1. This Annex contains additional instructions for the financial information templates (‘FINREP’) in Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of references in the templates in Annexes III and IV.

2. Institutions that use national accounting standards compatible with IFRS (‘compatible national GAAP’) shall apply the common and IFRS instructions in this Annex, unless otherwise provided. This is without prejudice to the compliance of the compatible national GAAP requirements with the requirements of BAD. Institutions that use national GAAP requirements that are non-compatible with IFRS or that have not yet been made compatible with the requirements in IFRS 9 shall apply the common and BAD instructions in this Annex, unless provided otherwise.

3. The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in point (77) of Article 4(1) of Regulation (EU) No 575/2013.

4. An institution shall only submit those parts of the templates relating to:

5. For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:

6. For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that that data point is not requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in black shall mean that the related data points shall not be submitted by those institutions that follow those references in that row or column.

7. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.

8. The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but it does not mean that it shall be reported as negative.

9. Items that shall be reported in negative are identified in the compiling templates by including ‘(-)’ at the beginning of their label such as in ‘(-) Treasury shares’.

10. In the ‘Data Point Model’ (‘DPM’) for financial information reporting templates of Annexes III and IV, every data point (cell) has a ‘base item’ to which the ‘credit/debit’ attribute is allocated. That allocation ensures that all entities that report data points follow the ‘sign convention’ and allows to know the ‘credit/debit’ attribute that corresponds to each data point.

11. Schematically, this convention works as in Table 1.

12. Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part 1 CRR. Institutions shall account for their subsidiaries, joint ventures and associates using the same methods as for prudential consolidation:

13. For the purposes of Annexes III and IV as well as this Annex, ‘accounting portfolios’ means financial instruments aggregated by valuation rules. Those aggregations shall not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as ‘Cash, cash balances at central banks and other demand deposits’, nor financial instruments classified as ‘Held for sale’ presented in the items ‘Non-current assets and disposal groups classified as held for sale’ and ‘Liabilities included in disposal groups classified as held for sale’.

14. Under national GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in accordance with IFRS shall submit, to the extent that those rules are applied, the relevant IFRS accounting portfolios. Where the valuation rules for financial instruments that institutions are permitted or required to use under national GAAP based on BAD do refer to the valuation rules in IAS 39, institutions shall submit the accounting portfolios based on BAD for all their financial instruments until the valuation rules they apply refer to the valuation rules in IFRS 9.

15. The following accounting portfolios based on IFRS shall be used for financial assets:

16. The following accounting portfolios based on national GAAP shall be used for financial assets:

17. ‘Trading financial assets’ includes all financial assets classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.

18. Under national GAAP based on BAD, for financial assets, ‘cost-based methods’ shall include those valuation rules by which the debt instrument is measured at cost plus interest accrued less impairment losses.

19. Under national GAAP based on BAD, ‘Non-trading non-derivative financial assets measured at a cost-based method’ includes financial instruments measured at cost-based methods as well as instruments measured at the lower of cost or market (‘LOCOM’) under a non-continuous basis (moderate LOCOM), regardless of their actual measurement as of the reporting reference date. Assets measured at moderate LOCOM are assets for which LOCOM is applied only in specific circumstances. The applicable accounting framework provides for those circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the management intent.

20. Under national GAAP based on BAD, ‘Other non-trading non-derivative financial assets’ shall include financial assets that do not qualify for inclusion in other accounting portfolios. That accounting portfolio includes, among others, financial assets that are measured at LOCOM on a continuous basis (‘strict LOCOM’). Assets measured at strict LOCOM are assets for which the applicable accounting framework either provides for the initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent measurement at LOCOM.

21. Regardless of their measurement method, investments in subsidiaries, joint ventures and associates that are not fully or proportionally consolidated under the regulatory scope of consolidation are reported in ‘Investments in subsidiaries, joint ventures and associates’, except where they are classified as held for sale in accordance with IFRS 5.

22. ‘Derivatives – Hedge accounting’ shall include derivatives with a positive balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only where there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.

23. The following accounting portfolios based on IFRS shall be used for financial liabilities:

24. The following accounting portfolios based on national GAAP shall be used for financial liabilities:

25. ‘Trading financial liabilities’ includes all financial liabilities classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.

26. ‘Derivatives – Hedge accounting’ shall include derivatives with a negative balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.

27. For the purposes of Annexes III and IV as well as this Annex, ‘the carrying amount’ means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet.

28. If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets or other liabilities.

29. Where applicable under national GAAP based on BAD, ‘Haircuts for trading positions valued at fair value’ shall be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities.

30. Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’, ‘Debt securities’ and ‘Loans and advances’.

31. ‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.

32. ‘Loans and advances’ are debt instruments held by the institutions that are not securities. That item includes loans as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation (including demand deposits at credit institutions and central banks, irrespective of their classification as per the applicable accounting framework) as well as advances that cannot be classified as ‘loans’ defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. ‘Advances that are not loans’ are further characterized in paragraph 85(g) of Part 2 of this Annex.

33. In FINREP, ‘debt instruments’ shall include ‘loans and advances’ and ‘debt securities’.

34. Gross carrying amount of debt instruments shall have the following meaning:

35. Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’.

36. For the purposes of Annexes III and IV as well as this Annex, ‘deposits’ shall be deposits as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.

37. ‘Debt securities issued’ shall be debt instruments issued as securities by the institution that are not deposits, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.

38. ‘Other financial liabilities’ shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.

39. Under IFRS, ‘Other financial liabilities’ shall include financial guarantees given where they are measured either at fair value through profit or loss (IFRS 9.4.2.1(a)) or at the amount initially recognised less cumulative amortization (IFRS 9.4.2.1(c)(ii)). Loan commitments given shall be reported as ‘Other financial liabilities’ where they are designated as financial liabilities at fair value through profit or loss (IFRS 9.4.2.1(a)) or they are commitments to provide a loan at a below-market interest rate (IFRS 9.2.3(c), IFRS 9.4.2.1(d)).

40. Where loan commitments, financial guarantees and other commitments given are measured at fair value through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported as ‘other financial liabilities’ and not as provisions for ‘Commitments and guarantees given’.

41. ‘Other financial liabilities’ shall also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions where payables for transactions are recognised before the payment date.

42. Where a breakdown by counterparty is required the following counterparty sectors shall be used:

43. The counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done on the basis of the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE codes shall be driven by the characteristics of the more relevant or determinant obligor.

44. The immediate counterparties in the following transactions shall be:

1. ‘Cash on hand’ shall include holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.

2. ‘Cash balances at central banks’ shall include ‘loans and advances’ that are balances receivable on demand at central banks.

3. ‘Other demand deposits’ shall include ‘loans and advances’ that are balances receivable on demand with credit institutions.

4. ‘Investments in subsidiaries, joint ventures and associates’ shall include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated under the regulatory scope of consolidation, except where they shall be classified as held for sale in accordance with IFRS 5, irrespective of how they are measured, including where the accounting standards allow for them to be included in the different accounting portfolios used for financial instruments. The carrying amount of investments accounted for using the equity method shall include related goodwill.

5. Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘Other assets’. Other assets shall include, among others, gold, silver and other commodities, even where they are held with trading intent.

6. Under the relevant national GAAP based on BAD, the carrying amount of repurchased own shares shall be reported as ‘other assets’ where presentation as asset is allowed under the relevant national GAAP.

7. ‘Non-current assets and disposal groups classified as held for sale’ shall have the same meaning as under IFRS 5.

8. Under national GAAP based on BAD, provisions for contingent losses arising from the ineffective part of portfolio hedge relationship shall be reported in row ‘Derivatives – Hedge accounting’ where the loss arises from the valuation of the hedging derivative, or in row ‘Fair value changes of the hedged items in portfolio hedge of interest rate risk’ where the loss arises from the valuation of the hedged position. Where no distinction between losses arising from the valuation of the hedging derivative and loss arising from the valuation of the hedged position is possible, all provisions for contingent losses arising from the ineffective part of the portfolio hedge relationship shall be reported in row ‘Derivatives – Hedge accounting’.

9. Provisions for ‘Pensions and other post-employment defined benefit obligations’ shall include the amount of net defined benefit liabilities.

10. Under IFRS, provisions for ‘Other long-term employee benefits’ shall include the amount of the deficits in the long-term employment benefit plans listed in IAS 19.153. The accrued expense from short-term employee benefits (IAS 19.11(a)), defined contribution plans (IAS 19.51(a)) and termination benefits (IAS 19.169(a)) shall be included in ‘Other liabilities’.

11. Under IFRS, provisions for ‘Commitments and guarantees given’ shall include provisions related to all commitments and guarantees, irrespective of whether their impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or whether they are treated as insurance contracts under IFRS 4. Liabilities arising from commitments and financial guarantees measured at fair value through profit or loss shall not be reported as provisions although they are due to credit risk, but as ‘other financial liabilities’ in accordance with paragraph 40 of Part 1 of this Annex. Under national GAAP based on BAD, provisions for ‘Commitments and guarantees given’ shall include provisions related to all commitments and guarantees.

12. ‘Share capital repayable on demand’ shall include the capital instruments issued by the institution that do not meet the criteria to be classified in equity. Institutions shall include in this item the cooperative shares that do not meet the criteria to be classified in equity.

13. Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘Other liabilities’.

14. ‘Liabilities included in disposal groups classified as held for sale’ shall have the same meaning as under IFRS 5.

15. Under national GAAP based on BAD ‘Funds for general banking risks’ are amounts that have been assigned in accordance with Article 38 of BAD. Where recognised, they shall appear separately either as liabilities under ‘provisions’ or within equity under ‘other reserves’ in accordance with the relevant national GAAP.

16. Under IFRS, equity instruments that are financial instruments shall include those contracts under the scope of IAS 32.

17. Under the relevant national GAAP based on BAD, ‘Unpaid capital which has been called up’ shall include the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date. If capital increase, not yet paid, is recorded as an increase of share capital, unpaid capital which has been called up shall be reported in ‘Unpaid capital which has been called up’ in template 1.3 as well as in ‘other assets’ in template 1.1. Under the relevant national GAAP based on BAD, where capital increase can be recorded only following the receipt of the payment from shareholders, unpaid capital shall not be reported in template 1.3.

18. ‘Equity component of compound financial instruments’ shall include the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an equity component) issued by the institution, where segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives the values of which are interdependent).

19. ‘Other equity instruments issued’ shall include equity instruments that are financial instruments other than ‘Capital’ and ‘Equity component of compound financial instruments’.

20. ‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions (IFRS 2.10).

21. ‘Fair value changes of equity instruments measured at fair value through other comprehensive income’ shall include accumulated gains and losses due to changes in fair value on investments in equity instruments for which the reporting entity has made the irrevocable election to present changes in fair value in other comprehensive income.

22. ‘Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income’ shall comprise the accumulated hedge ineffectiveness arising in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. Hedge ineffectiveness reported in this row shall be the difference between the accumulated variation of the fair value of the equity instrument reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item)’ and the accumulated variations of the fair value of the hedging derivative reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument)’ (IFRS 9.6.5.3 and IFRS 9.6.5.8).

23. ‘Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in the credit risk’ shall include accumulated gains and losses recognised in other comprehensive income and related to own credit risk for liabilities designated at fair value through profit or loss, regardless of whether the designation takes place at initial recognition or subsequently.

24. ‘Hedge of net investments in foreign operations (effective portion)’ shall include the foreign currency translation reserve for the effective portion of both on-going hedges of net investments in foreign operations and hedges of net investments in foreign operations that no longer apply while the foreign operations remain recognised in the balance sheet.

25. ‘Hedging derivatives. Cash flow hedges reserve (effective portion)’ shall include the cash flow hedge reserve for the effective portion of the variation in fair value of hedging derivatives in a cash flow hedge, both for on-going cash flow hedges and cash flow hedges that no longer apply.

26. ‘Fair value changes of debt instruments measured at fair value through other comprehensive income’ shall include accumulated gains or losses on debt instruments measured at fair value through other comprehensive income, net of the loss allowance that is measured at the reporting date in accordance with IFRS 9.5.5.

27. ‘Hedging instruments (not designated elements)’ shall include the accumulated changes in fair value of all of the following:

28. Under IFRS, ‘Revaluation reserves’ shall include the amount of reserves resulting from first-time adoption to IAS that have not been released to other type of reserves.

29. ‘Other reserves’ shall be split between ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method’ and ‘Other’. ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method’ shall include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years where they are accounted for using the equity method. ‘Other’ shall include reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.

30. ‘Treasury shares’ shall cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution while they are not sold or amortised, except where under the relevant national GAAP based on BAD they shall be reported in ‘other assets’.

31. Interest income and interest expense from financial instruments measured at fair value through profit or loss and from hedging derivatives classified in the category ‘hedge accounting’ shall be reported either separately from other gains and losses under items ‘interest income’ and ‘interest expense’ (‘clean price’) or as part of gains or losses from these categories of instruments (‘dirty price’). The clean or dirty price approach shall be applied consistently for all financial instruments measured at fair value through profit or loss and for hedging derivatives classified in the category ‘hedge accounting’.

32. Institutions shall report the following items, which include income and expense in relation to related parties not fully or proportionally consolidated under the regulatory scope of consolidation, broken down by accounting portfolios:

33. ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’ shall include, where the clean price is used, the amounts related to those derivatives classified in the category ‘held for trading’ which are hedging instruments from an economic but not accounting point of view to present correct interest income and expenses from the financial instruments that are hedged.

34. Where the clean price is used, ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’ shall also include time-apportioned fees and balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion (IFRS 9.6.7).

35. ‘Interest income. Derivatives – Hedge accounting, interest rate risk’ and ‘Interest expenses. Derivatives – Hedge accounting, interest rate risk’ shall include, where the clean price is used, the amounts related to those derivatives classified in the category ‘hedge accounting’ which cover interest rate risk, including hedges of a group of items with offsetting risk positions (hedges of a net position) whose hedged risk affect different line items in the statement of profit or loss. Where the clean price is used, those amounts shall be reported as interest income and expenses on a gross basis to present correct interest income and expenses from the hedged items to which they are linked. With clean price, where the hedged item generates interest income (expense), those amounts shall be reported as an interest income (expense) even where it is a negative (positive) amount.

36. ‘Interest income – other assets’ shall include amounts of interest income not included in the other items, like interest income related to cash, cash balances at central banks and other demand deposits and to non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset.

37. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial liabilities with a negative effective interest rate shall be reported in ‘Interest income on liabilities’. These liabilities and their interests give rise to a positive yield for an institution.

38. ‘Interest expenses – other liabilities’ shall include amounts of interest expenses not included in the other items, like interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined benefit liabilities.

39. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial assets with a negative effective interest rate shall be reported in ‘Interest expense on assets’. Those assets and their interests give rise to a negative yield for an institution.

40. Dividend income on equity instruments measured at fair value through profit or loss shall be reported either as ‘dividend income’ separately from other gains and losses from those classes of instruments where the clean price is used, or as part of gains or losses from those classes of instruments where the dirty price is used.

41. Dividend income on equity instruments designated at fair value through other comprehensive income shall encompass dividends related to instruments derecognised during the reporting reference period and dividends related to instruments held at the end of the reporting reference period.

42. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of those investments where they are accounted for using other than the equity method.

43. ‘Gains or (-) losses on financial assets and liabilities held for trading, net’ shall include gains and losses in the remeasurement and derecognition of financial instruments classified as held for trading. This item shall also include gains and losses on credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss, as well as dividend and interest income and expense on financial assets and liabilities held for trading where the dirty price is used.

44. ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss’ shall include also the amount recognised in the statement of profit or loss for the own credit risk of liabilities designated at fair value where recognising own credit risk changes in other comprehensive income creates or enlarges an accounting mismatch (IFRS 9.5.7.8). This item shall include also gains and losses on the hedged instruments that are designated as measured at fair value through profit or loss where the designation is used to manage credit risk, as well as interest income and expense on financial assets and liabilities designated at fair value through profit or loss where the dirty price is used.

45. ‘Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss’ shall not include gains on equity instruments that a reporting entity choses to measure at fair value through other comprehensive income (IFRS 9.5.7.1(b)).

46. Where a change in business model leads to the reclassification of a financial asset into a different accounting portfolio, the gains or losses from the reclassification shall be reported in the relevant rows of the accounting portfolio in which the financial asset is reclassified, in accordance with the following:

47. ‘Gains or (-) losses from hedge accounting, net’ shall include gains and losses on hedging instruments and on hedged items, including those on hedged items measured at fair value through other comprehensive income other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It shall also include the ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge. The reclassifications of the cash flow hedges reserve or of the reserve for hedges of net investment in a foreign operation shall be recognised in the same rows of the ‘Statement of profit or loss’ as those impacted by the cash flows from the hedged items. ‘Gains or (-) losses from hedge accounting, net’ shall include also the gains and losses from hedges of net investment in foreign operations. This item shall also include gains on hedges of net positions.

48. ‘Gains or losses on derecognition of non-financial assets’ shall include the gains and losses on derecognition of non-financial assets, except where classified as held for sale or as investments in subsidiaries, joint ventures and associates.

48i. ‘Cash contributions to resolution funds and deposit guarantee schemes’ shall include the amounts of contributions to resolution funds and deposit guarantee schemes where they are paid in the form of cash. Where the contribution is made in the form of a payment commitment, this payment commitment shall be included in ‘provisions or (-) reversal of provisions’, if the payment commitment gives rise to a liability in accordance with the applicable accounting standard.

49. ‘Modification gains or (-) losses, net’ shall include the amounts arising from adjusting the gross carrying amounts of financial assets to reflect the renegotiated or modified contractual cash flows (IFRS 9.5.4.3 and Appendix A). The modification gains or losses shall not include the impact of modifications on the amount of expected credit losses, which shall be reported in ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss’.

50. ‘Provisions or (-) reversal of provisions. Commitments and guarantees given’ shall include the net charges in the ‘Statement of profit or loss’ for provisions on all commitments and guarantees in the scope of IFRS 9, IAS 37 or IFRS 4 in accordance with paragraph 11 of this Part, or under national GAAP based on BAD. Under IFRS, any change in the fair value of commitments and financial guarantees measured at fair value shall be reported in ‘Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net’. Provisions therefore include the impairment amount for commitments and guarantees for which impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are treated as insurance contracts under IFRS 4.

51. Under IFRS, ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss’ shall include all impairment gains or losses for debt instruments arising from the application of the impairment rules in IFRS 9.5.5, regardless of whether the expected credit losses in accordance with IFRS 9.5.5 are estimated over a 12-month or a lifetime period, and including the impairment gains or losses for trade receivables, contract assets and lease receivables (IFRS 9.5.5.15).

52. Under national GAAP based on BAD ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit and loss’ shall include all allowances and reversal of allowances of financial instruments measured at cost based methods due to the change in creditworthiness of the debtor or issuer, as well as, depending on the specifications of the national GAAP, the allowances due to the impairment of financial instruments measured at fair value through equity and other measurement methods, including LOCOM.

53. ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss’ shall also include the amounts written off – as defined in paragraph 72, 74 and 165(b) of this Part of this Annex- that exceed the amount of the loss allowance at the date of write-off and are therefore recognised as a loss directly in profit or loss, as well as recoveries of previously written-off amounts recorded directly to the statement of profit or loss.

54. The share of profit or loss from subsidiaries, associates and joint ventures which are accounted for under the equity method in the regulatory scope of consolidation shall be reported within ‘Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates accounted for using the equity method’. According to IAS 28.10, the carrying amount of the investment shall be reduced by the amount of dividends paid by those entities. The impairment on those investments shall be reported in ‘(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates)’. Gains or losses on derecognition of these investments shall be reported in accordance with paragraph 55 and 56of this Part.

55. ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’ shall include profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.

56. Under IFRS, the gains or losses on derecognition of investments in subsidiaries, joint ventures and associates shall be reported within ‘Profit or (-) loss before tax from discontinued operations’ where they are considered discontinued operations under IFRS 5. Where investments in subsidiaries, joint ventures and associates are derecognised without being previously classified as held for sale and without being qualified as discontinued operations under IFRS 5, any gains or losses on derecognition of these investments shall be reported in ‘Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net’, irrespective of the consolidation method applied. Under national GAAP based on BAD, all gains and losses on derecognition of investments in subsidiaries, joint ventures and associates shall be reported in ‘Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net’.

57. ‘Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income’ shall include the change in the accumulated hedge ineffectiveness in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. The change in accumulated hedge ineffectiveness reported in this row shall be the difference between the changes in the variation of the fair value of the equity instrument reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item)’ and the changes in the variation of the fair value of the hedging derivative reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument)’.

58. ‘Hedge of net investments in foreign operations (effective portion)’ shall include the change in the accumulated foreign currency translation reserve for the effective portion of both on-going and discontinued hedges of net investments in foreign operations.

59. For hedges of net investment in foreign operations and cash flow hedges, the respective amounts reported in ‘Transferred to profit or loss’ shall include amounts transferred because the hedged flows have occurred and are no longer expected to occur.

60. ‘Hedging instruments (not designated elements)’ shall include changes in the accumulated changes in fair value of all of the following where they are not designated as a hedging component:

61. For options, the amounts reclassified to profit or loss and reported in ‘Transferred to profit or loss’ shall include reclassifications due to options that hedge a transaction-related hedged item and options that hedge a time-period related hedge item.

62. ‘Debt instruments at fair value through other comprehensive income’ shall include gains or losses on debt instruments measured at fair value through other comprehensive income other than impairment gains or losses and foreign exchange gains and losses, that shall respectively be reported in ‘(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)’ and in ‘Exchange differences (gain or (-) loss), net’ in template 2. ‘Transferred to profit or loss’ in particular shall include the transfer to profit or loss due to derecognition or reclassification into the fair value through profit or loss measurement category.

63. Where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through other comprehensive income measurement category (IFRS 9.5.6.4), the gains or losses arising due to the reclassification shall be reported in ‘Debt instruments at fair value through other comprehensive income’.

64. Where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7) or into the amortised cost measurement category (IFRS 9.5.6.5), the reclassified cumulative gains and losses previously recognised in other comprehensive income shall be respectively reported in ‘Transferred to profit or loss’ and in ‘Other reclassifications’, adjusting in the latter case the carrying amount of the financial asset.

65. For all components of the other comprehensive income, ‘Other reclassifications’ shall include transfers other than the reclassifications from the other comprehensive income to the profit or loss or to the initial carrying amount of hedged items in the case of cash flow hedges.

66. Under IFRS ‘Income tax relating to items that will not be reclassified’ and ‘Income tax relating to items that may be reclassified to profit or (-) loss’ (IAS 1.91 (b), IG6) shall be reported as separate line items.

67. Financial assets shall be broken down by accounting portfolio and instrument and – where required – by counterparty. For debt instruments measured at fair value through other comprehensive income and at amortised cost, the gross carrying amount of assets and accumulated impairments shall be broken down by impairment stages, except where they are purchased or originated financial assets that are credit-impaired at initial recognition as defined in IFRS 9 Appendix A. For these assets, the gross carrying amount and accumulated impairment shall be separately reported, outside the impairment stages, in templates 4.3.1 and 4.4.1.

68. Derivatives reported as trading financial assets under GAAP based on BAD include instruments measured at fair value as well as instruments measured at cost-based methods or LOCOM.

69. For the purposes of Annexes III and IV as well as this Annex, ‘accumulated negative changes in fair value due to credit risk’ means, for non-performing exposures, accumulated changes in fair value due to credit risk where the accumulated net change is negative. The accumulated net change in fair value due to credit risk shall be calculated by adding all negative and positive changes in fair value due to credit risk that have occurred since recognition of the debt instrument. That amount shall only be reported where the addition of positive and negative changes in fair value due to credit risk results in a negative amount. The valuation of the debt instruments shall be performed on the level of single financial instruments. For each debt instrument, ‘Accumulated negative changes in fair value due to credit risk’ shall be reported until the derecognition of the instrument.

70. For the purposes of Annexes III and IV as well as this Annex, ‘accumulated impairment’ shall have the following meaning:

71. Under IFRS, accumulated impairment shall include the allowance for expected credit losses for financial assets under each of the impairment stages specified by IFRS 9 and the allowance for purchased or originated credit-impaired financial assets. Under national GAAP based on BAD, it shall include specific and general allowance for credit risk, as well as the general allowance for banking risk where it reduces the carrying amount of debt instruments. Accumulated impairment shall also include the credit risk-induced value adjustments on financial assets under LOCOM.

72. ‘Accumulated partial write-offs’ and ‘Accumulated total write-offs’ shall include, respectively, the accumulated partial and total amount as at the reference date of principal and accrued past due interest and fees of any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 because the institution has no reasonable expectations of recovering the contractual cash flows. Those amounts shall be reported until the total extinguishment of all the reporting institution’s rights by expiry of the statute-of-limitations period, forgiveness or other causes, or until recovery. Therefore, where the written-off amounts are not recovered, they shall be reported while they are subject to enforcement activities.

73. Where a debt instrument is eventually totally written-off because of successive partial write-offs, the cumulative amount written-off shall be reclassified from the ‘Accumulated partial write-offs’ into the ‘Accumulated total write-offs’ column.

74. Write-offs shall constitute a derecognition event and relate to a financial asset in its entirety or to a portion of it, including where the modification of an asset leads the institution to give up its right of collecting cash flows on a portion or the entirety of this asset as further explained in paragraph 72. Write-offs shall include amounts caused by both reductions of the carrying amount of financial assets recognised directly in profit or loss and reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.

75. The column ‘of which: Instruments with low credit risk’ shall include instruments that are determined to have low credit risk at the reporting date and for which the institution assumes that the credit risk has not increased significantly since initial recognition in accordance with IFRS 9.5.5.10.

76. Trade receivables within the meaning of IAS 1.54(h), contract assets and lease receivables for which the simplified approach of IFRS 9.5.5.15 for the estimation of loss allowances has been applied, shall be reported within loans and advances in template 4.4.1. The corresponding loss allowance for those assets that are not purchased or originated credit-impaired financial assets shall be reported in either ‘Accumulated impairment on assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)’ or ‘Accumulated impairment on credit-impaired assets (Stage 3)’, depending on whether trade receivables, contract assets or lease receivables under the simplified approach are considered as credit-impaired assets.

78. In template 4.5, institutions shall report the carrying amount of ‘Loans and advances’ and ‘Debt securities’ that fall within the definition of ‘subordinated debt’ in paragraph 100 of this Part.

79. In template 4.8, information to be reported depends on whether Non-trading non-derivative financial assets measured at fair value to equity can be subject to impairment requirements in application of the national GAAP based on BAD. Where those financial assets are subject to impairment, institutions shall report information in this template that relates to the carrying amount, the gross carrying amount of unimpaired assets and impaired assets, accumulated impairment and accumulated write-offs. Where those financial assets are not subject to impairment, institutions shall report the accumulated negative changes in fair value due to credit risk for non-performing exposures.

80. In template 4.9, financial assets measured under moderate LOCOM and their associated value adjustments shall be identified separately from other financial assets measured at a cost-based method and their associated impairment. Financial assets under a cost-based method, including financial assets under moderate LOCOM, shall be reported as unimpaired assets where they have no value adjustments or impairment associated with them, and as impaired assets in case they have value adjustments that qualify as impairment or impairment associated with them. Value adjustments that qualify as impairment shall be credit risk-induced value adjustments reflecting the deterioration of the creditworthiness of the counterparty. Financial assets under moderate LOCOM with market-risk induced value adjustments reflecting the impact of changes in the market conditions on the value of the asset shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.

81. In template 4.10, assets measured at strict LOCOM as well as their associated value adjustments shall be reported separately from assets under other measurement methods. Financial assets under strict LOCOM and financial assets under other measurement methods shall be reported as impaired assets in case they have credit-risk induced value adjustments as defined in paragraph 80 or impairment associated with them. Financial assets under strict LOCOM with market risk induced value adjustments as defined in paragraph 80 shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately.

82. Under national GAAP based on BAD, the amount of general allowances for banking risk to be reported in the applicable templates shall only be the part that affects the carrying amount of debt instruments (BAD Article 37.2).

83. Loans and advances other than those held for trading, trading assets or held for sale assets shall be broken down by type of product and by counterparty sector for the carrying amount and by type of products only for the gross carrying amount.

84. Balances receivable on demand classified as ‘Cash, cash balances at central banks and other demand deposits’ shall also be reported in this template independently of how they are measured.

85. Loans and advances shall be allocated to the following products:

86. Loans and advances shall be classified on the basis of the collateral received as follows:

87. Loans and advances shall be classified based on the collateral and irrespective of the purpose of the loan. The carrying amount of loans and advances secured by more than one type of collateral shall be classified and reported as collateralised by immovable property where those loans and advances are secured by immovable property regardless of whether they are also secured by other types of collateral.

88. Loans and advances shall be classified on the basis of their purpose as:

89. Loans shall be classified on the basis of how they can be recovered. ‘Project finance loans’ shall include loans that meet the characteristics of specialised lending exposures as referred to in Article 147(8) CRR.

90. Gross carrying amount of loans and advances to non-financial corporations other than those included in the held for trading, trading or held for sale portfolios shall be classified by sector of economic activities using NACE Codes on the basis of the principal activity of the counterparty.

91. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 43 of Part 1 of this Annex.

92. Reporting of NACE codes shall be done with the first level of disaggregation (by ‘section’). Institutions shall report loans and advances to non-financial corporations which engage in financial or insurance activities in ‘K – Financial and insurance activities’.

93. Under IFRS, financial assets subject to impairment are those included in the following accounting portfolios: (i) financial assets at amortised cost, and (ii) financial assets at fair value through other comprehensive income. Under national GAAP based on BAD, financial assets subject to impairment shall include financial assets measured at a cost-based method, including under LOCOM. Depending on the specifications in each national GAAP, they may include (i) financial assets measured at fair value through equity, and (ii) financial assets under other measurement methods.

94. The carrying amount of debt instruments that are included in the accounting portfolios subject to impairment shall be reported in template 7.1 only where they are past due. Past-due instruments shall be allocated to the corresponding past-due buckets on the basis of their individual situation.

95. Accounting portfolios subject to impairment shall be financial assets subject to impairment, as defined as in paragraph 93 of this Part.

96. Financial assets shall qualify as past due where any amount of principal, interest or fee has not been paid at the date it was due. Past due exposures shall be reported for their entire carrying amount and broken down according to the number of days of the oldest past due amount unpaid at the reference date. Under IFRS, the carrying amounts of assets that are not purchased or originated credit-impaired financial assets shall be reported by impairment stages; the carrying amount of purchased or originated credit-impaired financial assets shall be separately reported. Under national GAAP based on BAD, past-due assets shall be reported by impairment status in accordance with the applicable accounting standards.

97. ‘Deposits’ and the product breakdown shall be defined in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. Regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very similar to overnight deposits, shall be classified as deposits redeemable at notice.

98. ‘Debt securities issued’ shall be disaggregated into the following type of products:

99. ‘Subordinated financial liabilities’ issued shall be treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities shall be classified as ‘Debt securities issued’ and subordinated liabilities in the form of deposits are classified as ‘Deposits’.

100. Template 8.2 shall include the carrying amount of ‘Deposits’ and ‘Debt securities issued’ that shall be subordinated debt, as determined in Table of Part 2 of Annex II to the ECB BSI Regulation, classified by accounting portfolios. ‘Subordinated debt’ instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied.

101. ‘Accumulated changes in fair value due to changes in own credit risk’ shall include all the said accumulative changes in fair value, regardless of whether they are recognised in profit or loss or in the other comprehensive income.

102. Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I to CRR. In templates 9.1, 9.1.1 and 9.2, all off-balance sheet exposures listed in Annex I to CRR shall be broken down in loan commitments, financial guarantees, and other commitments.

103. Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments.

104. Loan commitments, financial guarantees and other commitments given listed in Annex I to CRR may be instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the scope of IAS 37 or IFRS 4.

105. Under IFRS, loan commitments, financial guarantees and other commitments given shall be reported in template 9.1.1 where any of the following conditions are met:

106. Liabilities that shall be recognised as credit losses for the financial guarantees and commitments given referred to under points (a) and (c) of paragraph 105 of this Part of this Annex shall be reported as provisions regardless of the measurement criteria applied.

107. Institutions under IFRS shall report the nominal amount and provisions of instruments that are subject to the impairment requirements of IFRS 9, including those measured at initial cost less cumulative income recognised, broken down by impairment stages, except where they are deemed credit-impaired at initial recognition consistently with the definition of purchased or originated financial assets of IFRS 9 Appendix A. For these exposures, the nominal amount and provisions shall be separately reported, outside the impairment stages in template 9.1.1.

108. Only the nominal amount of the commitment shall be reported in template 9.1.1 where a debt instrument includes both an on-balance sheet instrument and an off-balance sheet component. Where the reporting entity is unable to identify separately the expected credit losses on the on-balance sheet and off-balance components, the expected credit losses on the commitment shall be reported together with the accumulated impairment on the on-balance sheet component. Where the combined expected credit losses exceed the gross carrying amount of the debt instrument, the remaining balance of the expected credit losses shall be reported as a provision in the appropriate column in template 9.1.1 (IFRS 9.5.5.20 and IFRS 7.B8E).

109. A financial guarantee or a commitment to provide a loan at a below-market rate that is measured in accordance with IFRS 9.4.2.1(d) and for which its loss allowance is determined in accordance with IFRS 9.5.5 shall be reported in the appropriate column.

110. Where loan commitments, financial guarantees and other commitments are measured at fair value in accordance with IFRS 9, institutions shall report in template 9.1.1 the nominal amount and accumulated negative changes in fair value due to credit risk of those financial guarantees and commitments in dedicated columns. ‘Accumulated negative changes in fair value due to credit risk’ shall be reported applying the criteria of paragraph 69of this Part.

111. The nominal amount and provisions of other commitments or guarantees that are within the scope of IAS 37 or IFRS 4 shall be reported in dedicated columns.

112. Institutions under national GAAP based on BAD shall report in template 9.1 the nominal amount of commitments and financial guarantees referred to in paragraphs 102 and 103, as well as the amount of provisions required to be held against those off-balance sheet exposures.

113. ‘Loan commitments’ shall be firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. The following items of Annex I to CRR shall be classified as ‘Loan commitments’:

114. ‘Financial guarantees’ shall be contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. Under IFRS, those contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I to CRR shall be classified as ‘financial guarantees’:

115. ‘Other commitments’ shall include the following items of Annex I to CRR:

116. Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported as off-balance sheet exposures:

117. The item ‘of which: non-performing’ shall include the nominal amount of those loan commitments, financial guarantees and other commitments given that are considered as non-performing in accordance with paragraphs 213 to 239 of this Part.

118. For financial guarantees, loan commitments and other commitments given, the ‘Nominal amount’ shall be the amount that best represents the institution’s maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount shall be the maximum amount the entity would have to pay if the guarantee is called on. For loan commitments, the nominal amount shall be the undrawn amount that the institution has committed to lend. Nominal amounts shall be the exposure values before applying conversion factors and credit risk mitigation techniques.

119. In template 9.2, for loan commitments received, the nominal amount shall be the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received, the nominal amount shall be the total amount committed by the other party in the transaction. For financial guarantees received, the ‘maximum amount of the guarantee that can be considered’ shall be the maximum amount the counterparty would have to pay if the guarantee is called on. Where a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk.

120. For the purpose of templates 10 and 11, derivatives shall be considered either as hedging derivatives where they are used in a qualifying hedging relationship in accordance with IFRS or with the applicable national GAAP under BAD, or as held for trading in other cases.

121. The carrying amount and the notional amount of the derivatives held for trading, including economic hedges, as well as the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market and type of product in templates 10 and 11. Institutions shall report the derivatives held for hedge accounting also broken down by type of hedge. Information on non-derivative hedging instruments shall be reported separately and broken down by types of hedges.

122. Under the relevant national GAAP based on BAD, all derivatives shall be reported in these templates irrespective of whether they are or are not recognised on the balance sheet under the relevant national GAAP.

123. The breakdown of the carrying amount, fair value and notional amount of trading and hedging derivatives by accounting portfolios and types of hedges shall be implemented taking into consideration the accounting portfolios and types of hedges that are applicable in IFRS or national GAAP under BAD, whichever framework applies to the reporting entity.

124. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be identified separately.

125. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where that qualifying hedge relationship concerns a net position. Where an institution has elected to keep applying IAS 39 for hedge accounting (IFRS 9.7.2.21), the references and names for the types of hedges and accounting portfolios shall be read as the relevant references and names in IAS 39.9: ‘Financial assets measured at fair value through other comprehensive income’ shall refer to ‘Available for sale assets’, and ‘Assets at amortised cost shall gather “Held to maturity” as well as ‘Loans and receivables’.

126. Derivatives included in hybrid instruments, which have been separated from the host contract, shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in those templates. However, where the hybrid instrument is measured at fair value through profit or loss, the contract shall be reported as a whole and the embedded derivatives shall not be reported in templates 10 and 11.

127. Commitments considered as derivatives (IFRS 9.2.3(b)) and credit derivatives that do not meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported in template 10 and template 11 following the same breakdowns as the other derivative instruments, but not be reported in template 9.

128. The carrying amount of non-derivative financial assets or non-derivative financial liabilities that are recognised as hedging instrument in application of IFRS or the relevant national GAAP under BAD shall be reported separately in template 11.3.

129. All derivatives shall be classified into one of the following risk categories:

130. Where a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated to the most sensitive type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be allocated according to the following order of precedence:

131. Under IFRS, the ‘carrying amount’ for all derivatives (hedging or trading) shall be the fair value. Derivatives with a positive fair value (above zero) shall be ‘financial assets’ and derivatives with a negative fair value (below zero) shall be ‘financial liabilities’. The ‘carrying amount’ shall be reported separately for derivatives with a positive fair value (‘financial assets’) and for those with a negative fair value (‘financial liabilities’). At the date of initial recognition, a derivative shall be classified as ‘financial asset’ or ‘financial liability’ according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as ‘financial asset’) or unfavourable (and the derivative is classified as ‘financial liability’). The carrying amount of hedging derivatives shall be their entire fair value, including, where applicable, the components of this fair value that are not designated as hedging instruments.

132. In addition to carrying amounts as defined in paragraph 27 of Part 1 of this Annex, fair values shall be reported by reporting institutions under national GAAP based on BAD for all derivative instruments, whether required to be booked on-balance sheet or off-balance sheet by the national GAAP based on BAD.

133. The ‘Notional amount’ shall be the gross nominal of all deals concluded and not yet settled at the reference date, regardless of whether those deals lead to derivative exposures being booked on-balance sheet. In particular, the following shall be taken into account to determine the notional amount:

134. The column ‘Notional amount’ of derivatives shall include, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives are considered assets or liabilities on the face of the balance sheet or are not booked on-balance sheet. All notional amounts shall be reported, regardless of whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts shall not be allowed.

135. The ‘Notional amount’ shall be reported by ‘total’ and by ‘of which: sold’ for the line items: ‘OTC options’, ‘Organised market options’, ‘Credit’, ‘Commodity’ and ‘Other’. The item ‘of which sold’ shall include the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option, and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to its counterparties (protection buyers).

136. The allocation of a transaction as ‘OTC’ or ‘Organized market’ shall be based on the nature of the market where the transaction takes place and not on whether there is a mandatory clearing obligation for that transaction. An ‘Organised market’ is a regulated market in the meaning of point (92) of Article 4(1) CRR. Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing is compulsory, it shall classify that derivative as ‘OTC’ and not as ‘Organised market’.

137. Derivatives that are held for hedging purposes but which do not meet the criteria to be effective hedging instruments in accordance with IFRS 9, with IAS 39 where IAS 39 is applied for hedge accounting purposes or with the accounting framework under national GAAP based on BAD, shall be reported in template 10 as ‘economic hedges’. This shall apply also to all of the following cases:

138. ‘Economic hedges’ shall not include derivatives for proprietary trading.

139. Derivatives that meet the definition of ‘economic hedges’ shall be reported separately in template 10 for each type of risk.

140. Credit derivatives used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7, shall be reported in a dedicated row in template 10 within credit risk. Other economic hedges of credit risk for which the reporting entity does not apply IFRS 9.6.7 shall be reported separately.

141. The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparties using the following categories:

142. All OTC derivatives, irrespective of the type of risk to which they are related, shall be broken down by those counterparties.

143. Where national GAAP under BAD require the allocation of hedging derivatives across categories of hedges, the hedging derivatives shall be separately reported for each of the applicable categories: ‘fair-value hedges’, ‘cash flow hedges’, ‘cost-price hedges’, ‘hedge in net investments in a foreign operation’, ‘portfolio fair value hedges of interest rate risk’ and ‘portfolio cash flow hedges of interest rate risk’.

144. Where applicable in accordance with national GAAP based on BAD, ‘Cost price hedges’ shall refer to a hedging category in which the hedging derivative is generally measured at cost.

145. For non-derivative hedging instruments, the amount to be reported shall be the carrying amount of those non-derivative hedging instruments according to the applicable measurement rules in IFRS or in GAAP based on BAD for the accounting portfolios to which they belong. No ‘notional amount’ shall be reported for non-derivative hedging instruments.

146. The carrying amount of hedged items in a fair value hedge recognised on the statement of financial position shall be broken down by accounting portfolio and type of hedged risk for hedged financial assets and hedged financial liabilities. Where a financial instrument is hedged for more than one risk, it shall be reported in the type of risk in which the hedging instrument shall be reported in accordance with paragraph 129.

147. ‘Micro-hedges’ shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 39.89 A. Micro-hedges shall include hedges of nil net positions as referred to in accordance with IFRS 9.6.6.6.

148. ‘Hedge adjustments on micro-hedges’ shall include all hedge adjustments for all the micro-hedges as defined in paragraph 147.

149. ‘Hedge adjustments included in the carrying amount of assets/liabilities’ shall be the accumulated amount of the gains and losses on the hedged items that have adjusted the carrying amount of those items and been recognised in profit or loss. Hedge adjustments for the hedged items that are equities measured at fair value through other comprehensive income shall be reported in template 1.3. Hedge adjustments for unrecognised firm commitments or a component thereof shall not be reported.

150. ‘Remaining adjustments for discontinued micro-hedges including hedges of net positions’ shall include those hedge adjustments which, following the discontinuation of the hedge relationship and the end of the adjustment of hedged items for hedging gains and losses, remain to be amortised to the profit or loss via a recalculated effective interest rate for hedged items measured at amortised cost, or to the amount that represents the previously recognised cumulative hedging gain or loss for hedged assets measured at fair value through other comprehensive income.

151. Where a group of financial assets or financial liabilities, including a group of financial assets or financial liabilities that constitute a net position, is eligible as a hedged item, financial assets and financial liabilities constituting that group shall be reported at their carrying amount on a gross basis, before netting between instruments within the group, in ‘Assets or liabilities included in hedge of a net position (before netting)’.

152. ‘Hedged items in portfolio hedge of interest rate risk’ shall include financial assets and financial liabilities included in a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities. Those financial instruments shall be reported at their carrying amount on a gross basis, before netting between instruments within the portfolio.

153. Template 12.0 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured under cost-based methods, as well as for financial assets under other measurement methods or measured at fair value through equity where the national GAAP under BAD require those assets to be subject to impairment (including cash balances at central banks and other demand deposits). Value adjustments on assets measured at the lower of cost or market shall not be reported in template 12.0.

154. ‘Increases due to amounts set aside for estimated loan losses during the period’ shall be reported where, for the main category of assets or the counterparty, the estimation of the impairment for the period results in the recognition of net expenses; that is, for the given category or counterparty, the increases in the impairment for the period exceed the decreases. ‘Decreases due to amounts reversed for estimated loan losses during the period’ shall be reported where, for the main category of assets or counterparty, the estimation of the impairment for the period result in the recognition of net income; that is, for the given category or counterparty, the decreases in the impairment for the period exceed the increases.

155. Changes in the allowance amounts due to repayment and disposals of financial assets shall be reported in ‘Other adjustments’. Write-offs shall be reported in accordance with paragraphs 72 to 74.

156. Template 12.1 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured at amortised cost and at fair value through other comprehensive income broken down by impairment stages, by instrument (including cash balances at central banks and other demand deposits) and by counterparty. A separate reconciliation for purchased or originated credit-impaired financial assets shall be reported in the template.

157. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages and separately for purchased or originated credit-impaired exposures. Impairment for loan commitments shall be reported as provisions only where they are not considered together with the impairment of on-balance sheet assets in accordance with IFRS 9.7.B8E and paragraph 108 of this part. Movements in provisions for commitments and financial guarantees measured under IAS 37 and financial guarantees treated as insurance contracts under IFRS 4 shall not be reported in this template but in template 43. Changes in the fair value due to credit risk of commitments and financial guarantees measured at fair value through profit or loss in accordance with IFRS 9 shall not be reported in this template but in item ‘Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net’ in accordance with paragraph 50 of this Part.

158. The items ‘of which: collectively measured allowances’ and ‘of which: individually measured allowances’ shall include the movements in the cumulative amount of impairment related to financial assets which have been measured on a collective or individual basis.

159. ‘Increases due to origination and acquisition’ shall include the amount of increases in expected losses accounted for on the initial recognition of financial assets originated or acquired. That increase of the allowance shall be reported at the first reporting reference date following the origination or acquisition of those financial assets. Increases or decreases in the expected losses on those financial assets after their initial recognition shall be reported in other columns. Originated or acquired assets shall include assets resulting from the drawdown of off-balance sheet commitments given.

160. ‘Decreases due to derecognition’ shall include the amount of changes in allowances due to financial assets de-recognised totally in the reporting reference period for reasons other than write-offs, which include transfers to third parties or the expiry of the contractual rights due to full repayment, disposal of those financial assets or their transfer in another accounting portfolio. The change in allowance shall be recognised in this column at the first reporting reference date following the repayment, disposal or transfer. For off-balance sheet exposures, this item shall also include the decreases in the impairment due to the off-balance sheet item becoming an on-balance sheet asset.

161. ‘Changes due to change in credit risk (net)’ shall include the net amount of changes in expected losses at the end of the reporting reference period due to an increase or decrease in credit risk since initial recognition, irrespective of whether those changes led to a transfer of the financial asset to another stage. The impact on the allowance due to the increase or decrease of the amount of financial assets as a consequence of the interest income accrued and paid shall be reported in this column. This item shall also include the impact of the passing of time on the expected losses calculated in accordance with IFRS 9.5.4.1(a) and (b). The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall also be reported in this column. Changes in expected losses due to partial repayment of exposures via instalments shall be reported in this column with the exception of the last instalment, which shall be reported in the column ‘Decreases due to derecognition’.

162. All changes in expected credit losses related to revolving exposures shall be reported in ‘Changes due to change in credit risk (net)’, except for those changes related to write-offs and updates in the institution’s methodology for estimation of credit losses. Revolving exposures shall be those for which customers’ outstanding balances are permitted to fluctuate based on their decisions to borrow and repay up to a limit established by the institution.

163. ‘Changes due to an update in the institution’s methodology for estimation (net)’ shall include changes due to updates in the institution’s methodology for estimation of expected losses due to changes in the existing models or establishment of new models used to estimate impairment. Methodological updates shall also encompass the impact of the adoption of new standards. Changes in methodology that trigger an asset to change impairment stage shall be considered for a model change in its entirety. The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall not be reported in this column.

164. The reporting of the changes in the expected losses related to modified assets (IFRS 9.5.4.3 and Appendix A) shall depend on the feature of the modification in accordance with the following:

165. Write-offs shall be reported in accordance with paragraphs 72 to 74 of this Part of this Annex and in accordance with the following:

166. ‘Other adjustments’ shall include any amount not reported in the previous columns, including the adjustments on expected losses due to foreign exchange differences where it is consistent with the reporting of the impact of foreign exchange in template 2.

166i. ‘Gains or losses on derecognition of debt instruments’ shall include the difference between the carrying amount of financial assets measured at the date of derecognition and the consideration received.

167. For financial assets included in the accounting portfolios and off-balance exposures, other than purchased or originated credit-impaired financialexposures, that are subject to the impairment requirements of IFRS 9, the gross carrying amount and the nominal amount that have been transferred between impairment stages during the reporting reference period shall be reported in template 12.2 respectively.

168. Only the gross carrying amount or the nominal amount of those financial assets or off-balance exposures which are in a different impairment stage at the reporting reference date than they were at the beginning of the financial year or their initial recognition shall be reported. For on-balance exposures for which the impairment reported in template 12.1 includes an off-balance sheet component (IFRS 9.5.5.20 and IFRS 7.B8E), the change in stage of the on-balance sheet and off-balance sheet component shall be considered.

169. For the reporting of the transfers that have taken place during the financial year, financial assets or off-balance exposures that have changed multiple times the impairment stage since the beginning of the financial year or their initial recognition shall be reported as having been transferred from their impairment stage at the opening of the financial year or initial recognition to the impairment stage in which they are included at the reporting reference date.

170. The gross carrying amount or the nominal amount to be reported in template 12.2 shall be the gross carrying amount or the nominal value at the reporting date, regardless of whether that amount was higher or lower at the date of the transfer.

171. The collateral and guarantees backing the loans and advances included in the accounting portfolios, independently of their legal form, shall be reported by type of pledges: loans collateralised by immovable property and other collateralised loans, and by financial guarantees received. The loans and advances shall be broken down by counterparties and purpose. In the item ‘of which: non-performing’, loans and advances shall be reported as defined in paragraphs 213 to 239 or 260 of this Part.

172. In template 13.1, the ‘maximum amount of the collateral or guarantee that can be considered’ shall be reported. The sum of the amounts of the financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.

173. For reporting loans and advances according to the type of pledge, the following definitions shall be used:

174. For loans and advances that have simultaneously several types of collateral or guarantee, the amount of the ‘Maximum collateral/guarantee that can be considered’ shall be allocated according to its quality, starting from the one with the best quality. For loans collateralised by immovable property, immovable property collateral shall always be reported first, irrespective of its quality compared to other collateral. Where the ‘Maximum collateral/guarantee that can be considered’ exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality, starting from the one with best quality.

175. This template shall be used to report information on collateral that has been obtained between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings. The types of collateral shall be the ones referred to in paragraph 173, with the exception of those in point (b) (i) of that paragraph.

175i. ‘Value at initial recognition’ shall mean the gross carrying amount of the collateral obtained by taking possession at the point in time of the initial recognition in the balance sheet of the reporting institution.

175ii. ‘Accumulated negative changes’ shall be the difference, at the level of the individual collateral item, between the value at initial recognition of the collateral and the carrying amount at the reporting reference date, where that difference is negative.

176. Collateral obtained by taking possession that remains recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained, shall be reported in template 13.3.1. Both collateral obtained by taking possession classified as ‘Property, plant and equipment’ and other collateral obtained by taking possession shall be included. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

177. Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by IFRS 13.72. Where national GAAP under BAD require the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.

178. ‘Change in fair value for the period’ shall include gains or losses from re-measurements made in accordance with IFRS 9, IFRS 13 or national GAAP, where applicable, in the period of the instruments that continue to exist at the reporting date. Those gains and losses shall be reported as for inclusion in the statement of profit or loss, or where applicable, in the statement of comprehensive income; thus, the amounts to be reported are before taxes.

179. ‘Accumulated change in fair value before taxes’ shall include the amount of gains or losses from re-measurements of the instruments accumulated from the initial recognition to the reference date.

180. Template 15 shall include information on transferred financial assets of which part or all do not qualify for derecognition, and financial assets entirely derecognised for which the institution retains servicing rights.

181. The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side.

182. The column ‘Amounts derecognised for capital purposes’ shall include the carrying amount of the financial assets recognised for accounting purposes but de-recognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 CRR.

183. ‘Repurchase agreements’ (‘repos’) shall be transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered ‘Repurchase agreements’ (‘repos’). Amounts received by the institution in exchange for financial assets transferred to a third party (‘temporary acquirer’) shall be classified under ‘repurchase agreements’ where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include:

184. ‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) shall involve cash received or loaned out by the institution.

185. In a securitisation transaction, where the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the ‘accounting portfolios’ in which the financial assets were included prior to their derecognition.

186. For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.

187. Interest income shall be broken down in accordance with both of the following:

188. Interest expenses shall be broken down in accordance with both of the following:

189. Interest income on financial assets and on financial liabilities with a negative effective interest rate shall include interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt securities issued and other financial liabilities with a negative effective interest rate.

190. Interest expenses on financial liabilities and on financial assets with a negative effective interest rate shall include interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as well as on debt securities and loans and advances with a negative effective interest rate.

191. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios shall be taken into account except those included in the items ‘Derivatives – Hedge accounting’ not used to hedge interest rate risk.

192. ‘Derivatives – Hedge accounting, interest rate risk’ shall include the interest income and expenses on hedging instruments where the hedged items generate interest.

193. Where the clean price is used, interest on derivatives held for trading shall include the amounts related to those derivatives held for trading which qualify as ‘economic hedges’ that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view. In such case, interest income on economic hedge derivatives shall be reported separately within interest income from trading derivatives. Time-apportioned fees or balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion shall also be reported within interest on derivatives held for trading.

194. Under IFRS, ‘Of which: interest-income on impaired financial assets’ means interest income on credit-impaired financial assets, including purchased or originated credit-impaired financial assets where the latter are considered as non-performing in accordance with paragraph 215 of this Part. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific impairment allowance for credit risk.

194i. ‘Of which: credit for consumption’ and ‘of which: lending for house purchase’ shall reflect the income and expenses on loans and advances as described in paragraph 88of this Part.

194ii. ‘Of which: interest from leases’ shall reflect the lessor’s interest income on the lease receivable (finance leases) and the lessee’s interest expenses on the lease liability respectively.

195. Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.

196. Template 16.2 shall apply under IFRS to financial assets and liabilities at amortised cost, and debt instruments measured at fair value through other comprehensive income. Under national GAAP based on BAD, template 16.2 shall apply to financial assets measured at cost-based method, at fair value through equity, and in accordance with measurement methods such as the lower of cost or market. Gains and losses of financial instruments classified as trading under the relevant national GAAP based on BAD shall not be reported in this template regardless of the valuation rules applicable for those instruments.

197. Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.

198. Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes and coins, shall be included as trading gains and losses. Gains and losses from precious metal trading or derecognition and re-measurement shall not be included in trading gains and losses but in ‘Other operating income’ or ‘Other operating expense’ in accordance with paragraph 316 of this Part.

199. The item ‘Of which: economic hedges with use of the fair value option’ shall include only gains and losses on credit derivatives measured at fair value through profit or loss and used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion in accordance with IFRS 9.6.7. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the fair value through profit or loss accounting portfolio or into the held for trading portfolio (IFRS 9.5.6.2) shall be reported in ‘Of which: gains and losses due to the reclassification of assets at amortised cost’.

200. Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated with the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on financial assets and financial liabilities other than derivatives shall be included in the risk categories as follows:

201. Gains and losses on non-trading financial assets mandatorily at fair value through profit or loss shall be broken down by type of instrument. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.

202. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the non-trading financial assets mandatorily at fair value through profit or loss accounting portfolio (IFRS 9.5.6.2) shall be reported in ‘Of which: gains and losses due to the reclassification of assets at amortised cost’.

203. Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised gains or losses and the amount of change in fair value of financial liabilities in the period due to changes in the credit risk (own credit risk of the borrower or issuer) where own credit risk is not reported within other comprehensive income.

204. Where a credit derivative measured at fair value is used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion, the gains or losses of the financial instrument upon that designation shall be reported in ‘Of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net’. Subsequent fair value gains or losses on those financial instruments shall be reported in ‘Of which: gains or (-) losses after the designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net’.

205. All gains and losses from hedge accounting, except interest income or expense where the clean price is used, shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item. Gains and losses on hedging instruments shall not include gains and losses related to elements of the hedging instruments that are not designated as hedging instruments in accordance with IFRS 9.6.2.4. Those hedging instruments that are not designated shall be reported in accordance with paragraph 60of this Part. Gains and losses from hedge accounting shall also include gains and losses on hedges of a group of items with offsetting risk positions (hedges of a net position).

206. ‘Fair value changes of the hedged item attributable to the hedged risk’ shall include gains and losses on hedged items where the items are debt instruments measured at fair value through other comprehensive income in accordance with IFRS 9.4.1.2 A (IFRS 9.6.5.8).

207. Under national GAAP based on BAD, the breakdown by type of hedges as provided for in this template shall be reported to the extent the breakdown is compatible with the applicable accounting requirements.

208. ‘Additions’ shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. ‘Reversals’ shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in the recognition of net income.

208i. ‘Information Technology expenses’ shall be the expenses made to deliver IT-enabled business processes, application services and infrastructure solutions for business outcomes, including costs related to the creation and maintenance of IT systems and excluding compensation for IT specialists on the institution’s payroll which shall be reported under staff expenses.

208ii. Among the Information Technology expenses, ‘IT outsourcing’ shall mean IT expenses related to the use of external service providers. It shall not include expenses related to (i) pure staff services (agency staff) to the extent that the institution just hires staff temporarily and keeps full control of the delivered services and (ii) purely standardised operational hardware/software maintenance contracts on merely purchased assets.

208iii. ‘Taxes and duties (other)’shall include taxes and duties other than (i) taxes related to profit or loss taxes and (ii) taxes and duties from discontinued operations. This item includes taxes and duties such as taxes levied on goods and services and the duties paid by the institution.

208iv. ‘Consulting and professional services’ shall mean expenses made to get expert or strategic advice.

208v. ‘Advertising, marketing and communication’ shall include expenses related to marketing communications activities such as advertising, direct or online marketing, and events.

208vi. ‘Expenses related to credit risk’ shall mean administrative expenses in the context of credit events, such as expenses incurred in respect of taking possession of collateral or legal proceedings.

208vii. ‘Litigation expenses not covered by provisions’ shall mean litigation expenses not related to credit risk that were not covered by an associated provision.

208viii. ‘Real estate expenses’ shall mean expenses for repairs and maintenance that do not improve the use or prolong the useful life of the real estate, as well as utility expenses (water, electricity and heating).

208ix. Under IFRS, ‘leasing expenses’ shall comprise expenses of the lessee due to short-term leases and leases of assets of low value as referred to IFRS 16.5 and 16.6. Under national GAAP, leasing expenses shall comprise expenses of the lessee, where the accounting standard envisages the treatment of lease payments as expenses.

208x. ‘Other administrative expenses – Rest’ shall include all the remaining components of ‘other administrative expenses’, such as supervisory fees or bank levies, administrative and logistic services, postage and transport of documents, surveillance and security services, money counting services and transport. Cash contributions to resolution funds and deposit guarantee schemes shall not be reported in this category since they are reported in a separate row of template 2.

209. ‘Accounting scope of consolidation’ shall include the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation, that is, including in the consolidation subsidiaries that are insurance undertakings and non-financial corporations. Institutions shall account for the subsidiaries, joint ventures and associates using the same method as in their financial statements.

210. In this template, the item ‘Investments in subsidiaries, joint ventures and associates’ shall not include subsidiaries as all subsidiaries are fully consolidated under the scope of accounting consolidation.

211. ‘Assets under reinsurance and insurance contracts’ shall include assets under reinsurance ceded as well as, if any, assets related to insurance and reinsurance contracts issued.

212. ‘Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts issued.

213. For the purposes of template 18, non-performing exposures shall be exposures listed in Article 47a(3) CRR.

215. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3). Exposures included in impairment stages other than Stage 3 and those that are purchased or originated credit-impaired shall be considered as non-performing where they meet the criteria to be considered as non-performing in accordance with Article 47a(3) CRR.

216. Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. With reference to the exposures referred to in point (a) of Article 47a(3) CRR, materiality shall be assessed in accordance with Article 178 CRR and the Commission Delegated Regulation (EU) 2018/171 (RTS on materiality threshold for credit obligations past due).

217. For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances, including cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.

218. Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or amortised cost; (b) debt instruments at fair value through other comprehensive income or through equity subject to impairment; and (c) debt instruments at strict LOCOM or fair value through profit or loss or through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. Each category shall be broken down by instrument and by counterparty.

219. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items:

220. Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately.

221. In template 18 for debt instruments, ‘gross carrying amount’ as defined in paragraph 34of Part 1 of this Annex shall be reported. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Annex shall be reported.

222. For the purpose of template 18, an exposure is ‘past-due’ where it meets the criteria of paragraph 96 of this Part. For the purpose of classification of exposures as non-performing in accordance with point (a) of Article 47a(3) CRR, the counting of 90 days past due commences once the past due amount, being the sum of past due principal, interest and fees, breaches the materiality threshold as defined in paragraph 216 of this Part. If the past due part of exposures continues to be material for 90 consecutive days, the exposure should then be classified as non-performing.

223. For the purpose of template 18, ‘debtor’ shall mean an obligor within the meaning of Article 178 CRR.

226. Exposures classified as non-performing in accordance with paragraph 213 shall be categorised as either non-performing on an individual basis (‘transaction based’) or as non-performing for the overall exposure to a given debtor (‘debtor based’). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures:

227. Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days and the gross carrying amount of the past due exposures represents more than 20 % of the gross carrying amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that debtor shall be considered as non-performing. Where a debtor belongs to a group, the need to consider also exposures to other entities of the group as non-performing shall be assessed, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.

228. Exposures shall be considered to have ceased being non-performing where all of the conditions provided in Article 47a(4) CRR are met.

230. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 shall not discontinue their classification as non-performing exposure in accordance with Article 47a(5) CRR.

231. Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in paragraph 262, those exposures shall be considered to have ceased being non-performing where all the conditions provided in Article 47a(6) CRR are met.

232. Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the one year period specified in point (b) of Article 47a(6) CRR, the exposure shall continue to be identified as non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on a quarterly basis.

233. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows in template 18:

234. Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at fair value through profit and loss, the carrying amount of any asset resulting from that designation and measurement at fair value shall be reported in ‘Financial assets designated at fair value through profit or loss’ (IFRS) or ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall not be reported in template 18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9.

234i. The following exposures shall be identified in separate rows:

235. Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but that are not material in accordance with Article 178 CRR shall be reported within performing exposures in ‘Past due > 30 days <= 90 days’.

236. Non-performing exposures shall be reported broken down by past due time bands. In case of application of the debtor approach for the classification of exposures as non-performing referred to in paragraph 226 of this Part of this Annex, the exposures of the debtor shall be reported in the past-due time bands of non-performing in accordance with their individual past-due status. Exposures that are not past due or are past due by 90 days or less, but are nevertheless identified as non-performing due to the likelihood of non-full repayment, shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due.

237. The following exposures shall be identified in separate columns:

238. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110of this Part.

239. Information on collateral held and guarantees received on performing and non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure.

239i. Template 18.1 shall provide the inflows and outflows of loans and advances, excluding loans and advances classified as trading financial assets or held for trading, that were classified into or out of the category of non-performing exposures as defined in paragraphs 213 to 239 or 260of this Part. Inflows and outflows of non-performing loans and advances shall be broken down by counterparty sector.

239ii. Inflows to the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The inflow shall reflect the gross carrying amount of exposures that have become non-performing as defined in paragraphs 213 to 239 or 260 of this Part during the period, including purchased non-performing exposures. An increase in the gross carrying amount of a non-performing exposure due to accrued interest or due to an increase in the accumulated negative changes in fair value due to credit risk shall be reported as an inflow as well.

239iii. For an exposure that during the period has been reclassified multiple times from non-performing to performing or vice versa, the amount of inflows and outflows shall be identified based on a comparison between the status of the exposure (performing or non-performing) at the beginning of the financial year or at initial recognition and its status at the reporting reference date.

239iv. Outflows from the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The outflow shall reflect the sum of the gross carrying amounts of exposures that cease to be non-performing during the period, and, where applicable, shall include the amount of write-offs made in the context of the partial or full derecognition of the exposure. A decrease in the gross carrying amount of a non-performing exposure due to interest paid or a decrease in the accumulated negative changes in fair value due to credit risk shall be reported as an outflow as well.

239v. An outflow shall be reported in the following cases:

239vi. The reclassification of a non-performing exposure from one accounting portfolio to another shall be reported neither as inflow nor as outflow. As an exception, the reclassification of a non-performing exposure from any accounting portfolio to ‘held for sale’ shall be reported as outflow from the original accounting portfolio and inflow to ‘held for sale’.

239vii. The following exposures shall be identified in separate rows:

239viii. Template 18.2 shall present information on commercial real estate loans to non-financial corporations and on loans collateralised by commercial or residential immovable property to non-financial corporations and households respectively, broken down by loan to value ratio (LTV ratio). Loans and advances classified as held for trading, trading financial assets and debt instruments held for sale shall be excluded.

239ix. ‘Commercial real estate (CRE) loans’ shall comprise exposures as defined in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps ( 18 ).

239x. The LTV ratio shall be calculated in accordance with the method for the calculation of the ‘current loan-to-value ratio’ (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps.

239xi. Information on collateral received and financial guarantees received on loans shall be reported in accordance with paragraph 239of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure.

240. For the purpose of template 19, forborne exposures shall be debt contracts in respect of which forbearance measures as defined in Article 47b(1) and (2) CRR have been applied.

243. Forbearance measures also include the exercise of clauses which, where used at the discretion of the debtor, enable the debtor to change the terms of the contract (‘embedded forbearance clauses’) and which shall be treated as a concession where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.

244. For the purposes of Annexes III and IV as well as this Annex, ‘refinancing’ shall mean the use of debt contracts to ensure the total or partial payment of other debt contracts the terms of which the debtor is unable to comply with.

245. For the purpose of template 19, ‘debtor’ means an obligor within the meaning of Article 47b(4) CRR.

246. For the purpose of template 19, ‘debt’ shall include loans and advances (including also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, including those loan commitments that are designated at fair value through profit and loss that are assets at the reporting date. ‘Debt’ shall exclude exposures held for trading.

247. ‘Debt’ shall also include loans and advances and debt securities classified as non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.

248. For the purposes of template 19, ‘exposure’ shall have the same meaning as ‘debt’ in paragraphs 246 and 247 of this Part.

249. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported in template 19 in accordance with paragraph 233 of this Part.

250. For the purposes of template 19, ‘institution’ shall mean the institution, which applied the forbearance measures.

251. In template 19 for ‘debt’, the ‘gross carrying amount’ shall be reported in accordance with paragraph 34 of Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported.

252. Exposures shall be regarded as forborne where a concession has been made in accordance with Article 47b(1) CRR, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Under IFRS, modified financial assets (IFRS 9.5.4.3 and Appendix A) shall be treated as forborne where a concession as defined in Article 47b(1) CRR has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition.

254. There is a rebuttable presumption that forbearance has taken place in any of the circumstances listed in Article 47b(3) CRR.

255. Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures.

256. Forborne exposures shall be included in the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 239 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the conditions provided in Article 47a(7) CRR are met.

257. Where the conditions referred to in Article 47a(7) CRR are not met at the end of the probation period, the exposure shall continue to be identified as performing forborne under probation until all the conditions are met. The conditions shall be assessed at least on a quarterly basis.

258. Forborne exposures, which are classified as non-current assets held for sale in accordance with IFRS 5, shall continue to be classified as forborne exposures.

259. A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are met:

260. Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the forborne exposure under probation reclassified out of non-performing category becomes more than 30 days past due, the exposure shall be classified as non-performing in accordance with point (c) of Article 47a(3) CRR.

261. ‘Performing exposures with forbearance measures’ (performing forborne exposures) shall comprise forborne exposures that do not meet the criteria to be considered as non-performing and that are included in the performing exposures category. Performing forborne exposures shall be under probation until all the criteria laid down in Article 47a(7) CRR, including where paragraph 259 of this Part applies, are met. Performing forborne exposures under probation that have been reclassified out of the non-performing forborne exposures category shall be reported separately within the performing exposures with forbearance measures in the column ‘of which: Performing forborne exposures under probation reclassified from non-performing’.

262. ‘Non-performing exposures with forbearance measures’ (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered as non-performing and that are included in the non-performing exposures category. Those non-performing forborne exposures shall include the following:

263. Where forbearance measures are extended to exposures which were non-performing prior to the extension of forbearance measures, the amount of those forborne exposures shall be separately identified in the column ‘of which: forbearance of exposures non-performing prior to forbearance measures’.

264. The following non-performing exposures with forbearance measures shall be identified in separate columns:

265. The column ‘Refinancing’ shall comprise the gross carrying amount of the new contract (‘refinancing debt’) granted as part of a refinancing transaction which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding.

266. Forborne exposures combining modifications and refinancing shall be allocated to the column ‘Instruments with modifications of the terms and conditions’ or the column ‘Refinancing’, depending on the measure that has the most impact on cash flows. Refinancing by a pool of banks shall be reported in the column ‘Refinancing’ for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to that exposure’s derecognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt.

267. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part.

268. Collateral and guarantees received on exposures with forbearance measures shall be reported for all exposures with forbearance measures, regardless of their performing or non-performing status. In addition, collateral and financial guarantees received on non-performing exposures with forbearance measures shall be shown separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related on-balance sheet exposure or nominal amount after deduction of provisions of the related off-balance sheet exposure.

269. Template 20 shall be reported where the institution exceeds the threshold described in point (4) of Article 5(a) of this Regulation.

270. The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between ‘domestic activities’ and ‘non-domestic activities’. For the purposes of this Part, ‘location’ shall mean the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability. For branches, it shall mean the jurisdiction of its residence. ‘Domestic’ shall include the activities recognised in the Member State where the reporting institution is located.

271. Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the immediate counterparty as defined in paragraph 43of Part 1 of this Annex. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with international organisations and multilateral development banks shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’.

272. ‘Derivatives’ shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11.

273. Assets held for trading under IFRS and trading assets under GAAP shall be identified separately. Financial assets subject to impairment shall have the same meaning as in paragraph 93 of this Part. For the purpose of template 20.4, cash balances at central banks and other demand deposits shall be reported together with financial assets subject to impairment. Assets measured under LOCOM that have credit risk induced value adjustments shall be considered as impaired.

274. In templates 20.4 and 20.7, ‘Accumulated impairment’ and ‘Accumulated negative changes in fair value due to credit risk on non-performing exposures’, as determined in accordance with paragraphs 69 to 71 of this Part shall be reported.

275. In template 20.4 for debt instruments, ‘gross carrying amount’, as determined in accordance with paragraph 34 of Part 1 of this Annex, shall be reported. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column ‘Of which: Non-performing’ debt instruments, as determined in accordance with paragraphs 213 to 239 or 260of this Part shall be reported. Debt forbearance shall comprise all ‘debt’ contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 268of this Part, are extended.

276. In template 20.5, ‘Provisions for commitments and guarantees given’ shall include provisions measured under IAS 37, the credit losses of financial guarantees treated as insurance contracts under IFRS 4, and the provisions on loan commitments and financial guarantees under the impairment requirements of IFRS 9 and provisions for commitments and guarantees under national GAAP based on BAD in accordance with paragraph 11 of this Part.

277. In template 20.7, loans and advances not held for trading, trading or held for sale shall be reported with the classification by NACE Codes on a ‘country-by-country’ basis. NACE Codes shall be reported with the first level of disaggregation (by ‘section’). Loans and advances subject to impairment shall refer to the same portfolios as referred to in paragraph 93 of this Part.

278. For the purposes of the calculation of the threshold in Article 9(e) of this Regulation, tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by the total of tangible assets.

279. Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be broken down by measurement method.

280. For the purposes of the calculation of the threshold in Article 9(f) of this Regulation, the amount of ‘net fee and commission income’ shall be the absolute value of the difference between ‘fee and commission income’ and ‘fee and commission expense’. For the same purposes, the amount of ‘net interest’ shall be the absolute value of the difference between ‘interest income’ and ‘interest expenses’.

281. The fee and commission income and expenses shall be reported by type of activity. Under IFRS, this template shall include fee and commission income and expenses other than both of the following:

282. Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included. Those transaction costs shall form part of the initial acquisition/issue value of those instruments and shall be amortised to profit or loss over their residual life using the effective interest rate (IFRS 9.5.1.1).

283. Under IFRS, transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of ‘Gains or losses on financial assets and liabilities held for trading, net’, ‘Gain or losses on non-trading financial assets mandatorily at fair value through profit or loss, net’ and ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net’, depending on the accounting portfolio in which those transaction costs are classified. Those transaction costs shall not be part of the initial acquisition or issuance value of those instruments and shall be immediately recognized in profit or loss.

284. Institutions shall report fee and commission income and expenses in accordance with the following criteria:

285. Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:

286. For the purposes of Annexes III and IV as well as this Annex, ‘liquidity support drawn’ shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.

287. ‘Losses incurred by the reporting institution in the current period’ shall include losses due to impairment and any other losses which are incurred by a reporting institution during the reporting reference period and concern the reporting institution’s interests in unconsolidated structured entities.

288. Institutions shall report amounts or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party as referred to in IAS 24.

289. Intra-group transactions and intra-group outstanding balances of the prudential group shall be eliminated. Under ‘Subsidiaries and other entities of the same group’, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated within the scope of the prudential consolidation or because the subsidiaries are excluded from the scope of prudential consolidation in accordance with Article 19 CRR for being immaterial or because, for institutions that are part of a wider group, the subsidiaries are of the ultimate parent, not of the institution. Under ‘Associates and joint ventures’, institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated where proportional consolidation is applied.

290. For ‘Loan commitments, financial guarantees and other commitments received’, the amounts that shall be reported shall be the sum of the ‘nominal’ of loan and other commitments received and the ‘maximum amount of the guarantee that can be considered’ of financial guarantees received as defined in paragraph 119.

291. ‘Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures’, as determined in paragraphs 69 to 71, in this Part shall be reported for non-performing exposures only. ‘Provisions on non-performing off-balance sheet exposures’ shall include provisions in accordance with paragraphs 11, 106 and 111 of this Part for exposures which are non-performing, as determined in accordance with paragraphs 213 to 239of this Part.

292. ‘Gains or losses on derecognition of other than financial assets’ shall include all the gains and losses on derecognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on derecognition of non-financial assets, which have been generated by transactions with related parties and that are part of any of the following line items of the ‘Statement of profit or loss’:

293. ‘Impairment or (-) reversal of impairment on non-performing exposures’ shall include impairment losses as defined in paragraphs 51 to 53 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. ‘Provisions or (-) reversal of provisions on non-performing exposures’ shall include provisions as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing as referred in paragraphs 213 to 239 of this Part.

294. Institutions shall provide, as of the reporting date, detailed information on subsidiaries, joint ventures and associates fully or proportionally consolidated within the scope of accounting consolidation as well as entities reported as ‘Investments in subsidiaries, joint ventures and associates’ in accordance with paragraph 4 of this Part, including those entities in which investments are held for sale under IFRS 5. All entities shall be reported, regardless of the activity they perform.

295. Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and in own shares of the reporting institution owned by it (‘Treasury shares’) shall be excluded from this template.

296. The following information shall be reported on a ‘entity-by-entity’ basis and the following requirements shall apply for the purposes of Annexes III and IV as well as this Annex:

297. The following information shall be reported on an ‘instrument-by-instrument’ basis:

298. Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 13.72, 76, 81, and 86, shall be reported in this template. Where national GAAP under BAD also requires the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.

299. Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template.

300. ‘Hybrid contracts’ shall, for liabilities, include the carrying amount of hybrid financial instruments classified, as a whole, in the accounting portfolio of financial liabilities designated at fair value through profit or loss It shall thus include non-separated hybrid instruments in their entirety.

301. ‘Managed for credit risk’ shall include the carrying amount of instruments that are designated at fair value through profit or loss at the occasion of their hedging against credit risk by credit derivatives measured at fair value through profit or loss in accordance with IFRS 9.6.7.

302. Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement.

303. ‘Other intangible assets’ shall include all intangible assets other than goodwill. Software assets shall be reported within ‘Other intangible assets’ or within ‘Property, plant and equipment’ in accordance with the applicable accounting framework.

303i. Where the institution assumes the role of a lessee, it shall provide separate information on lease assets (right-of-use assets).

304. This template shall include reconciliation between the carrying amount of the item ‘Provisions’ at the beginning and end of the period by the nature of the movements, except provisions measured under IFRS 9 that shall instead be reported in template 12.

305. ‘Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4’ shall include provisions measured under IAS 37 and the credit losses of financial guarantees treated as insurance contracts under IFRS 4.

306. These templates shall include accumulated information of all defined benefit plans of the institution. Where there is more than one defined benefit plan, aggregated amount of all plans shall be reported.

307. The template on components of net defined benefit plan assets and liabilities shall show the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights (IAS 19.140 (a), (b)).

308. ‘Net defined benefit assets’ shall include, in the event of a surplus, the surplus amounts that shall be recognised in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognised in the memo item ‘Fair value of any right to reimbursement recognized as asset’ shall be included in the item ‘Other assets’ of the balance sheet.

309. The template on movements in defined benefit obligations shall show the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period shall be presented separately.

310. The amount of ‘Closing balance (present value)’ in the template for movements in defined benefit obligations shall be equal to ‘Present value defined benefit obligations’.

311. For reporting of staff expenses by type of benefits, the following definitions shall be used:

311i. For reporting of staff expenses by category of remuneration and category of staff, the following definitions shall be used:

311ii. ‘Number of staff’ shall include, as of the reporting reference date, the number of staff, expressed in full time equivalents (FTEs), plus the number of members in the management body expressed in terms of headcount for prudential (CRR) scope of consolidation. Of those, the number of identified staff, and the number of representatives in the management body in its management function and in senior management, as well as the number of representatives in the management body in its supervisory function shall be reported separately.

312. ‘Financial liabilities designated at fair value through profit or loss’ shall only include the gains and losses due to the change in the own credit risk of issuers of liabilities designated at fair value through profit or loss where the reporting institution has chosen to recognise them in profit or loss because a recognition in other comprehensive income would create or enlarge an accounting mismatch.

313. ‘Gains or losses on derecognition of non-financial assets’ shall be broken down by type of asset. Each line item shall include the gain or the loss on the asset that has been derecognised. ‘Other assets’ shall include other tangible assets, intangible assets and investments not reported elsewhere.

314. Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible assets measured using the fair value model; rental income and direct operating expenses from investment property; income and expenses on operating leases other than investment property and the rest of operating income and expenses.

315. ‘Operating leases other than investment property’ shall include, for the column ‘income’ the returns obtained, and for the column ‘expenses’ the costs incurred, by the institution as lessor in its operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item ‘Other administrative expenses’.

316. Gains or losses from derecognition and re-measurements of holdings of gold, other precious metals and other commodities measured at fair value, less costs to sell, shall be reported among the items included in ‘Other operating income. Other’ or ‘Other operating expenses. Other’

317. The statement of changes in equity shall disclose the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.

318. ‘Transfers among components of equity’ shall include all amounts transferred within equity, including both gains and losses due to own-credit risk of liabilities designated at fair value through profit or loss and the accumulated fair value changes of equity instruments measured at fair value through other comprehensive income that are transferred to other components of equity upon derecognition.

319. Template 23 presents additional information on loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets and debt instruments held for sale.

320. For the purposes of determining the ‘number of instruments’, an instrument shall be understood as a banking product with an outstanding balance and, where applicable, a credit limit, typically being associated with an account. An exposure towards a specific counterparty can consist of multiple instruments. The number of instruments shall be determined based on the way the institution manages the exposure. The number of instruments shall be indicated separately for exposures in pre-litigation status and exposures in litigation status as defined in paragraphs 321 and 322 of this Part.

321. An exposure shall be ‘in pre-litigation status’ where the debtor has been formally notified that the institution will take legal action against the debtor within a defined time period, unless certain contractual or other payment obligations are met. That shall also include cases where the contract has been terminated by the reporting institution because the debtor is in formal breach of the terms and conditions of the contract and the debtor has been notified accordingly, but no legal action against the debtor has formally been taken by the institution yet. Exposures classified as ‘in pre-litigation status’ can exit this classification if the outstanding amounts are paid or if they enter into litigation status as defined in the following paragraph.

322. An exposure shall be ‘in litigation status’ where legal action against the debtor has formally been taken. This comprises cases where a court of law confirmed that formal judiciary proceedings have occurred or the judiciary system has been notified of the intention to commence legal proceedings.

323. ‘Unsecured loans and advances without guarantees’ refers to exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall not be included.

324. Loans and advances with an accumulated coverage ratio of more than 90 % shall be reported separately. For that purpose, the ‘accumulated coverage ratio’ shall be the ratio between the accumulated impairments, respectively the accumulated negative changes in fair value due to credit risk related to a loan or advance as numerator, and the gross carrying amount of that loan or advance as denominator.

325. Loans collateralised by immovable property as defined in paragraphs 86(a) and 87 of this Part as well as commercial real estate loans as defined in paragraph 239ix of this Part shall be reported broken down by loan/collateral ratio (‘loan-to-value’ (LTV) ratio) as defined in paragraph 239x of this Part.

326. Information on collateral held and guarantees received on the loans and advances shall be reported in accordance with paragraph 239 of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure. Immovable property pledged as collateral shall be reported separately in addition.

327. By way of derogation from the previous paragraph, ‘collateral received on loans and advances – uncapped amounts’ shall reflect the full value of the collateral received without a cap at the carrying amount of the related exposure.

328. Template 24.1 shall provide a reconciliation of the opening and closing balances of the stock of loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, trading financial assets, held for trading or as held for sale, that are classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part and reported in template 18. Inflows and outflows of non-performing loans and advances shall be broken down by type of inflow or outflow.

329. Inflows to the category of non-performing exposures shall be reported in accordance with paragraphs 239ii to 239iii and 239vi of this Part, with the exception of inflows to the category ‘held for sale’, which are outside the scope of this template. Inflows shall be broken down by type (source) of inflow. In this context:

330. The following exposures shall be reported in separate rows:

331. Outflows from the category of non-performing exposures shall be reported in accordance with paragraphs 239iii to 239vi of this Part, and be broken down by type (reason) of the outflow. In this context, ‘outflow due to write-offs’ shall reflect the amount of write-offs made during the period that cannot be linked to any of the other specified outflow types and shall include also write-offs related to the total extinguishment of all the reporting institution’s rights by expiry of the statue-of-limitations period, forgiveness or other causes occurred during the period.

332. In those cases where an exposure is partially derecognised and the remaining part is reclassified as performing, the outflow pertaining to the reclassification and the outflow pertaining to the derecognition shall be reported as separate outflows. For outflows due to collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, the net cumulated recoveries obtained shall be reported. If, at the moment of collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, a write-off was made, that amount shall be reported as a part of the related outflow type.

333. ‘Net cumulated recoveries’ shall mean (i) the amount of cash or cash equivalents collected, net of related costs, in the context of collateral liquidations, of the sale of exposures and of risk transfers, respectively (ii) the value at initial recognition as defined in paragraph 175i of this Part of the collateral obtained in the context of outflows due to taking possession of collateral.

334. The outflow pertaining to loans and advances that became non-performing during the period and afterwards ceased to meet the criteria for being classified as non-performing shall be reported separately.

335. Template 24.2 shall contain a reconciliation of the opening and closing balances of the allowance accounts and the stock of accumulated negative changes in fair value due to credit risk pertaining to loans and advances that are or were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part, excluding loans and advances classified as cash balances at central banks and other demand deposits or as held for sale.

336. ‘Increases during the period’ shall comprise:

337. The part of the increase attributable to impairments and accumulated negative changes in fair value booked against interest accrued shall be reported separately in addition.

338. ‘Decreases during the period’ shall comprise:

339. The following items shall be reported separately:

340. Template 24.3 shall be used to report the write-offs as defined in paragraph 74 of this Part to the extent that they (i) were made during the period (inflows) and (ii) refer to loans and advances classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period, excluding loans and advances classified as held for trading, trading financial assets or held for sale. Both partial and total write-offs shall be reported. Of these write-offs, those attributable to the forfeiture of the right to legally recover an exposure, or part of it, shall be reported separately.

341. ‘Collateral obtained by taking possession’ shall include both assets that were pledged by the debtor as collateral and assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

342. Template 25.1 shall be used to present the reconciliation of the opening balance, as of the beginning of the financial year, and the closing balance of the stock of collateral obtained by taking possession, other than collateral classified as property, plant and equipment (PP&E). In addition, the template shall provide information on the related ‘debt balance reduction’ and the value at initial recognition of collateral obtained by taking possession.

343. ‘Debt balance reduction’ shall mean the gross carrying amount of the exposure that was derecognised from the balance sheet in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, and the related impairments and negative changes in fair value due to credit risk accumulated at that point in time. Where, at the moment of exchange, a write-off was made, that amount shall be considered part of the debt balance reduction as well. Derecognitions from the balance sheet due to other reasons, such as cash collections, shall not be reported.

344. ‘Value at initial recognition’ shall have the same meaning as described in paragraph 175i of this Part.

345. With regard to the ‘inflows during the period’:

346. With regard to the ‘outflows during the period’:

347. In case of a sale of collateral for cash, the ‘Outflow for which cash was collected’ shall be equal to the sum of ‘Cash collected net of costs’ and ‘Profits/(-) losses from sale of collateral obtained by taking possession’. ‘Cash collected net of costs’ shall mean the amount of cash received net of transaction costs, such as fees and commissions paid to agents, transfer taxes and duties. ‘Profits/(-) losses from sale of collateral obtained by taking possession’ shall mean the difference between the carrying amount of the collateral measured at the date of derecognition and the amount of cash received net of transaction costs. In case of replacement of collateral with financial instruments as described in paragraph 346 of this Part, the carrying amount of the financing granted shall be reported.

348. Collateral obtained by taking possession shall be reported broken down by ‘time passed since the collateral has been recognised in the institution’s balance sheet.

349. In the context of the presentation of collateral obtained bytime passed since recognition in the balance sheet, the ‘ageing’ of collateral on the balance sheet, i.e. the migration between the predefined time buckets, shall be reported neither as inflow nor as outflow.

350. Template 25.2 shall include a breakdown of the collateral obtained by taking possession as defined in paragraphs 341 of this Part, by type of collateral obtained. The template reflects collateral recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained. In addition, the template provides information on the related ‘debt balance reduction’ and ‘value at initial recognition’ as defined in paragraphs 343 and 344 of this Part and on the number of collateral obtained by taking possession and recognised in the balance sheet at the reference date. The number of collateral obtained by taking possession shall be calculated regardless of the carrying amount of the collateral and it can be one or more than one for each exposure derecognized from the balance sheet in exchange for the collateral obtained by taking possession.

351. The type of collateral shall be the ones referred to in paragraph 173 of this Part with the exception of those in point (b) (i) of that paragraph.

352. With regard to collateral in the form of immovable property, the following information shall be reported in separate rows:

353. In template 25.3, information on collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) shall be reported. In addition, the template shall provide information on the related ‘debt balance reduction’ and ‘value at initial recognition’ as defined in paragraphs 343 and 344 of this Part.

354. Information shall be provided on the stock of collateral as of the reference date, irrespective of the point in time it was obtained, and the inflows due to new collateral obtained by taking possession during the period between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. With regard to the ‘debt balance reduction’, the ‘total’ shall reflect the debt balance reduction related to the collateral as of the reference date and the ‘inflows due to new collateral obtained by taking possession’ shall reflect the debt balance reduction related to the collateral that was obtained during the period.

355. Template 26 shall include detailed information on loans and advances classified as forborne in accordance with paragraphs 240 to 268 of this Part, excluding instruments classified as cash balances at central banks and other demand deposits or as held for sale. Forborne exposures referring to either a modification of the previous terms and conditions or a total or partial refinancing of a troubled debt contract as defined in paragraph 241 of this Part shall be broken-down in more specific types of forbearance measures.

356. The ‘Number of instruments’ shall be determined as defined in paragraph 320of this Part.

357. The gross carrying amount of exposures with forbearance measures shall be allocated to a category reflecting the type of forbearance measure. Where multiple forbearance measures have been applied to an exposure, the gross carrying amount of exposures with forbearance measures shall be allocated to the most relevant type of forbearance measure. The latter shall be identified based on the type of forbearance measure which has the highest impact on the Net Present Value (NPV) of the forborne exposure or by using any other methods considered applicable.

358. The types of forbearance measures shall be the following:

359. Where the forbearance measure affects the gross carrying amount of an exposure, the gross carrying amount at the reference date, i.e. after application of the forbearance measure, shall be reported. In the case of refinancing, the gross carrying amount of the new contract (‘refinancing debt’) granted which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding shall be reported.

360. The following items shall be reported in separate rows:

361. Exposures to which forbearance measures have been granted since the end of the last financial year shall be reported in separate columns.

362. The information provided in template 47 shall refer to loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets or held for sale.

363. The ‘weighted average time since past due date (in years)’ shall be calculated as the weighted average of the number of days past due of exposures classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part at the reference date. Non-performing exposures that are not past due shall be considered as being zero days past due in this calculation. Exposures shall be weighted by the gross carrying amount measured at the reference date. The weighted average time since past due date shall be expressed in years (with decimals).

364. The following information on the results of litigation procedures on non-performing loans and advances concluded during the period shall be reported:

1. Tables 2 and 3 map exposure classes to be used to calculate capital requirements in accordance with CRR to counterparty sectors used in FINREP tables.