilities

The row structure shall be the same as the row structure of the balance sheet used in the latest available financial reporting of the institution.

‘Financial reporting’ refers to the annual individual or consolidated financial statements defined in Articles 4 and 24 of Directive (EU) 2013/34/EU, as well as (when applicable) to the financial statements in the meaning of the international accounting standards as endorsed in the EU in the application of Regulation (EC) 1606/2002.

Legal references and instructions

Column reference

Explanation

a

Carrying values as reported in published financial statements

Amount reported on the assets side and the liabilities side of the balance sheet established following the consolidation requirements in the applicable accounting framework, including frameworks based on Directive (EU) 2013/34/EU and with Directive (EEC) 86/635 (1), or the international accounting standards as endorsed in the EU

b

Carrying values under the scope of prudential consolidation

Amount reported on the assets side and the liabilities side of the balance sheet established following the regulatory consolidation requirements in Sections 2 and 3 of Title II of Part One CRR

If the scope of accounting consolidation and the scope of prudential consolidation are exactly the same, columns (a) and (b) of this template shall be merged.

c

Carrying values of items subject to credit risk framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Chapters 2 and 3 of Title II of Part Three CRR applies

d

Carrying values of items subject to counterparty credit risk framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Chapter 6 of Title II of Part Three CRR applies

e

Carrying values of items subject to the securitisation framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) from the non-trading book to which Chapter 5 of Title II of Part Three CRR applies

f

Carrying values of items subject to the market risk framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Title IV of Part Three CRR applies. Items corresponding to securitisation positions in the trading book -to which the requirements in Title IV of Part Three CRR shall be included in this column.

g

Carrying values of items not subject to own funds requirements or subject to deduction from own funds

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) not subject to own funds requirements in accordance with CRR; carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) that are subject to deductions from own funds in accordance with Part Two CRR

Deducted items may include, for instance, the items listed in Articles 37, 38, 39, and 41 CRR.

The amounts for assets shall be the amounts actually deducted from own funds, taking into account any netting with liabilities allowed by (and any threshold for) deduction applicable as per the relevant articles in Part Two CRR.

When the items listed in point (k) Article 36(1) and in Article 48 CRR are 1 250  % risk-weighted instead of being deducted, they shall not be disclosed in column (g) of this template but in the other appropriate columns of template EU LI1. This also applies to any other item that is 1 250  % risk-weighted in accordance with the requirements in CRR.

The amounts for liabilities shall be the amount of liabilities that must be taken into consideration for the determination of the amount of assets to be deducted from own funds as per the relevant articles in Part Two CRR. In addition, all liabilities other than those that (i) are relevant for the application of requirements in Chapter 4 of Title II of Part Three CRR, or (ii) that are relevant for the application of requirements in Chapter 6 of Title II of Part Three CRR and in Title IV of Part Three CRR shall be disclosed in this column.

all

Where a single item attracts capital requirements in accordance with more than one risk framework, values shall be disclosed in all columns corresponding to the capital requirements they relate to. As a consequence, the sum of amounts in columns (c) to (g) of this template may be greater than the amount in column (b) of this template. Institutions shall provide qualitative explanations on assets and liabilities that are subject to capital requirements for more than one risk framework listed in Part Three CRR.

Legal references and instructions

Row number

Explanation

1

Assets carrying value amount under the scope of prudential consolidation

Amounts in columns (b) to (e) of this template shall be the same as the amounts in columns (c) to (f) of template EU LI1.

2

Liabilities carrying value amount under the scope of prudential consolidation

Amounts in columns (b) to (e) of this template shall be the same as the amounts in columns (c) to (f) of template EU LI1.

3

Total net amount under scope of prudential consolidation

Amount after on-balance-sheet netting between assets and liabilities under the scope of prudential consolidation, regardless of the eligibility of those assets and liabilities of the specific netting rules in the application of Chapters 4 and 5 of Title II of Part Three CRR and of Title IV of Part Three CRR

The amount in this row shall be equal to the value in row 1 deducted by the value in row 2 of this template.

4

Off-balance-sheet amounts

Include off-balance-sheet original exposures, prior to the use of a conversion factor, where relevant, from the established off-balance-sheet statement, following the scope of prudential consolidation in column (a) to (d) of this template.

5

Differences in valuations

Impact of the carrying amount of value adjustments in accordance with Article 34 of Chapter 2 of Title I of Part Two CRR and with Article 105 of Chapter 3 of Title I of Part Three CRR on trading book and non-trading book exposures measured at fair value in accordance with the applicable accounting framework

This amount shall be consistent with the amount in row 7 of template EU CC1 as well as with the amount in row 12 column (f) of template EU PV1.

6

Differences due to different netting rules, other than those already included in row 2 of this template

This item refers to the net on-balance-sheet and off-balance-sheet exposure amounts after the application of the specific netting rules in Chapters 4 and 5 of Title II of Part Three CRR and in Title IV of Part Three CRR. The impact of the application of the netting rules can be negative (in case more exposures have to be netted than the use of on-balance-sheet netting in row 2 of this template) or positive (in the case of the application of netting rules in the CRR leading to a lower amount being netted out than on-balance-sheet netting in row 2 of this template).

7

Differences due to consideration of provisions

Re-integration in the exposure value of specific and general credit risk adjustments (as defined in the Commission Delegated Regulation (EU) 183/2014 (1)) that have been deducted in accordance with the applicable accounting framework from the carrying amount of exposures under Chapter 3 of Title II of Part Three CRR for risk-weighting purposes. Regarding exposures risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, when the carrying amount in the financial statements under the scope of prudential consolidation has been reduced by elements qualifying as general credit risk adjustments under the aforementioned delegated regulation, these elements shall be re-integrated in the exposure value.

8

Differences due to the use of credit risk mitigation techniques

Impact on the exposure value under the scope of prudential consolidation of the application of credit risk mitigation techniques as defined in the CRR.

9

Differences due to credit conversion factors

Impact on the exposure value of off-balance sheet exposures under the scope of prudential consolidation of the application of the relevant conversion factors in accordance with CRR

The conversion factor for off-balance-sheet items to be risk-weighted in the application of Title II of Part Three CRR shall be determined in accordance with Articles 111, 166, 167 and 182 (as applicable for credit risk), and in Article 246 CRR (as applicable for securitisation risk).

10

Differences due to Securitisation with risk transfer

Impact on the exposure value of securitised exposures of the use of securitised transactions to transfer credit risk to third parties in accordance with the CRR

11

Other differences (if relevant)

Other meaningful drivers for differences between financial statements’ carrying values under the regulatory scope of application and the exposure amounts considered for regulatory purposes

Institutions shall complement the quantitative disclosures included in this row with qualitative explanations on the main drivers of these differences in table EU LIA.

12

Exposure amounts considered for regulatory purposes

Aggregate amount considered as a starting point of the RWEA calculation after the application of CRM methods other than netting in Chapter 4 of Title II of Part Three CRR and after the application of netting requirements in Chapters 4 and 5 of Title II of Part Three CRR and in Title IV of Part Three CRR of the same regulation for each of the risk categories

In case the Standardised Approach (SA) is applied, this is the value after specific credit adjustments, additional value adjustments in accordance with Articles 34 and 110 CRR and other own funds reductions related to the asset item. For off-balance sheet items listed in Annex I to this Implementing Regulation, the exposure value shall be the nominal value after reduction of specific credit risk adjustments, multiplied with the applicable percentage mentioned in points (a) and (d) of Article 111(1) CRR.

For the IRB approach, the disclosed value shall be the exposure value within the meaning of Articles 166, 167 and 168 CRR.

Thus, the carrying values as reported in the financial statements under the scope of prudential consolidation shall be disclosed in the corresponding rows 1 to 3 of this template, while the off-balance-sheet original exposures shall be disclosed in row 4 of this template. Any specific regulatory addition or reduction concerning these amounts is to be included in rows 5 to 11 of this template to explain how to reconcile these amounts with the exposure amount for regulatory purposes as the starting point of the RWEA calculation in accordance with each of the frameworks mentioned in columns (b) to (e) of this template. This means that in particular for credit risk, the exposure amounts considered for regulatory purposes to be disclosed in row 12 of this template will be different from the carrying values as reported in the financial statements under the scope of prudential consolidation, due to the particular regulatory treatment of accounting provisions for the calculation of the RWEAs.

Legal references and instructions

Column reference

Explanation

a

Total

Total in Column (a) of template EU LI2 = Amounts in Column (b) of template EU LI1 – Amounts in Column (g) of template EU LI1.

The breakdown of columns in the regulatory risk categories (b) to (e) corresponds to the breakdown listed in Part Three CRR:

b

Credit risk framework

Exposures in Title II of Part Three CRR

Exposures under the credit risk framework shall correspond either to the exposure amount applied in the credit risk standardised approach (see Article 111 of Chapter 2 of Title II of Part Three CRR) or to the exposures at default (EAD) in the credit risk – IRB approach (see Articles 166, 167 and 168 in Chapter 3 of Title II of Part Three CRR).

c

Securitisation framework

Exposures from the non-trading book given in Chapter 5 of Title II of Part Three CRR

Securitisation exposures shall be determined in accordance with Article 246 of Chapter 5 of Title II of Part Three CRR.

d

Counterparty Credit Risk framework (CCR)

Exposures considered in Chapter 6 of Title II of Part Three CRR

e

Market risk framework

Market risk exposures corresponding to positions subject to the market risk framework in Title IV of Part Three CRR

Only rows 1 to 3 and 12 of this template shall be disclosed regarding this column.

all

Where a single item is subject to capital requirements in accordance with more than one risk framework, it shall be disclosed in all the relevant columns corresponding to the capital requirements. As a consequence, the sum of amounts in columns (b) to (e) of this template may be greater than the amount in column (a) of this template. Institutions shall provide qualitative explanations on assets and liabilities that are subject to capital requirements for more than one risk framework listed in Part Three CRR.

Legal references and instructions

Row number

Explanation

The rows are flexible. Disclosures shall be provided for entities included within the accounting and the regulatory scopes of consolidation as defined in accordance with the applicable accounting framework and Sections 2 and 3 of Title II of Part One CRR, for which the method of the accounting consolidation is different from the method of the regulatory consolidation. One row per entity.

Legal references and instructions

Column reference

Explanation

a

Name of the entity

Commercial name of any entity included or deducted from the regulatory and accounting scope of consolidation of an institution

b

Method of accounting consolidation

Consolidation method used in accordance with the applicable accounting framework

c to g

Method of regulatory consolidation

Consolidation method implemented for the purpose of Chapter 2 of Title II of Part One CRR

At a minimum, the methods listed in point (b) of Article 436 CRR shall be disclosed.

Institutions shall tick the applicable columns to identify the method of consolidation of each entity under the accounting framework and whether, under the scope of prudential consolidation, each entity is (i) fully consolidated; (ii) proportionally consolidated; (iii) recognised under the equity method; (iv) neither consolidated nor deducted or; (v) deducted.

h

Description of the entity

Brief description of the entity, with (at a minimum) disclosure of its sector of activity

Legal references and instructions

Row number

Explanation

(a)

Institutions shall explain and quantify the origins of any significant differences between the amounts in columns (a) and (b) in template EU LI1, regardless of whether the differences proceed from different consolidation rules or from the use of different accounting standards between the accounting and the regulatory consolidations.

(b)

Institutions shall explain the origins of differences between carrying values under the scope of prudential consolidation and amounts considered for regulatory purposes shown in template EU LI2.

Legal references and instructions

Row number

Explanation

(a)

Institutions shall disclose any current or expected material practical or legal impediment to the prompt transfer of own funds or to the repayment of liabilities between the parent undertaking and its subsidiaries.

(b)

Where applicable, institutions shall disclose the name or names of the subsidiaries that are not included in the consolidation.

(c)

Where applicable, institutions shall disclose the circumstances under which use is made of the derogation referred to in Article 7 CRR or the individual consolidation method laid down in Article 9 CRR.

(d)

Where applicable, institutions shall disclose aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation, and the name or names of those subsidiaries.

Legal references and instructions

Row number

Explanation

Rows 1 to 10

Category level AVA

The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk shall be determined in accordance with Articles 9 to 11 and 14 to 17 of Commission Delegated Regulation (EU) 2016/101 respectively.

For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out under Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 respectively, category level AVAs shall be disclosed in columns a to EU-e2 of this template as the straight sum of the individual AVAs before diversification benefit. Diversification benefits in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101 shall be included in column (f) of this template.

1

Market price uncertainty

Article 105(10) CRR

Market price uncertainty AVAs shall be computed in accordance with Article 9 of Commission Delegated Regulation (EU) 2016/101.

2

Not applicable

3

Close-out costs

Article 105(10) CRR

Close-out costs AVAs shall be computed in accordance with Article 10 of Commission Delegated Regulation (EU) 2016/101

4

Concentrated positions

Article 105(11) CRR

Concentrated positions AVAs shall be computed under Article 14 of Commission Delegated Regulation (EU) 2016/101.

5

Early termination

Article 105(10) CRR

Early termination AVAs shall be computed in accordance with Article 16 of Commission Delegated Regulation (EU) 2016/101.

6

Model risk

Article 105(10) CRR

Model risk AVAs shall be computed in accordance with Article 11 of Commission Delegated Regulation (EU) 2016/101.

7

Operational risk

Article 105(10) CRR

Operational risk AVAs shall be computed in accordance with Article 17 of Commission Delegated Regulation (EU) 2016/101.

8

Not applicable

9

Not applicable

10

Future administrative costs

Article 105(10) CRR

Future administrative costs AVAs shall be computed in accordance with Article 15 of Commission Delegated Regulation (EU) 2016/101.

11

Not applicable

12

Total additional valuation adjustments

Total AVA to be deducted from own funds under Articles 34 and 105 CRR shall be disclosed in row 12, column (f) of this template. This amount shall be consistent with the amount in row 7 of template EU CC1 as well as with the amount in row 5, column (a) of template EU LI2.

For portfolios subject to the Core approach as set out in Chapter III of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA shall be the sum of amounts in rows 1 to 10 of this template, and, the amounts computed in accordance with point (b) sub-paragraphs (i) to (iii) of Article 7 (2) of Delegated Regulation (EU) 2016/101, for portfolios subject to the Fall-back approach, if any.

For portfolios subject to the simplified approach as set out in Chapter II of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA included in column (f) of this template shall be the amount computed in accordance with Article 5 of this Chapter.

Column letter

Explanation

a-e

Breakdown by RISK CATEGORY

Institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Commission Delegated Regulation (EU) 2016/101 (trading book and non-trading book) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities.

The breakdown in these columns excludes the AVAs computed in accordance with Articles 12 and 13 of Commission Delegated Regulation (EU) 2016/101 that are disclosed in columns EU-e1 and EU-e2 of this template.

EU e1

Category level AVA - Valuation uncertainty: Unearned credit spreads AVA

Article 105(10) CRR, Article 12 of Commission Delegated Regulation (EU) 2016/101

The total AVA for unearned credit spreads (‘AVA on CVA’) and its allocation between market price uncertainty, close-out cost or model risk AVAs shall be determined in accordance with Article 12 of Commission Delegated Regulation (EU) 2016/101.

EU e2

Category level AVA - Investment and funding costs AVA

Article 105(10) CRR, Article 13 of Commission Delegated Regulation (EU) 2016/101

The total AVA for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs shall be determined in accordance with Article 13 of Commission Delegated Regulation (EU) 2016/101.

f

Total category level post-diversification

For portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, the total category level post-diversification shall encompass the total AVAs computed in accordance with the Core approach for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Commission Delegated Regulation (EU) 2016/101. This includes the diversification benefits defined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.

The total AVA in row 12, column (f) of this template, shall include the amounts computed in accordance with point (b) sub-paragraphs (i) to (iii) of Article 7 (2) of Delegated Regulation (EU) 2016/101, for portfolios subject to the Fall-back approach, if any.

For portfolios subject to the simplified approach as set out in Chapter II of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA included in row 12 of this template shall be the amount computed in accordance with Article 5 of this Chapter.

g

Of which: total core approach in the trading book

For each relevant category of AVAs, for portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, share of AVAs stemming from positions held in the 'trading book': all positions in financial instruments and commodities held by an institution with trading intent or to hedge positions held with trading intent in accordance with Article 104 CRR.

The disclosed value shall include the diversification benefits defined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.

h

Of which: total core approach in the banking book

For each relevant category of AVAs, for portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, share of AVAs stemming from fair-valued positions in financial instruments and commodities not held in the trading book

The disclosed value shall include the diversification benefits determined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.

(a)

(b)

Amounts

Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation

Common Equity Tier 1 (CET1) capital: instruments and reserves

1

Capital instruments and the related share premium accounts

(h)

of which: Instrument type 1

of which: Instrument type 2

of which: Instrument type 3

2

Retained earnings

3

Accumulated other comprehensive income (and other reserves)

EU-3a

Funds for general banking risk

4

Amount of qualifying items referred to in Article 484 (3) CRR and the related share premium accounts subject to phase out from CET1

5

Minority interests (amount allowed in consolidated CET1)

EU-5a

Independently reviewed interim profits net of any foreseeable charge or dividend

6

Common Equity Tier 1 (CET1) capital before regulatory adjustments

Common Equity Tier 1 (CET1) capital: regulatory adjustments

7

Additional value adjustments (negative amount)

8

Intangible assets (net of related tax liability) (negative amount)

(a)minus (d)

9

Not applicable

10

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount)

11

Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value

12

Negative amounts resulting from the calculation of expected loss amounts

13

Any increase in equity that results from securitised assets (negative amount)

14

Gains or losses on liabilities valued at fair value resulting from changes in own credit standing

15

Defined-benefit pension fund assets (negative amount)

16

Direct, indirect and synthetic holdings by an institution of own CET1 instruments (negative amount)

17

Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

18

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

19

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

20

Not applicable

EU-20a

Exposure amount of the following items which qualify for a RW of 1 250 %, where the institution opts for the deduction alternative

EU-20b

of which: qualifying holdings outside the financial sector (negative amount)

EU-20c

of which: securitisation positions (negative amount)

EU-20d

of which: free deliveries (negative amount)

21

Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount)

22

Amount exceeding the 17,65% threshold (negative amount)

23

of which: direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities

24

Not applicable

25

of which: deferred tax assets arising from temporary differences

EU-25a

Losses for the current financial year (negative amount)

EU-25b

Foreseeable tax charges relating to CET1 items except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be used to cover risks or losses (negative amount)

26

Not applicable

27

Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount)

27a

Other regulatory adjustments

28

Total regulatory adjustments to Common Equity Tier 1 (CET1)

29

Common Equity Tier 1 (CET1) capital

Additional Tier 1 (AT1) capital: instruments

30

Capital instruments and the related share premium accounts

(i)

31

of which: classified as equity under applicable accounting standards

32

of which: classified as liabilities under applicable accounting standards

33

Amount of qualifying items referred to in Article 484 (4) CRR and the related share premium accounts subject to phase out from AT1

EU-33a

Amount of qualifying items referred to in Article 494a(1) CRR subject to phase out from AT1

EU-33b

Amount of qualifying items referred to in Article 494b(1) CRR subject to phase out from AT1

34

Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties

35

of which: instruments issued by subsidiaries subject to phase out

36

Additional Tier 1 (AT1) capital before regulatory adjustments

Additional Tier 1 (AT1) capital: regulatory adjustments

37

Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount)

38

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

39

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

40

Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

41

Not applicable

42

Qualifying T2 deductions that exceed the T2 items of the institution (negative amount)

42a

Other regulatory adjustments to AT1 capital

43

Total regulatory adjustments to Additional Tier 1 (AT1) capital

44

Additional Tier 1 (AT1) capital

45

Tier 1 capital (T1 = CET1 + AT1)

Tier 2 (T2) capital: instruments

46

Capital instruments and the related share premium accounts

47

Amount of qualifying items referred to in Article 484(5) CRR and the related share premium accounts subject to phase out from T2 as described in Article 486(4) CRR

EU-47a

Amount of qualifying items referred to in Article 494a(2) CRR subject to phase out from T2

EU-47b

Amount of qualifying items referred to in Article 494b(2) CRR subject to phase out from T2

48

Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties

49

of which: instruments issued by subsidiaries subject to phase out

50

Credit risk adjustments

51

Tier 2 (T2) capital before regulatory adjustments

Tier 2 (T2) capital: regulatory adjustments

52

Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount)

53

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

54

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

54a

Not applicable

55

Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

56

Not applicable

EU-56a

Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative amount)

EU-56b

Other regulatory adjustments to T2 capital

57

Total regulatory adjustments to Tier 2 (T2) capital

58

Tier 2 (T2) capital

59

Total capital (TC = T1 + T2)

60

Total Risk exposure amount

Capital ratios and requirements including buffers

61

Common Equity Tier 1 capital

62

Tier 1 capital

63

Total capital

64

Institution CET1 overall capital requirements

65

of which: capital conservation buffer requirement

66

of which: countercyclical capital buffer requirement

67

of which: systemic risk buffer requirement

EU-67a

of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer requirement

EU-67b

of which: additional own funds requirements to address the risks other than the risk of excessive leverage

68

Common Equity Tier 1 capital (as a percentage of risk exposure amount) available after meeting the minimum capital requirements

National minima (if different from Basel III)

69

Not applicable

70

Not applicable

71

Not applicable

Amounts below the thresholds for deduction (before risk weighting)

72

Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)

73

Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions)

74

Not applicable

75

Deferred tax assets arising from temporary differences (amount below 17,65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met)

Applicable caps on the inclusion of provisions in Tier 2

76

Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap)

77

Cap on inclusion of credit risk adjustments in T2 under standardised approach

78

Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)

79

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach

Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022)

80

Current cap on CET1 instruments subject to phase out arrangements

81

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)

g

82

Current cap on AT1 instruments subject to phase out arrangements

83

Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)

84

Current cap on T2 instruments subject to phase out arrangements

85

Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)

a

b

c

Balance sheet as in published financial statements

Under regulatory scope of consolidation

Reference

As at period end

As at period end

Assets – Breakdown by asset clases according to the balance sheet in the published financial statements

1

2

3

xxx

Total assets

Liabilities - Breakdown by liability clases according to the balance sheet in the published financial statements

1

2

3

xxx

Total liabilities

Shareholders' Equity

1

2

3

xxx

Total shareholders' equity

a

Qualitative or quantitative information - Free format

1

Issuer

2

Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)

2a

Public or private placement

3

Governing law(s) of the instrument

3a

Contractual recognition of write down and conversion powers of resolution authorities

Regulatory treatment

4

Current treatment taking into account, where applicable, transitional CRR rules

5

Post-transitional CRR rules

6

Eligible at solo/(sub-)consolidated/ solo&(sub-)consolidated

7

Instrument type (types to be specified by each jurisdiction)

8

Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date)

9

Nominal amount of instrument

EU-9a

Issue price

EU-9b

Redemption price

10

Accounting classification

11

Original date of issuance

12

Perpetual or dated

13

Original maturity date

14

Issuer call subject to prior supervisory approval

15

Optional call date, contingent call dates and redemption amount

16

Subsequent call dates, if applicable

Coupons / dividends

17

Fixed or floating dividend/coupon

18

Coupon rate and any related index

19

Existence of a dividend stopper

EU-20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

EU-20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

21

Existence of step up or other incentive to redeem

22

Noncumulative or cumulative

23

Convertible or non-convertible

24

If convertible, conversion trigger(s)

25

If convertible, fully or partially

26

If convertible, conversion rate

27

If convertible, mandatory or optional conversion

28

If convertible, specify instrument type convertible into

29

If convertible, specify issuer of instrument it converts into

30

Write-down features

31

If write-down, write-down trigger(s)

32

If write-down, full or partial

33

If write-down, permanent or temporary

34

If temporary write-down, description of write-up mechanism

34a

Type of subordination (only for eligible liabilities)

EU-34b

Ranking of the instrument in normal insolvency proceedings

35

Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)

36

Non-compliant transitioned features

37

If yes, specify non-compliant features

37a

Link to the full term and conditions of the instrument (signposting)

(1) Insert ‘N/A’ if the question is not applicable

Legal references and instructions

Row number

Explanation

1

Capital instruments and the related share premium accounts

Capital instruments and the related share premium accounts in accordance with points (a) and (b) of Article 26(1) and with Articles 27, 28, 29 CRR and the EBA list as referred to in Article 26(3) CRR, and their breakdown by the type of the instrument.

2

Retained earnings

Retained earnings prior to all regulatory adjustments in accordance with point (c) of Article 26(1) CRR (prior to the inclusion of any interim net profits or losses)

3

Accumulated other comprehensive income (and other reserves)

Amount of accumulated other comprehensive income and other reserves in accordance with points (d) and (e) of Article 26(1) CRR

EU-3a

Funds for general banking risk

Amount of funds for general banking risk in accordance with point (f) of Article 26(1) CRR

4

Amount of qualifying items referred to in Article 484 (3) CRR and the related share premium accounts subject to phase out from CET1

Amount of qualifying items referred to in Article 484(3) CRR and the related share premium accounts subject to phase out from CET1 as described in Article 486(2) CRR

5

Minority interests (amount allowed in consolidated CET1)

Minority interests (allowed amount in consolidated CET1) as per Article 84 CRR

EU-5a

Independently reviewed interim profits net of any foreseeable charge or dividend

Independently reviewed interim profits net of any foreseeable charge or dividend as per Article 26(2) CRR

6

Common Equity Tier 1 (CET1) capital before regulatory adjustments

Sum of amounts in rows 1 to EU-5a of this template

7

Additional value adjustments (negative amount)

Additional value adjustments in accordance with Article 34 and 105 CRR (negative amount)

8

Intangible assets (net of related tax liability) (negative amount)

Intangible assets (net of related tax liability) in accordance with point (b) of Article 36(1) and with Article 37 CRR (negative amount)

9

Not applicable