Legal references and instructions

Row number

Explanation

(a)

When disclosing information required in point (a) of Article 439 CRR, institutions shall provide a description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties.

(b)

When disclosing information required in point (b) of Article 439 CRR, institutions shall provide a description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves.

(c)

When disclosing information required in point (c) of Article 439 CRR, institutions shall provide a description of policies with respect to Wrong-Way risk as defined in Article 291 CRR.

(d)

In accordance with Article 431 (3) and (4) CRR institutions shall complement the above information by any other risk management objectives and relevant policies related to CCR.

(e)

When disclosing information required in point (d) of Article 439 CRR institutions shall provide the amount of collateral the institutions would have to provide if their credit rating was downgraded.

Where the central bank of a Member State undertakes liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions to provide this information where it deems that the disclosure of the information referred to therein could reveal the provision of emergency liquidity assistance. For these purposes, the competent authority shall set out appropriate thresholds and objective criteria.

Legal references and instructions

Row number

Explanation

EU-1

Original Exposure Method (for derivatives)

Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Article 282 of Section 5 of Chapter 6 of Title II of Part Three CRR

This simplified method for calculating the exposure value of derivative positions can only be used by institutions meeting the conditions laid down in Article 273a (2) or (4) of Chapter 6 of Title II of Part Three CRR.

EU-2

Simplified Standardised Approach for CCR (Simplified SA-CCR for derivatives)

Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Article 281 of Section 4 of Chapter 6 of Title II of Part Three CRR

This simplified standardised approach for calculating the exposure value of derivative positions can only be used by institutions meeting the conditions laid down in Article 273a (1) or (4) of Chapter 6 of Title II of Part Three CRR.

1

Standardised Approach for CCR (SA-CCR for derivatives)

Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR

2

IMM (for derivatives and SFTs)

Derivatives and long settlement transactions and SFTs for which institutions have been permitted to calculate the exposure value using the Internal Model Method (IMM) in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR

EU-2a

Of which securities financing transactions netting sets

Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR, for which institutions have been permitted to determine the exposure value using the IMM

EU-2b

Of which derivatives and long settlement transactions netting sets

Netting sets containing only derivative instruments listed in Annex II to CRR and long settlement transactions as defined in point (2) of Article 272 CRR, for which institutions have been permitted to determine the exposure value using the IMM

EU-2c

Of which from contractual cross-product netting sets

Netting sets containing transactions of different product categories (point (11) of Article 272 CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in point (25) of Article 272 CRR exists and for which institutions have been permitted to determine the exposure value using the IMM

3, 4

Financial collateral simple method (for SFTs) and Financial collateral comprehensive method (for SFTs)

Repurchase transactions, securities or commodities lending or borrowing transactions and margin lending transactions for which institutions have chosen to determine the exposure value in accordance with Articles 222 and 223 of Chapter 4 of Title II of Part Three CRR, as opposed to Article 271(2) of Chapter 6 of Title II of Part Three CRR

5

VaR for SFTs

Repurchase transactions, securities or commodities lending or borrowing transactions, margin lending transactions, or other capital market-driven transactions other than derivative transactions for which (in accordance with Article 221 CRR) the exposure value is calculated using an internal model approach (IMA) that takes into account correlation effects between security positions subject to the master netting agreement, as well as the liquidity of the instruments concerned

6

Total

Column letter

Explanation

a, b

Replacement cost (RC) and Potential future exposure (PFE)

RC and PFE shall be computed:

Institutions shall disclose the sum of the replacement costs for all netting sets in the corresponding rows.

c

Effective expected positive exposure (EEPE)

The EEPE per netting set is defined in point (22) of Article 272 CRR and shall be calculated in accordance with Article 284(6) CRR.

The EEPE to be disclosed here shall be the one applied for the determination of own funds requirements in accordance with Article 284 (3) CRR, i.e. either the EEPE calculated using current market data, or the EEPE calculated using a stress calibration, whichever leads to a higher own funds requirement.

Institutions shall specify in the narrative accompanying this template which EEPE has been inserted.

d

Alpha used for computing regulatory exposure value

The value of α is fixed as 1,4 in rows EU-1, EU-2 and 1 of this template in accordance with Articles 282(2), 281(1) and 274(2) CRR

For IMM purposes, the value of α can either be the default of 1,4 or different when competent authorities require a higher α in accordance with Article 284(4) CRR or permit institutions to use their own estimates in accordance with Article 284(9) of Section 6 of Chapter 6 of Title II of Part Three CRR.

e

Exposure value pre-CRM

The exposure value pre-CRM for CCR business shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR taking into account the effect of netting, but disregarding any other credit risk mitigation techniques (e.g. through margin collateral).

In the case of SFTs the security leg shall not be considered in the determination of the exposure value pre-CRM when collateral is received and therefore shall not decrease the exposure value. On the contrary, the SFTs security leg shall be considered in the determination of the exposure value pre-CRM in the regular way when collateral is posted.

Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining effects apply.

For transactions where specific wrong way risk has been identified, the exposure value pre-CRM must be determined in accordance with Article 291 CRR.

The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR.

The institution shall disclose the sum of all exposure values pre-CRM in the respective row.

f

Exposure value (post-CRM)

The exposure value post-CRM for CCR business shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR

For transactions where specific wrong way risk has been identified, the exposure value shall be determined in accordance with Article 291 CRR.

In accordance with Article 273(6) CRR, the incurred CVA loss shall not be deducted from the exposure value post-CRM.

The institution shall disclose the sum of all exposure values post-CRM in the respective row.

g

Exposure value

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

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

For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in each CCR approach reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty.

The institution shall disclose the sum of all exposure values post-CRM in the respective row.

h

RWEA

Risk weighted exposure amounts as defined in Article 92 (3) and (4) CRR calculated in accordance with Article 107 CRR, for elements whose risk weights are estimated on the basis of the requirements in Chapters 2 and 3 of Title II of Part Three CRR and for which the exposure value for CCR business is calculated in accordance with Chapters 4 and 6 of Title II of Part Three CRR

Legal references and instructions

Row number

Explanation

1

Total transactions subject to the Advanced method

Transactions subject to the advanced method to calculate own funds requirements for CVA risk in accordance with Article 383 CRR

2

VaR component (including the 3 × multiplier)

Transactions subject to own funds requirements for CVA risk for which the risk weighed exposure amounts are obtained via the formula in Article 383 CRR, using VaR calculation based on internal models for market risk (with current parameter calibrations for expected exposure as set out in the first subparagraph of Article 292 (2) CRR).

The calculation shall includes the use of a multiplier that is at least 3 (set by the supervisor).

3

Stressed VaR component (including the 3 × multiplier)

Transactions subject to own funds requirements for CVA risk for which the risk weighted exposure amounts are obtained via the formula in Article 383 CRR using stressed VaR calculation based on internal models for market risk (with stressed parameters for the calibration of the formula as set out in the first subparagraph of Article 292 (2) CRR).

The calculation shall include the use of a multiplier that is at least 3 (set by the supervisor).

4

Transactions subject to the Standardised method

Transactions subject to the standardised method to calculate own funds requirements for CVA risk in accordance with Article 384 CRR

EU-4

Transactions subject to the Alternative approach (Based on the Original Exposure Method)

Transactions subject to the alternative approach to calculate own funds requirements for CVA risk, in accordance with Article 385 CRR

5

Total transactions subject to own funds requirements for CVA risk

Column letter

Explanation

a

Exposure value

Exposure value that is determined in accordance with Chapter 6 of Title II of Part Three CRR (or in the case of transactions in the scope of Article 271(2) CRR, in accordance with Chapter 4 of Title II of Part Three CRR) for transactions that are in the scope of Title VI of Part Three CRR

The exposure value shall be the value used in the calculation of own funds requirements for CVA risk considering mitigation effects in accordance with Title VI of Part Three CRR. For transactions treated under the Original Exposure Method (alternative approach), the exposure value shall be the value that has been used for computing risk weighted exposure amounts.

b

RWEA

Risk weighted exposure amounts in accordance with point (d) of Article 438 and with point (d) of Article 92 (3) CRR, i.e. own funds requirements for CVA risk calculated via the chosen method multiplied by 12.5 in accordance with point (b) of Article 92(4) CRR

Legal references and instructions

Row number

Explanation

1-9

Exposure classes

These rows refer to the regulatory exposure classes as defined in Article 112 to Article 134 of Chapter 4 of Title II of Part Three CRR. In each line, the corresponding exposure values (see definition provided in column g of template EU CCR1) shall be disclosed.

10

Other items

This refers to assets subject to a specific risk weight set out in Article 134 of Chapter 4 of Title II of Part Three CRR and any other items not covered in rows 1 to 9 of this template. It also refers to assets not deducted in the application of Article 39 CRR (tax overpayments, tax loss carrybacks and deferred tax assets that do not rely on future profitability), Article 41 CRR (defined benefit pension fund assets), Article 46 and Article 469 CRR (non-significant investments in CET1 of financial sector entities), Article 49 and Article 471 CRR (participations in insurance entities whether or not insurance entities are supervised under the conglomerate directive), Article 60 and Article 475 CRR (non-significant and significant indirect and investments in AT1 of financial sector entities), Article 70 and Article 477 CRR (insignificant and significant indirect and synthetic holdings of T2 from a financial sector entity) when not allocated to other exposure classes, and to qualifying holdings outside the financial sector when they are not 1 250  % risk-weighted in the application of point (k) of Article 36 of Chapter 2 of Title I of Part Two CRR.

11

Total exposure value

Column letter

Explanation

a-k

These columns refer to the credit risk quality steps/risk weights as set out in Chapter 2 of Title II of Part Three CRR for which the corresponding exposure values (see definition provided in column g of template EU CCR1) shall be disclosed.

l

Total exposure value

Legal references and instructions

Row number

Explanation

1 to 8

PD scale

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

1 to x

Exposure class X

This refers to the different exposure classes listed in Article 147 of Chapter 3 of Title II of Part Three CRR.

x and y

Sub-total (Exposure class X) / Total (all CCR relevant exposure classes)

The (sub-) total of exposure values, risk weighted exposure amounts and number of obligors shall just be the sum of the respective columns. Concerning the different parameters Average PD, Average LGD, Average Maturity and RWEA density the below definitions apply with respect to the sample of exposure class X or all CCR relevant exposure classes.

Column letter

Explanation

a

Exposure value

Exposure value (see definition provided in column g of template EU CCR1), broken down by exposure classes and the given PD scale as set out in Chapter 3 of Title II of Part Three CRR

b

Exposure weighted average PD (%)

Average of individual obligor grade PDs weighted by their corresponding exposure value in column a of this template

c

Number of obligors

The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted

Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR.

d

Exposure weighted average LGD (%)

Average of obligor grade LGDs weighted by their corresponding exposure value

The disclosed LGD shall correspond to the final LGD estimate used in the calculation of own funds requirements obtained after considering any CRM effects and downturn conditions where relevant.

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

For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The disclosed LGD shall correspond to the estimate of LGD in-default.

e

Exposure weighted average maturity (years)

Average of obligor maturities in years weighted by their corresponding exposure value in column a of this template.

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

f

RWEA

Risk weighted exposure amounts calculated in accordance with the requirements laid down in Chapter 3 of Title II of Part Three CRR; for exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153(1) to (4) CRR; the SME and infrastructure supporting factor determined in accordance with Article 501 CRR and Article 501a CRR shall be taken into account; for equity exposures under the PD/LGD approach, the risk weighted exposure amount calculated in accordance with Article 155(3) CRR

g

Density of risk weighted exposure amounts

Ratio of the total risk weighted exposure amounts (in column f of this template) to the exposure value (in column a of this template)

Legal references and instructions

Row number

Explanation

1-8

Collateral type

Breakdown by type of collateral

9

Total

Column letter

Explanation

a, c, e and g

Segregated

Collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) CRR

b, d, f and h

Unsegregated

Collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) CRR

a to d

Collateral used in derivative transactions

Collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II CRR or a long settlement transaction as per Article 271(2) CRR not qualifying as an SFTs

e to h

Collateral used in SFTs

Collateral (including the initial margin and variation margin collateral as well as the collateral appearing in the security leg of the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative

Legal references and instructions

Row number

Explanation

1-6

Notionals

Sum of absolute notional derivative amounts before any netting broken down by product type

7-8

Fair values

Fair values broken down by assets (positive fair values) and liabilities (negative fair values)

Column letter

Explanation

a-b

Credit derivative protection

Credit derivative protection bought or sold in accordance with Chapter 6 of Title II of Part Three CRR

Legal references and instructions

Row number

Explanation

1

RWEA as at the end of the previous disclosure period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous disclosure period

2

Asset size

RWEA changes (positive or negative) due to organic changes in book size and composition (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities

3

Credit quality of counterparties

RWEA changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses

This row shall include potential RWEA changes due to IRB models when the institution uses an IRB approach.

4

Model updates (IMM only)

RWEA changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses

This row shall reflect only changes in the IMM.

5

Methodology and policy (IMM only)

RWEA changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM)

6

Acquisitions and disposals

RWEA changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities

7

Foreign exchange movements

RWEA changes (positive or negative) due to changes arising from foreign currency translation movements

8

Other

This category shall be used to capture RWEA changes (positive or negative) that cannot be attributed to the above categories. Institutions shall include the sum of these RWEA changes in this row. Institutions shall further describe any other material drivers of risk weighted amounts movements over the disclosure period in the accompanying narrative for this template.

9

RWEA as at the end of the current disclosure period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current disclosure period

Column letter

Explanation

a

RWEA

Legal references and instructions

Row number

Explanation

1-10

Qualifying CCP (QCCP)

A qualifying central counterparty or ‘QCCP’ as defined in point (88) of Article 4(1) CRR

7 and 8

17 and 18

Initial margin

Institutions shall disclose the fair values of collateral received or posted as initial margin defined in point (140) of Article 4(1) CRR.

For the purposes of this template, initial margin does not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it will be treated as a default fund exposure).

9 and 19

Prefunded default fund contributions

The contribution to the default fund of a CCP that is paid in by the institutions

‘Default fund’ is defined in point (89) of Article 4(1) CRR.

20

Unfunded default fund contributions

Contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members. ‘Default fund’ is defined in point (89) of Article 4(1) CRR.

7 and 17

Segregated

See definition in included in template EU CCR5.

8 and 18

Unsegregated

See definition in included in template EU CCR5.

Column letter

Explanation

a

Exposure value

Exposure value calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR for transactions in the scope of Section 9 of Chapter 6 of Title II of Part Three CRR, after the application of the relevant adjustments provided for by Articles 304, 306 and 308 of that section

An exposure can be a trade exposure, as defined in point (91) of Article 4(1) CRR. The disclosed exposure value is the amount relevant for the own funds requirements calculation in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 CRR during the transitional period provided for by that Article.

b

RWEA

Risk weighted exposure amounts referred to in point (a) of Article 92(3) CRR calculated in accordance with Article 107 of Section 9 of Chapter 6 of Title II of Part Three CRR.