Updated 25/06/2024
In force

Version from: 11/07/2023
Amendments (9)
Rejected Q&A 2022_6479
Published: 29/06/2023
Annex 1,2
Final Q&A 2021_5679
Published: 26/11/2021
Annex 1,2
Rejected Q&A 2021_6306
Published: 28/02/2022
Annex 1,2
Rejected Q&A 2021_6302
Published: 28/02/2022
Annex 1,2
Final Q&A 2021_6284
Published: 24/02/2023
Annex 1,2
Rejected Q&A 2014_1252
Published: 24/01/2022
Annex 2
Final Q&A 2022_6364
Published: 17/02/2023
Annex 2
Final Q&A 2021_6304
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6500
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6377
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6416
Published: 13/10/2022
Annex 2
Rejected Q&A 2022_6621
Published: 29/06/2023
Annex 2
Rejected Q&A 2021_6040
Published: 03/03/2023
Annex 2
Final Q&A 2022_6528
Published: 26/05/2023
Annex 2
Rejected Q&A 2022_6569
Published: 25/01/2023
Annex 2
Rejected Q&A 2023_6929
Published: 14/06/2024
Annex 2
Rejected Q&A 2023_6705
Published: 31/03/2023
Annex 2
Rejected Q&A 2022_6441
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6513
Published: 29/06/2023
Annex 2
Rejected Q&A 2022_6661
Published: 26/01/2023
Annex 2
Rejected Q&A 2022_6593
Published: 28/10/2022
Annex 2
Rejected Q&A 2023_6759
Published: 05/09/2023
Annex 2
Rejected Q&A 2022_6472
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6393
Published: 13/10/2022
Annex 2
Final Q&A 2022_6512
Published: 21/04/2023
Annex 2
Final Q&A 2022_6435
Published: 28/10/2022
Annex 2
Final Q&A 2022_6565
Published: 15/12/2023
Annex 2
Rejected Q&A 2023_6703
Published: 31/03/2023
Annex 2
Rejected Q&A 2022_6480
Published: 25/01/2023
Annex 2
Final Q&A 2021_6117
Published: 10/03/2023
Annex 2
Rejected Q&A 2022_6397
Published: 13/10/2022
Annex 2
Rejected Q&A 2022_6649
Published: 26/01/2023
Annex 2
Final Q&A 2022_6407
Published: 27/01/2023
Annex 2
Rejected Q&A 2022_6504
Published: 28/10/2022
Annex 2
Final Q&A 2023_6718
Published: 28/04/2023
Annex 2
Rejected Q&A 2022_6465
Published: 25/01/2023
Annex 2
Rejected Q&A 2021_6062
Published: 31/03/2023
Annex 2
Rejected Q&A 2022_6366
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6348
Published: 12/10/2022
Annex 2
Final Q&A 2022_6373
Published: 27/01/2023
Annex 2
Final Q&A 2022_6442
Published: 21/04/2023
Annex 2
Final Q&A 2022_6399
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6586
Published: 25/01/2023
Annex 2
Final Q&A 2021_6300
Published: 21/04/2023
Annex 2
Final Q&A 2021_6038
Published: 23/07/2021
Annex 2
Rejected Q&A 2023_6906
Published: 01/11/2023
Annex 2
Final Q&A 2022_6446
Published: 25/08/2023
Annex 2
Final Q&A 2022_6630
Published: 28/04/2023
Annex 2
Rejected Q&A 2022_6592
Published: 16/02/2023
Annex 2
Rejected Q&A 2022_6417
Published: 13/10/2022
Annex 2
Final Q&A 2021_6043
Published: 04/02/2022
Annex 2
Rejected Q&A 2023_6701
Published: 31/03/2023
Annex 2
Final Q&A 2021_6118
Published: 10/03/2023
Annex 2
Final Q&A 2021_6291
Published: 10/03/2023
Annex 2
Rejected Q&A 2023_6867
Published: 31/05/2024
Annex 2
Final Q&A 2021_6323
Published: 10/03/2023
Annex 2
Rejected Q&A 2023_6754
Published: 18/04/2023
Annex 2
Final Q&A 2022_6499
Published: 30/06/2023
Annex 2
Final Q&A 2022_6548
Published: 13/10/2023
Annex 2
Rejected Q&A 2023_6707
Published: 03/03/2023
Annex 2
Rejected Q&A 2022_6656
Published: 14/09/2023
Annex 2
Rejected Q&A 2022_6558
Published: 29/06/2023
Annex 2
Final Q&A 2023_6693
Published: 21/04/2023
Annex 2
Final Q&A 2023_6755
Published: 06/10/2023
Annex 2
Final Q&A 2023_6694
Published: 21/04/2023
Annex 2
Rejected Q&A 2023_6848
Published: 28/09/2023
Annex 2
Rejected Q&A 2023_6739
Published: 29/09/2023
Annex 2
Final Q&A 2022_6603
Published: 28/04/2023
Annex 2
Rejected Q&A 2023_6756
Published: 31/01/2024
Annex 2
Final Q&A 2021_6324
Published: 30/06/2023
Annex 2
Rejected Q&A 2023_6710
Published: 09/10/2023
Annex 2
Rejected Q&A 2023_6890
Published: 10/10/2023
Annex 2
Rejected Q&A 2023_6953
Published: 14/02/2024
Annex 2
Rejected Q&A 2023_6847
Published: 14/02/2024
Annex 2
Rejected Q&A 2023_6870
Published: 14/02/2024
Annex 2
Rejected Q&A 2023_6869
Published: 14/02/2024
Annex 2
Rejected Q&A 2023_6865
Published: 14/02/2024
Annex 2
Final Q&A 2023_6866
Published: 26/04/2024
Annex 2
Final Q&A 2023_6864
Published: 26/04/2024
Annex 2
Rejected Q&A 2022_6671
Published: 16/10/2023
Annex 2
Rejected Q&A 2023_6959
Published: 23/02/2024
Annex 2
Final Q&A 2021_5852
Published: 04/02/2022
Annex 2
Rejected Q&A 2023_6853
Published: 01/05/2024
Annex 2
Rejected Q&A 2022_6378
Published: 25/01/2023
Annex 2
Rejected Q&A 2023_6913
Published: 23/02/2024
Annex 2
Final Q&A 2015_2010
Published: 26/11/2021
Annex 2
Rejected Q&A 2022_6478
Published: 25/01/2023
Annex 2
Final Q&A 2021_5774
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6342
Published: 28/10/2022
Annex 2
Rejected Q&A 2021_6216
Published: 28/10/2022
Annex 2
Final Q&A 2022_6356
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6429
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6471
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6452
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6583
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6559
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6549
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6498
Published: 28/10/2022
Annex 2
Rejected Q&A 2022_6365
Published: 25/01/2023
Annex 2
Rejected Q&A 2022_6648
Published: 09/10/2023
Annex 2
Final Q&A 2022_6582
Published: 21/04/2023
Annex 2
Final Q&A 2022_6530
Published: 21/04/2023
Annex 2
Final Q&A 2022_6363
Published: 27/01/2023
Annex 2
Rejected Q&A 2023_6706
Published: 31/03/2023
Annex 2
Rejected Q&A 2022_6669
Published: 26/01/2023
Annex 2
Rejected Q&A 2022_6433
Published: 29/06/2023
Annex 2
Rejected Q&A 2022_6657
Published: 03/03/2023
Annex 2
Final Q&A 2021_5859
Published: 17/02/2023
Annex 2
Rejected Q&A 2022_6555
Published: 31/01/2023
Annex 2
Final Q&A 2021_6252
Published: 10/03/2023
Annex 2
Q&A under review 2023_6933
Submitted: 21/12/2023
Annex 2
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ANNEX II

ANNEX II

INSTRUCTIONS FOR REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Table of Contents

PART I: GENERAL INSTRUCTIONS

1.

STRUCTURE AND CONVENTIONS

1.1.

STRUCTURE

1.2.

NUMBERING CONVENTION

1.3.

SIGN CONVENTION

PART II: TEMPLATE RELATED INSTRUCTIONS

1.

CAPITAL ADEQUACY OVERVIEW (‘CA’)

1.1.

GENERAL REMARKS

1.2.

C 01.00 - OWN FUNDS (CA1)

1.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.3.

C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

1.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.4.

C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.5.

C 04.00 - MEMORANDUM ITEMS (CA4)

1.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.6.

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

1.6.1.

GENERAL REMARKS

1.6.2.

C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

1.6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

1.6.3.

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

1.6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

2.

GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1.

GENERAL REMARKS

2.2.

DETAILED GROUP SOLVENCY INFORMATION

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

2.4.

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

2.5.

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

3.

CREDIT RISK TEMPLATES

3.1.

GENERAL REMARKS

3.1.1.

REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT

3.1.2.

REPORTING OF COUNTERPARTY CREDIT RISK

3.2.

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

3.2.1.

GENERAL REMARKS

3.2.2.

SCOPE OF THE CR SA TEMPLATE

3.2.3.

ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH

3.2.4.

CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF REGULATION (EU) No 575/2013

3.2.4.1.

EXPOSURE CLASS ‘INSTITUTIONS’

3.2.4.2.

EXPOSURE CLASS ‘COVERED BONDS’

3.2.4.3.

EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’

3.2.5.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.

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

3.3.1.

SCOPE OF THE CR IRB TEMPLATE

3.3.2.

BREAKDOWN OF THE CR IRB TEMPLATE

3.3.3.

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

3.3.3.1

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.4.

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

3.3.1.

C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY PD RANGES (CR IRB 3))

3.3.1.1.

GENERAL REMARKS

3.3.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.2.

C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (RWEA FLOW STATEMENTS (CR IRB 4))

3.3.2.1.

GENERAL REMARKS

3.3.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.3.

C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BACK-TESTING OF PD (CR IRB 5))

3.3.3.1.

GENERAL REMARKS

3.3.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.4.

C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (F), OF REGULATION (EU) No 575/2013 (CR IRB 5B)

3.3.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.5.

C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6))

3.3.5.1.

GENERAL REMARKS

3.3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.6.

C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7))

3.3.6.1.

GENERAL REMARKS

3.3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.4.

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

3.4.1.

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

3.4.1.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.4.2.

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

3.4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.4.3.

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

3.4.3.1.

GENERAL REMARKS

3.4.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.5.

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

3.5.1.

GENERAL REMARKS

3.5.2.

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

3.6.

C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

3.6.1.

GENERAL REMARKS

3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.7.

C 13.01 - CREDIT RISK – SECURITISATIONS (CR SEC)

3.7.1.

GENERAL REMARKS

3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.8.

DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.8.1.

SCOPE OF THE SEC DETAILS TEMPLATE

3.8.2

BREAKDOWN OF THE SEC DETAILS TEMPLATE

3.8.3

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.8.4.

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

3.9.

COUNTERPARTY CREDIT RISK

3.9.1.

SCOPE OF THE COUNTERPARTY CREDIT RISK TEMPLATES

3.9.2.

C 34.01 - SIZE OF THE DERIVATIVE BUSINESS

3.9.2.1.

GENERAL REMARKS

3.9.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.3.

C 34.02 - CCR EXPOSURES BY APPROACH

3.9.3.1.

GENERAL REMARKS

3.9.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.4.

C 34.03 - CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR AND SIMPLIFIED SA-CCR

3.9.4.1.

GENERAL REMARKS

3.9.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.5.

C 34.04 - CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM)

3.9.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.6.

C 34.05 – CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)

3.9.6.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.7.

C 34.06 – TOP TWENTY COUNTERPARTIES

3.9.7.1.

GENERAL REMARKS

3.9.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.8.

C 34.07 - IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE

3.9.8.1.

GENERAL REMARKS

3.9.8.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.9.

C 34.08 - COMPOSITION OF COLLATERAL FOR CCR EXPOSURES

3.9.9.1.

GENERAL REMARKS

3.9.9.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.10.

C 34.09 - CREDIT DERIVATIVES EXPOSURES

3.9.10.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.11.

C 34.10 - EXPOSURES TO CCPS

3.9.11.1.

GENERAL REMARKS

3.9.11.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.12.

C 34.11 - RISK WEIGHTED EXPOSURE AMOUNTS (RWEA) FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM

3.9.12.1.

GENERAL REMARKS

3.9.12.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

4.

OPERATIONAL RISK TEMPLATES

4.1.

C 16.00 – OPERATIONAL RISK (OPR)

4.1.1.

GENERAL REMARKS

4.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

4.2.

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

4.2.1.

GENERAL REMARKS

4.2.2.

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

4.2.2.1.

GENERAL REMARKS

4.2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

4.2.3.

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

4.2.3.1.

GENERAL REMARKS

4.2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.

MARKET RISK TEMPLATES

5.1.

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

5.1.1.

GENERAL REMARKS

5.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.2.

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

5.2.1.

GENERAL REMARKS

5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.3.

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

5.3.1.

GENERAL REMARKS

5.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.4.

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

5.4.1.

GENERAL REMARKS

5.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.5.

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

5.5.1.

GENERAL REMARKS

5.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.6.

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

5.6.1.

GENERAL REMARKS

5.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.7.

C 24.00 - MARKET RISK INTERNAL MODEL (MKR IM)

5.7.1.

GENERAL REMARKS

5.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

5.8.

C 25.00 - CREDIT VALUATION ADJUSTMENT RISK (CVA)

5.8.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

6.

PRUDENT VALUATION (PRUVAL)

6.1.

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

6.1.1.

GENERAL REMARKS

6.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

6.2.

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

6.2.1.

GENERAL REMARKS

6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

6.3.

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

6.3.1.

GENERAL REMARKS

6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

6.4

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

6.4.1.

GENERAL REMARKS

6.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

7.

C 33.00 - EXPOSURES TO GENERAL GOVERNMENTS (GOV)

7.1.

GENERAL REMARKS

7.2.

SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’

7.3.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

8.

NPE LOSS COVERAGE (NPE LC)

8.1.

GENERAL REMARKS

8.2.

C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)

8.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

8.3.

C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC2)

8.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

8.4.

C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (NPE LC3)

8.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

PART I: GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS

1.1.   STRUCTURE

1. Overall, the framework covers six topics:

(a) 

capital adequacy, an overview of regulatory capital; total risk exposure amount; prudent valuation; NPE loss coverage;

(b) 

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

(c) 

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

(d) 

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

(e) 

operational risk;

(f) 

general governments exposures.

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

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

1.2.   NUMBERING CONVENTION

4. The document follows the labelling convention set in points 5 to 8, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.

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

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

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

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

1.3.   SIGN CONVENTION

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

10. [empty]

PART II: TEMPLATE RELATED INSTRUCTIONS

1.   CAPITAL ADEQUACY OVERVIEW (‘CA’)

1.1.   GENERAL REMARKS

11. The CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and the application of Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions and is structured in five templates:

(a) 

Template CA1 contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of the application of Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions per type of capital;

(b) 

Template CA2 summarises the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013;

(c) 

Template CA3 contains the ratios for which Regulation (EU) No 575/2013 states a minimum level Pillar 2 ratios and some other related data;

(d) 

Template CA4 contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to Directive 2013/36/EU capital buffers;

(e) 

Template CA5 contains the data needed for calculating the effect of the application of Regulation (EU) No 575/2013 transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.

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

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

14. The application of Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions is treated as follows in CA templates:

(a) 

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

(b) 

Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in Article 36(1), point (j) and Article 56 of Regulation (EU) No 575/2013, point (e) respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.

(c) 

Template CA5 is exclusively used for reporting the effect due to the application of Regulation (EU) No 575/2013 transitional provisions.

15. The treatment of Pillar II requirements can be different within the Union (Article 104a(1) of Directive 2013/36/EU has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting required under Regulation (EU) No 575/2013.

a) 

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

b) 

The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. It mainly focuses on the target ratios themselves. There is no further link to the templates CA1, CA2 or CA5.

c) 

The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104a(1) of Directive 2013/36/EU which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2.   C 01.00 - OWN FUNDS (CA1)

1.2.1.   Instructions concerning specific positions



Row

Legal references and instructions

0010

1. Own funds

Article 4(1), point (118), and Article 72 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0030

1.1.1.1 Capital instruments and share premium eligible as CET1 capital

Articles 26(1), points (a) and (b), Articles 27 to 30, Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

0040

1.1.1.1.1 Fully paid up capital instruments

Article 26(1), point (a) and Articles 27 to 31 of Regulation (EU) No 575/2013

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013 are fulfilled.

0045

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

Article 31 of Regulation (EU) No 575/2013

Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.

0050

1.1.1.1.2* Memorandum item: Capital instruments not eligible

Article 28(1), points (b), (l) and (m), of Regulation (EU) No 575/2013

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

Article 4(1), point (124), Article 26(1), point (b), of Regulation (EU) No 575/2013

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

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

Own CET1 held by the reporting institution or group at the reporting date and amounts of CET1 instruments which have to be deducted in accordance with Article 28(2) of Commission Delegated Regulation (EU) No 241/2014 (1). Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.

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

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group and amounts of CET1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014.

The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42, point (a), of Regulation (EU) No 575/2013.

0090

1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments

Article 4(1), point (114), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

0091

1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments

Article 4(1), point (126), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

0092

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

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

According to Article 36(1), point (f), of Regulation (EU) No 575/2013, ‘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

Article 26(1), point (c), and Article 26(2) of Regulation (EU) No 575/2013

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

Article 4(1), point (123), and Article 26(1), point (c), of Regulation (EU) No 575/2013

Article 4(1), point (123), of Regulation (EU) No 575/2013 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

Article 4(1), point (121), Article 26(2), and Article 36(1), point (a), of Regulation (EU) No 575/2013

Article 26(2) of Regulation (EU) No 575/2013 allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.

On the other hand, losses shall be deducted from CET1, as stated in Article 36(1), point (a), of Regulation (EU) No 575/2013.

0160

1.1.1.2.2.1 Profit or loss attributable to owners of the parent

Article 26(2) and Article 36(1), point (a), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013 (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

Article 4(1), point (100), and Article 26(1), point (d), of Regulation (EU) No 575/2013

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.

0200

1.1.1.4 Other reserves

Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013

Other reserves are defined in Regulation (EU) No 575/2013 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

Article 4(1), point (112), and Article 26(1), point (f), of Regulation (EU) No 575/2013

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

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

0220

1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments

Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013

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

Article 4(1), point (120), and Article 84 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0260

1.1.1.9.1 (-) Increases in equity resulting from securitised assets

Article 32(1) of Regulation (EU) No 575/2013

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

Article 33(1), point (a), of Regulation (EU) No 575/2013

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

Article 33(1), point (b), of Regulation (EU) No 575/2013

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

Article 33(1), point (c), and Article 33(2) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of Regulation (EU) No 575/2013

0300

1.1.1.10 (-) Goodwill

Article 4(1), point (113), Article 36(1), point (b), and Article 37 of Regulation (EU) No 575/2013

0310

1.1.1.10.1 (-) Goodwill accounted for as intangible asset

Article 4(1), point (113), and Article 36(1), point (b), of Regulation (EU) No 575/2013

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

Article 37, point (b), and Article 43 of Regulation (EU) No 575/2013

0330

1.1.1.10.3 Deferred tax liabilities associated to goodwill

Article 37, point (a), of Regulation (EU) No 575/2013

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

Article 37, point (c), of Regulation (EU) No 575/2013

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 Part One, Title II, Chapter 2.

0340

1.1.1.11 (-) Other intangible assets

Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a) and (c) of Regulation (EU) No 575/2013

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

Article 4(1), point (115), and Article 36(1), point (b), of Regulation (EU) No 575/2013

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also in accordance with the applicable accounting standard.

The amount to be reported here shall correspond to the amount of intangible assets included in the balance sheet in accordance with the applicable accounting standard, excluding goodwill and the amount of prudently valued software assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013.

0352

1.1.1.11.1.1 (-) Of which software assets accounted for as other intangible assets before deduction of deferred tax liabilities

Article 4(1), point (115), of Regulation (EU) No 575/2013 and Article 36(1), point (b), of Regulation (EU) No 575/2013

The amount of software assets accounted for as intangible assets which is deducted from CET1 items in accordance with Article 36(1), pint (b), of Regulation (EU) No 575/2013 and Article 13a of Delegated Regulation (EU) No 241/2014. The amount reported shall not consider the effects related to the application of the treatment established in Article 37, point (a), of Regulation (EU) No 575/2013, with reference to the deferred tax liabilities associated to those software assets.

Where an institution decides to fully deduct its software assets in accordance with Article 3 of Regulation (EU) No 575/2013, instead of applying the treatment of Article 13a of Delegated Regulation (EU) No 241/2014, the amount reported in this row shall correspond to the amount of software assets accounted for as intangible assets in accordance with the applicable accounting standard.

0360

1.1.1.11.2 Deferred tax liabilities associated to other intangible assets

Article 37, point (a), of Regulation (EU) No 575/2013

Amount of deferred tax liabilities that would be extinguished if the intangible assets, other than goodwill and prudently valued software assets exempted from the deduction from CET1 items in accordance with Article 13a of Delegated Regulation (EU) No 241/2014, became impaired or were derecognised under the relevant accounting standard.

0362

1.1.1.11.2.1 Deferred tax liabilities associated with software assets accounted for as intangible assets

Article 37, point (a), of Regulation (EU) No 575/2013

The portion of deferred tax liabilities which is associated with the amount of software assets accounted for as intangible assets that is deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013 and Article 13a of Delegated Regulation (EU) No 241/2014 or Article 3 of Regulation (EU) No 575/2013.

0365

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

Article 37, point (c), of Regulation (EU) No 575/2013

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 Part One, Title II, Chapter 2.

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

Article 36(1), point (c) and Article 38 of Regulation (EU) No 575/2013

0380

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

Article 36(1), point (d), Articles 40, 158 and 159 of Regulation (EU) No 575/2013

The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses" (Article 40 of Regulation (EU) No 575/2013).

0390

1.1.1.14 (-) Defined benefit pension fund assets

Article 4(1), point (109), Article 36(1), point (e), and Article 41 of Regulation (EU) No 575/2013

0400

1.1.1.14.1 (-) Defined benefit pension fund assets

Article 4(1), point (109) and Article 36(1), point (e), of Regulation (EU) No 575/2013

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

Article 4(1), points (108) and (109), and Article 41(1), point (a), of Regulation (EU) No 575/2013

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

Article 4(1), point (109), and Article 41(1), point (b), of Regulation (EU) No 575/2013

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

Article 4(1), point (122), Article 36(1), point (g) and Article 44 of Regulation (EU) No 575/2013

Holdings in CET1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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

Article 36(1), point (j), of Regulation (EU) No 575/2013

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

Article 4(1), point (36), Article 36(1), point (k)(i), and Articles 89 to 91 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013 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

Articles 244(1), point (b), Article 245(1), point (b), and Article 253(1) of Regulation (EU) No 575/2013.

Securitisation positions, which are subject to a 1 250  % risk weight, but alternatively are allowed to be deducted from CET1 (Article 36(1), point (k)(ii) of Regulation (EU) No 575/2013), shall be reported in this item.

0470

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

Article 36(1), point (k)(iii) and Article 379(3) of Regulation (EU) No 575/2013

Free deliveries are subject to a 1 250  % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1), point (k)(iii) of Regulation (EU) No 575/2013). 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

Articles 36(1), point (k)(iv) and Article 153(8) of Regulation (EU) No 575/2013

According to Articles 36(1), point (k)(iv) of Regulation (EU) No 575/2013, 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

Articles 36(1), point (k)(v) and Article 155(4) of Regulation (EU) No 575/2013

According to Article 36(1), point (k)(v) of Regulation (EU) No 575/2013, 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

Article 4(1), point (27), Article 36(1), point (h), Articles 43 to 46, Article 49, paragraphs 2 and 3 and Article 79 of Regulation (EU) No 575/2013

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution does not have a significant investment that has to be deducted from CET1.

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

0490

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

Article 36(1), point (c); Article 38 and Article 48(1), point (a), of Regulation (EU) No 575/2013

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 Article 38(5), point (b), of Regulation (EU) No 575/2013 has to be deducted applying the 10 % threshold referred to in of Article 48(1), point (a), of that Regulation.

0500

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

Article 4(1), point (27), Article 36(1), point (i); Articles 43, 45, 47, Article 48(2), point (b), Article 49, paragraphs 1, 2 and 3 and Article 79 of Regulation (EU) No 575/2013

Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in Article 48(1), point (b), of that Regulation.

See alternatives to deduction when consolidation is applied (Article 49, paragraphs 1, 2 and 3 of Regulation (EU) No 575/2013).

0510

1.1.1.25 (-) Amount exceeding the 17.65 % threshold

Article 48(2) of Regulation (EU) No 575/2013

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 Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment that has to be deducted, applying the 17.65 % threshold in Article 48(2) of that Regulation.

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

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

Article 36(1), point (m), and Article 47c of Regulation (EU) No 575/2013

0514

1.1.1.25B (-) Minimum value commitment shortfalls

Article 36(1), point (n), and Article 132c(2) of Regulation (EU) No 575/2013

0515

1.1.1.25C (-) Other foreseeable tax charges

Article 36(1), point (l), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013

Where an institution decides to fully deduct its software assets in accordance with Article 3 of Regulation (EU) No 575/2013, instead of applying the treatment of Article 13a of Delegated Regulation (EU) No 241/2014, the additional amount deducted shall not be reported in this row, but in row 0352.

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 Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of the of Regulation (EU) No 575/2013).

0530

1.1.2 ADDITIONAL TIER 1 CAPITAL

Article 61 of Regulation (EU) No 575/2013

0540

1.1.2.1 Capital instruments and share premium eligible as AT1 Capital

Article 51, point (a), Articles 52, 53 and 54, Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

0551

1.1.2.1.1 Fully paid up, directly issued capital instruments

Article 51, point (a) and Articles 52, 53 and 54 of Regulation (EU) No 575/2013

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

Article 52(1), points (c), (e) and (f), of Regulation (EU) No 575/2013

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

Article 51, point (b), of Regulation (EU) No 575/2013

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

Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

Own AT1 instruments held by the reporting institution or group at the reporting date and amounts of AT1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013.

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 AT1 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

Article 4(1), point (144), Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group and amounts of AT1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014.

0620

1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments

Article 52(1), point (b)(ii), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

0621

1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments

Article 4(1), point (126), Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

0622

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

Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013

According to Article 56, point (a) of Regulation (EU) No 575/2013, ‘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

Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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

Qualifying AT1 capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013) shall be included.

0680

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

Article 480 of Regulation (EU) No 575/2013

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

Article 4(1), point (122), Article 56, point (b) and Article 58 of Regulation (EU) No 575/2013

Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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

Article 4(1), point (27), Article 56, point (c); Articles 59, 60 and 79 of Regulation (EU) No 575/2013

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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

Article 4(1), point (27), Article 56, point (d), Articles 59 and 79 of Regulation (EU) No 575/2013

Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment are completely deducted

0720

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

Article 56, point (e)of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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)

Article 36(1), point (j), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of that Regulation).

0750

1.2 TIER 2 CAPITAL

Article 71 of Regulation (EU) No 575/2013

0760

1.2.1 Capital instruments and share premium eligible as T2 Capital

Article 62, point (a), Articles 63 to 65, Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

0771

1.2.1.1 Fully paid up, directly issued capital instruments

Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013

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

Article 63, points (c), (e) and (f), and Article 64 of Regulation (EU) No 575/2013

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

Article 62, point (b)and Article 65 of Regulation (EU) No 575/2013

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

Article 63, point (b)(i), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

Own T2 instruments held by the reporting institution or group at the reporting date and amounts of T2 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.

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

Article 63, point (b), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group and amounts of T2 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014.

0840

1.2.1.4.2 (-) Indirect holdings of T2 instruments

Article 4(1), point (114), Article 63, point (b Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

0841

1.2.1.4.3 (-) Synthetic holdings of T2 instruments

Article 4(1), point (126), Article 63, point (b), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

0842

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

Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013

According to Article 66, point (a), of Regulation (EU) No 575/2013, ‘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

Article 483, paragraphs 6 and 7, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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

Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013) shall be included.

0900

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

Article 480 of Regulation (EU) No 575/2013

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

Article 62, point (d), of Regulation (EU) No 575/2013

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

Article 62, point (c), of Regulation (EU) No 575/2013

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

Article 4(1), point (122), Article 66, point (b) and Article 68 of Regulation (EU) No 575/2013

Holdings in T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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

Article 4(1), point (27), Article 66, point (c), Articles 68 to 70 and Article 79 of Regulation (EU) No 575/2013

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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

Article 4(1), point (27), Article 66, point (d), Articles 68, 69 and Article 79 of Regulation (EU) No 575/2013

Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment shall be completely deducted.

0955

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

Article 66 (e) of Regulation (EU) No 575/2013.

0960

1.2.10 Other transitional adjustments to T2 Capital

Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013

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)

Article 56, point (e), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013

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 Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of that Regulation).

(1)   

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

1.3.   C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

1.3.1.   Instructions concerning specific positions



Row

Legal references and instructions

0010

1. TOTAL RISK EXPOSURE AMOUNT

Article 92(3) and Articles 95, 96 and 98 of Regulation (EU) No 575/2013

0020

1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of Regulation (EU) No 575/2013

For investment firms under Article 95(2) and Article 98 of Regulation (EU) No 575/2013

0030

1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of Regulation (EU) No 575/2013

For investment firms under Article 96(2) and Article 97 of Regulation (EU) No 575/2013

0040

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

Article 92(3), points (a) and (f), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 Article 124, paragraphs 2 and 5 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013, 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

0212

1.1.1.1.16.1 Of which: software assets accounted for as intangible assets

The risk weighted exposure amount pertaining to the portion of software assets accounted for as intangible assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013, but risk-weighted in accordance with Article 113(5) of that Regulation.

0240

1.1.2 Internal ratings based Approach (IRB)

0241

1.1.2* Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013

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 Article 164, paragraphs 5 and 7 of Regulation (EU) No 575/2013.

0242

1.1.2** Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013

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 Article 124, paragraphs 2 and 5 of Regulation (EU) No 575/2013 and which are related to limits on the eligible market value of the collateral as laid down in Article 125(2), point (d) and Article 126(2), point (d), of that Regulation.

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 of Regulation (EU) No 575/2013.

0455

1.1.2.5.1 Of which software assets accounted for as intangible assets

The risk weighted exposure amount pertaining to the portion of software assets accounted for as intangible assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013, but risk-weighted in accordance with Article 156 of that Regulation.

0460

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

Articles 307, 308 and 309 of Regulation (EU) No 575/2013

0470

1.1.4 Securitisation positions

See CR SEC template

0490

1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

Article 92(3), point (c)(ii) and Article 92(4), point (b), of Regulation (EU) No 575/2013

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

Article 92(3), points (b)(i), (c)(i) and (c)(iii), and Article 92(4), point (b), of Regulation (EU) No 575/2013

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), Article 350(3), point (c) and Article 364(2), point (a), of Regulation (EU) No 575/2013

Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) of Regulation (EU) No 575/2013 either immediately or as a consequence of the cap laid down in Article 350(3), point (c), of that Regulation. Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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)

Article 92(3), point (e) and Article 92(4), point (b), of Regulation (EU) No 575/2013

For investment firms under Articles 95(2) and 96(2) and Article98 of Regulation (EU) No 575/2013, 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 Article 98(1), point (a), of Regulation (EU) No 575/2013

Only for investment firms under Article 95(2), Article 96(2) and Article 98 of Regulation (EU) No 575/2013. See also Article 97 of Regulation (EU) No 575/2013.

Investment firms under Article 96 of Regulation (EU) No 575/2013 shall report the amount referred to in Article 97 multiplied by 12.5.

Investment firms under Article 95 of Regulation (EU) No 575/2013 shall report as follows:

— Where the amount referred to in Article 95(2), point (a), of Regulation (EU) No 575/2013 is greater than the amount referred to in point (b), of Article 95(2) of that Regulation, the amount to be reported is zero.

— Where the amount referred to in Article 95(2), point (b), of Regulation (EU) No 575/2013 is greater than the amount referred to in Article 95(2), point (a), of that Regulation, the amount to be reported is the result of subtracting the latter amount from the former.

0640

1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Article 92(3), point (d), of Regulation (EU) No 575/2013

See CVA template.

0650

1.6.1 Advanced method

Own funds requirements for credit valuation adjustment risk in accordance with Article 383 of Regulation (EU) No 575/2013.

See CVA template.

0660

1.6.2 Standardised method

Own funds requirements for credit valuation adjustment risk in accordance with Article 384 of Regulation (EU) No 575/2013.

See CVA template.

0670

1.6.3. Based on OEM

Own funds requirements for credit valuation adjustment risk in accordance with Article 385 of Regulation (EU) No 575/2013.

See CVA template.

0680

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

Article 92(3), point (b)(ii) and Articles 395 to 401 of Regulation (EU) No 575/2013

0690

1.8 OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

Additional risk exposure amounts due to Article 3 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013

Article 458 of Regulation (EU) No 575/2013

0720

1.8.2* Of which: requirements for large exposures

Article 458 of Regulation (EU) No 575/2013

0730

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

Article 458 of Regulation (EU) No 575/2013

0740

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

Article 458 of Regulation (EU) No 575/2013

0750

1.8.3 Of which: Additional stricter prudential requirements based on Article 459 of Regulation (EU) No 575/2013

Article 459 of Regulation (EU) No 575/2013

0760

1.8.4 Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013

Article 3 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013, the amount to be reported is 30).

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

1.4.1.   Instructions concerning specific positions



Rows

0010

1 CET1 Capital ratio

Article 92(2), point (a), of Regulation (EU) No 575/2013

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 Article 92(1), point (a), of Regulation (EU) No 575/2013 (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

0030

3 T1 Capital ratio

Article 92(2), point (b), of Regulation (EU) No 575/2013

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 Article 92(1), point (b), of Regulation (EU) No 575/2013 (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

0050

5 Total capital ratio

Article 92(2), point (c), of Regulation (EU) No 575/2013

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 Article 92(1), point (c), of Regulation (EU) No 575/2013 (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 Article 92(1), point (c), of Regulation (EU) No 575/2013;

(ii)  the additional own funds requirements (Pillar 2 Requirements – P2R) as referred to in Article 104 (1), point (a), of Directive 2013/36/EU, 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 Article 92(1), point (a), of Regulation (EU) No 575/2013;

(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 Article 92(1), point (b), of Regulation (EU) No 575/2013;

(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 Article 128, point (6) of Directive 2013/36/EU.

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 Article 128, point (6) of Directive 2013/36/EU.

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 Article 128, point (6) of Directive 2013/36/EU.

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) of Directive 2013/36/EU, 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 of Regulation (EU) No 575/2013 and 104a of Directive 2013/36/EU

This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirements set in Article 92(1), point (a), of Regulation (EU) No 575/2013 (4,5 %) and Article 104a of Directive 2013/36/EU – excluding additional own funds required to address the risk of excessive leverage under paragraph 3 of that article–, to the extent that the requirement of Article 104a of that Directive 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) of Regulation (EU) No 575/2013 and / or Article 104a of Directive 2013/36/EU 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

Article 92(2), point (a), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation

0310

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

Article 92(2), point (b), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation

0320

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

Article 92(2), point (c), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation

1.5.   C 04.00 - MEMORANDUM ITEMS (CA4)

1.5.1.   Instructions concerning specific positions



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) of Regulation (EU) No 575/2013

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

Article 36(1), point (c) and Article 38 of Regulation (EU) No 575/2013

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

Article 36(1), point (c); Article 38, and Article 48(1), point (a), of Regulation (EU) No 575/2013

Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17.65 % thresholds in Article 48 of Regulation (EU) No 575/2013.

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

Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013

Deferred tax liabilities for which conditions in Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

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

Article 38, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013

0090

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

Article 38, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) of Regulation (EU) No 575/2013

0093

2A Tax overpayments and tax loss carry backs

Article 39(1) of Regulation (EU) No 575/2013

The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) of Regulation (EU) No 575/2013; 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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013, but subject to a risk weight of 250 % in accordance with Article 48(4) of that Regulation, taking into account the effect of Article 470, Article 478(2) and Article 473a(7), point (a), of the same Regulation. 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 %

Article 469(1), point (d), Article 470, Article 472(5) and Article 478 of Regulation (EU) No 575/2013

The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 469(1), point (d), Article 470 of Regulation (EU) No 575/2013, Article 478 (2) and Article 473a (7). point (a), of that Regulation, but subject to a risk weight of 0 % in accordance with Article 472(5) of that Regulation. The amount reported shall be the amount of DTAs before the application of the risk weight.

0901

2W Software assets accounted for as intangible assets exempted from the deduction from CET1

Article 36(1), point (b), of Regulation (EU) No 575/2013

Institutions shall report the amount of prudently valued software assets exempted from the deduction from CET1 items in accordance with Article 13a of Delegated Regulation (EU) No 241/2014.

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

Article 36(1), point (d), Article 62, point (d), Articles 158 and 159 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0120

3.1.1 General credit risk adjustments

Article 159 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0130

3.1.2 Specific credit risk adjustments

Article 159 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0140

3.2 Total expected losses eligible

Article 158, paragraphs 5, 6 and 10 and Article 159 of Regulation (EU) No 575/2013

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

Article 36(1), point (d), Article 62, point (d) Articles 158 and 159 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0150

4.1 Specific credit risk adjustments and positions treated similarly

Article 159 of Regulation (EU) No 575/2013

This item shall only be reported by IRB institutions.

0155

4.2 Total expected losses eligible

Article 158, paragraphs 5, 6 and 10 and Article 159 of Regulation (EU) No 575/2013

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

Article 62, point (d), of Regulation (EU) No 575/2013

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 Article 62, point (d), of Regulation (EU) No 575/2013.

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

Article 62, point (c), of Regulation (EU) No 575/2013

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

Article 62, point (c), of Regulation (EU) No 575/2013

According to Article 62, point (c), of Regulation (EU) No 575/2013, 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

Article 46(1), point (a), of Regulation (EU) No 575/2013

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

Article 48(1), points (a) and (b), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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

Article 4(1), point (71), point (a), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 Article 36(1), point (g), of Regulation (EU) No 575/2013

0260

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

Article 45 of Regulation (EU) No 575/2013

Article 45, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013

0280

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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013

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 36(1), point (g), of Regulation (EU) No 575/2013 shall not be included

0290

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

Article 4(1), point (114), and Article 45 of Regulation (EU) No 575/2013

Article 45, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013

0292

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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013

0293

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

Article 4(1), point (126), and Article 45 of Regulation (EU) No 575/2013.

Article 45, point (a), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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 Article 56, point (b), of Regulation (EU) No 575/2013

0330

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

Article 59 of Regulation (EU) No 575/2013

Article 59, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013

0350

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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013

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

Holdings which are treated as reciprocal cross holdings according to Article 56, point (b), of Regulation (EU) No 575/2013 shall not be included.

0360

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

Article 4(1), point (114), and Article 59 of Regulation (EU) No 575/2013

Article 59, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013

0362

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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013

0363

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

Article 4(1), point (126), and Article 59 of Regulation (EU) No 575/2013.

Article 59, point (a), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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 Article 66, point (b), of Regulation (EU) No 575/2013

0400

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

Article 69 of Regulation (EU) No 575/2013

Article 69, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013

0420

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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013

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), of Regulation (EU) No 575/2013 shall not be included

0430

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

Article 4(1), point (114), and Article 69 of Regulation (EU) No 575/2013

Article 69, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013

0432

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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013

0433

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

Article 4(1), point (126), and Article 69 of Regulation (EU) No 575/2013.

Article 69, point (a), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 Article 36(1), point (g), of Regulation (EU) No 575/2013

0470

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

Article 45 of Regulation (EU) No 575/2013

Article 45, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013

0490

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

Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013

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 Article 36(1), point (g), of Regulation (EU) No 575/2013 shall not be included.

0500

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

Article 4(1), point (114), and Article 45 of Regulation (EU) No 575/2013

Article 45, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013

0502

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

Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013

0503

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

Article 4(1), point (126), and Article 45 of Regulation (EU) No 575/2013.

Article 45, point (a), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013

The amount of significant investments in CET1 capital of financial sector entities that are not deducted pursuant to Article 48(1) of Regulation (EU) No 575/2013, but subject to a risk weight of 250 % in accordance with Article 48(4) of that Regulation.

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 of Regulation (EU) No 575/2013

0520

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

Articles 58 and 59 of Regulation (EU) No 575/2013

0530

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

Article 58 of Regulation (EU) No 575/2013

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

a)  Underwriting positions held for 5 working days or fewer (Article 56, point (d), of Regulation (EU) No 575/2013); and

b)  Holdings which are treated as reciprocal cross holdings in accordance with Article 56, point (b), of Regulation (EU) No 575/2013.

0540

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

Article 59 of Regulation (EU) No 575/2013

Article 59, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013

0560

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

Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013

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 Article 56, point (b), of Regulation (EU) No 575/2013 shall not be included.

0570

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

Article 4(1), point (114), and Article 59 of Regulation (EU) No 575/2013

Article 59, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013

0572

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

Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013

0573

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

Article 4(1), point (126), and Article 59 of Regulation (EU) No 575/2013.

Article 59, point (a)of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

0590

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

Articles 68 and 69 of Regulation (EU) No 575/2013

0600

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

Article 68 of Regulation (EU) No 575/2013

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

a)  Underwriting positions held for 5 working days or fewer (Article 66, point (d), of Regulation (EU) No 575/2013); and

b)  Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013

0610

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

Article 69 of Regulation (EU) No 575/2013

Article 69, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013

0630

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

Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013

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 Article 66, point (b), of Regulation (EU) No 575/2013 shall not be included

0640

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

Article 4(1), point (114), and Article 69 of Regulation (EU) No 575/2013

Article 69, point (a), of Regulation (EU) No 575/2013 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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013

0642

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

Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013

0643

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

Article 4(1), point (126), and Article 69 of Regulation (EU) No 575/2013.

Article 69, point (a), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

0680

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

Article 79 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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

Article 128, point (6) of Directive 2013/36/EU

0750

Capital conservation buffer

Article 128, point (1) and Article 129 of Directive 2013/36/EU

In accordance with Article 129(1) of Directive 2013/36/EU, 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

Article 458(2), point (d)(iv) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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

Article 128, point (2) and Articles 130, 135 to 140 of Directive 2013/36/EU

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

Article 128, point (5), Articles 133 and 134 of Directive 2013/36/EU

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

Article 128, point (3) and Article 131 of Directive 2013/36/EU

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

Article 128, point (4) and Article 131 of Directive 2013/36/EU

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) of Directive 2013/36/EU.

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 of Directive 2013/36/EU and Article 93 of Regulation (EU) No 575/2013

0840

30 Own funds based on Fixed Overheads

Article 95(2), point b, Article 96(2), point (b), Article 97 and Article 98(1), point (a), of Regulation (EU) No 575/2013

The amount reported shall be the own funds requirement resulting from the application of the abovementioned Articles.

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.

By derogation from Article 21(1), point (a), of this Implementing Regulation, this row shall always be filled in.

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.

By derogation from Article 21(1), point (a), of this Implementing Regulation, this row shall always be filled in.

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

1.6.1.   General remarks

16. CA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491, 494a and 494b of Regulation (EU) No 575/2013.

17. CA5 is structured as follows:

(a) 

Template CA5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.

(b) 

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

18. Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 0050 and the eligible amount without the recognition of transitional provisions in column 0060.

19. Institutions shall only report elements in CA5 during the period where transitional provisions laid down in Part Ten Regulation (EU) No 575/2013 apply.

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

1.6.2.   C 05.01 - Transitional provisions (CA5.1)

21. Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491, 494a and 494b of Regulation (EU) No 575/2013, compared to applying the final provisions laid down in Part Two, Title II of that Regulation (EU) No 575/2013.

22. Institutions shall report in rows 0060 to 0065 information about the transitional provisions of grandfathered instruments. The figures to be reported in row 0060 of CA5.1 reflect the transitional provisions included in the of Regulation (EU) No 575/2013 in the version applicable until 26 June 2019 and can be derived from the respective sections of CA5.2. Rows 0061 to 0065 capture the effect of the transitional provisions of Articles 494a and 494b of Regulation (EU) No 575/2013.

23. Institutions shall report in rows 0070 to 0092 information about the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of Regulation (EU) No 575/2013).

24. In rows 0100 onwards institutions shall report information about the effect of the transitional provisions regarding unrealised gains and losses, deductions, additional filters and deductions and IFRS 9.

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

1.6.2.1.   Instructions concerning specific positions



Columns

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) of Regulation (EU) No 575/2013 due to transitional provisions. The amounts reported shall consider the application of provisions of Part Three, Title II, Chapter 2 or 3 or of Part Three, Title IV in accordance with Article 92(4) of Regulation (EU) No 575/2013. That means that transitional amounts subject to Part Three, Title II, Chapter 2 or 3 shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Part Three, Title IV 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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Directive 2014/59/EU or are subject to set-off or netting arrangements

Article 494b of Regulation (EU) No 575/2013

Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet one or several eligibility criteria of Article 52(1), points (p), (q) and (r), of that Regulation or Article 63 points (n), (o) and (p), of that Regulation, as applicable.

In case of Tier 2 instruments eligible in accordance with Article 494b(2) of Regulation (EU) No 575/2013, the amortisation provisions of Article 64 of that Regulation shall be observed.

0063

1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of powers in accordance with Article 59 of Directive 2014/59/EU

Article 494b, Article 52(1), point (p) and Article 63, point (n), of Regulation (EU) No 575/2013

Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (p) or point (n), of Article 63 of that Regulation, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), points (q) or (r), of Regulation (EU) No 575/2013 or Article 63, points (o) or (p), of that Regulation , as applicable.

0064

1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU

Article 494b, Article 52(1), point (q) and Article 63, point (o), of Regulation (EU) No 575/2013

Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (q) or Article 63, point (o), of that Regulation, as applicable.

This shall include also instruments that additionally do not meet the eligibility criteria of Article 52(1), points (p) or (r), of Regulation (EU) No 575/2013 or Article 63, points (n) or (p), of that Regulation , as applicable.

0065

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

Article 494b, Article 52(1), point (r) and Article 63, point (p), of Regulation (EU) No 575/2013

Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (r), of that Regulation or Article 63, point (p), of the Regulation, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), point (p) or (q) of Regulation (EU) No 575/2013 or Article 63, points (n) or (o), of that Regulation, as applicable.

0070

1.2 Minority interests and equivalents

Articles 479 and 480 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

0140

1.3.2 Deductions

Article 36(1) and Articles 469 to 478 of Regulation (EU) No 575/2013

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

Article 36(1), point (c), Articles 469(1) and 472(5) and Article 478 of Regulation (EU) No 575/2013

When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

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

Article 470, paragraphs 2 and 3 of Regulation (EU) No 575/2013

The amount to be reported in column 0060 of this row: Article 470(1) of Regulation (EU) No 575/2013

0385

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

Article 469(1), point (c) ,Article 472(5) and Article 478 of Regulation (EU) No 575/2013

Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2), point (a), of Regulation (EU) No 575/2013.

0425

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

Article 471 of Regulation (EU) No 575/2013

0430

1.3.3 Additional filters and deductions

Article 481 of Regulation (EU) No 575/2013

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

In accordance with Article 481 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

In case of A2, IRB the amount reported is the amount net of expected lossess as required by Article 473a(5), point (a), of Regulation (EU) No 575/2013.

0442

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

The sum of and as referred to in Article 473a(1) of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

In case of A4, IRB the amount reported is the amount net of expected losses as required by Article 473a (5), points (b) and (c), of Regulation (EU) No 575/2013.

1.6.3   C 05.02 - Grandfathered instruments: instruments not constituing state aid (CA5.2)

26. Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Articles 484 to 491 of Regulation (EU) No 575/2013).

1.6.3.1   Instructions concerning specific positions



Columns

0010

Amount of instruments plus related share premium

Article 484, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013

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

0020

Base for calculating the limit

Article 486, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013

0030

Applicable percentage

Article 486(5) of Regulation (EU) No 575/2013

0040

Limit

Article 486, paragraphs 2 to 5 of Regulation (EU) No 575/2013

0050

(-) Amount that exceeds the limits for grandfathering

Article 486(2) to (5) of Regulation (EU) No 575/2013

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 Article 57, point (a), of Directive 2006/48/EC

Article 484(3) of Regulation (EU) No 575/2013

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

0020

2. Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013

Article 484(4) of Regulation (EU) No 575/2013

0030

2.1 Total instruments without a call or an incentive to redeem

Article 484(4) and Article 489 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013

0050

2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 489(3) and Article 491, point (a), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 489(5) and Article 491, point (a), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 489(6) and Article 491, point (c), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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 Article 57, points (e), (f), (g) or (h), of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013

Article 484(5) of Regulation (EU) No 575/2013

0100

3.1 Total items without an incentive to redeem

Article 490 of Regulation (EU) No 575/2013

0110

3.2 Grandfathered items with an incentive to redeem

Article 490 of Regulation (EU) No 575/2013

0120

3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 490(3) and Article 491, point (a), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 490(5) and Article 491, point (a) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 after the date of effective maturity

Article 490(6) and Article 491, point (c), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

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

2.   GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1.   GENERAL REMARKS

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

(a) 

Entities within the scope of consolidation;

(b) 

Detailed group solvency information;

(c) 

Information on the contribution of individual entities to group solvency;

(d) 

Information on capital buffers;

28. Institutions that obtained a waiver in accordance with Article 7 of Regulation (EU) No 575/2013 shall only report the columns 0010 to 0060 and 0250 to 0400.

29. The figures reported take into account all applicable transitional provisions of Regulation (EU) No 575/2013 which are applicable at the respective reporting date.

2.2.   DETAILED GROUP SOLVENCY INFORMATION

30. The second part of template C 06.02 (detailed group solvency information) in columns 0070 to 0210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.

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

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

32. The objective of the third part of template C 06.02 and template C 06.01 (information on the contributions of all entities within Regulation (EU) No 575/2013 scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 0250 to 0400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.

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

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

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

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

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

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

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



Columns

Instructions

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.

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



Columns

Instructions

0011-0060

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 Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013.

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 Regulation (EU) No 575/2013 and Directive 2013/36/EU or provisions at least equivalent to Basel provisions.

‘NO’ shall be reported otherwise.

imageMinority interests:

Article 81(1), point (a)(ii) and Article 82(1), point (a)(ii) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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

Article 4(1), point (1), of Regulation (EU) No 575/2013;

(b)  investment firm

Article 4(1), point (2), of Regulation (EU) No 575/2013;

(c)  financial institution (other)

Article 4(1), points (20), (21) and (26), of Regulation (EU) No 575/2013

Financial institutions within the meaning of Article 4(1), point (26), of Regulation (EU) No 575/2013 which are not included in any of the categories (d), (f) or (g);

(d)  (mixed) financial holding company

Article 4(1), points (20) and (21), of Regulation (EU) No 575/2013;

(e)  ancillary services undertaking

Article 4(1), point (18), of Regulation (EU) No 575/2013;

(f)  securitisation special purpose entity (SSPE),

Article 4(1), point (66), of Regulation (EU) No 575/2013;

(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 Regulation (EU) No 575/2013 and Directive 2013/36/EU, 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 Article 4(1), point (16), of Regulation (EU) No 575/2013, 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 (Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013), are effectively subject to solvency requirements laid down in Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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

Article 87(1), point (b), of Regulation (EU) No 575/2013

0150

TOTAL TIER 1 CAPITAL

Article 25 of Regulation (EU) No 575/2013

0160

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 of Regulation (EU) No 575/2013

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 Regulation (EU) No 575/2013 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

of Article 85(1), point (b), of Regulation (EU) No 575/2013

0180

COMMON EQUITY TIER 1 CAPITAL

Article 50 of Regulation (EU) No 575/2013

0190

OF WHICH: MINORITY INTERESTS

Article 81 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 of Regulation (EU) No 575/2013, 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 Regulation (EU) No 575/2013 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

Article 84(1), point (b), of Regulation (EU) No 575/2013

0210

ADDITIONAL TIER 1 CAPITAL

Article 61 of Regulation (EU) No 575/2013

0220

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 of Regulation (EU) No 575/2013, 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 Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

0240

OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 of Regulation (EU) No 575/2013, if relevant, in accordance with Article 87(2) of that Regulation , 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 Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013, 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 Regulation (EU) No 575/2013. 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 Part Two, Title II of Regulation (EU) No 575/2013, excluding any fund brought in by other group entities.

0300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of Regulation (EU) No 575/2013

0310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 of Regulation (EU) No 575/2013

0320

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 of Regulation (EU) No 575/2013

The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the Regulation (EU) No 575/2013.

0330

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 of Regulation (EU) No 575/2013

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 Regulation (EU) No 575/2013.

0340

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 88 of Regulation (EU) No 575/2013

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 Regulation (EU) No 575/2013.

0350

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

0360-0400

CONSOLIDATED OWN FUNDS

Article 18 of Regulation (EU) No 575/2013

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 Directive 2013/36/EU and on Regulation (EU) No 575/2013, including any transitional provisions provided for therein.

0410

COMBINED BUFFER REQUIREMENT

Article 128, point (6) of Directive 2013/36/EU

0420

CAPITAL CONSERVATION BUFFER

Article 128, point (1) and Article 129 of Directive 2013/36/EU

In accordance with Article 129(1) of Directive 2013/36/EU, 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

Article 128, point (2), Article 130 and Articles 135 to 140 of Directive 2013/36/EU

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

Article 458(2),point (d)(iv) of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 in addition to the capital conservation buffer, shall be reported in this cell.

0450

SYSTEMIC RISK BUFFER

Article 128, point (5), Articles 133 and 134 of Directive 2013/36/EU

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

0470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 128, point (3) and Article 131 of Directive 2013/36/EU

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

0480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 128, point (4) and Article 131 of Directive 2013/36/EU

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

3.   CREDIT RISK TEMPLATES

3.1.   GENERAL REMARKS

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

3.1.1.   Reporting of CRM techniques with substitution effect

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

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

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

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

3.1.2.   Reporting of Counterparty Credit Risk

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

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

3.2.1.   General remarks

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

a) 

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

b) 

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

3.2.2.   Scope of the CR SA template

46. In accordance with Article 112 of Regulation (EU) No 575/2013 each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements.

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

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

(a) 

Exposures assigned to exposure class ‘items representing securitisation positions’ as referred to in Article 112, point (m), of Regulation (EU) No 575/2013, which shall be reported in the CR SEC templates.

(b) 

Exposures deducted from own funds.

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

(a) 

Credit risk in accordance with Chapter 2 (Standardised approach) of Part Three, Title II of Regulation (EU) No 575/2013 in the banking book, among which Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation in the banking book;

(b) 

Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 in the trading book;

(c) 

Settlement risk arising from free deliveries in accordance with Article 379 of Regulation (EU) No 575/2013 in respect of all the business activities.

50. The template shall include all exposures for which the own funds requirements are calculated in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 in conjunction with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013. Institutions that apply Article 94(1) of Regulation (EU) No 575/2013 also need to report their trading book positions referred to in Article 92(3), point (b), of that Regulation in this template when they apply Part Three, Title II, Chapter 2 of that Regulation to calculate the own funds requirements thereof (Part Three, Title II, Chapters 2 and 6 and Part Three, Title V of that Regulation). Therefore the template shall not only provide detailed information on the type of the exposure (e.g. on balance sheet/ off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.

51. In addition, CR SA includes memorandum items in rows 0290 to 0320 to collect further information about exposures secured by mortgages on immovable property and exposures in default.

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

(a) 

Central governments or central banks (Article 112, point (a), of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013);

(b) 

Regional governments or local authorities (Article 112, point (b), of Regulation (EU) No 575/2013);

53. The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in Article 112, points (a) to (c) and (f) to (h), of Regulation (EU) No 575/2013 nor of the exposure classes referred to in Article 112, points (i) and (j), of that Regulation reported in template CR SA.

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

55. E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 of Regulation (EU) No 575/2013and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 0320 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row 0320 of exposure class ‘institutions’.

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

56. In order to ensure a consistent categorisation of exposures into the different exposure classes referred to in Article 112 of Regulation (EU) No 575/2013 the following sequential approach shall be applied:

(a) 

In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 of Regulation (EU) No 575/2013, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

(b) 

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

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

58. For the purpose of classifying the original exposure pre-conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class referred to in Article 112, point (i), of Regulation (EU) No 575/2013 (exposures secured by mortgages on immovable property).

59. Article 112 of Regulation (EU) No 575/2013 does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112, point (n), of Regulation (EU) No 575/2013) and exposures to institutions (Article 112, point (f), of Regulation (EU) No 575/2013)/ exposures to corporates ( Article 112, point (g), of Regulation (EU) No 575/2013). In that case, it is clear that there is an implicit prioritisation in that Regulation since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in Article 112, point (n), of Regulation (EU) No 575/2013 shall never be assigned an exposure. The example provided is one of the most obvious examples but is not the only one. It is worth noting that the criteria used for establishing the exposure classes under the Standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non-disjoint groupings.

60. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre-conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below, using a decision tree scheme, are based on the assessment of the conditions explicitly laid down in Regulation (EU) No 575/2013 for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with Regulation (EU) No 575/2013 provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant Regulation (EU) No 575/2013 provisions and its interpretations issued by the appropriate fora.

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

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

1. 

Securitisation positions;

2. 

Items associated with particular high risk;

3. 

Equity exposures

4. 

Exposures in default;

5. 

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

6. 

Exposures secured by mortgages on immovable property;

7. 

Other items;

8. 

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

9. 

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

63. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach or the mandate-based approach (Article 132a, points (1) and (2), of Regulation (EU) No 575/2013) is used, the underlying individual (in the case of the look through approach) and individual group of (in the case of the mandate-based approach) exposures shall be considered and classified into their corresponding risk weight line according to their treatment. However, all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings (‘CIU’).

64. ‘nth’ to default credit derivatives, as specified in Article 134(6) of Regulation (EU) No 575/2013 that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In that latter case, the nominal amount of the contract shall be reported as the Original exposure pre-conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) of Regulation (EU) No 575/2013.

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

DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH REGULATION (EU) No 575/2013



Original exposure pre-conversion factors

 

 

Does it fit for being assigned to the exposure class of Article 112, point (m), of Regulation (EU) No 575/2013?

YESimage

Securitisation positions

NOimage

 

 

Does it fit for being assigned to the exposure class of Article 112, point (k), of Regulation (EU) No 575/2013?

YESimage

Items associated with particular high risk (see also Article 128 of Regulation (EU) No 575/2013)

NOimage

 

 

Does it fit for being assigned to the exposure class of Article 112, point (p), of Regulation (EU) No 575/2013?

YESimage

Equity exposures (see also Article 133 of Regulation (EU) No 575/2013)

NOimage

 

 

Does it fit for being assigned to the exposure class of Article 112, point (j), of Regulation (EU) No 575/2013?

YESimage

Exposures in default

NOimage

 

 

Does it fit for being assigned to the exposure classes of Article 112, points (l) and (o), of Regulation (EU) No 575/2013?

YESimage

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

Exposures in the form of covered bonds (see also Article 129 of Regulation (EU) No 575/2013)

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

NOimage

 

 

Does it fit for being assigned to the exposure class of Article 112, point (i), of Regulation (EU) No 575/2013?

YESimage

Exposures secured by mortgages on immovable property (see also Article 124 of Regulation (EU) No 575/2013)

NOimage

 

 

Does it fit for being assigned to the exposure class of Article 112, point (q), of Regulation (EU) No 575/2013?

YESimage

Other items

NOimage

 

 

Does it fit for being assigned to the exposure class of Article 112, point (n), of Regulation (EU) No 575/2013?

YESimage

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

NOimage

 

 

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

Exposures to central governments or central banks

Exposures to regional governments or local authorities

Exposures to public sector entities

Exposures to multilateral development banks

Exposures to international organisations

Exposures to institutions

Exposures to corporates

Retail exposures

3.2.4.   Clarifications on the scope of some specific exposure classes referred to in Article 112 of Regulation (EU) No 575/2013

3.2.4.1.   Exposure Class ‘Institutions’

66. Intra-group exposures referred to in Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 shall be reported as follows:

67. Exposures which fulfil the requirements of Article 113(7) of Regulation (EU) No 575/2013 shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.

68. According to Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. That means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Council Directive 83/349/EEC ( 5 ). Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2.   Exposure Class ‘Covered Bonds’

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

70. Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council ( 6 ) shall fulfil the requirements of Article 129, paragraphs 1 and 2 of Regulation (EU) No 575/2013 to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class ‘Covered Bonds’ pursuant to Article 129(6) of Regulation (EU) No 575/2013.

3.2.4.3.   Exposure class ‘Collective Investment Undertakings’

71. Where the possibility referred to in Article 132a (2) of Regulation (EU) No 575/2013 is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) of Regulation (EU) No 575/2013.

3.2.5.   Instructions concerning specific positions



Columns

0010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Exposure value calculated in accordance with Article 111 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013:

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 (Part Three, Title II, Chapter 4 or Chapter 6 of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013

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 Article 36(1), point (m) 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 Article 4(1), point (57), of Regulation (EU) No 575/2013 that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in ‘Substitution of the exposure due to CRM’.

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

Items to be reported here:

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

— eligible unfunded credit protection.

Please also see instructions of point 3.1.1.

0050 - 0060

Unfunded credit protection: adjusted values (GA)

Article 235 of Regulation (EU) No 575/2013

Article 239(3) of Regulation (EU) No 575/2013 contains the formula for the calculation of the adjusted value GA of an unfunded credit protection.

0050

Guarantees

Article 203 of Regulation (EU) No 575/2013

Unfunded Credit Protection as defined in Article 4(1), point (59), of Regulation (EU) No 575/2013 which does not include Credit Derivatives.

0060

Credit derivatives

Article 204 of Regulation (EU) No 575/2013

0070 – 0080

Funded credit protection

These columns refer to funded credit protection as defined in Article 4(1), point (58), of Regulation (EU) No 575/2013 and subject to the rules laid down in Articles 196, 197 and 200 of that Regulation. 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 of Regulation (EU) No 575/2013 and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 of Regulation (EU) No 575/2013 shall be treated as cash collateral.

0070

Financial collateral: simple method

Article 222, paragraphs 1 and 2 of Regulation (EU) No 575/2013.

0080

Other funded credit protection

Article 232 of Regulation (EU) No 575/2013.

0090 - 0100

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Article 222(3), Article 235, paragraphs 1 and 2 and Article 236 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013. They also include credit linked notes (Article 218 of Regulation (EU) No 575/2013)

Credit linked notes as referred to in Article 218 of Regulation (EU) No 575/2013 and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 of that Regulation 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 of Regulation (EU) No 575/2013.

0120

Volatility adjustment to the exposure

Article 223, paragraphs 2 and 3 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013.

For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with Article 299(2), points (c) to (f), of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 4, Sections 4 and 5 of Regulation (EU) No 575/2013.

0140

(-) Of which: Volatility and maturity adjustments

Article 223(1) of Regulation (EU) No 575/2013 and Article 239(2) of that Regulation.

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) of Regulation (EU) No 575/2013.

0160 - 0190

Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors

Article 111(1) and Article 4(1), point (56), of Regulation (EU) No 575/2013. See also Articles 222(3) and 228(1) of Regulation (EU) No 575/2013.

The figures reported shall be the fully adjusted exposure values before application of the conversion factor.

0200

Exposure value

Article 111 of Regulation (EU) No 575/2013 and Part Three, Title II, Chapter 4, Section 4 of that Regulation.

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 Part Three, Title II, Chapter 2, Section 2 of Regulation (EU) No 575/2013.

Exposure values for leases are subject to Article 134(7) of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 4 and Chapter 6 of Regulation (EU) No 575/2013, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapter 4 and Chapter 6 of Regulation (EU) No 575/2013 and considering the deduction of the incurred CVA loss as referred to in Article 273(6) of that Regulation.

The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 of that Regulation.

0215

Risk weighted exposure amount pre supporting factors

Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013, without taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a of that Regulation

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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013, as applicable and RWEA* in accordance with Article 501, point (1) of that Regulation

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 Part Three, Title II of Regulation (EU) No 575/2013 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 of that Regulation.

0220

Risk weighted exposure amount after supporting factors

Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a of that Regulation

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

Article 112, points (a) to (d), (f), (g), (l), (n), (o) and (q), of Regulation (EU) No 575/2013

0240

Of which: with a credit assessment derived from central government

Article 112, points (b) to (d), (f), (g), (l) and (o), of Regulation (EU) No 575/2013



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 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013 or meets the criteria set in Article 128(3) or Article 133 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013 shall be reported here.

0035

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a of Regulation (EU) No 575/2013 shall be reported here.

0040

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

Article 125 of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013

0060

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

Article 148(1) of Regulation (EU) No 575/2013

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 Article 92(3), point (f) and Article 299(2) of Regulation (EU) No 575/2013 shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of Regulation (EU) No 575/2013 also break down their ‘trading book’ positions referred to in Article 92(3), point (b), of that Regulation 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 (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 of Regulation (EU) No 575/2013.

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 Article 4(1), point (139), of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in Article 4(1), point (88), of that Regulation, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Part Three, Title II, Chapter 6, Section 9 of that Regulation. QCCP-related transaction has the same meaning as CCP-related transaction in Article 300(2) of Regulation (EU) No 575/2013, when the CCP is a QCCP.

0110

Derivatives and Long Settlement Transactions netting sets

Netting sets containing only derivatives listed in Annex II of Regulation (EU) No 575/2013 and long settlement transactions as defined in Article 272(2) of that Regulation.

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) of Regulation (EU) No 575/2013), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) of Regulation (EU) No 575/2013 exists.

0140-0280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

0140

0  %

0150

2 %

Article 306(1) of Regulation (EU) No 575/2013

0160

4 %

Article 305(3) of Regulation (EU) No 575/2013

0170

10  %

0180

20  %

0190

35  %

0200

50  %

0210

70 %

Article 232(3), point (c), of Regulation (EU) No 575/2013.

0220

75  %

0230

100  %

0240

150  %

0250

250 %

Articles 133(2) and 48(4) of Regulation (EU) No 575/2013

0260

370 %

Article 471 of Regulation (EU) No 575/2013

0270

1 250  %

Article 133(2) and Article 379 of Regulation (EU) No 575/2013

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.

Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013.

Unrated nth-to-default credit derivatives under the Standardised approach (Article 134(6) of Regulation (EU) No 575/2013) shall be reported in this row under the exposure class ‘Other items’.

See also Article 124(2) and Article 152(2), point (b), of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013.

0281

Look-through approach

Article 132a(1) of Regulation (EU) No 575/2013.

0282

Mandate-based approach

Article 132a(2) of Regulation (EU) No 575/2013.

0283

Fall-back approach

Article 132(2) of Regulation (EU) No 575/2013.

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

Article 112, point (i), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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 %

Article 112, point (j), of Regulation (EU) No 575/2013

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

Article 112, point (i), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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 %

Article 112, point (j) of Regulation (EU) No 575/2013

Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

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

3.3.1.   Scope of the CR IRB template

72. The scope of the CR IRB template covers:

i. 

Credit risk in the banking book, among which:

— 
Counterparty credit risk in the banking book;
— 
Dilution risk for purchased receivables;
ii. 

Counterparty credit risk in the trading book;

iii. 

Free deliveries resulting from all business activities.

73. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Part Three, Title II, Chapter 3, Articles 151 to 157 of Regulation (EU) No 575/2013 (IRB approach).

74. The CR IRB template does not cover the following data:

i. 

Equity exposures, which are reported in the CR EQU IRB template;

ii. 

Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates;

iii. 

‘Other non credit-obligation assets’, as referred to in Article 147(2), point (g), of Regulation (EU) No 575/2013. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, in accordance with Article 156 of Regulation (EU) No 575/2013. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;

iv. 

Credit valuation adjustment risk, which is reported on the CVA Risk template;

The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB.

Items i) and iii) do not apply to template CR IRB 7.

75. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors, the following information shall be provided for each reported exposure class:

‘NO’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

‘YES’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB). This includes all retail portfolios.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.2.   Breakdown of the CR IRB template

76. The CR IRB consists of seven templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate risk weighted exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools (exposures reported under row 0070 of CR IRB 1). CR IRB 3 provides all relevant parameters used for the calculation of credit risk capital requirements for IRB models. CR IRB 4 presents a flow statement explaining changes in risk weighted exposure amounts determined under the IRB approach for credit risk. CR IRB 5 provides information on the results of backtesting of PDs for the models reported. CR IRB 6 provides all relevant parameters used for the calculation of credit risk capital requirements under the slotting criteria for specialised lending. CR IRB 7 provides an overview of percentage of exposure value subject to SA or IRB approaches for each relevant exposure class. The templates CR IRB 1, CR IRB 2, CR IRB 3 and CR IRB 5 shall be reported separately for the following exposure and sub-exposure classes:

1) 

Total

(The Total template must be reported for the Foundation IRB approach and, separately for the Advanced IRB approach.)

2) 

Central banks and central governments

(Article 147(2), point (a), of Regulation (EU) No 575/2013)

4.1) 

Corporate – SME

(Article 147(2), point (c), of Regulation (EU) No 575/2013). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

4.2) 

Corporate – Specialised lending

(Article 147(8) of Regulation (EU) No 575/2013)

4.3) 

Corporate – Other

(All exposures to corporates as referred to in Article 147(2), point (c), of Regulation (EU) No 575/2013, not reported under 4.1 and 4.2).

5.1) 

Retail – Secured by immovable property SME

(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(3) of that Regulation which are secured by immovable property). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

5.2) 

Retail – Secured by immovable property non-SME

(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are secured by immovable property and not reported under 5.1).

Under 5.1 and 5.2, retail exposures secured by immovable property shall be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan.

5.3) 

Retail – Qualifying revolving

(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(4) of that Regulation).

5.4) 

Retail – Other SME

(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 not reported under 5.1 and 5.3). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

5.5) 

Retail – Other non – SME

(Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which were not reported under 5.2 and 5.3).

3.3.3.   C 08.01 - Credit and counterparty credit risks and free deliveries: IRB approach to Capital Requirements (CR IRB 1)

3.3.3.1   Instructions concerning specific positions



Columns

Instructions

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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 and Article 166, paragraphs 1, 2, 4, 5, 6 and 7 of that Regulation.

The effect resulting from Article 166(3) of Regulation (EU) No 575/2013 (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 (Part Three, Title II, Chapter 4 or Chapter 6 of Regulation (EU) No 575/2013), 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 Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.

0040-0080

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

Credit risk mitigation as defined in Article 4(1), point (57), of Regulation (EU) No 575/2013 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 Article 4(1), point (59), of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 shall be provided.

When own estimates of LGD are used in accordance with Article 183 of Regulation (EU) No 575/2013 (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) of Regulation (EU) No 575/2013 shall be provided.

Where own estimates of LGD are used in accordance with Article 183, paragraph 3 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 and the second sentence of Article 230(1) of that Regulation shall be reported.

For the instruments referred to in Annex I, credit conversion factors and percentages in accordance with Article 166, paragraphs 8, 9 and 10 of Regulation (EU) No 575/2013 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 Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.

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.

The reported collateral values shall be capped at the exposures value.

Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 of Regulation (EU) No 575/2013 shall be taken into account.

Where own estimates of LGD are used:

— Regarding unfunded credit protection, for exposures to central governments and central banks, institutions and corporates, Article 161(3) of Regulation (EU) No 575/2013 shall be taken into account. For retail exposures, Article 164(2) of Regulation (EU) No 575/2013 shall be taken into account.

— Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013.

0171

CASH ON DEPOSIT

Article 200, point (a), of Regulation (EU) No 575/2013

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

Article 200, point (b), of Regulation (EU) No 575/2013

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

Article 200, point (c), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013, institutions treat instruments repurchased on request that are eligible under Article 200, point (c), of that Regulation 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 Article 299(2), points (c) to (f), of Regulation (EU) No 575/2013 shall be included. Credit linked notes and on -balance sheet netting in accordance with Part Three, Title II, Chapter 4, Section 4 of Regulation (EU) No 575/2013 shall be treated as cash collateral.

Where own estimates of LGD are not used, for eligible financial collateral in accordance with Article 197 of Regulation (EU) No 575/2013, the adjusted value (Cvam) as set out in Article 223(2) of that Regulation 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 Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013. 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 Article 199, paragraphs 1 to 8 of Regulation (EU) No 575/2013 and Article 229 of that Regulation.

Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013.

0190

REAL ESTATE

Where own estimates of LGD are not used, values shall be determined in accordance with Article 199, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229 of Regulation (EU) No 575/2013.

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 Article 199, paragraphs 6 and 8 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229(3) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 and taking into account Article 202 and Article 217(1) of that Regulation.

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 Part Three, Title II, Chapters 3 and 4 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

For defaulted exposures, Article 181(1), point (h), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

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 Article 181, paragraphs 1 and 2 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013. 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 Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of Regulation (EU) No 575/2013

0250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported shall be determined in accordance with Article 162 of Regulation (EU) No 575/2013. 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 Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013; For retail, see Article 154(1) of Regulation (EU) No 575/2013

The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013, as applicable and RWEA* in accordance with Article 501 of that Regulation.

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 Part Three, Title II of Regulation (EU) No 575/2013 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 of that Regulation

0260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013. For retail, see Article 154(1) of Regulation (EU) No 575/2013.

The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 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 Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of that Regulation , subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.

0280

EXPECTED LOSS AMOUNT

For the definition of Expected Loss, see Article 5(3) of Regulation (EU) No 575/2013 and, for the calculation of expected loss amounts, see Article 158 of that Regulation. For defaulted exposures, see Article 181(1), point (h), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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

Article 172, paragraphs 1 and 2 of Regulation (EU) No 575/2013.

For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of Article 172(1), point (e), of Regulation (EU) No 575/2013, 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 Article 172(1), point (e), of Regulation (EU) No 575/2013 in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 shall be reported here.

0016

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 (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) of Regulation (EU) No 575/2013, as well as those items that are listed in Annex I of that Regulation.

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 Article 142(1), point (6) and Article 170(1), point (c), of Regulation (EU) No 575/2013.

For retail exposures see Article 170(3), point (b), of Regulation (EU) No 575/2013. For exposures arising from purchased receivables, see Article 166(6) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013. This shall only apply to the exposure classe corporate – specialised lending.

0160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Article 193, paragraphs 1 and 2, Article 194, paragraphs 1 to 7 and Article 230(3) of Regulation (EU) No 575/2013.

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 Article 379(2), first subparagraph of Regulation (EU) No 575/2013 is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) of Regulation (EU) No 575/2013. Unrated nth-to-default credit derivatives in accordance with Article 153(8) of Regulation (EU) No 575/2013 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 Article 4(1), point (53), of Regulation (EU) No 575/2013 for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 of Regulation (EU) No 575/2013. Dilution risk shall be reported for corporate and retail purchased receivables.

3.3.4.   C 08.02 - Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2 template)



Column

Instructions

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.

3.3.1.   C 08.03 - Credit risk and free deliveries: IRB approach to Capital Requirements (breakdown by PD ranges (CR IRB 3))

3.3.1.1.   General remarks

77. Institutions shall report the information included in this template in application of Article 452(g), points (i) to (v), of Regulation (EU) No 575/2013, in order to provide information on the main parameters used for the calculation of capital requirements for IRB approach. Information reported in this template shall not include data on specialised lending referred to in Article 153(5) of Regulation (EU) No 575/2013, which is included in template C 08.06. This template excludes counterparty credit risk (CCR) exposures (Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).

3.3.1.2.   Instructions concerning specific positions



Columns

Instructions

0010

ON-BALANCE SHEET EXPOSURES

Exposure value calculated in accordance with Article 166(1) to (7) of Regulation (EU) No 575/2013 without taking into account any credit risk adjustments

0020

OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS

Exposure value in accordance with Article 166, paragraphs (1) to (7) of Regulation (EU) No 575/2013, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) of Regulation (EU) No 575/2013, or any percentages specified in Article 166(10) of that Regulation

Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013

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 Article 166, paragraphs (8) to (10) of Regulation (EU) No 575/2013 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.

This column does not need to be filled in for the total of all exposures classes.

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 valu