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ANNEX II

ANNEX II

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents

PART I: GENERAL INSTRUCTIONS

1.

STRUCTURE AND CONVENTIONS

1.1.

STRUCTURE

1.2.

NUMBERING CONVENTION

1.3.

SIGN CONVENTION

1.4.

ABBREVIATIONS

PART II: TEMPLATE RELATED INSTRUCTIONS

1.

CAPITAL ADEQUACY OVERVIEW (CA)

1.1.

GENERAL REMARKS

1.2.

C 01.00 – OWN FUNDS (CA1)

1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.3.

C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.4.

C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.5.

C 04.00 – MEMORANDUM ITEMS (CA4)

1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.6.

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

1.6.1.

GENERAL REMARKS

1.6.2.

C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)

1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.6.3.

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

1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

2.

GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1.

GENERAL REMARKS

2.2.

DETAILED GROUP SOLVENCY INFORMATION

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

2.4.

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

2.5.

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

3.

CREDIT RISK TEMPLATES

3.1.

GENERAL REMARKS

3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT

3.1.2.

REPORTING OF COUNTERPARTY CREDIT RISK

3.2.

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

3.2.1.

GENERAL REMARKS

3.2.2.

SCOPE OF THE CR SA TEMPLATE

3.2.3.

ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH

3.2.4.

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

3.2.4.1.

EXPOSURE CLASS ‘INSTITUTIONS’

3.2.4.2.

EXPOSURE CLASS ‘COVERED BONDS’

3.2.4.3.

EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’

3.2.5.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.

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

3.3.1.

SCOPE OF THE CR IRB TEMPLATE

3.3.2.

BREAKDOWN OF THE CR IRB TEMPLATE

3.3.3.

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

3.3.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.4.

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

3.4.

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

3.4.1.

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

3.4.1.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.4.2.

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

3.4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.4.3.

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

3.4.3.1.

GENERAL REMARKS

3.4.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.5.

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

3.5.1.

GENERAL REMARKS

3.5.2.

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

3.6.

C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

3.6.1.

GENERAL REMARKS

3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.7.

C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

3.7.1.

GENERAL REMARKS

3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.

DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.1.

SCOPE OF THE SEC DETAILS TEMPLATE

3.9.2.

BREAKDOWN OF THE SEC DETAILS TEMPLATE

3.9.3.

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.4.

C 14.01 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS 2)

4.

OPERATIONAL RISK TEMPLATES

4.1.

C 16.00 – OPERATIONAL RISK (OPR)

4.1.1.

GENERAL REMARKS

4.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

4.2.

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

4.2.1.

GENERAL REMARKS

4.2.2.

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

4.2.2.1.

GENERAL REMARKS

4.2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

4.2.3.

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

4.2.3.1.

GENERAL REMARKS

4.2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.

MARKET RISK TEMPLATES

5.1.

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

5.1.1.

GENERAL REMARKS

5.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.2.

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

5.2.1.

GENERAL REMARKS

5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.3.

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

5.3.1.

GENERAL REMARKS

5.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.4.

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

5.4.1.

GENERAL REMARKS

5.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.5.

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

5.5.1.

GENERAL REMARKS

5.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.6.

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

5.6.1.

GENERAL REMARKS

5.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.7.

C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)

5.7.1.

GENERAL REMARKS

5.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.8.

C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)

5.8.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

6.

PRUDENT VALUATION (PRUVAL)

6.1.

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

6.1.1.

GENERAL REMARKS

6.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

6.2.

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

6.2.1.

GENERAL REMARKS

6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

6.3.

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

6.3.1.

GENERAL REMARKS

6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

6.4.

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

6.4.1.

GENERAL REMARKS

6.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

7.

C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV)

7.1.

GENERAL REMARKS

7.2.

SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’

7.3.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

PART I: GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS

1.1.   STRUCTURE

1. Overall, the framework consists of five blocks of templates:

(a) 

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

(b) 

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

(c) 

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

(d) 

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

(e) 

operational risk.

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

3. Institutions shall 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 points 5 to 8, when referring to the columns, rows and cells of the templates. Those 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 are used, notations do not refer to a template: {Row; Column}.

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

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

1.3.   SIGN CONVENTION

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

1.4.   ABBREVIATIONS

9a. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 3 ) is referred to as ‘CRR’, Directive 2013/36/EU of the European Parliament and of the Council ( 4 ) is referred to as ‘CRD’, Directive 2013/34/EU of the European Parliament and of the Council ( 5 ) is referred to as ‘AD’ and Council Directive 86/635/EEC ( 6 ) is referred to as ‘BAD’.

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 the application of CRR and CRD transitional provisions and is structured 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 the application of CRR and CRD transitional provisions per type of capital;

(b) 

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

(c) 

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

(d) 

CA4 template contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers;

(e) 

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

11. The templates shall be used by 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) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

13. The application of CRR and CRD transitional provisions is treated as follows in CA templates:

(a) 

The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those 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 those 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 point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.

(c) 

Template CA5 is exclusively used for reporting the effect due to the application of the CRR transitional provisions.

14. The treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting required under 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. That 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

Point (118) of Article 4(1) and Article 72 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 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 CRR

030

1.1.1.1.  Capital instruments eligible as CET1 capital

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

040

1.1.1.1.1.  Paid up capital instruments

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

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 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 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

Points (b), (l) and (m) of Article 28(1) 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

Point (124) of Article 4(1), point (b) of Article 26(1) 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

Point (f) of Article 36(1) and Article 42 CRR

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

Point (f) of Article 36(1) and Article 42 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 point (a) of Article 42 CRR.

090

1.1.1.1.4.2.  (-) Indirect holdings of CET1 instruments

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

091

1.1.1.1.4.3.  (-) Synthetic holdings of CET1 instruments

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

092

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

Point (f) of Article 36(1) and Article 42 CRR

According to point (f) of Article 36(1) 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

Point (c) of Article 26(1) and Article 26(2) 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

Point (123) of Article 4(1) and point (c) of Article 26(1) CRR

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

150

1.1.1.2.2.  Profit or loss eligible

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

Article 26(2) 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 point (a) of Article 36(1) CRR.

160

1.1.1.2.2.1.  Profit or loss attributable to owners of the parent

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

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

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

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

Point (100) of Article 4(1) and point (d) of Article 26(1) 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 (1).

200

1.1.1.4.  Other reserves

Point (117) of Article 4(1) and point (e) of Article 26(1) CRR

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

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

210

1.1.1.5.  Funds for general banking risk

Point (112) of Article 4(1) and point (f) of Article 26(1) CRR

Funds for general banking risk are defined in Article 38 BAD 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

Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 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

Point (120) of Article 4(1) and Article 84 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 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 CRR

260

1.1.1.9.1.  (-) Increases in equity resulting from securitised assets

Article 32(1) CRR

The amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with 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

Point (a) of Article 33(1) CRR

The amount to be reported can 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 to be expected 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

Point (b) of Article 33(1) CRR

The amount to be reported can 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

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

The amount to be reported can 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 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 CRR

300

1.1.1.10.  (-) Goodwill

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

310

1.1.1.10.1.  (-) Goodwill accounted for as intangible asset

Point (113) of Article 4(1) and point (b) of Article 36(1) CRR

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

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

320

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

Point (b) of Article 37 and Article 43 CRR

330

1.1.1.10.3.  Deferred tax liabilities associated to goodwill

Point (a) of Article 37 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

Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) of Article 37 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

Point (115) of Article 4(1) and point (b) of Article 36(1) 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, other than goodwill.

360

1.1.1.11.2.  Deferred tax liabilities associated to other intangible assets

Point (a) of Article 37 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

Point (c) of Article 36(1) and Article 38 CRR

380

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

Point (d) of Article 36(1), Articles 40, 158 and 159 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 CRR).

390

1.1.1.14.  (-) Defined benefit pension fund assets

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

400

1.1.1.14.1.  (-) Defined benefit pension fund assets

Point (109) of Article 4(1) and point (e) of Article 36(1) 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

Points (108) and (109) of Article 4(1) and point (a) of Article 41(1) 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

Point (109) of Article 4(1) and point (b) of Article 41(1) 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

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

Holdings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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

Point (j) of Article 36(1) CRR

The amount to be reported is directly taken from CA1 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

Point (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 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 point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250  %.

460

1.1.1.18.  (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight

Point (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR.

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

470

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

Point (k)(iii) of Article 36(1) and Article 379(3) 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 (point (k)(iii) of Article 36(1) 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

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

According to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach 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

Point (k)(v) of Article 36(1) and Article 155(4) CRR

According to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be 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

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

Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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 (paragraphs 2 and 3 of Article 49).

490

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

Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) 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), which according to point (b) of Article 38(5) CRR has to be deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR.

500

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

Point (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR

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

See alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 CRR).

510

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

Article 48(2) CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 17,65  % threshold in Article 48(2) CRR.

520

1.1.1.26.  Other transitional adjustments to CET1 Capital

Articles 469 to 472, 478 and 481 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 intended 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 or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524.

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

530

1.1.2.  ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

540

1.1.2.1.  Capital instruments eligible as AT1 Capital

Point (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR

550

1.1.2.1.1.  Paid up capital instruments

Point (a) of Article 51 and Articles 52, 53 and 54 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

Points (c), (e) and (f) of Article 52(1) 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

Point (b) of Article 51 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

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

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

Point (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 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

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

621

1.1.2.1.4.3.  (-) Synthetic holdings of AT1 instruments

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

622

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

Point (a) of Article 56 and Article 57 CRR

According to point (a) of Article 56 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

Paragraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 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 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 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 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

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

Holdings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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

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

Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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

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

Holdings by the institution of AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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

Point (e) of Article 56 CRR

The amount to be reported is directly taken from CA1 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 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)

Point (j) of Article 36(1) 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. Where 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 intended 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 or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744.

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

750

1.2.  TIER 2 CAPITAL

Article 71 CRR

760

1.2.1.  Capital instruments and subordinated loans eligible as T2 Capital

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

770

1.2.1.1.  Paid up capital instruments and subordinated loans

Point (a) of Article 62, Articles 63 and 65 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

Points (c), (e) and (f) of Article 63 and Article 64 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

Point (b) of Article 62 and Article 65 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

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

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

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

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

841

1.2.1.4.3.  (-) Synthetic holdings of T2 instruments

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

842

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

Point (a) of Article 66 and Article 67 CRR

According to point (a) of Article 66 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

Paragraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 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 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 CRR) shall be included.

900

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

Article 480 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

Point (d) of Article 62 CRR

For institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, this item shall contain 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

Point (c) of Article 62 CRR

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

930

1.2.7.  (-) Reciprocal cross holdings in T2 Capital

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

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

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

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

Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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

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

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

960

1.2.10.  Other transitional adjustments to T2 Capital

Articles 476, 477, 478 and 481 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)

Point (e) of Article 56 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. Where 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 provides 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 or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974.

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

(1)   Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8).

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

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

020

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

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

030

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

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

040

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

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

050

1.1.1.  Standardised Approach (SA)

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

051

1.1.1*  Of which: Additional stricter prudential requirements based on Article 124 CRR

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been consulted with EBA, in accordance with paragraphs 2 and 5 of Article 124CRR.

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 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

240

1.1.2.  Internal ratings based Approach (IRB)

241

1.1.2*  Of which: Additional stricter prudential requirements based on Article 164 CRR

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been notified to EBA, in accordance with paragraphs 5 and 7 of Article 164 CRR.

242

1.1.2**  Of which: Additional stricter prudential requirements based on Article 124 CRR

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements set by the competent authorities after having consulted EBA, as laid down in paragraphs 2 and 5 of Article 124 CRR and which are related to limits on the eligible market value of the collateral as laid down in point (d) of Article 125(2) and point (d) of Article 126(2) CRR.

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 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

450

1.1.2.5.  Other non credit-obligation assets

The amount to be reported is the risk weighted exposure amount as calculated in accordance with Article 156 CRR.

460

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

Articles 307, 308 and 309 CRR

470

1.1.4.  Securitisation positions

See CR SEC template

490

1.2.  TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

Point (c)(ii) of Article 92(3) and point (b) of Article 92(4) 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

Points (b)(i), (c)(i) and (c)(iii) of Article 92(3) and point (b) of Article 92(4) 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

Article 348(1), point (c) of Article 350(3) and point (a) of Article 364(2) CRR

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

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

Where the particular approach laid down in the second sentence of Article 348(1) CRR is applied, the amount to be reported shall be 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)

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

For investment firms under Articles 95(2) and 96(2) and Article 98 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) and 96(2), Article 97 and point (a) of Article 98(1) CRR

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

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

Investment firms under Article 95 CRR shall report as follows:

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

— Where the amount referred to in point (b) of Article 95(2) CRR is greater than the amount referred to in point (a) of Article 95(2) 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

Point (d) of Article 92(3) CRR

See CVA template.

650

1.6.1.  Advanced method

Own funds requirements for credit valuation adjustment risk in accordance with Article 383 CRR.

See CVA template.

660

1.6.2.  Standardised method

Own funds requirements for credit valuation adjustment risk in accordance with Article 384 CRR.

See CVA template.

670

1.6.3.  Based on OEM

Own funds requirements for credit valuation adjustment risk in accordance with Article 385 CRR.

See CVA template.

680

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

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

690

1.8.  OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 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 Articles 458 and 459 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 Article 458 CRR

Article 458 CRR

720

1.8.2*  Of which: requirements for large exposures

Article 458 CRR

730

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

Article 458 CRR

740

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

Article 458 CRR

750

1.8.3.  Of which: Additional stricter prudential requirements based on Article 459 CRR

Article 459 CRR

760

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

Article 3 CRR

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

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

1.4.1.   Instructions concerning specific positions



Rows

010

1.  CET1 Capital ratio

Point (a) of Article 92(2) 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 point (a) of Article 92(1) CRR (4,5  %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

030

3.  T1 Capital ratio

Point (b) of Article 92(2) 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 point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

050

5.  Total capital ratio

Point (c) of Article 92(2) 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 point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

130

13.  Total SREP capital requirement (TSCR) ratio

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

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

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

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

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

140

13*  TSCR: to be made up of CET1 capital

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

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

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

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

150

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

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

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

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

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

160

14.  Overall capital requirement (OCR) ratio

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

(i)  the TSCR ratio referred to in row 130;

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

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

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

170

14*  OCR: to be made up of CET1 capital

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

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

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

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

180

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

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

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

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

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

190

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

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

(i)  the OCR ratio referred to in row 160;

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

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

200

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

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

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

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

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

210

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

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

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

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

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

1.5.   C 04.00 – MEMORANDUM ITEMS (CA4)

1.5.1.   Instructions concerning specific positions



Rows

010

1.  Total deferred tax assets

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

020

1.1.  Deferred tax assets that do not rely on future profitability

Article 39(2) 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

Point (c) of Article 36(1) and Article 38 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

Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) 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 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

Paragraphs 3 and 4 of Article 38 CRR

Deferred tax liabilities for which conditions in paragraphs 3 and 4 of Article 38 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 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

Paragraphs 3, 4 and 5 of Article 38 CRR

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

090

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

Paragraphs 3, 4 and 5 of Article 38 CRR

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

093

2A  Tax overpayments and tax loss carry backs

Article 39(1) CRR

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

096

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

Article 48(4) CRR

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

097

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

Point (d) of Article 469(1), Article 470, Article 472(5) and Article 478 CRR

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

100

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

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

This item shall only be reported by IRB institutions.

120

3.1.1.  General credit risk adjustments

Article 159 CRR

This item shall only be reported by IRB institutions.

130

3.1.2.  Specific credit risk adjustments

Article 159 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 CRR

This item shall only be reported by IRB institutions.

140

3.2.  Total expected losses eligible

Paragraphs 5, 6 and 10 of Article 158 and Article 159 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

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

This item shall only be reported by IRB institutions.

150

4.1.  Specific credit risk adjustments and positions treated similarily

Article 159 CRR

This item shall only be reported by IRB institutions.

155

4.2.  Total expected losses eligible

Paragraphs 5, 6 and 10 of Article 158, and Article 159 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

Point (d) of Article 62 CRR

For IRB institutions, 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, in accordance with point (d) of Article 62 CRR.

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

Point (c) of Article 62 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

Point (c) of Article 62 CRR

According to point (c) of Article 62 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

Point (a) of Article 46(1) 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

Points (a) and (b) of Article 48(1) 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) 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 to be calculated in such a way that the amount of the two items that is recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions.

225

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

Point (a) of point (71) of Article 4(1) CRR

226

11.2.  Eligible capital for the purposes of large exposures

Point (b) of point (71) of Article 4(1) CRR

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, 45, 46 and 49 CRR

240

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

Articles 44, 45, 46 and 49 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 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 in accordance with point (g) of Article 36(1) CRR

260

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

Article 45 CRR

Article 45 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

Point (114) of Article 4(1) and Articles 44 and 45 CRR

280

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

Point (114) of Article 4(1) and Articles 44 and 45 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 in accordance with point (g) of Article 36(1) CRR shall not be included

290

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

Point (114) of Article 4(1) and Article 45 CRR

Point (a) of Article 45 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

Point (126) of Article 4(1) and Articles 44 and 45 CRR

292

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

Point (126) of Article 4(1) and Articles 44 and 45 CRR

293

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

Point (126) of Article 4(1) and Article 45 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, 59 and 60 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 Article 60(2) CRR

320

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

Article 58 and Article 60(2) 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 in accordance with point (b) of Article 56 CRR

330

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

Article 59 CRR

Point (a) of Article 59 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

Point (114) of Article 4(1) and Articles 58 and 59 CRR

350

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

Point (114) of Article 4(1) and Articles 58 and 59 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 point (b) of Article 56 CRR shall not be included.

360

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

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

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

361

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

Point (126) of Article 4(1) and Articles 58 and 59 CRR

362

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

Point (126) of Article 4(1) and Articles 58 and 59 CRR

363

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

Point (126) of Article 4(1) and Article 59 CRR

370

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

Articles 68, 69 and 70 CRR

380

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

Articles 68 and 69 and Article 70(2) CRR

390

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

Article 68 and Article 70(2) CRR

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

a)  Underwriting positions held for 5 working days or fewer; and

b)  Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR

400

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

Article 69 CRR

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

410

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

Point (114) of Article 4(1) and Articles 68 and 69 CRR

420

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

Point (114) of Article 4(1) and Articles 68 and 69 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 in accordance with Article 66 point (b) CRR shall not be included

430

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

Point (114) of Article 4(1) and Article 69 CRR

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

431

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

Point (126) of Article 4(1) and Articles 68 and 69 CRR

432

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

Point (126) of Article 4(1) and Articles 68 and 69 CRR

433

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

Point (126) of Article 4(1) and Article 69 CRR

440

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

Articles 44, 45, 47 and 49 CRR

450

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

Articles 44, 45, 47 and 49 CRR

460

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

Articles 44, 45, 47 and 49 CRR

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

a)  Underwriting positions held for 5 working days or fewer;

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

c)  Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR

470

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

Article 45 CRR

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

480

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

Point (114) of Article 4(1) and Articles 44 and 45 CRR

490

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

Point (114) of Article 4(1) and Articles 44 and 45 CRR

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

Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included.

500

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

Point (114) of Article 4(1) and Article 45 CRR

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

501

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

Point (126) of Article 4(1) and Articles 44 and 45 CRR

502

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

Point (126) of Article 4(1) and Articles 44 and 45 CRR

503

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

Point (126) of Article 4(1) and Article 45 CRR

510

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

Articles 58 and 59 CRR

520

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

Articles 58 and 59 CRR

530

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

Article 58 CRR

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

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

b)  Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR.

540

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

Article 59 CRR

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

550

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

Point (114) of Article 4(1) and Articles 58 and 59 CRR

560

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

Point (114) of Article 4(1) and Articles 58 and 59 CRR

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

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR shall not be included.

570

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

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

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

571

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

Point (126) of Article 4(1) and Articles 58 and 59 CRR

572

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

Point (126) of Article 4(1) and Articles 58 and 59 CRR

573

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

Point (126) of Article 4(1) and Article 59 CRR

580

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

Articles 68 and 69 CRR

590

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

Articles 68 and 69 CRR

600

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

Article 68 CRR

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

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

b)  Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR

610

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

Article 69 CRR

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

620

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

Point (114) of Article 4(1) and Articles 68 and 69 CRR

630

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

Point (114) of Article 4(1) and Articles 68 and 69 CRR

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

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR shall not be included

640

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

Point (114) of Article 4(1) and Article 69 CRR

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

641

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

Point (126) of Article 4(1) and Articles 68 and 69 CRR

642

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

Point (126) of Article 4(1) and Articles 68 and 69 CRR

643

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

Point (126) of Article 4(1) and Article 69 CRR

650

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

Articles 46(4), 48(4) and 49(4) CRR

660

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

Article 60(4) CRR

670

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

Article 70(4) CRR

680

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

Article 79 CRR

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

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

690

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

Article 79 CRR

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

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

700

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

Article 79 CRR

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

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

710

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

Article 79 CRR

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

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

720

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

Article 79 CRR

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

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

730

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

Article 79 CRR

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

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

740

27.  Combined buffer requirement

Point (6) of Article 128 CRD

750

Capital conservation buffer

Point (1) of Article 128 and Article 129 CRD

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

760

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

Point (d)(iv) of Article 458(2) CRR

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

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

770

Institution specific countercyclical capital buffer

Point (2) of Article 128 and Articles 130, 135 to 140 CRD

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

780

Systemic risk buffer

Point (5) of Article 128, Articles 133 and 134 CRD

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

800

Global Systemically Important Institution buffer

Point (3) of Article 128 and Article 131 CRD

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

810

Other Systemically Important Institution buffer

Point (4) Article 128 and Article 131 CRD

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

820

28.  Own funds requirements related to Pillar II adjustments

Article 104(2) CRD.

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

830

29.  Initial capital

Articles 12 and 28 to 31 CRD and Article 93 CRR

840

30.  Own funds based on Fixed Overheads

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

850

31.  Non-domestic original exposures

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

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

860

32.  Total original exposures

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

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

870

Adjustments to total own funds

Article 500(4) CRR

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

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

880

Own funds fully adjusted for Basel I floor

Article 500(4) CRR

Total own funds pursuant to CRR adjusted as required by Article 500(4) CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Council Directive 93/6/EEC (1) and Directive 2000/12/EC of the European Parliament and of the Council (2) as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Chapter 3 of Title II of Part Three CRR) have to be reported in this position.

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

890

Own funds requirements for Basel I floor

Point (b) of Article 500(1) CRR

The amount of own funds required by point (b) of Article 500(1) CRR to be held (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC and Directive 2000/12/EC has to be reported in this position.

900

Own funds requirements for Basel I floor – SA alternative

Paragraphs 2 and 3 of Article 500 CRR

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

910

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

Point (b) of Article 500(1) and Article 500(2) CRR

This row has to be filled with:

— where point (b) of Article 500(1) CRR is applied and row 880 < row 890: the difference between row 890 and row 880;

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

(1)   Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions (OJ L 141, 11.6.1993, p. 1).

(2)   Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions (OJ L 126, 26.5.2000, p. 1).

1.6.   TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5)

1.6.1.   General remarks

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

16. CA5 is structured as follows:

(a) 

Template 5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.

(b) 

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

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

18. Institutions shall only report elements in CA5 during the period where transitional provisions laid down in Part Ten CRR apply.

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

1.6.2.   C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)

20. Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491 CRR, compared to applying the final provisions laid down in Title II of Part Two CRR.

21. Institutions shall report in rows 020 to 060 information about the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA5.1 can be derived from the respective sections of CA5.2.

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

23. In rows 100 onwards institutions shall report information about the transitional provisions of unrealised gains and losses, deductions as well as additional filters and deductions.

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

1.6.2.1.   Instructions concerning specific positions



Columns

010

Adjustments to CET1

020

Adjustments to AT1

030

Adjustments to T2

040

Adjustments included in RWAs

Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Article 92(4) CRR. That means that transitional amounts subject to Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12,5 .

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

050

Applicable percentage

060

Eligible amount without transitional provisions

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



Rows

010

1.  Total adjustments

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

020

1.1.  Grandfathered instruments

Articles 483 to 491 CRR

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

030

1.1.1.  Grandfathered instruments: Instruments constituting state aid

Article 483 CRR

040

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

Paragraphs 1, 2, 4 and 6 of Article 483 CRR

050

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

Paragraphs 1, 3, 5, 7 and 8 of Article 483CRR

060

1.1.2.  Instruments not constituting state aid

The amounts to be reported shall be obtained from column 060 of CA5.2 template

070

1.2.  Minority interests and equivalents

Articles 479 and 480 CRR

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

080

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

Articles 479 CRR

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

090

1.2.2.  Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 CRR

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

091

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

Articles 85 and 480 CRR

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

092

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

Articles 87 and 480 CRR

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

100

1.3.  Other transitional adjustments

Articles 467 to 478 and Article 481 CRR

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

110

1.3.1.  Unrealised gains and losses

Articles 467 and 468 CRR

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

120

1.3.1.1.  Unrealised gains

Article 468(1) CRR

130

1.3.1.2.  Unrealised losses

Article 467(1) CRR

133

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

Article 468 CRR

136

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

Article 467 CRR

138

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

Article 468 CRR

140

1.3.2.  Deductions

Article 36(1) and Articles 469 to 478 CRR

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

150

1.3.2.1.  Losses for the current financial year

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

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

Where firms have only been required to deduct material losses:

— where the total interim net loss was ‘material’, the full residual amount would be deducted from Tier 1, or

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

160

1.3.2.2.  Intangible assets

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

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

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

170

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

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

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

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

180

1.3.2.4.  IRB shortfall of provisions to expected losses

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

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

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

190

1.3.2.5.  Defined benefit pension fund assets

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

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

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

194

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

Article 473 CRR

198

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

Article 473 CRR

200

1.3.2.6.  Own instruments

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

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

210

1.3.2.6.1.  Own CET1 instruments

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

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

Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments into ‘direct’ and ‘indirect’ holdings.

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

211

1.3.2.6.1**  of which: Direct holdings

Point (b) of Article 469(1) and point (a) of Article 472(8) CRR

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

212

1.3.2.6.1*  of which: Indirect holdings

Point (b) of Article 469(1) and point (b) of Article 472(8) CRR

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

220

1.3.2.6.2.  Own AT1 instruments

Point (a) of Article 56, Article 474 and Article 475(2) and Article 478 CRR

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

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

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

221

1.3.2.6.2**  of which: Direct holdings

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

222

1.3.2.6.2*  of which: Indirect holdings

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

230

1.3.2.6.3.  Own T2 instruments

Point (a) of Article 66, Article 476, Article 477(2) and Article 478 CRR

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

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

The amount to be reported in column 060 of this row: Original deduction in accordance with point (a) of Article 66 CRR.

231

of which: Direct holdings

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

232

of which: Indirect holdings

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

240

1.3.2.7.  Reciprocal cross holdings

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

250

1.3.2.7.1.  Reciprocal cross holdings in CET1 Capital

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

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

260

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

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

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

270

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

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

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

280

1.3.2.7.2.  Reciprocal cross holdings in AT1 Capital

Point (b) of Article 56, Article 474, Article 475(3) and Article 478 CRR

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

290

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

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

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

300

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

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

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

310

1.3.2.7.3.  Reciprocal cross holdings in T2 Capital

Point (b) of Article 66, Article 476, Article 477(3) and Article 478 CRR

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

320

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

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

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

330

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

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

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

340

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

350

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

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

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

360

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

Point (c) of Article 56, Article 474, Article 475(4) and Article 478 CRR

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

370

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

Point (c) of Article 66, Article 476, Article 477(4) and Article 478 CRR

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

380

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

Paragraphs 2 and 3 of Article 470 CRR

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

385

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

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

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

390

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

400

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

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

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

410

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

Point (d) of Article 56, Article 474, Article 475(4) and Article 478 CRR

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

420

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

Point (d) of Article 66, Article 476, Article 477(4) and Article 478 CRR

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

425

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

Article 471 CRR

430

1.3.3.  Additional filters and deductions

Article 481 CRR

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

In accordance with Article 481 CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.

440

1.3.4.  Adjustments due to IFRS 9 transitional arrangements

Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.

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

25. Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Articles 484 to 491 CRR).

1.6.3.1.   Instructions concerning specific positions



Columns

010

Amount of instruments plus related share premium

Paragraphs 3, 4 and 5 of Article 484 CRR

Instruments which are eligible for each respective row, including their related share premiums.

020

Base for calculating the limit

Paragraphs 2, 3 and 4 of Article 486 CRR

030

Applicable percentage

Article 486(5) CRR

040

Limit

Paragraphs 2 to 5 of Article 486 CRR

050

(-) Amount that exceeds the limits for grandfathering

Paragraphs 2 to 5 of Article 486 CRR

060

Total grandfathered amount

The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA5.1.



Rows

010

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

Article 484(3) CRR

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

020

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

Article 484(4) CRR

030

2.1.  Total instruments without a call or an incentive to redeem

Article 484(4) and Article 489 CRR

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

040

2.2.  Grandfathered instruments with a call and incentive to redeem

Article 489 CRR

050

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

Article 489(3) and point (a) of Article 491 CRR

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

060

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

Article 489(5) and point (a) of Article 491 CRR

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

070

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

Article 489(6) and point (c) of Article 491 CRR

The amount to be reported shall include the related share premium accounts

080

2.3.  Excess on the limit of CET1 grandfathered instruments

Article 487(1) CRR

The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.

090

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

Article 484(5) CRR

100

3.1.  Total items without an incentive to redeem

Article 490 CRR

110

3.2.  Grandfathered items with an incentive to redeem

Article 490 CRR

120

3.2.1.  Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity

Article 490(3) and point (a) of Article 491 CRR

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

130

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

Article 490(5) and point (a) of Article 491 CRR

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

140

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

Article 490(6) and point (c) of Article 491 CRR

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

150

3.3.  Excess on the limit of AT1 grandfathered instruments

Article 487(2) CRR

The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

2.   GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1.   GENERAL REMARKS

26. Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. Template C 06.02 consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.

(a) 

Entities within the scope of consolidation;

(b) 

Detailed group solvency information;

(c) 

Information on the contribution of individual entities to group solvency;

(d) 

Information on capital buffers;

27. Institutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 010 to 060 and 250 to 400.

28. The figures reported take into account all applicable transitional provisions CRR which are applicable at the respective reporting date.

2.2.   DETAILED GROUP SOLVENCY INFORMATION

29. The second part of template C 06.02 (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.

30. In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.

2.3.   INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

31. The objective of the third part of template C 06.02 and template C 06.01 (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.

32. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.

33. As this third part of the template refers to ‘contributions’, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.

34. The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in ‘Group Solvency’ template. A direct link to the CA template is not possible where the 1 % threshold is not exceeded.

35. The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.

36. It is possible for one consolidated group to be included within another consolidated group. That means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. A subgroup that is subject to reporting requirements shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.

37. An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. That threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.

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



Columns

Instructions

250-400

ENTITIES WITHIN SCOPE OF CONSOLIDATION

See instructions for C 06.02

410-480

CAPITAL BUFFERS

See instructions for C 06.02



Rows

Instructions

010

TOTAL

The Total shall represent the sum of the values reported in all rows of template C 06.02.

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



Columns

Instructions

010-060

ENTITIES WITHIN SCOPE OF CONSOLIDATION

This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation in accordance with Chapter 2 of Title II of Part One CRR.

010

NAME

Name of the entity within the scope of consolidation.

020

CODE

This code is a row identifier and shall be unique for each row in the template.

Code assigned to the entity within the scope of consolidation.

The actual composition of the code depends on the national reporting system.

025

LEI CODE

LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions.

Until the global LEI system is fully operational, a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org) assigns pre-LEI codes to counterparties.

Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

030

INSTITUTION OR EQUIVALENT (YES/NO)

‘YES’ shall be reported where the entity is subject to own funds requirements pursuant to CRR and CRD or provisions at least equivalent to Basel provisions.

‘NO’ shall be reported otherwise.

imageMinority interests:

Point (a)(ii) of Article 81(1) and point (a)(ii) of Article 82(1) CRR

To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject to the requirements CRR by virtue of applicable national law.

035

TYPE OF ENTITY

The type of entity shall be reported based on the following categories:

(a)  credit institution

Point (1) of Article 4(1)CRR;

(b)  investment firm

Point (2) of Article 4(1) CRR;

(c)  financial institution (other)

Points (20), (21) and (26) of Article 4(1) CRR

Financial institutions within the meaning of Article 4(1)(26) CRR which are not included in any of the categories (d), (f) or (g);

(d)  (mixed) financial holding company

Points (20) and (21) of Article 4(1)CRR;

(e)  ancillary services undertaking

Point (18) of Article 4(1) CRR;

(f)  securitisation special purpose entity (SSPE),

Point (66) of Article 4(1)CRR;

(g)  covered bond company

Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above;

(h)  other type of entity

Entity other than those referred to in points (a) to (g).

Where an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis.

040

SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP)

‘SF’ shall be reported for individual subsidiaries fully consolidated.

‘SP’ shall be reported for individual subsidiaries partially consolidated.

050

COUNTRY CODE

Institutions shall report the two-letter country code referred to in ISO 3166-2.

060

SHARE OF HOLDING (%)

This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with point 16 of Article 4(1) CRR, the share of holding of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.

070-240

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One CRR), are effectively subject to solvency requirements laid down in CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).

Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.

The information reported in this part shall reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data are available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

Reporting of fixed overheads of investment firms:

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio pursuant to Articles 95, 96, 97 and 98 CRR.

The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.

070

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 080 to 110 shall be reported.

080

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

The amount to be reported in this column shall correspond to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 ‘RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES’ and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of template CA2.

090

POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column shall correspond to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of template CA2.

100

OPERATIONAL RISK

The amount to be reported in this column shall correspond to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2.

Fixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of template CA2.

110

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 640, 680 and 690 of template CA2.

120-240

DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall reflect the local solvency rules of the Member State in which the entity or subgroup is operating.

120

OWN FUNDS

The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 ‘OWN FUNDS’ of the template CA1.

130

OF WHICH: QUALIFYING OWN FUNDS

Article 82 CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings and included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.

140

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

Point (b) of Article 87(1)CRR

150

TOTAL TIER 1 CAPITAL

Article 25 CRR

160

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

170

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Point (b) of Article 85(1) CRR

180

COMMON EQUITY TIER 1 CAPITAL

Article 50 CRR

190

OF WHICH: MINORITY INTERESTS

Article 81 CRR

This column shall only be reported for subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 84(3) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 CRR, where relevant, in accordance with Article 84(2), otherwise on a solo basis.

Minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.

200

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

Point (b) of Article 84(1) CRR

210

ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

220

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 CRR

This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 CRR, where relevant, in accordance with Article 85(2), otherwise on a solo basis.

Minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting.

230

TIER 2 CAPITAL

Article 71 CRR

240

OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 CRR

This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for subsidiaries referred to in Article 87(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 CRR, if relevant, in accordance with Article 87(2) CRR, otherwise on a solo basis.

Minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provisions, It shall be the eligible amount on the date of reporting.

250-400

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

250-290

CONTRIBUTION TO RISKS

The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.

250

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 260 to 290 shall be reported.

260

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

The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk in accordance with the CRR, excluding any amount related to transactions with other entities included in the group consolidated solvency ratio computation.

270

POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level in accordance with the CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here shall correspond to the amount reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report.

280

OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk shall include the effect of diversification.

Fixed overheads shall be included in this column.

290

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column shall correspond to the risk exposure amount for risks other than listed above.

300-400

CONTRIBUTION TO OWN FUNDS

This part of the template is not intended to impose on institutions a full computation of the total capital ratio at the level of each entity.

Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 360 to 400 shall be reported for all consolidated entities which contribute to the consolidated own funds.

Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column (mainly the own funds raised from third parties and accumulated reserves).

The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution.

300-350

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

The amount to be reported as ‘QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS’ shall be the amount as derived from Title II of Part Two CRR, excluding any fund brought in by other group entities.

300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 CRR

310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 CRR

320

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 CRR

The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the CRR.

330

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 CRR

The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the CRR.

340

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 88 CRR

The amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with the CRR.

350

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

360-400

CONSOLIDATED OWN FUNDS

Article 18 CRR

The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ shall be the amount as derived from the balance sheet, excluding any fund brought in by other group entities.

360

CONSOLIDATED OWN FUNDS

370

OF WHICH: COMMON EQUITY TIER 1

380

OF WHICH: ADDITIONAL TIER 1

390

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

The contribution of each entity to the consolidated result (profit or loss (-)) shall be reported. That includes the results attributable to minority interests.

400

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

Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here.

410-480

CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template shall follow the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing CRD and on CRR, including any transitional provisions provided for therein.

410

COMBINED BUFFER REQUIREMENT

Point (6) of Article 128 CRD

420

CAPITAL CONSERVATION BUFFER

Point (1) of Article 128 and Article 129 CRD

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

430

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD

In this cell the concrete amount of the countercyclical buffer shall be reported.

440

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

Point (d)(iv) of Article 458(2) CRR

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

450

SYSTEMIC RISK BUFFER

Point (5) of Article 128, Articles 133 and 134 CRD

In this cell the amount of the systemic risk buffer shall be reported.

470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (3) of Article 128 and Article 131 CRD

In this cell the amount of the Global Systemically Important Institution buffer shall be reported.

480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (4) of Article 128 and Article 131 CRD

In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

3.   CREDIT RISK TEMPLATES

3.1.   GENERAL REMARKS

38. There are different sets of templates for the Standardised Approach and the IRB Approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold set out in point (4) of Article 5(a) of this Implementing Regulation is exceeded.

3.1.1.   Reporting of CRM techniques with substitution effect

39. Article 235 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.

40. Article 236 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection in the case of full protection/partial protection – equal seniority.

41. Articles 196, 197 and 200 CRR regulate the funded credit protection.

42. Exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class.

43. The exposure type shall not change because of unfunded credit protection.

44. If an exposure is secured by an unfunded credit protection, the secured part shall be assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure shall not change due to the change of the exposure class.

45. The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure shall be risk weighted in accordance with the Standardised Approach and shall be reported in the CR SA template.

3.1.2.   Reporting of Counterparty Credit Risk

46. Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.

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

3.2.1.   General remarks

47. The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk in accordance with the Standardised Approach. In particular, they provide detailed information on:

a) 

the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;

b) 

the amount and type of credit risk mitigation techniques used for mitigating the risks.

3.2.2.   Scope of the CR SA template

48. In accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements.

49. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised Approach. The total figures as well as the information of each exposure class are reported in a separate dimension.

50. However the following positions are not within the scope of CR SA:

(a) 

Exposures assigned to exposure class ‘items representing securitisation positions’ as referred to in point (m) of Article 112 CRR, which shall be reported in the CR SEC templates.

(b) 

Exposures deducted from own funds.

51. The scope of the CR SA template shall cover the following own funds requirements:

(a) 

Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book;

(b) 

Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book;

(c) 

Settlement risk arising from free deliveries in accordance with Article 379 CRR in respect of all the business activities.

52. The template shall include all exposures for which the own funds requirements are calculated in accordance with Chapter 2 of Title II of Part Three CRR in conjunction with Chapters 4 and 6 of Title II of Part Three CRR. Institutions that apply Article 94(1) CRR also need to report their trading book positions in this template when they apply Chapter 2 of Title II of Part Three CRR to calculate the own funds requirements thereof (Chapters 2 and 6 of Title II of Part Three and Title V of Part Three CRR). Therefore the template shall not only provide detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.

53. In addition, CR SA includes memorandum items in rows 290 to 320 to collect further information about exposures secured by mortgages on immovable property and exposures in default.

54. Those memorandum items shall only be reported for the following exposure classes:

(a) 

Central governments or central banks (point (a) of Article 112 CRR);

(b) 

Regional governments or local authorities (point (b) of Article 112 CRR)

(c) 

Public sector entities (point (c) of Article 112 CRR);

(d) 

Institutions (point (f) of Article 112 CRR);

(e) 

Corporates (point (g) of Article 112 CRR);

(f) 

Retail (point (h) of Article 112 CRR).

55. The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in points (a) to (c) and (f) to (h) of Article 112 CRR nor of the exposure classes referred to in points (i) and (j) of Article 112 CRR reported in template CR SA.

56. The memorandum rows provide additional information about the obligor structure of the exposure classes ‘in default’ or ‘secured by immovable property’. Exposures shall be reported in these rows where the obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured by immovable property’. The figures reported, however, are the same as used to calculate the risk weighted exposure amounts in the exposure classes ‘in default’ or ‘secured by immovable property’.

57. E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 CRR and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 320 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row 320 of exposure class ‘institutions’.

3.2.3.   Assignment of exposures to exposure classes under the Standardised Approach

58. In order to ensure a consistent categorisation of exposures into the different exposure classes referred to in Article 112 CRR the following sequential approach shall be applied:

(a) 

In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

(b) 

In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.

59. The following criteria shall apply to for the classification of the Original exposure pre-conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

60. For the purpose of classifying the original exposure pre-conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class referred to in point (i) of Article 112 CRR (exposures secured by mortgages on immovable property).

61. Article 112 CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (point (n) of Article 112 CRR) and exposures to institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but is not the only one. It is worth noting that the criteria used for establishing the exposure classes under the Standardised Approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non-disjoint groupings.

62. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre-conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below, using a decision tree scheme, are based on the assessment of the conditions explicitly laid down in CRR for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with CRR provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.

63. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process.

64. With this background the assessment ranking in the decision tree mentioned below shall follow the following order:

1. 

Securitisation positions;

2. 

Items associated with particular high risk;

3. 

Equity exposures

4. 

Exposures in default;

5. 

Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/Exposures in the form of covered bonds (disjoint exposure classes);

6. 

Exposures secured by mortgages on immovable property;

7. 

Other items;

8. 

Exposures to institutions and corporates with a short-term credit assessment;

9. 

All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.

65. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (paragraphs 3, 4 and 5 of Article 132 CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings (‘CIU’).

66. ‘nth’ to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre-conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) CRR.

67. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.

DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH THE CRR



Original exposure pre-conversion factors

 

 

Does it fit for being assigned to the exposure class of point (m) of Article 112 CRR?

YESimage

Securitisation positions

NOimage

 

 

Does it fit for being assigned to the exposure class of point (k) of Article 112 CRR?

YESimage

Items associated with particular high risk (see also Article 128 CRR)

NOimage

 

 

Does it fit for being assigned to the exposure class of point (p) of Article 112 CRR?

YESimage

Equity exposures (see also Article 133 CRR)

NOimage

 

 

Does it fit for being assigned to the exposure class of point (j) of Article 112 CRR?

YESimage

Exposures in default

NOimage

 

 

Does it fit for being assigned to the exposure classes of points (l) and (o) of Article 112 CRR?

YESimage

Exposures in the form of units or shares in collective investment undertakings (CIU)

Exposures in the form of covered bonds (see also Article 129 CRR)

These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.

NOimage

 

 

Does it fit for being assigned to the exposure class of point (i) of Article 112 CRR?

YESimage

Exposures secured by mortgages on immovable property (see also Article 124 CRR)

NOimage

 

 

Does it fit for being assigned to the exposure class of point (q) of Article 112 CRR?

YESimage

Other items

NOimage

 

 

Does it fit for being assigned to the exposure class of point (n) of Article 112 CRR?

YESimage

Exposures to institutions and corporates with a short-term credit assessment

NOimage

 

 

The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward.

Exposures to central governments or central banks

Exposures to regional governments or local authorities

Exposures to public sector entities

Exposures to multilateral development banks

Exposures to international organisations

Exposures to institutions

Exposures to corporates

Retail exposures

3.2.4.   Clarifications on the scope of some specific exposure classes referred to in Article 112 CRR

3.2.4.1.   Exposure Class ‘Institutions’

68. Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows:

69. Exposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.

70. According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Council Directive 83/349/EEC ( 7 ). Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2.   Exposure Class ‘Covered Bonds’

71. SA exposures shall be assigned to the exposure class ‘covered bonds’ as follows:

72. Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council ( 8 ) shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class ‘Covered Bonds’ pursuant to Article 129(6) CRR.

3.2.4.3.   Exposure class ‘Collective Investment Undertakings’

73. Where the possibility referred to in Article 132(5) CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) CRR.

3.2.5.   Instructions concerning specific positions



Columns

010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR:

1.  For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR or subject to point (f) of Article 92(3) CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated in accordance with the methods laid down Chapter 6 of Title II of Part Three CRR.

2.  Exposure values for leases shall be subject to Article 134(7) CRR.

3.  In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral.

4.  In the case of master netting agreements covering repurchase transactions, securities, commodities lending, borrowing transactions or other capital market driven transactions subject to Chapter 6 of Title II of Part Three CRR, the effect of Funded Credit Protection in the form of master netting agreements referred to in Article 220(4) CRR shall be reflected in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to Chapter 6 of Title II of Part Three CRR, E* as calculated in accordance with Articles 220 and 221 CRR shall be reported in column 010 of the CR SA template.

030

(-) Value adjustments and provision associated with the original exposure

Article 24 and 111 CRR

Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject

040

Exposure net of value adjustments and provisions

Sum of columns 010 and 030

050 – 100

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

Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in ‘Substitution of the exposure due to CRM’.

Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

Items to be reported here:

— collateral, incorporated in accordance with the Financial Collateral Simple Method;

— eligible unfunded credit protection.

Please also see instructions of point 3.1.1.

050 – 060

Unfunded credit protection: adjusted values (GA)

Article 235 CRR

Article 239(3) CRR contains the formula for the calculation of the adjusted value GA of an unfunded credit protection.

050

Guarantees

Article 203 CRR

Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.

060

Credit derivatives

Article 204 CRR

070 – 080

Funded credit protection

These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors).

Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.

070

Financial collateral: simple method

Paragraphs 1 and 2 of Article 222 CRR.

080

Other funded credit protection

Article 232 CRR.

090 – 100

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR

Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. That amount shall be considered as an inflow into the protection provider’s exposure class.

Inflows and outflows within the same exposure classes shall also be reported.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

110

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

120-140

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

Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR)

Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.

The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR.

120

Volatility adjustment to the exposure

Paragraphs 2 and 3 of Article 223 CRR.

The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He

130

(-) Financial collateral adjusted value (Cvam)

Article 239(2) CRR.

For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included.

The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.

140

(-) Of which: Volatility and maturity adjustments

Article 223(1) CRR and Article 239(2) CRR.

The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]

150

Fully adjusted exposure value (E*)

Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.

160 – 190

Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors

Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR.

The figures reported shall be the fully adjusted exposure values before application of the conversion factor.

200

Exposure value

Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR.

Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR.

210

Of which: Arising from Counterparty Credit Risk

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR, the exposure value for Counterparty Credit Risk calculated in accordance with the methods laid down in Sections 2 to 5 of Chapter 6 of Title II of Part Three CRR.

215

Risk weighted exposure amount pre SME-supporting factor

Paragraphs 1 to 5 of Article 113CRR, without taking into account the SME-supporting factor laid down in Article 501 CRR.

220

Risk weighted exposure amount after SME-supporting factor

Paragraphs 1 to 5 of Article 113CRR, taking into account the SME-supporting factor laid down in Article 501 CRR.

230

Of which: with a credit assessment by a nominated ECAI

Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR

240

Of which: with a credit assessment derived from central government

Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR



Rows

Instructions

010

Total exposures

015

of which: Defaulted exposures in exposure classes ‘items associated with a particular high risk’ and ‘equity exposures’

Article 127 CRR

This row shall only be reported in exposure classes ‘Items associated with a particular high risk’ and ‘Equity exposures’.

An exposure that is either listed in Article 128(2) CRR or meets the criteria set in Article 128(3) or Article 133 CRR shall be assigned to the exposure class ‘Items associated with particular high risk’ or ‘Equity exposures’. Consequently, there shall be no other allocation, even in case of an exposure in default as referred to in Article 127 CRR.

020

of which: SME

All exposures to SME shall be reported here.

030

of which: Exposures subject to the SME-supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

040

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

Article 125 CRR

Only reported in exposure class ‘Secured by mortgages on immovable property’

050

of which: Exposures under the permanent partial use of the Standardised Approach

Exposures to which the Standardised Approach has been applied in accordance with Article 150(1) CRR

060

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

Article 148(1) CRR

070-130

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES

Reporting institution’s ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

Exposures to counterparty credit risk arising from the trading book business of the institution as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) CRR also break down their ‘trading book’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

070

On balance sheet exposures subject to credit risk

Assets referred to in Article 24 CRR not included in any other category.

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row.

Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1)) CRR shall be included if not reported in row 080.

080

Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise the items listed in Annex I CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130 and therefore not be reported in this row.

Exposures arising from assets posted to a CCP as defined in point (90) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.

090-130

Exposures/Transactions subject to counterparty credit risk

090

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) CRR.

100

Of which: centrally cleared through a QCCP

Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR.

Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP

110

Derivatives and Long Settlement Transactions

Derivatives comprise the contracts listed in Annex II to the CRR.

Long Settlement Transactions as defined in Article 272(2) CRR.

Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.

120

Of which: centrally cleared through a QCCP

Article 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR

Trade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP

130

From Contractual Cross Product Netting

Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row.

140-280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

140

0 %

150

2 %

Article 306(1) CRR

160

4 %

Article 305(3) CRR

170

10 %

180

20 %

190

35 %

200

50 %

210

70 %

Point (c) of Article 232(3) CRR.

220

75 %

230

100 %

240

150 %

250

250 %

Articles 133(2) and 48(4) CRR

260

370 %

Article 471 CRR

270

1 250  %

Article 133(2) and Article 379 CRR

280

Other risk weights

This row is not available for exposure classes Government, Corporates, Institutions and Retail.

For reporting those exposures not subject to the risk weights listed in the template.

Paragraphs 1 to 5 of Article 113 CRR.

Unrated nth-to-default credit derivatives under the Standardised Approach (Article 134(6) CRR) shall be reported in this row under the exposure class ‘Other items’.

See also Article 124(2) and point (b) of Article 152(2) CRR.

290-320

Memorandum Items

See also the explanation of the purpose of the memorandum items in the general section of the CR SA.

290

Exposures secured by mortgages on commercial immovable property

Point (i) of Article 112 CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 CRR the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate.

300

Exposures in default subject to a risk weight of 100 %

Point (j) of Article 112 CRR

Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

310

Exposures secured by mortgages on residential property

Point (i) of Article 112 CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 CRR the exposures shall be broken down and reported in this row if the exposures are secured by real estate property.

320

Exposures in default subject to a risk weight of 150 %

Point (j) of Article 112 CRR

Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

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

3.3.1.   Scope of the CR IRB template

74. The scope of the CR IRB template covers own funds requirements for:

i. 

Credit risk in the banking book, among which:

— 
Counterparty credit risk in the banking book;
— 
Dilution risk for purchased receivables;
ii. 

Counterparty credit risk in the trading book;

iii. 

Free deliveries resulting from all business activities.

75. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three (IRB Approach).

76. The CR IRB template does not cover the following data:

i. 

Equity exposures, which are reported in the CR EQU IRB template;

ii. 

Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates;

iii. 

‘Other non credit-obligation assets’, as referred to in point (g) of Article 147(2) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;

iv. 

Credit valuation adjustment risk, which is reported on the CVA Risk template;

The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB.

77. In order to clarify whether the institution uses its own estimates for LGD or credit conversion factors, the following information shall be provided for each reported exposure class:

‘NO’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

‘YES’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

In any case, for the reporting of the retail portfolios ‘YES’ has to be reported.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.2.   Breakdown of the CR IRB template

78. The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:

1. 

Total

(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB Approach.)

2. 

Central banks and central governments

(point (a) of Article 147(2) CRR)

3. 

Institutions

(point (b) of Article 147(2) CRR)

4.1) 

Corporate – SME

(point (c) of Article 147(2) CRR

4.2) 

Corporate – Specialised lending

(Article 147(8) CRR)

4.3) 

Corporate – Other

(All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 and 4.2).

5.1) 

Retail – Secured by immovable property SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property).

5.2) 

Retail – Secured by immovable property non-SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under 5.1).

5.3) 

Retail – Qualifying revolving

(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR).

5.4) 

Retail – Other SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3).

5.5) 

Retail – Other non – SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR which were not reported under 5.2 and 5.3).

3.3.3.   C 08.01 – Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)

3.3.3.1.   Instructions concerning specific positions



Columns

Instructions

010

INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.

 

For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that scale shall be used.

Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

Institutions shall contact their competent authority in advance if they want to report a different number of grades in comparison with the internal number of grades.

For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. All exposures, including defaulted exposures, are to be considered for the the calculation of the exposure weighted average PD (e.g. for ‘total exposure’). Defaulted exposures shall be those assigned to the last rating grade/s with a PD of 100 %.

020

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Institutions shall report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.

The original exposure value shall be reported in accordance with Article 24 CRR and paragraphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR.

The effect resulting from Article 166(3) CRR (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore not reduce the Original Exposure.

030

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.

040-080

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

Credit risk mitigation as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’.

040-050

UNFUNDED CREDIT PROTECTION

Unfunded credit protection as defined in point (59) of Article 4(1) CRR.

Collateral that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

040

GUARANTEES:

Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided.

When own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal model shall be reported.

Guarantees shall be reported in column 040 where the adjustment is not made in the LGD. Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220.

050

CREDIT DERIVATIVES:

Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided.

Where own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal modelling shall be reported.

Where the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 220.

060

OTHER FUNDED CREDIT PROTECTION

Collateral that has an effect on the exposure (e.g. where used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

Where own estimates of LGD are not used, Article 232 CRR shall be applied.

Where own estimates of LGD are used, those credit risk mitigation that complies with the conditions in Article 212 CRR shall be reported. The relevant value used in the internal model shall be reported.

The amount shall be reported in column 060 where the adjustment is not made in the LGD. Where an adjustment is made in the LGD, that amount shall be reported in column 170.

070-080

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the protection provider’s exposure class and, where relevant, obligor grades or pools.

Inflows and outflows within the same exposure classes and, where relevant, obligor grades or pools, shall also be considered.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

090

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

100, 120

Of which: Off Balance Sheet Items

See CR-SA instructions

110

EXPOSURE VALUE

The exposure value determined in accordance with Article 166 CRR and the second sentence of Article 230(1) CRR shall be reported.

For the instruments referred to in Annex I, the credit conversion factors (paragraphs 8, 9 and 10 of Article 166 CRR), irrespective of the approach chosen by the institution, shall be applied.

For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting), subject to Chapter 6 of Title II of Part Three CRR, the Exposure Value shall be the same as the value for Counterparty Credit Risk calculated in accordance with Sections 3 to 7 of Chapter 6 of Title II of Part Three CRR. Those values shall be reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’.

130

Of which: Arising from counterparty Credit Risk

See CR SA instructions.

140

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures to entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.

150-210

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

CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.

Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 CRR shall be taken into account.

Where own estimates of LGD are used:

— Regarding unfunded credit protection, for exposures to central governments, central banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For retail exposures, Article 164(2) CRR shall be taken into account.

— Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.

150

GUARANTEES

See instructions to column 040.

160

CREDIT DERIVATIVES

See instructions to column 050.

170

OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

The relevant value used in the internal modelling of the institution.

Those credit risk mitigants that comply with the criteria in Article 212 CRR.

180

ELIGIBLE FINANCIAL COLLATERAL

For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title II of Part Three CRR shall be treated as cash collateral.

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 4 of Article 193 and Article 194(1) CRR. The adjusted value (Cvam) as set out in Article 223(2) CRR shall be reported.

Where own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. The amount to be reported shall be the estimated market value of the collateral.

190-210

OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR.

Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.

190

REAL ESTATE

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR.

Where own estimates of LGD are used, the amount to be reported shall be the estimated market value.

200

OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) CRR). See also Article 229(3) CRR.

Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

210

RECEIVABLES

Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) CRR and shall be reported in this column.

Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

220

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment taking into account Article 202 and Article 217(1) CRR. See also columns 040 ‘Guarantees’ and 050 ‘Credit derivatives’.

230

EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Chapters 3 and 4 of Title II of Part Three CRR shall be considered. In- case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.

For defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account.

The exposure value referred to in column 110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).

For institutions applying the IRB Approach but not using their own estimates of LGD, the risk mitigation effects of financial collateral shall be reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* as referred to in Article 228(2) CRR.

The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of column 110.

Where own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 CRR shall be taken into account.

In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.

The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.

Data shall not be reported for specialised lending exposures referred to in Article 153(5).

Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, but only be included in the calculation of column 240.

240

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

Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.

250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be reported in days.

This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. That means that this column shall not be filled in for the exposure class ‘retail’.

255

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR.

The SME-supporting factor referred to in Article 501(1) CRR shall not be taken into account.

260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

For central governments and central banks, corporate and institutions, see paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR.

The SME-supporting factor referred to in Article 501(1) CRR shall be taken into account.

270

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR, subject to the higher correlation determined in accordance with Article 153(2) CRR.

280

EXPECTED LOSS AMOUNT

For the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected loss amounts, see Article 158 CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.

290

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 CRR shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades.

300

NUMBER OF OBLIGORS

Paragraphs 1 and 2 of Article 172 CRR.

For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of point (e) of Article 172(1) CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted.

Within the exposure class retail, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) CRR applies, an obligor may be considered in more than one grade.

As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre-conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).



Rows

Instructions

010

TOTAL EXPOSURES

015

of which: Exposures subject to SME-supporting factor

Only exposures which meet the requirements of Article 501(2) CRR shall be reported here.

020-060

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

Assets referred to in Article 24 CRR shall not be included in any other category.

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.

Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if not reported in row 030.

030

Off balance sheet items subject to credit risk

Off-balance sheet items shall comprise those items that are listed in Annex I CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting, shall be reported in rows 040-060 and, therefore, not in this row.

Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.

040-060

Exposures/Transactions subject to counterparty credit risk

040

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) repurchase and reverse repurchase agreements as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) CRR.

Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.

050

Derivatives and Long Settlement Transactions

Derivatives comprise those contracts that are listed in Annex II CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.

060

From Contractual Cross Product Netting

See CR SA instructions

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and central governments and central banks, see point (6) of Article 142(1) and point (c) of Article 170(1) CRR.

For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) CRR.

Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.

Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

A master scale is not used. Instead, institutions shall determine the scale to be used themselves.

080

SPECIALISED LENDING SLOTTING CRITERIA: TOTAL

Article 153(5) CRR. This shall only apply to the exposure classes corporates, institutions and central governments and central banks.

090-150

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

120

Of which: In category 1

Table 1 of Article 153(5) CRR

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) CRR

170

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

Exposures arising from free deliveries for which the alternative treatment referred to in the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.

180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) CRR.

In accordance with Article 166(6) CRR, the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

3.3.4.   C 08.02 – Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2 template)



Column

Instructions

005

Obligor grade (row identifier)

This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc.

010-300

Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.



Row

Instructions

010-001 – 010-NNN

Values reported in these rows must be ordered from the lower to the higher in accordance with the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and not reported in this template.

3.4.   CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN

79. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in point (4) of Article 5(a) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organisations shall be assigned to the geographical area ‘other countries’.

80. The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’, irrespective of the exposure class where the exposure to supranational organisations is assigned.

81. Data regarding ‘original exposure pre-conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.

3.4.1.   C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)

3.4.1.1.   Instructions concerning specific positions



Columns

010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 010 of CR SA template

020

Defaulted exposures

Original exposure pre-conversion factors for those exposures which have been classified as ‘exposures in default’ and for defaulted exposures assigned to the exposure classes ‘exposures associated with particularly high risk’ or ‘equity exposures’.

This ‘memorandum item’ shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as ‘exposures in default’ as referred to in point (j) of Article 112 CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘exposures in default’.

This information is a ‘memorandum item’ – hence does not affect the calculation of risk weighted exposure amounts of exposure classes ‘exposures in default’, ‘exposures associated with particularly high risk’ or ‘equity exposures’ as referred to in points (j), (k) and (p) of Article 112 CRR.

040

Observed new defaults for the period

The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

050

General credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR.

This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in point (c) of Article 62 CRR.

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

055

Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR.

060

Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

070

Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.

075

Exposure value

Same definition as for column 200 of CR SA template

080

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 215 of CR SA template

090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 220 of CR SA template



Rows

010

Central governments or central banks

Point (a) of Article 112 CRR

020

Regional governments or local authorities

Point (b) of Article 112 CRR.

030

Public sector entities

Point (c) of Article 112 CRR

040

Multilateral developments banks

Point (d) of Article 112 CRR

050

International organisations

Point (e) of Article 112 CRR

060

Institutions

Point (f) of Article 112 CRR

070

Corporates

Point (g) of Article 112 CRR

075

of which: SME

Same definition as for row 020 of CR SA template

080

Retail

Point (h) of Article 112 CRR

085

of which: SME

Same definition as for row 020 of CR SA template

090

Secured by mortgages on immovable property

Point (i) of Article 112 CRR

095

of which: SME

Same definition as for row 020 of CR SA template

100

Exposures in default

Point (j) of Article 112 CRR

110

Items associated with particularly high risk

Point (k) of Article 112 CRR

120

Covered bonds

Point (l) of Article 112 CRR

130

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

Point (n) of Article 112 CRR

140

Collective investments undertakings (CIU)

Point (o) of Article 112 CRR

150

Equity exposures

Point (p) of Article 112 CRR

160

Other exposures

Point (q) of Article 112 CRR

170

Total exposures

3.4.2.   C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)

3.4.2.1.   Instructions concerning specific positions



Columns

010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 020 of CR IRB template

030

Of which defaulted

Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR.

040

Observed new defaults for the period

The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

050

General credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR.

055

Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR.

060

Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

070

Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.

080

INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

Same definition as for column 010 of CR IRB template

090

EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply.

Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR.

100

Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR.

105

Exposure value

Same definition as for column 110 of CR IRB template.

110

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 255 of CR IRB template

120

Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) CRR.

125

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 260 of CR IRB template

130

EXPECTED LOSS AMOUNT

Same definition as for column 280 of CR IRB template



Rows

010

Central banks and central governments

Point (a) of Article 147(2) CRR

020

Institutions

Point (b) of Article 147(2) CRR

030

Corporates

All exposures to corporates as referred to in point (c) of Article 147(2) CRR

042

Of which: Specialised lending (excl. SL subject to slotting criteria)

Point (a) of Article 147(8) CRR

Data shall not be reported for specialized lending exposures as referred to in Article 153(5) CRR.

045

Of which: Specialised lending subject to slotting criteria

Point (a) of Article 147(8) and Article 153(5) CRR

050

Of which: SME

Point (c) of Article 147(2) CRR

060

Retail

All retail exposures as referred to in point (d) of Article 147(2) CRR

070

Retail – Secured by real estate property

Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

080

SME

Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate

090

non-SME

Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

100

Retail – Qualifying revolving

Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR

110

Other Retail

Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 070 – 100

120

SME

Other retail exposures as referred to in point (d) of Article 147(2) CRR to SMEs

130

non-SME

Other retail exposures as referred to in point (d) of Article 147(2) CRR to non-SMEs

140

Equity

Equity exposures as referred to in point (e) of Article 147(2) CRR

150

Total exposures

3.4.3.   C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)

3.4.3.1.   General remarks

82. This template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).

83. Information in template C 09.04 shall be reported for the ‘Total’ of relevant credit exposures across all jurisdictions where those exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension.

84. The threshold set in point (4) of Article 5(a) of this Implementing Regulation shall not apply for the reporting of this breakdown.

85. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 ( 9 ). Therefore, CRM techniques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

3.4.3.2.   Instructions concerning specific positions



Columns

010

Amount

The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.

020

Percentage

030

Qualitative Information

This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the ‘Total’ of all countries.

Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row.



Rows

010-020

Relevant credit exposures – Credit risk

Relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

010

Exposure value under the Standardised Approach

Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.

020

Exposure value under the IRB Approach

Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.

030-040

Relevant credit exposures – Market risk

Relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

030

Sum of long and short positions of trading book exposures for Standardised Approach

Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three CRR:

— exposures to debt instruments other than securitisation;

— exposures to securitisation positions in the trading book;

— exposures to correlation trading portfolios;

— exposures to equity securities;

— exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR.

040

Value of trading book exposures under internal models

For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported:

— Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR.

— Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

055

Relevant credit exposures – Securitisation positions in the banking book

Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD.

070-110

Own funds requirements and weights

070

Total own funds requirements for CCB

The sum of rows 080, 090 and 100.

080

Own funds requirements for relevant credit exposures – Credit risk

Own funds requirements calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD, in the country in question.

Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100.

The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.

090

Own funds requirements for relevant credit exposures – Market risk

Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question.

The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.

100

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

Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question.

The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR.

110

Own funds requirements weights

The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows:

1.  Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r070; c010; country sheet],

2.  Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD [r070; c010; ‘Total’].

Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries.

120-140

Countercyclical buffer rates

120

Countercyclical capital buffer rate set by the Designated Authority

Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) CRD.

This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country.

Countercyclical capital buffer rates that were set by the Designated Authority but are not yet applicable in the country in question at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘Total’ of all countries.

130

Countercyclical capital buffer rate applicable for the country of the institution

Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported.

Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘Total’ of all countries.

140

Institution-specific countercyclical capital buffer rate

Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) CRD.

The institution-specific countercyclical capital buffer rate shall be calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r120; c020; country sheet], or [r130; c020; country sheet], as applicable.

The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r110; c020; country sheet].

Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘Total’ of all countries and not for each country separately.

150 – 160

Use of the 2 % threshold

150

Use of 2 % threshold for general credit exposure

In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014.

If the institution makes use of this derogation, it shall indicate ‘y’ in the template for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries.

If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.

160

Use of 2 % threshold for trading book exposure

In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State where the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures.

If the institution makes use of this derogation, it shall indicate ‘y’ in the template for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries.

If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.

3.5.   C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)

3.5.1.   General remarks

86. The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. ‘CR EQU IRB’ refers to both ‘CR EQU IRB 1’ and ‘CR EQU IRB 2’ templates, as applicable, in the following instructions.

87. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (point (a) of Article 92(3) CRR) in accordance with Chapter 3 of Title II of Part Three CRR for equity exposures as referred to in point (e) of Article 147(2) CRR.

88. In accordance with Article 147(6) CRR, the following exposures shall be assigned to the equity exposure class:

(a) 

non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer;

(b) 

debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).

89. Collective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152 CRR shall also be reported in the CR EQU IRB template.

90. In accordance with Article 151(1) CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 CRR:

— 
the Simple Risk Weight approach;
— 
the PD/LGD approach;
— 
the Internal Models approach.

Moreover, institutions applying the IRB Approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised Approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) CRR.

91. The following equity claims shall not be reported in the CR EQU IRB template:

— 
Equity exposures in the trading book (where institutions are not exempted from calculating own funds requirements for trading book positions (Article 94 CRR)).
— 
Equity exposures subject to the partial use of the Standardised Approach (Article 150 CRR), including:
— 
Equity exposures grandfathered in accordance with Article 495(1) CRR;
— 
Equity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (point (g) of Article 150(1) CRR),
— 
Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (point (h) of Article 150(1) CRR),
— 
Equity exposures to ancillary services undertakings the risk weighted exposure amounts of which may be calculated in accordance with the treatment of ‘other non credit-obligation assets’ (Article 155(1) CRR),
— 
Equity claims deducted from own funds in accordance with Articles 46 and 48 CRR.

3.5.2.   Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)



Columns

005

OBLIGOR GRADE (ROW IDENTIFIER)

The obligor grade shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.

010

INTERNAL RATING SYSTEM

PD ASSIGNED TO THE OBLIGOR GRADE (%)

Institutions applying the PD/LGD approach shall report in column 010 the probability of default (PD) calculated in accordance with Article 165(1) CRR.

The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

For figures corresponding to an aggregation of obligor grades or pools (e.g. ‘total exposures’), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures, are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.

020

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Institutions report in column 020 the original exposure value (pre-conversion factors). In accordance with Article 167 CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.

Institutions shall also include in column 020 the off balance sheet items referred to in Annex I CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’).

Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) CRR) shall also take into account the offsetting referred to in the second subparagraph of Article 155(2) CRR.

030-040

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

UNFUNDED CREDIT PROTECTION

GUARANTEES

CREDIT DERIVATIVES

Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognise unfunded credit protection obtained on equity exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.

050

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

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

(-) TOTAL OUTFLOWS

Institutions shall report in column 050 the part of the original exposure pre-conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.

060

EXPOSURE VALUE

Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR).

In the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 CRR).

070

EXPOSURE WEIGHTED AVERAGE LGD (%)

Institutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation.

The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD.

Institutions shall take into account Article 165(2) CRR.

080

RISK WEIGHTED EXPOSURE AMOUNT

Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 CRR.

Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) CRR).

With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) CRR).

090

MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions shall report in column 090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.

92. In accordance with Article 155 CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach).



Rows

CR EQU IRB 1 – row 020,

PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in row 020 of the CR EQU IRB 1 template.

CR EQU IRB 1 – rows 050- 090

SIMPLE RISK WEIGHT APPROACH: TOTAL

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

Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with the characteristics of the underlying exposures in rows 050 to 090.

CR EQU IRB 1 – row 100

INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required information in row 100.

CR EQU IRB 1 – row 110

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

Institutions applying the IRB Approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach). As an example:

— the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) CRR, as well as

— equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR

shall be reported in row 110.

CR EQU IRB 2

BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in the CR EQU IRB 2 template.

Institutions using the PD/LGD approach that apply a unique rating system or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/master scale. In any other case, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

3.6.   C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

3.6.1.   General remarks

93. This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR.

94. Institutions shall report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.

95. In accordance with Article 378 CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 CRR.

96. In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.

97. Institutions shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to determine the corresponding own funds requirements.

98. In accordance with point (b) of Article 92(4) CRR, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount.

99. Note that own funds requirements for free deliveries as laid down in Article 379 CRR are not within the scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2.   Instructions concerning specific positions



Columns

010

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR.

All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

020

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

Institutions shall report the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution, as referred to in Article 378 CRR.

Only unsettled transactions at a loss after the due settlement date shall be reported in this column.

030

OWN FUNDS REQUIREMENTS

Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR.

040

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds requirements reported in column 030 by 12,5 in order to obtain the settlement risk exposure amount.



Rows

010

Total unsettled transactions in the Non-trading Book

Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).

Institutions shall report in {r010;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r010;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r010;c030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).

020 to 060

Transactions unsettled up to 4 days (Factor 0 %)

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

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

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

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

Institutions shall report in rows 020 to 060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

070

Total unsettled transactions in the Trading Book

Institutions shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).

Institutions shall report in {r070;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r070;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r070;c030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).

080 to 120

Transactions unsettled up to 4 days (Factor 0 %)

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

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

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

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

Institutions shall report in rows 080 to 120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

3.7.   C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

3.7.1.   General remarks

100. Where institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported.

101. The information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors.

102. This template shall gather joint information on both traditional and synthetic securitisations held in the banking book.

3.7.2.   Instructions concerning specific positions



Columns

0010

TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

Originator institutions shall report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported.

In case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures.

0020-0040

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Articles 251 and 252 CRR.

Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.

0020

(-) FUNDED CREDIT PROTECTION (CVA)

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) CRR.

0030

(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for ‘inflows’ and ‘outflows’, the amounts reported under this column shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection).

The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G*) is laid down in Article 233(3) CRR.

0040

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.

The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

0050

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position.

Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement.

In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040.

0060

(-) VALUE ADJUSTMENTS AND PROVISIONS

Article 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered.

0070

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

This column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position.

0080-0110

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

Point (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three, CRR and Article 249 CRR

Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

Items to be reported here:

1.  collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method);

2.  eligible unfunded credit protection.

0080

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

Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR.

0090

(-) FUNDED CREDIT PROTECTION

Funded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR.

Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral.

0100-0110

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported.

0100

(-) TOTAL OUTFLOWS

Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR.

Outflows shall correspond to the covered part of the ‘Exposure net of value adjustments and provisions’ that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade.

That amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades.

0110

TOTAL INFLOWS

Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.

0120

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

This column shall include the exposures assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’.

0130

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

Articles 223 to 228 CRR

The reported amount shall also include credit linked notes (Article 218 CRR).

0140

FULLY ADJUSTED EXPOSURE VALUE (E*)

The exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR

0150

OF WHICH: SUBJECT TO A CCF OF 0 %

Point (b) of Article 248(1) CRR

In this respect, point (56) of Article 4(1) CRR defines a conversion factor.

For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor.

0160

(-)NON REFUNDABLE PURCHASE PRICE DISCOUNT

In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250  % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.

0170

(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES

In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250  % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR.

0180

EXPOSURE VALUE

The exposure value of securitisation positions calculated in accordance with Article 248 CRR

0190

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to which a 1 250  % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

0200

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

Exposure value minus the exposure value deducted from own funds.

0210

SEC-IRBA

Point (a) of Article 254(1) CRR

0220-0260

BREAKDOWN BY RW BANDS

SEC-IRBA exposures broken down by risk-weight bands.

0270

OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES)

Article 255(4) CRR

For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables.

0280

SEC-SA

Point (b) of Article 254(1) CRR

0290-0340

BREAKDOWN BY RW BANDS

SEC-SA exposures broken down by risk-weight bands.

For the RW = 1 250  % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1 250  % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool.

0350

SEC-ERBA

Point (c) of Article 254(1) CRR

0360-0570

BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS)

Article 263 CRR

SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating.

Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR.

0580-0630

BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA

For each securitisation position, institutions shall consider one of the following options in columns 0580-0620.

0580

AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

Point (c) of Article 254(2) CRR

All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2)(a) or (b) of CRR.

0590

SEC-ERBA OPTION

Article 254(3) CRR

0600

POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR

Point (a) of Article 254(2) CRR

0610

POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR

Point (b) of Article 254(2) CRR

0620

POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRR

Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR

0630

FOLLOWING THE HIERARCHY OF APPROACHES

Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR

0640

INTERNAL ASSESSMENT APPROACH

Article 254(5) CRR on the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes

0650-0690

BREAKDOWN BY RW BANDS

Internal Assessment Approach exposures broken down by risk-weight bands

0700

OTHER (RW = 1 250  %)

Where none of the previous approaches is applied, a risk weight of 1 250  % shall be assigned to securitisation positions in accordance with Article 254(7) CRR.

0710-0860

RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

0840

IAA: AVERAGE RISK WEIGHT (%)

The exposure-weighted average risk weights of the securitisation positions shall be reported in this column.

0860

RWEA OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.

0870

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

Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250  % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

0880

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 (1)

In accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250  %) which would apply to the relevant securitisation positions under Section 3 of Chapter 5 of Title II of Part Three CRR.

0890

BEFORE CAP

Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR.

0900

(-) REDUCTION DUE TO RISK WEIGHT CAP

In accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised.

0910

(-) REDUCTION DUE TO OVERALL CAP

In accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three in respect of the underlying exposures had they not been securitised.

0920

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR.

0930

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

Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

(1)   Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).

103. The template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not.

104. Positions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.



Rows

0010

TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows.

0020

SECURITISATION POSITIONS

Total amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR.

0030

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR and therefore qualify for differentiated capital treatment.

0040

STS EXPOSURES

Total amount of STS securitisation positions that meet the requirements set out in Article 243 CRR.

0050

SENIOR POSITION IN SMEs SECURITISATIONS

Total amount of senior securitisation positions in SMEs which meet the conditions set out in Article 270 CRR.

0060, 0120, 0170, 0240, 0290, 0360 and 0410

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Paragraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR

Total amount of securitisation positions which do not qualify for differentiated capital treatment.

0070, 0190, 0310 and 0430

RE-SECURITISATION POSITIONS

Total amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) CRR.

0080

ORIGINATOR: TOTAL EXPOSURES

This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in point (13) of Article 4(1) CRR.

0090-0130, 0210-0250 and 0330-0370

SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

In accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 CRR.

On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0110 and 0130.

0100, 0220 and 0340

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 CRR and therefore qualify for differentiated capital treatment.

0110, 0130, 0160, 0180, 0230, 0250, 0280, 0300, 0350, 0370, 400 and 420

OF WHICH: SENIOR EXPOSURES

Total amount of senior securitisation positions as defined in Article 242(6) CRR.

0140-0180, 0260-0300 and 0380-0420

SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows shall gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified.

Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR.

For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) CRR) shall be provided.

Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply.

0150, 0270 and 0390

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 CRR and therefore qualify for differentiated capital treatment.

0200

INVESTOR: TOTAL EXPOSURES

This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor.

For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

0320

SPONSOR: TOTAL EXPOSURES

This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.

0440-0670

BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION

These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported.

These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.

3.9.   DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.1.   Scope of the SEC DETAILS template

109. These templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported.

110. These template are to be reported for:

a. 

Securitisations originated/sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 2018.

b. 

Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 160.

c. 

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

111. These templates shall be reported by consolidated groups and stand-alone institutions ( 10 ) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.

112. Because of Article 5 of Regulation (EU) 2017/2402, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements, the reporting scope of the template shall be applied to investors to a limited extent. In particular, they shall report columns 010-040; 070-110; 161; 190; 290-300; 310-470.

113. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.9.2.   Breakdown of the SEC DETAILS template

113a. The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations and SEC DETAILS 2 provides a breakdown of the same securitisations by approach applied.

113b. Securitisation positions in the trading book shall only be reported in columns 005-020, 420, 430, 431, 432, 440 and 450-470. For columns 420, 430 and 440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.

3.9.3.   C 14.00 – Detailed information on securitisations (SEC DETAILS)



Columns

005

ROW NUMBER

The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.

010

INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction.

020

IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.

021

INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?

This column identifies whether the securitisation is an intra-group, private or public securitisation,

Institutions shall report one of the following abbreviations:

— ‘PRI’ for Private

— ‘INT’ for Intra-group

— ‘PUB’ for Public.

110

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

Institutions shall report the following abbreviations:

— ‘O’ for Originator;

— ‘S’ for Sponsor;

— ‘I’ for Investor.

— ‘L’ for Original Lender;

Originator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall apply.

030

IDENTIFIER OF THE ORIGINATOR (Code/Name)

The LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column.

In the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported.

In the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is ‘multi-seller’.

040

SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC/ABCP PROGRAMME/ABCP TRANSACTION)

Institutions shall report the following abbreviations:

— ‘AP’ for ABCP programme;

— ‘AT’ for ABCP transaction;

— ‘T’ for Traditional;

— ‘S’ for Synthetic.

The definitions of ‘Asset Backed Commercial Paper Programme’, ‘Asset Backed Commercial Paper Transaction’, ‘traditional securitisation’ and ‘synthetic securitisation’ are provided in points (11) to (14) of Article 242 CRR.

051

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

Institutions as originators, sponsors and original lenders shall report one of the following abbreviations:

— ‘K’ if entirely recognised;

— ‘P’ if partially derecognised;

— ‘R’ if entirely derecognised;

— ‘N’ if not applicable.

This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 CRR shall not affect the accounting treatment of the transaction under the relevant accounting framework.

In the case of securitisations of liabilities, originators shall not report this column.

Option ‘P’ (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.

060

SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Originators, only, shall report the following abbreviations:

— ‘N’ not subject to own funds requirements;

— ‘B’ banking book;

— ‘T’ trading book;

— ‘A’ partly in both books.

Articles 109, 244 and 245 CRR.

This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are calculated on the basis of securitised exposures or securitisation positions (banking book/trading book).

Where own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution.

Conversely, where own funds requirements are based on securitisation positions held in the banking book (as a significant risk transfer was achieved), the information on the calculation of own funds requirements for credit risk shall be reported in the CR SEC template. In case of securitisation positions held in the trading book, the information on the calculation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.

In the case of the securitisations of liabilities, originators shall not report this column.

061

SIGNIFICANT RISK TRANSFER

Originators, only, shall report the following abbreviations:

— ‘N’ Not applied for SRT and the reporting entity risk weights its securitised exposures

— ‘A’ Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR;

— ‘B’ Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR;

— ‘C’ Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR;

— ‘D’ Applying a 1 250  % RW or deducting retained positions in accordance with point (b) of Article 244(1) or point (b) of Article 245(1) CRR.

This column summarises whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator.

070

SECURITISATION OR RE-SECURITISATION?

In accordance with the definition of ‘securitisation’ in point (61) of Article 4(1) CRR and the definition of ‘re-securitisation’ in point (64) of Article 4(1)CRR, report the type of underlying using the following abbreviations:

— ‘S’ for securitisation;

— ‘R’ for re-securitisation.

075

STS SECURITISATION

Article 18 of Regulation (EU) 2017/2402

Report one of the following abbreviations

Y – Yes

N – No

446

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Articles 243 and 270 CRR.

Institutions shall report one of the following abbreviations

Y – Yes

N – No

‘Yes’ shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR.

080-100

RETENTION

Article 6 of the Regulation (EU) 2017/2402. In case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 CRR in the version applicable on 31 December 2018,

080

TYPE OF RETENTION APPLIED

For each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported:

A –  Vertical slice (securitisation positions): ‘retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors’.

V –  Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures.

B –  Revolving exposures: ‘in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures’.

C –  On-balance sheet: ‘retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination’.

D –  First loss: ‘retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures’.

E –  Exempted. This code shall be reported for those securitisations affected by the application of Article 6(6) of Regulation (EU) 2017/2402.

U –  In breach or unknown. This code shall be reported where the reporting institution does not know with certainty which type of retention is being applied, or in case of non-compliance.

090

% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be not less than 5 % (at origination date).

This column shall not be reported where codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).

100

COMPLIANCE WITH THE RETENTION REQUIREMENT?

Institutions shall report the following abbreviations:

Y – Yes;

N – No.

This column shall not be reported where code ‘E’ (exempted) is reported under column 080 (Type of retention applied).

120-130

NON ABCP PROGRAMMES

Because of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) CRR) shall be exempted from reporting in columns 120, 121 and 130.

120