Row reference

Legal reference and instructions

Explanation

(a)

Point (a) of Article 453 CRR

When disclosing information on their netting policies and use of netting in accordance with point (a) of Article 453 CRR, institutions shall provide a clear description of CRM policies and processes concerning on-balance-sheet, off-balance-sheet netting and master netting agreements. They shall also indicate to what extent on-balance-sheet, off-balance-sheet netting and master netting agreements have been used and their importance regarding credit risk management. Institutions could especially mention details about the techniques in use as well as the positions covered by on-balance-sheet netting agreements and the financial instruments included in the master netting agreements. Furthermore, the conditions necessary to assure effectiveness of these techniques and the controls in place for legal risk could also be described.

(b)

Point (b) of Article 453 CRR

As part of their disclosures on the core features of their policies and processes for eligible collateral valuation and management in accordance with point (b) of Article 453 CRR, institutions shall disclose:

Additionally, institutions could also disclose if there is a system of credit exposure limits in place and the impact of accepted collateral in the quantification of those limits.

(c)

Point (c) of Article 453 CRR

When describing the collateral taken in accordance with point (c) of Article 453 CRR, institutions shall provide a detailed description of the main types of collateral accepted to mitigate credit risk, by type of exposures.

(d)

Point (d) of Article 453 CRR

The description of the main types of guarantors and counterparties in credit derivatives and their creditworthiness to be disclosed in accordance with point (d) of Article 453 CRR shall cover credit derivatives used for the purposes of reducing capital requirements, excluding those used as part of synthetic securitisation structures. Institutions could also include description of the methods used to recognise the effects of the guarantees or credit derivatives provided by the main types of guarantors and counterparties.

(e)

Point (e) of Article 453 CRR

When disclosing information about market or credit risk concentrations within CRM taken in accordance with point (e) of Article 453 CRR, institutions shall provide an analysis of any concentration that arises due to CRM measures and may prevent CRM instruments from being effective. Concentrations in the scope of those disclosures could include concentrations by type of instrument used as collateral, entity (concentration by guarantor type and credit derivative providers), sector, geographical area, currency, rating or other factors that potentially impact the value of the protection and thereby reduce this protection.

Column reference

Legal references and instructions

Explanation

a

Unsecured carrying amount:

The carrying amount of exposures (net of allowances/impairments) that do not benefit from any CRM technique, regardless of whether this technique is recognised under CRR

In particular, it refers to exposures for which neither collateral was pledged nor financial guarantee were received. The unsecured part of a partially secured or partially guaranteed exposure shall not be included.

b

Secured carrying amount:

Carrying amount of exposures that have at least one CRM technique (collateral, financial guarantees, credit derivatives) associated with them

In case the value of collateral, financial guarantees and credit derivatives securing an exposure exceeds the carrying amount of that exposure, only the values up to the carrying amount of that exposure shall be included. In case the carrying amount of an exposure exceeds the value of collateral, financial guarantees and credit derivatives securing that exposure, the full carrying amount of that exposure shall be included.

For the purpose of the following columns c, d and e, the allocation of the carrying amount of multi-secured exposures to their different CRM techniques is made by order of priority, starting with the CRM technique expected to be called first in the event of non-payment, and within the limits of the carrying amount of the secured exposures. Any part of exposure shall be included in only one of the columns c, d or e of this template.

c

Of which secured by collateral:

This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by collateral. In case an exposure is secured by collateral and other CRM technique(s) expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by collateral is the remaining share of the exposure after consideration of the shares of the exposures already secured by other mitigation techniques, up to the carrying amount of that exposure.

d

Of which secured by financial guarantees:

This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by guarantees. In case an exposure is secured by guarantees and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by guarantees is the remaining part of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure.

e

Of which secured by credit derivatives:

This is a subset of column d (financial guarantees) of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by credit derivatives. In case an exposure is secured by credit derivatives and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by credit derivatives is the remaining share of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure.

Row reference

Legal references and instructions

Explanation

1

Loans and advances

‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with Regulation (EU) 1071/2013 (‘ECB BSI Regulation’) (1) as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014 (2).

2

Debt securities

Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation, as defined in paragraph 31 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

3

Total

Sum of amounts in rows 1 and 2 of this template

4

Of which non-performing exposures

Non-performing exposures in accordance with Article 47a CRR

EU-5

Of which defaulted

Defaulted exposures in accordance with Article 178 CRR