Row

Legal references and instructions

0010

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.

0015

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

0020

1.1.1. Common Equity Tier 1 capital

Article 50 CRR

0030

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

0040

1.1.1.1.1. Fully 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.

0045

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.

0050

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

0060

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 ‘Fully paid up capital instruments’.

0070

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.

0080

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.

0090

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

0091

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

0092

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.

0130

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

0140

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’.

0150

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.

0160

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.

0170

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.

0180

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).

0200

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.

0210

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.

0220

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.

0230

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.

0240

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.

0250

1.1.1.9. Adjustments to CET1 due to prudential filters

Articles 32 to 35 CRR

0260

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.

0270

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.

0280

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.

0285

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.

0290

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

0300

1.1.1.10. (-) Goodwill

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

0310

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.

0320

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

Point (b) of Article 37 and Article 43 CRR

0330

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.

0335

1.1.1.10.4. Accounting revaluation of subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to third persons

Point (c) of Article 37 CRR

The amount of the accounting revaluation of the subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One.

0340

1.1.1.11. (-) Other intangible assets

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

0350

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.

0360

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.

0365

1.1.1.11.3. Accounting revaluation of subsidiaries’ other intangible assets derived from the consolidation of subsidiaries attributable to third persons

Point (c) of Article 37 CRR

The amount of the accounting revaluation of the subsidiaries’ intangibles assets other than goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One.

0370

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

0380

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).

0390

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

0400

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).

0410

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.

0420

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.

0430

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.

0440

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.

0450

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  %.

0460

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

0470

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.

0471

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  %.

0472

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  %.

0480

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).

0490

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.

0500

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).

0510

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.

0511

1.1.1.25.1. (-) Amount exceeding the 17,65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment

0512

1.1.1.25.2. (-) Amount exceeding the 17,65 % threshold related to deferred tax assets arising from temporary differences

0513

1.1.1.25 A (-) Insufficient coverage for non-performing exposures

Point (m) of Article 36(1) and Article 47c CRR

0514

1.1.1.25B (-) Minimum value commitment shortfalls

Point (n) of Article 36(1) and Article 132c(2) CRR

0515

1.1.1.25C (-) Other foreseeable tax charges

Point (l) of Article 36(1) CRR

Tax charges relating to CET1 items foreseeable at the moment of the calculation other than tax charges that have been considered already in any of the other rows reflecting CET1 items by reducing the amount of the CET1 item in question.

0520

1.1.1.26. Other transitional adjustments to CET1 Capital

Articles 469 to 478 and 481 CRR

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

0524

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

Article 3 CRR

0529

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).

0530

1.1.2. ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

0540

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

0551

1.1.2.1.1. Fully paid up, directly issued 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

0560

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

0571

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 ‘fully paid up and directly issued capital instruments’.

0580

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.

0590

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.

0620

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

0621

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

0622

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.

0660

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.

0670

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.

0680

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.

0690

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.

0700

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.

0710

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

0720

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).

0730

1.1.2.9. Other transitional adjustments to AT1 Capital

Articles 472, 473a, 474, 475, 478 and 481 CRR

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

0740

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.

0744

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

Article 3 CRR

0748

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).

0750

1.2. TIER 2 CAPITAL

Article 71 CRR

0760

1.2.1. Capital instruments eligible as T2 Capital

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

0771

1.2.1.1. Fully paid up, directly issued capital instruments

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.

The capital instruments may consist of equity or liabilities, including subordinated loans that fulfil the eligibility criteria.

0780

1.2.1.2 (*) Memorandum item: Capital instruments 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.

The capital instruments may consist of equity or liabilities, including subordinated loans.

0791

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 ‘fully paid up and directly issued capital instruments’.

0800

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.

0810

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.

0840

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

0841

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

0842

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.

0880

1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments

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.

0890

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.

0900

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.

0910

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.

0920

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.

0930

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.

0940

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.

0950

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.

0955

1.2.9 A (-) Excess of deductions from eligible liabilities over eligible liabilities

Article 66 (e) CRR.

0960

1.2.10. Other transitional adjustments to T2 Capital

Articles 472, 473a, 476, 477, 478 and 481 CRR

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

0970

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.

0974

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

Article 3 CRR

0978

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).

Row

Legal references and instructions

0010

1. TOTAL RISK EXPOSURE AMOUNT

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

0020

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

0030

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

0040

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

0050

1.1.1. Standardised Approach (SA)

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

0051

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.

0060

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.

0070

1.1.1.1.01. Central governments or central banks

See CR SA template

0080

1.1.1.1.02. Regional governments or local authorities

See CR SA template

0090

1.1.1.1.03. Public sector entities

See CR SA template

0100

1.1.1.1.04. Multilateral Development Banks

See CR SA template

0110

1.1.1.1.05. International Organisations

See CR SA template

0120

1.1.1.1.06. Institutions

See CR SA template

0130

1.1.1.1.07. Corporates

See CR SA template

0140

1.1.1.1.08. Retail

See CR SA template

0150

1.1.1.1.09. Secured by mortgages on immovable property

See CR SA template

0160

1.1.1.1.10. Exposures in default

See CR SA template

0170

1.1.1.1.11. Items associated with particular high risk

See CR SA template

0180

1.1.1.1.12. Covered bonds

See CR SA template

0190

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

See CR SA template

0200

1.1.1.1.14. Collective investments undertakings (CIU)

See CR SA template

0210

1.1.1.1.15. Equity

See CR SA template

0211

1.1.1.1.16. Other items

See CR SA template

0240

1.1.2. Internal ratings based Approach (IRB)

0241

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.

0242

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.

0250

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)

0260

1.1.2.1.01. Central governments and central banks

See CR IRB template

0270

1.1.2.1.02. Institutions

See CR IRB template

0280

1.1.2.1.03. Corporates – SME

See CR IRB template

0290

1.1.2.1.04. Corporates – Specialised Lending

See CR IRB template

0300

1.1.2.1.05. Corporates – Other

See CR IRB template

0310

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)

0320

1.1.2.2.01. Central governments and central banks

See CR IRB template

0330

1.1.2.2.02. Institutions

See CR IRB template

0340

1.1.2.2.03. Corporates – SME

See CR IRB template

0350

1.1.2.2.04. Corporates – Specialised Lending

See CR IRB template

0360

1.1.2.2.05. Corporates – Other

See CR IRB template

0370

1.1.2.2.06. Retail – secure by real estate SME

See CR IRB template

0380

1.1.2.2.07. Retail – secure by real estate non-SME

See CR IRB template

0390

1.1.2.2.08. Retail – Qualifying revolving

See CR IRB template

0400

1.1.2.2.09. Retail – Other SME

See CR IRB template

0410

1.1.2.2.10. Retail – Other non-SME

See CR IRB template

0420

1.1.2.3. Equity IRB

See CR EQU IRB template

0450

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.

0460

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

Articles 307, 308 and 309 CRR

0470

1.1.4 Securitisation positions

See CR SEC template

0490

1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

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

0500

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

See CR SETT template

0510

1.2.2. Settlement/delivery risk in the Trading book

See CR SETT template

0520

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

0530

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

0540

1.3.1.1. Traded debt instruments

MKR SA TDI template at the level of total currencies.

0550

1.3.1.2. Equity

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

0555

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.

0556

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.

0557

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.

0560

1.3.1.4. Foreign Exchange

See MKR SA FX template

0570

1.3.1.5. Commodities

See MKR SA COM template

0580

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

See MKR IM template

0590

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.

0600

1.4.1. OpR Basic Indicator approach (BIA)

See OPR template

0610

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

See OPR template

0620

1.4.3. OpR Advanced measurement approaches (AMA)

See OPR template

0630

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:

0640

1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Point (d) of Article 92(3) CRR

See CVA template.

0650

1.6.1. Advanced method

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

See CVA template.

0660

1.6.2. Standardised method

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

See CVA template.

0670

1.6.3. Based on OEM

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

See CVA template.

0680

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

0690

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.

0710

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

Article 458 CRR

0720

1.8.2* Of which: requirements for large exposures

Article 458 CRR

0730

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

Article 458 CRR

0740

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

Article 458 CRR

0750

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

Article 459 CRR

0760

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).

Rows

0010

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.

0020

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.

0030

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.

0040

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.

0050

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.

0060

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.

0130

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) as referred to in point (a) of Article 104(1) CRD, presented as ratio. They shall be 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 7.4 and 7.5 of the EBA SREP GL.

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

0140

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 0130, 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.

0150

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 0130, 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.

0160

14 Overall capital requirement (OCR) ratio

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

(i)  the TSCR ratio referred to in row 0130;

(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 7.5 of the EBA SREP GL.

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

0170

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 0140;

(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.

0180

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 0150;

(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.

0190

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 guidance on additional own funds communicated by the competent authority (Pillar 2 Guidance – P2G) as referred to in Article 104b(3) CRD, presented as ratio. They shall be defined in accordance with section 7.7.1 of 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.

0200

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 0170;

(ii)  where applicable, the part of P2G, referred to in point (ii) in row 0190, 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.

0210

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 0180;

(ii)  where applicable, the part of P2G, referred to in point (ii) in row 0190, 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.

0220

Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD

This item shows, in absolute figures, the amount of CET1 capital surplus or defi-cit relating to the requirements set in point (a) of Article 92(1) CRR (4,5 %) and Article 104a CRD, to the extent that the requirement of Article 104a CRD has to be met with CET1 capital. Where an institution has to use its CET1 to meet its requirements of Article 92(1) point (b) and/or (c) CRR and/or Article 104a CRD beyond the extent to which the latter has to be met with CET1 capital, the reported surplus or deficit shall take this into account.

This amount reflects the CET1 capital available to meet the combined buffer requirement and other requirements.

0300

CET1 Capital ratio without application of the transitional provisions on IFRS 9

Point (a) of Article 92(2) CRR, Article 473a(8) CRR

0310

T1 Capital ratio without application of the transitional provisions on IFRS 9

Point (b) of Article 92(2) CRR, Article 473a(8) CRR

0320

Total capital ratio without application of the transitional provisions on IFRS 9

Point (c) of Article 92(2) CRR, Article 473a(8) CRR

Rows

0010

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.

0020

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

Article 39(2) CRR

Deferred tax assets that were created before 23 November 2016 and do not rely on future profitability, and thus are subject to the application of a risk weight.

0030

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).

0040

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.

0050

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.

0060

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.

0070

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

Article 38 CRR

0080

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

0090

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

0093

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.

0096

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, Article 478(2) and point (a) of Article 473a(7) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

0097

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), Article 470 CRR, Article 478(2) and point a of Article 473a(7) 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.

0901

2W Exception from deduction of intangible assets from CET1

Point (b) of Article 36(1) CRR

Institutions shall report the amount of prudently valued software assets exempted from the deduction.

0905

2Y AT1 Capital instruments and the related share premium accounts classified as equity under applicable accounting standards

The amount of AT1 instruments including their related share premium accounts that are classified as equity under the applicable accounting standard

0906

2Z AT1 Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards

The amount of AT1 instruments including their related share premium accounts that are classified as liabilities under the applicable accounting standard

0100

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.

0110

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.

0120

3.1.1. General credit risk adjustments

Article 159 CRR

This item shall only be reported by IRB institutions.

0130

3.1.2. Specific credit risk adjustments

Article 159 CRR

This item shall only be reported by IRB institutions.

0131

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.

0140

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.

0145

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.

0150

4.1. Specific credit risk adjustments and positions treated similarly

Article 159 CRR

This item shall only be reported by IRB institutions.

0155

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.

0160

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.

0170

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.

0180

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.

0190

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 %.

0200

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 %.

0210

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.

0225

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

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

0230

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

0240

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

0250

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

0260

12.1.2. (-) 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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0270

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

0280

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

0290

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0291

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

0292

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

0293

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.

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

0300

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

0310

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

0320

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

0330

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0340

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

0350

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.

0360

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0361

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

0362

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

0363

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.

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

0370

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

0380

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

0390

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

0400

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0410

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

0420

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

0430

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0431

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

0432

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

0433

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.

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

0440

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

0450

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

0460

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

0470

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0480

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

0490

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.

0500

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0501

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

0502

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

0503

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.

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

0504

Investments in CET1 capital of financial sector entities where the institution has a significant investment – subject to a risk weight of 250 %

Article 48(4) CRR

The amount of significant investments in CET1 capital of financial sector entities 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.

The amount reported shall be the amount of significant investments before the application of the risk weight.

0510

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

0520

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

Articles 58 and 59 CRR

0530

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.

0540

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0550

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

0560

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.

0570

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0571

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

0572

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

0573

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.

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

0580

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

0590

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

Articles 68 and 69 CRR

0600

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

0610

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0620

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

0630

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

0640

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 date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0641

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

0642

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

0643

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.

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

0650

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

0660

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

0670

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

0680

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.

0690

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.

0700

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.

0710

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.

0720

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.

0730

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.

0740

27. Combined buffer requirement

Point (6) of Article 128 CRD

0750

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.

0760

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.

0770

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.

0780

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.

0800

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.

0810

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.

0820

28. Own funds requirements related to Pillar II adjustments

Article 104a(1) 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.

0830

29. Initial capital

Articles 12 and 28 to 31 CRD and Article 93 CRR

0840

30. Own funds based on Fixed Overheads

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

0850

31. Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) 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.

0860

32. Total original exposures

Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) 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.

Columns

0010

Adjustments to CET1

0020

Adjustments to AT1

0030

Adjustments to T2

0040

Adjustments included in RWAs

Column 0040 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 0010 to 0030 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 0040 of CA5.1. As a consequence, those amounts shall be memorandum items only.

0050

Applicable percentage

0060

Eligible amount without transitional provisions

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

Rows

0010

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

0020

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.

0060

1.1.2. Instruments not constituting state aid

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

0061

1.1.3. Instruments issued through special purpose vehicles

Article 494a CRR

0062

1.1.4. Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements

Article 494b CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet one or several eligibility criteria of points (p), (q) and (r) of Article 52(1) CRR or points (n), (o) and (p) of Article 63 CRR, as applicable.

In case of Tier 2 instruments eligible in accordance with Article 494b(2) CRR, the amortisation provisions of Article 64 CRR shall be observed.

0063

1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers

Article 494b, point (p) of Article 52(1) and point (n) of Article 63 CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (p) of Article 52(1) or point (n) of Article 63 CRR, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of points (q) or (r) of Article 52(1) CRR or points (o) or (p) of Article 63 CRR, as applicable.

0064

1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers

Article 494b, point (q) of Article 52(1) and point (o) of Article 63 CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (q) of Article 52(1) or point (o) of Article 63 CRR, as applicable.

This shall include also instruments that additionally do not meet the eligibility criteria of points (p) or (r) of Article 52(1) CRR or points (n) or (p) of Article 63 CRR, as applicable.

0065

1.1.4.3* of which: Instruments subject to set-off or netting arrangements

Article 494b, point (r) of Article 52(1) and point (p) of Article 63 CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (r) of Article 52(1) CRR or point (p) of Article 63 CRR, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of point (p) or (q) of Article 52(1) CRR or points (n) or (o) of Article 63 CRR, as applicable.

0070

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.

0080

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.

0090

1.2.2. Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 CRR

The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions.

0091

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 0060 of this row shall be the eligible amount without transitional provisions.

0092

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 0060 of this row shall be the eligible amount without transitional provisions.

0100

1.3. Other transitional adjustments

Articles 468 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.

0111

1.3.1.6. Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs

Article 468 CRR

0112

1.3.1.6.1. of which: amount A

The amount A, as calculated in accordance with the formula referred to in Article 468(1) CRR

0140

1.3.2. Deductions

Article 36(1) and Articles 469 to 478 CRR

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

0170

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 0060 of this row: Total amount in accordance with Article 469(1) CRR.

0380

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 0060 of this row: Article 470(1) CRR

0385

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.

0425

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

Article 471 CRR

0430

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.

0440

1.3.4. Adjustments due to IFRS 9 transitional arrangements

Article 473a CRR

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

0441

Memorandum item: ECL impact of the static component

The sum of A2,SA and A2, IRB as referred to in Article 473a(1) CRR

In case of A2, IRB the amount reported is the amount net of expected lossess as required by point (a) of Article 473a(5) CRR.

0442

Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019

0443

Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020

The sum of A4,SA and A4, IRB as referred to in Article 473a(1) CRR

In case of A4, IRB the amount reported is the amount net of expected losses as required by points (b) and (c) of Article 473a(5) CRR.

Columns

0010

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.

0020

Base for calculating the limit

Paragraphs 2, 3 and 4 of Article 486 CRR

0030

Applicable percentage

Article 486(5) CRR

0040

Limit

Paragraphs 2 to 5 of Article 486 CRR

0050

(-) Amount that exceeds the limits for grandfathering

Paragraphs 2 to 5 of Article 486 CRR

0060

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

0010

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.

0020

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

0030

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.

0040

2.2. Grandfathered instruments with a call and incentive to redeem

Article 489 CRR

0050

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.

0060

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.

0070

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

0080

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.

0090

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

0100

3.1. Total items without an incentive to redeem

Article 490 CRR

0110

3.2. Grandfathered items with an incentive to redeem

Article 490 CRR

0120

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.

0130

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.

0140

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.

0150

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.

Columns

Instructions

0250-0400

ENTITIES WITHIN SCOPE OF CONSOLIDATION

See instructions for C 06.02

0410-0480

CAPITAL BUFFERS

See instructions for C 06.02

Rows

Instructions

0010

TOTAL

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

Columns

Instructions

0010-0060

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.

0011

NAME

Name of the entity within the scope of consolidation.

0021

CODE

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

0026

TYPE OF CODE

The institutions shall identify the type of code reported in column 0021 as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported.

0027

NATIONAL CODE

Institutions may additionally report the national code when they report LEI code as identifier in the ‘Code’ column.

0030

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.

Minority 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.

0035

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 point (26) of Article 4(1) 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.

0040

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.

0050

COUNTRY CODE

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

0060

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.

0070-0240

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 0070 to 0240) 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 0030).

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 0100 of this template.

0070

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 0080 to 0110 shall be reported.

0080

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 0040 ‘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 0490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of template CA2.

0090

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 0520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of template CA2.

0100

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 0590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2.

Fixed overheads shall be included in this column including the row 0630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of template CA2.

0110

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 0640, 0680 and 0690 of template CA2.

0120-0240

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.

0120

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 0010 ‘OWN FUNDS’ of the template CA1.

0130

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.

0140

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

Point (b) of Article 87(1)CRR

0150

TOTAL TIER 1 CAPITAL

Article 25 CRR

0160

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.

0170

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Point (b) of Article 85(1) CRR

0180

COMMON EQUITY TIER 1 CAPITAL

Article 50 CRR

0190

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.

0200

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

Point (b) of Article 84(1) CRR

0210

ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

0220

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.

0230

TIER 2 CAPITAL

Article 71 CRR

0240

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 reference date.

0250-0400

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

0250-0290

CONTRIBUTION TO RISKS

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

0250

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 0260 to 0290 shall be reported.

0260

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.

0270

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 0520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report.

0280

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.

0290

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.

0300-0400

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 0300 to 0350 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 0360 to 0400 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.

0300-0350

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.

0300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 CRR

0310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 CRR

0320

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.

0330

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.

0340

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.

0350

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

0360-0400

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.

0360

CONSOLIDATED OWN FUNDS

0370

OF WHICH: COMMON EQUITY TIER 1

0380

OF WHICH: ADDITIONAL TIER 1

0390

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.

0400

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

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

0410-0480

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.

0410

COMBINED BUFFER REQUIREMENT

Point (6) of Article 128 CRD

0420

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.

0430

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

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

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

0440

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

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 in this cell.

0450

SYSTEMIC RISK BUFFER

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

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

0470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (3) of Article 128 and Article 131 CRD

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

0480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (4) of Article 128 and Article 131 CRD

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

Original exposure pre-conversion factors

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

YES

Securitisation positions

NO

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

YES

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

NO

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

YES

Equity exposures (see also Article 133 CRR)

NO

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

YES

Exposures in default

NO

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

YES

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.

NO

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

YES

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

NO

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

YES

Other items

NO

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

YES

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

NO

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

Exposures to central governments or central banks

Exposures to regional governments or local authorities

Exposures to public sector entities

Exposures to multilateral development banks

Exposures to international organisations

Exposures to institutions

Exposures to corporates

Retail exposures

Columns

0010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, deductions, 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 counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR) the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk (see instructions to column 0210).

2.  Exposure values for leases shall be subject to Article 134(7) CRR. In particular, the residual value shall be included at its accounting value (i.e. the discounted estimated residual value at the end of the lease term).

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.

Where institutions make use of the derogation of Article 473a(7a) CRR, they shall report the amount ABSA that is risk weighted at 100 % in the exposure class ‘other items’ in this column.

0030

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

Article 24 and 111 CRR

Value adjustments and provisions for credit losses (credit risk adjustments in accordance with Article 110) made in accordance with the accounting framework to which the reporting entity is subject, as well as prudential value adjustments (additional value adjustments in accordance with Article 34 and 105, amounts deducted in accordance with point (m) Article 36(1) and other own funds reductions related to the asset item).

0040

Exposure net of value adjustments and provisions

Sum of columns 0010 and 0030

0050 – 0100

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:

Please also see instructions of point 3.1.1.

0050 – 0060

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.

0050

Guarantees

Article 203 CRR

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

0060

Credit derivatives

Article 204 CRR

0070 – 0080

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.

0070

Financial collateral: simple method

Paragraphs 1 and 2 of Article 222 CRR.

0080

Other funded credit protection

Article 232 CRR.

0090 – 0100

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.

0110

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

0120-0140

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.

0120

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

0130

(-) 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.

0140

(-) 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]

0150

Fully adjusted exposure value (E*)

Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.

0160 – 0190

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.

0200

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.

Exposure values for leases are subject to Article 134(7) CRR. In particular, the residual value shall be included at its discounted residual value after taking into account value adjustments, all credit risk mitigants and credit conversion factors.

Exposure values for CCR business shall be the same as reported in column 0210.

0210

Of which: Arising from Counterparty Credit Risk

Exposure value for CCR business calculated in accordance with the methods laid down in Chapter 4 and Chapter 6 of Title II of Part Three CRR, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapter 4 and Chapter 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss as referred to in Article 273(6) CRR.

The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR.

For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in rows 0090 – 0130 reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. For this purpose, the exposure value post-CRM as per the instructions to column 0160 of template C 34.02 shall be used.

0211

Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP

Exposures reported in column 0210 excluding those arising from contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 CRR.

0215

Risk weighted exposure amount pre supporting factors

Paragraphs 1 to 5 of Article 113 CRR, without taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR

The risk weighted exposure amount of the residual value of leasing assets shall be subject to sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % * residual value’. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness.

0216

(-) Adjustment to the risk-weighted exposure amount due to SME supporting factor

Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 2 of Title II of Part Three CRR, as applicable and RWEA* in accordance with point (1) of Article 501 CRR

0217

(-) Adjustment to the risk-weighted exposure amount due to the infrastructure supporting factor

Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR.

0220

Risk weighted exposure amount after supporting factors

Paragraphs 1 to 5 of Article 113 CRR, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR

The risk weighted exposure amount of the residual value of leasing assets is subject to sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % * residual value’. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness.

0230

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

0240

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

0010

Total exposures

0015

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.

0020

of which: SME

All exposures to SME shall be reported here.

0030

of which: Exposures subject to the SME supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

0035

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a CRR shall be reported here.

0040

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

Article 125 CRR

Only reported in exposure class ‘Secured by mortgages on immovable property’

0050

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

0060

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

Article 148(1) CRR

0070-0130

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 referred to in point (b) of Article 92(3) CRR 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.

0070

On balance sheet exposures subject to credit risk

Assets referred to in Article 24 CRR not included in any other category.

Exposures that are subject to counterparty credit risk shall be reported in rows 0090-0130-, 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.

0080

Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise the items listed in Annex I CRR.

Exposures that are subject to counterparty credit risk shall be reported in rows 0090 – 0130 and therefore shall not be reported in this row.

0090-0130

Exposures/Transactions subject to counterparty credit risk

Transactions subject to counterparty credit risk, i.e. derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions.

0090

Securities Financing Transactions netting sets

Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR.

SFTs that are included in a contractual cross product netting set and therefore reported in row 0130 shall not be reported in this row.

0100

Of which: centrally cleared through a QCCP

Contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in point (88) of Article 4(1) CRR, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. QCCP-related transaction has the same meaning as CCP-related transaction in Article 300(2) CRR, when the CCP is a QCCP.

0110

Derivatives and Long Settlement Transactions netting sets

Netting sets containing only derivatives listed in Annex II CRR and long settlement transactions as defined in Article 272(2) CRR.

Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0130, shall not be reported in this row.

0120

Of which: centrally cleared through a QCCP

See instructions to row 0100.

0130

From Contractual Cross Product netting sets

Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) CRR exists.

0140-0280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

0140

0  %

0150

2 %

Article 306(1) CRR

0160

4 %

Article 305(3) CRR

0170

10 %

0180

20 %

0190

35 %

0200

50 %

0210

70 %

Point (c) of Article 232(3) CRR.

0220

75 %

0230

100 %

0240

150 %

0250

250 %

Articles 133(2) and 48(4) CRR

0260

370 %

Article 471 CRR

0270

1 250  %

Article 133(2) and Article 379 CRR

0280

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.

0281-0284

BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU)

These rows shall only be reported for the exposure class Collective investments undertakings (CIU), in line with Articles 132, 132a, 132b and 132c CRR.

0281

Look-through approach

Article 132a(1) CRR.

0282

Mandate-based approach

Article 132a(2) CRR.

0283

Fall-back approach

Article 132(2) CRR.

0290-0320

Memorandum Items

For rows 0290 to 0320, see also the explanation of the purpose of the memorandum items in the general section of the CR SA.

0290

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.

0300

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.

0310

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.

0320

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.

Columns

Instructions

0010

INTERNAL RATING SCALE/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 0110) 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 scale 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 scale or is able to report in accordance with an internal master scale, that scale shall be used.

Otherwise, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating scales 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. The same applies for continuous rating scales: a reduced number of grades to be reported shall 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.

The last rating grade or grades shall be dedicated for defaulted exposures with PD of 100 %.

For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. The exposure weighted average PD shall be computed taking into account all exposures reported in a given row. In the row where only defaulted exposures are reported the average PD shall be of 100 %.

0020

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.

For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR), the original exposure shall correspond to the exposure value arising from counterparty credit risk (see instructions to column 0130).

0030

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 points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

0040-0080

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’.

0040-0050

UNFUNDED CREDIT PROTECTION

Unfunded credit protection as defined in point (59) of Article 4(1) CRR.

Unfunded credit protection 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.

0040

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 (except for paragraph 3), the relevant value used in the internal model shall be reported.

Guarantees shall be reported in column 0040 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 0150.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.

0050

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 paragraph 3 of 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 0160.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.

0060

OTHER FUNDED CREDIT PROTECTION

Collateral that has an effect on the PD of the exposure shall be capped at the value of the original exposure pre conversion factors.

Where own estimates of LGD are not used, Article 232(1) CRR applies.

Where own estimates of LGD are used, those credit risk mitigation techniques that have effects on PD shall be reported. The relevant nominal or market value shall be reported.

Where an adjustment is made in the LGD, that amount shall be reported in column 170.

0070-0080

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 guarantor’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the guarantor’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.

These columns shall only be used where institutions have obtained permission from their competent authority to treat these secured exposures under the permanent partial use of the Standardised approach in accordance with Article 150 CRR or to classify the exposures to exposure classes in accordance with the characteristic of the guarantor.

0090

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.

0100, 0120

Of which: Off Balance Sheet Items

See CR-SA instructions

0110

EXPOSURE VALUE

The exposure values 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, credit conversion factors and percentages in accordance with paragraphs 8, 9 and 10 of Article 166 CRR are applied, irrespective of the approach chosen by the institution.

Exposure values for CCR business shall be the same as reported in column 0130.

0130

Of which: Arising from counterparty Credit Risk

See the corresponding CR SA instructions in column 0210.

0140

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures to entities referred to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

0150-0210

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

CRM techniques that have an impact on LGD estimates 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:

0150

GUARANTEES

See instructions to column 0040.

0160

CREDIT DERIVATIVES

See instructions to column 0050.

0170

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.

0171

CASH ON DEPOSIT

Point (a) of Article 200 CRR

Cash on deposit with, or cash assimilated instruments held by third party institution in a non-custodial arrangement and pledged to the lending institution. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.

0172

LIFE INSURANCE POLICIES

Point (b) of Article 200 CRR

The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.

0173

INSTRUMENTS HELD BY A THIRD PARTY

Point (c) of Article 200 CRR

This includes instruments issued by a third party institution, which will be repurchased by that institution on request. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. This column shall exclude those exposures covered by instruments held by a third party where, in accordance with Article 232(4) CRR, institutions treat instruments repurchased on request that are eligible under point (c) of Article 200 CRR as a guarantee by the issuing institution.

0180

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, for eligible financial collateral in accordance with Article 197 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.

0190-0210

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.

0190

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.

0200

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.

0210

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.

0220

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment in accordance with Article 153(3) CRR and taking into account Article 202 and Article 217(1) CRR.

The values to be reported shall not exceed the value of the corresponding exposures.

0230

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 0110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the effects of the floor applicable to exposures secured by immovable property in accordance with Article 164(4) CRR 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 0110.

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 scale approved by the respective competent authority.

Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR. Where PD is estimated for specialised lending exposures, data shall be reported based on own estimates of LGDs or regulatory LGDs.

Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 0230, but only be included in the calculation of column 0240.

0240

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 point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR

0250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 0110) 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’.

0255

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR; For retail, see Article 154(1) CRR

The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall not be taken into account.

0256

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 3 of Title II of Part Three CRR, as applicable and RWEA* in accordance with Article 501 CRR.

0257

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR

0260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR. For retail, see Article 154(1) CRR.

The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall be taken into account.

0270

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 point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR, subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

0280

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. For defaulted exposures, see point (h) of Article 181(1) CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating scale approved by the respective competent authority.

0290

(-) 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.

0300

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 scales, 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).

0310

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

Institutions shall report hypothetical risk weighted exposure amount to be calculated as the RWEA without the recognition of the eligible credit derivative as a CRM technique as specified in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor.

Rows

Instructions

0010

TOTAL EXPOSURES

0015

of which: Exposures subject to the SME supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

0016

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a CRR shall be reported here.

0020-0060

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

0020

On balance sheet items subject to credit risk

Assets referred to in Article 24 CRR shall not be included in any other category.

Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 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.

0030

Off balance sheet items subject to credit risk

Off-balance sheet items shall comprise items in accordance with Article 166(8) CRR, as well as those items that are listed in Annex I CRR.

Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be in this row.

0040-0060

Exposures/Transactions subject to counterparty credit risk

See the corresponding CR SA instructions in rows 0090-0130.

0040

Securities Financing Transactions netting sets

See the corresponding CR SA instructions in row 0090.

0050

Derivatives and Long Settlement Transactions netting sets

See the corresponding CR SA instructions in row 0110.

0060

From Contractual Cross Product netting sets

See the corresponding CR SA instructions in row 0130.

0070

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 0180.

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 supervisory master scale is not used. Instead, institutions shall determine the scale to be used themselves.

0080

SPECIALISED LENDING SLOTTING APPROACH: TOTAL

Article 153(5) CRR. This shall only apply to the exposure classe corporate – specialised lending.

0160

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.

This alternative is available only for institutions using Foundation-IRB approach.

0170

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.

0180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 CRR. Dilution risk shall be reported for corporate and retail purchased receivables.

Column

Instructions

0005

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.

The first grade (or pool) to be reported is the best, then the second-best and so on. The last reported grade or grades (or pool) shall be that of exposures in default.

0010-0300

Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.

Row

Instructions

0010-0001 – 0010-NNNN

Values reported in these rows must be filled in in the order corresponding to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and shall not be reported in this template.

Columns

Instructions

0010

ON-BALANCE SHEET EXPOSURES

Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into account any credit risk adjustments

0020

OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS

Exposure value in accordance with paragraphs (1) to (7) of Article 166 CRR, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) CRR, or any percentages specified in Article 166(10) CRR

Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I CRR.

0030

EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS

For all exposures included in each bucket of the fixed PD range, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as reported in column 0020

0040

EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM

Exposure value in accordance with Article 166 CRR

This column shall include the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors in accordance with paragraphs (8) to (10) of Article 166 CRR and after CRM techniques.

0050

EXPOSURE WEIGHTED AVERAGE PD (%)

For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as reported in column 0040

0060

NUMBER OF OBLIGORS

The number of legal entities or obligors allocated to each bucket of the fixed PD range

The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration.

0070

EXPOSURE WEIGHTED AVERAGE LGD (%)

For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as reported in column 0040

The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the LGD reported shall take into account the floors specified in Article 164(4) CRR.

In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) CRR.

For defaulted exposures under A-IRB approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies.

0080

EXPOSURE-WEIGHTED AVERAGE MATURITY (YEARS)

For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as reported in column 0040

The maturity value reported shall be determined in accordance with Article 162 CRR.

The average maturity shall be reported in years.

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 in accordance with Chapter 3 of Title II of Part Three CRR. This means that this column shall not be filled in for the exposure class ‘retail’.

0090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with paragraphs (1) to (4) of Article 153; for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 CRR

The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a CRR shall be taken into account.

0100

EXPECTED LOSS AMOUNT

The expected loss amount calculated in accordance with Article 158 CRR

The expected loss amount to be reported shall be based on the actual risk parameters used in the internal rating scale approved by the respective competent authority.

0110

VALUE ADJUSTMENTS AND PROVISIONS

Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) No 183/2014, additional value adjustments in accordance with Articles 34 and 110 CRR, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range

These value adjustments and provisions shall be those considered for the implementation of Article 159 CRR.

General provisions shall be reported by assigning the amount pro rata – in accordance with the expected loss of different obligor grades.

Rows

Instructions

PD RANGE

Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

Column

Instructions

0010

RISK WEIGHTED EXPOSURE AMOUNT

Total risk weighted exposure amount for credit risk calculated under the IRB approach, taking into account supporting factors in accordance with Article 501 and 501a CRR.

Rows

Instructions

0010

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD

Risk weighted exposure amount at the end of the previous reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR

0020

ASSET SIZE (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0030

ASSET QUALITY (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0040

MODEL UPDATES (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to model updates, i.e changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0050

METHODOLOGY AND POLICY (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row 0040

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0060

ACQUISITIONS AND DISPOSALS (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and disposal of entities

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0070

FOREIGN EXCHANGE MOVEMENTS (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0080

OTHER (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to other drivers

This category shall be used to capture changes that cannot be attributed to any other category.

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0090

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD

Risk weighted exposure amount in the reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR

Columns

Instructions

0010

ARITHMETIC AVERAGE PD (%)

Arithmetic average of PD at the beginning of the reporting period of the obligors that fall within the bucket of the fixed PD range and counted in column 0020 (average weighted by the number of obligors)

0020

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

Number of obligors at the end of the previous year subject to reporting

All obligors carrying a credit obligation at the relevant point in time shall be included.

The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration.

0030

OF WHICH: DEFAULTED DURING THE YEAR

Number of obligors which defaulted during the year (i.e. the observation period of the default rate calculation)

Defaults shall be determined in accordance with Article 178 CRR.

Each defaulted obligor is counted only once in the numerator and denominator of the one-year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period.

0040

OBSERVED AVERAGE DEFAULT RATE (%)

One-year default rate referred to in point (78) Article 4(1) CRR

Institutions shall ensure:

(a)  that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (i.e. beginning of the year prior to the reporting reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor.

(b)  that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the reporting reference date).

Regarding the calculation of the number of obligors see column 0300 of template C 08.01.

0050

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

The simple average of the annual default rate of the five most recent years (obligors at the beginning of each year that are defaulted during that year/total obligors at the beginning of the year) is a minimum. The institution may use a longer historical period that is consistent with the institution’s actual risk management practices.

Rows

Instructions

PD RANGE

Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the reporting period for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

Columns

Instructions

0005

PD RANGE

Institutions shall report the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range.

0006

EXTERNAL RATING EQUIVALENT

Institutions shall report one column for each ECAI considered following point (f) of Article 180(1) CRR. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.

Columns

Instructions

0010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

See CR-IRB instructions.

0020

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

See CR-IRB instructions.

0030, 0050

OF WHICH: OFF-BALANCE SHEET ITEMS

See CR-SA instructions.

0040

EXPOSURE VALUE

See CR-IRB instructions.

0060

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

See CR SA instructions.

0070

RISK WEIGHT

Article 153(5) CRR

This is a fixed column for information purposes. It shall not be altered.

0080

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

See CR-IRB instructions.

0090

EXPECTED LOSS AMOUNT

See CR-IRB instructions.

0100

(-) VALUE ADJUSTMENTS AND PROVISIONS

See CR-IRB instructions.

Rows

Instructions

0010-0120

Exposures shall be allocated to the appropriate category and maturity in accordance with table 1 of Article 153(5) CRR.

Columns

Instructions

0010

TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR

Institutions shall use the exposure value before CRM in accordance with Article 166 CRR.

0020

TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB

Institutions shall use the exposure value before CRM in accordance with Article 429(4) CRR to report the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach.

0030

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)

Part of exposure for each exposure class subject to the Standardised approach (exposure subject to the Standardised approach before CRM over the total exposure in that exposure class in column 0020), respecting the scope of permission for permanent partial use of the Standardised approach received from a competent authority in accordance with Article 150 CRR.

0040

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)

Part of exposure for each exposure class subject to the sequential implementation of IRB approach pursuant to Article 148 CRR. This shall include:

0050

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)

Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB approach before CRM over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 CRR. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialised lending exposures and equity exposures under the simple risk weight approach, as well as those exposures reported in row 0170 of template C 08.01.

Rows

Instructions

EXPOSURE CLASSES

Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.