Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

ANNEX II Instructions

I.

General instructions

I.1

Structure

  1. (1)

    The framework consists of 15 templates, organised in 3 blocks:

    1. (1)

      "General information", which provides an overview of the organisational structure of a group and its entities, the distribution of assets and risk exposure amounts. This block consists of template "Z 01.00 — Organisational structure (ORG)"

    2. (2)

      "Information on on-balance sheet items and off-balance sheet items" which provides financial information on liabilities, own funds, financial connections between group entities, liabilities towards major counterparties and off-balance sheet items received from major counterparties, and deposit insurance. This block consists of 6 templates:

      1. (a)

        "Z 02.00 — Liability Structure (LIAB)";

      2. (b)

        "Z 03.00 — Own funds requirements (OWN)";

      3. (c)

        "Z 04.00 — Intragroup financial interconnections (IFC)";

      4. (d)

        Two templates on major counterparties, "Z 05.01 — Major Liability Counterparties (Z-MCP 1)" and "Z 05.02 — Major off-balance sheet counterparties (Z-MCP 2)".

      5. (e)

        "Z 06.00 — Deposit insurance (Z-DIS)".

    3. (3)

      "Critical functions" which provides an overview of critical functions and maps them to legal entities, core business lines, critical services, financial market infrastructures and information systems. This block consists of 7 templates:

      • 4 templates on the identification of critical functions and their mapping to core business lines and group entities, "Z 07.01 — Criticality assessment of economic functions (Z-FUNC 1)", "Z 07.02 — Mapping of critical functions by legal entity (Z-FUNC 2)", "Z 07.03 — Mapping of Core Business Lines by legal entity (Z-FUNC 3)" and "Z 07.04 — Mapping of critical functions to core business lines (Z-FUNC 4)";
      • "Z 08.00 — Critical services (Z-SERV)";
      • "Z 09.00 – FMI Services — Providers and Users — Mapping to Critical Functions (FMI)";
      • 2 templates on critical information systems, "Z 10.01 — Critical Information systems (General information) (Z-CIS 1)" and "Z 10.02 — Mapping of information systems (Z-CIS 2)".

I.2

References

  1. (2)

    For the purposes of this Annex, the following abbreviations shall apply:

    1. (a)

      "BCBS" means the Basel Committee on Banking Supervision of the Bank for International Settlements;

    2. (b)

      "CPMI" means the Committee on Payments and Market Infrastructures of the Bank for International Settlements;

    3. (c)

      "FINREP" means financial information templates included in Annexes III and IV of, and complementary instructions included in Annex V of, Commission Implementing Regulation (EU) No 680/2014;

    4. (d)

      "COREP (OF)" means Annexes I (templates) and II (instructions) of Implementing Regulation (EU) No 680/2014;

    5. (e)

      "COREP (LR)" means Annexes X (templates) and XI (instructions) of Implementing Regulation (EU) No 680/2014;

    6. (f)

      "FSB" means Financial Stability Board;

    7. (g)

      "IAS" means International Accounting Standards as defined in Article 2 of Regulation (EC) No 1606/2002 of the European Parliament and of the Council;

    8. (h)

      "IFRS" means International Financial Reporting Standards as defined as defined in Article 2 of Regulation (EC) No 1606/2002;

    9. (i)

      "LEI code" means a Legal Entity Identifier code aimed at achieving a unique and worldwide identification of parties to financial transactions, as proposed by the Financial Stability Board (FSB) and endorsed by the G20. Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by the Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org). Where a Legal Entity Identifier (LEI code) exists for a given counterparty, it shall be used to identify that counterparty;

    10. (j)

      "NGAAP" or "National Generally Accepted Accounting Principles" means national accounting frameworks developed under Directive 86/635/EEC.

I.3

Accounting standards

  1. (3)

    Unless otherwise specified in these instructions, institutions shall report all amounts based on the accounting framework they use for the reporting of financial information in accordance with Articles 9 to 11 of Implementing Regulation (EU) No 680/2014. Institutions that are not required to report financial information in accordance with Implementing Regulation (EU) No 680/2014 shall apply the rules of their respective accounting framework.

  2. (4)

    For institutions that report under IFRS, references have been inserted to the relevant IFRS.

I.4

Scope of consolidation

  1. (5)

    This framework refers, depending on the template, to:

    • consolidation on the basis of accounting consolidation (entities included in the consolidated financial statements according to the applicable accounting framework);
    • prudential consolidation (entities within the scope of consolidation according to Chapter 2 of Title II of Part One of Regulation (EU) No 575/2013 of the European Parliament and of the Council) at the level of the Union parent undertaking;
    • consolidation at the level of the resolution entity for the resolution group.

  2. (6)

    For each template, institutions shall follow the consolidation basis or bases applicable pursuant to Article 4 of this Regulation.

I.5

Numbering and other conventions

  1. (7)

    These instructions follow the labelling convention laid out below, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.

  2. (8)

    The following general notation is used in these instructions to refer to columns, rows and cells of a template: {Template;Row;Column}.

  3. (9)

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

  4. (10)

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

  5. (11)

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

  6. (12)

    Where an information item is not applicable to the entities for which the report is submitted, the corresponding field shall be left blank.

  7. (13)

    Where these instructions refer to a primary key, this shall mean a column or combination of columns designated to uniquely identify all the rows of the template. A primary key shall contain a unique value for each row of the template. It may not contain null value.

II.

Template-related instructions

II.1

Z 01.00 — Organisational structure (ORG)

II.1.1

General remarks

  1. (14)

    This template provides an overview over the group's legal and ownership structure. A single template shall be submitted in relation to all group entities meeting the minimum threshold set out in Article 4(2)(a) of this Regulation. Only legal entities shall be identified in this template.

II.1.2

Instructions concerning specific positions

Columns

Instructions

0010-0160

Entity

0010

Name

Name of the entity. Official name as it appears in corporate acts, including the indication of the legal form.

0020

Code

Code of the entity. For institutions the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code, or if not available a code under a uniform codification applicable in the Union, or if not available a national code.

The code shall be unique and used consistently across the templates. The code shall always have a value.

0030

LEI code

20-digit, alphanumeric LEI code of the entity, where available.

0040

Entity Type

The entity type, by sequential order of priority, shall be one of the following:

0050

Country

The ISO 3166-1-alpha-2 code of the country of incorporation of the entity, which may be a Member State or a third country.

0060

Included in the Prudential Perimeter

Report the following abbreviations:

0070

Article 7 CRR Waiver

Report the following abbreviations:

0080

Article 10 CRR Waiver

Report the following abbreviations:

0090

Total assets

Total assets as defined for FINREP {F 01.01;380,010}

0100

Total Risk Exposure amount

Total risk exposure amount as defined for COREP (OF): {C 02.00;010;010}

This item shall not be reported for entities that are not institutions and entities benefitting from a waiver in accordance with Article 7 or Article 10 of Regulation (EU) No 575/2013.

0110

Leverage ratio exposure

Total leverage ratio exposure as defined for COREP (LR): {C 47.00;290;010}

This item shall not be reported for entities that are not institutions and entities benefitting from a waiver in accordance with Article 7 or Article 10 of Regulation (EU) No 575/2013.

0120

Accounting standard

Accounting standards applied by the entity. Report the following abbreviations:

  • IFRS
  • nGAAP

0130

Contribution to total consolidated assets

The amount that the Entity contributes to the total consolidated assets of the group the report refers to.

0140

Contribution to total consolidated risk exposure amount

The amount that the Entity contributes to the total consolidated risk exposure amount of the group the report refers to.

0150

Contribution to consolidated leverage ratio exposure

The amount that the Entity contributes to the total consolidated leverage ratio exposure of the group the report refers to.

0160

Relevant legal entity

Whether the entity constitutes a relevant legal entity pursuant to the definition in Article 2 of this Regulation.

0170-0210

Direct parent

Direct parent of the Entity. Only a direct parent that has more than 5 % of voting rights in the Entity shall be reported.

If an entity has more than one direct parent, only the direct parent with the highest capital share – or voting share, if relevant – shall be reported.

0140

Name

Name of the direct parent of the entity.

0150

Code

The code of the direct parent. For institutions the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code, or if not available a code under a uniform codification applicable in the Union, or if not available a national code.

The code shall be unique and used consistently across the templates. The code shall always have a value.

0160

LEI code

20-digit, alphanumeric LEI code of the entity, where available.

0170

Share capital

Amount of share capital held by the Direct parent in the Entity, excluding reserves.

0180

Voting rights in the Entity

Percentage of voting rights held by the direct parent in the Entity.

This information is only required if one share is not equal to one vote (hence voting rights are not equal to share capital).

II.2

Z 02.00 — Liability Structure (LIAB)

II.2.1

General remarks

  1. (15)

    This template requires granular information on the liability structure of the entity or group. Liabilities are broken down by liabilities excluded from bail-in and liabilities not excluded from bail-in. Further breakdowns by liability classes, counterparty classes and maturity are provided.

  2. (16)

    Where a maturity breakdown is set out in this template, the residual maturity shall be the time until the contractual maturity or, when there is an explicit or implicit, contractual or statutory, right for the holder of an instrument to early reimbursement, until the first date where such a right arises. Interim payments of principal shall be split into the corresponding maturity buckets. Where applicable, the maturity shall be considered separately for both the principal amount and accrued interest.

  3. (17)

    By default, amounts reported in this template shall be outstanding amounts. The outstanding amount of a claim or instrument is the sum of the principal amount of, and accrued interest on, the claim or instrument. The outstanding amount due is equal to the value of the claim which the creditor could file under insolvency proceedings.

  4. (18)

    By way of derogation from the previous paragraph, balance sheet liabilities arising from derivatives (reported in row 0330) shall be reported in the form of carrying amounts. The carrying amount shall be the carrying amount as defined for FINREP purposes, either under IFRS or nGAAP, as applicable. Otherwise, figures under nGAAP reporting schemes shall be used.

II.2.2

Instructions concerning specific positions

Columns

Instructions

0010

Households

FINREP, Annex V. Part 1, paragraph 42, point (f)

Individuals or groups of individuals as consumers, and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.

0020

Non-financial corporations (SMEs)

Annex, Title I, Article 2.1 of Commission Recommendation of 6 May 2003; FINREP, Annex V Part 1, paragraph 5(i).

Enterprises which employ fewer than 250 persons and which have an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million.

0030

Non-financial corporations (non-SMEs)

FINREP, Annex V. Part 1, paragraph 42, point (e)

Corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to Regulation (EU) No 1071/2013 of the European Central Bank.

Excludes "SMEs" reported in column 0020.

0040

Credit institutions

FINREP, Annex V. Part 1, paragraph 42, point (c)

Credit institutions within the meaning of Article 4(1) point (1) of Regulation (EU) No 575/2013 and multilateral development banks.

0050

Other financial corporations

FINREP, Annex V. Part 1, paragraph 42, point (d)

All financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders.

0060

General governments & Central banks

FINREP, Annex V. Part 1, paragraph 42, points (a) and (b)

Central banks and central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under "credit institutions", "other financial corporations" or "non-financial corporations" depending on their activity); social security funds; and international organisations, such as the European Union, the International Monetary Fund and the Bank for International Settlements.

0070

Non-identified, listed on a trading venue

Where the identity of the holder of a security is not known due to the instruments being listed on a trading venue, as defined under Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments, the amounts shall be attributed to this column.

0080

Non-identified, not listed on a trading venue

Where the identity of the holder of a security is not known, without the instruments being listed on a trading venue, the amounts shall be attributed to this column and no further counterparty breakdown is required. Entities shall dedicate their best efforts to identify counterparties and limit the use of this column to a minimum.

0090

Total

0100

Of which: intragroup

Liabilities towards entities included in the consolidated financial statements of the ultimate parent entity (as opposed to the regulatory scope of consolidation).

0110

Of which: liabilities governed by the law of a third country, excluding intragroup

These shall include the gross amounts of liabilities governed by the law of a third-country and/or issued by group entities established in third-countries. Intragroup liabilities shall be excluded.

Where the resolution authority has confirmed that it is satisfied, pursuant to Article 45(5) of Directive 2014/59/EU of the European Parliament and of the Council, that any decision of a resolution authority to write down or convert a liability would be effective under the law of that third country, that liability shall not be reported under this heading.

Rows

Instructions

0100

Liabilities excluded from bail-in

Article 44(2) of the Directive 2014/59/EU states that "Resolution authorities shall not exercise the write down or conversion powers in relation to the following liabilities whether they are governed by the law of a Member State or of a third country".

0110

Covered deposits

The amount of covered deposits as defined in point (5) of Article 2(1) of Directive 2014/49/EU of the European Parliament and of the Council, with the exclusion of temporary high balances as defined in Article 6(2) of that Directive.

0120

Secured liabilities – collateralized part

Article 44(2) point b of Directive 2014/59/EU

Secured liabilities including repurchase agreements (repos), covered bonds and liabilities in the form of financial instruments which form an integral part of the cover pool and which according to national law are secured in a way similar to covered bonds.

Neither the requirement to ensure that all secured assets relating to a covered bond cover pool remain unaffected, segregated and with enough funding, nor the exclusion of Article 44(2) point b of Directive 2014/59/EU shall prevent resolution authorities, where appropriate, from exercising those powers in relation to any part of a secured liability or a liability for which collateral has been pledged that exceeds the value of the assets, pledge, lien or collateral against which it is secured. Such an uncovered amount of these secured liabilities shall not be reported in this row, but reported in row 0340, subject to additional breakdown.

Central Bank liabilities which are covered by a collateral pool (for example main refinancing operations, long term refinancing operation, target longer-term refinancing operations, etc.) shall be regarded as secured liabilities.

A specific type of liabilities are collateral positions (e.g. cash collateral) received and recorded on the balance sheet. Where such collateral positions are legally bound with an asset position, these shall be treated as secured liabilities for the purpose of this report.

0130

Client liabilities, if protected in insolvency

Article 44(2) point c of Directive 2014/59/EU

Any liability that arises by virtue of the holding by the institution or entity referred to in point (b), (c) or (d) of Article 1(1) of the Directive 2014/59/EU of client assets or client money including client assets or client money held on behalf of UCITS as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council, or of AIFs as defined in point (a) of Article 4(1) of Directive 2011/61/EU of the European Parliament and of the Council, provided that such a client is protected under the applicable insolvency law.

0140

Fiduciary liabilities, if protected in insolvency

Article 44(2) point d of Directive 2014/59/EU

Any liability that arises by virtue of a fiduciary relationship between the institution or entity referred to in point (b), (c) or (d) of Article 1(1) of Directive 2014/59/EU (as fiduciary) and another person (as beneficiary) provided that such a beneficiary is protected under the applicable insolvency or civil law.

0150

Credit institution liabilities < 7 days

Article 44(2) point e of Directive 2014/59/EU

Liabilities to credit institutions, excluding entities that are part of the same accounting group, with an original maturity of less than seven days.

0160

System (operator) liabilities < 7 days

Article 44(2) point f of Directive 2014/59/EU

Liabilities with a remaining maturity of less than seven days, owed to systems or operators of systems designated according to Directive 98/26/EC of the European Parliament and of the Council or their participants and arising from the participation in such a system.

0170

Employee liabilities

Article 44(2) point g (i) of Directive 2014/59/EU

Liabilities to an employee, in relation to accrued salary, pension benefits or other fixed remuneration, except for the variable component of remuneration that is not regulated by a collective bargaining agreement. This shall however not apply to the variable component of the remuneration of material risk takers as identified in Article 92(2) of Directive 2013/36/EU.

0180

Liabilities critical to operational daily functioning

Article 44(2) point g (ii) of Directive 2014/59/EU

Liabilities to a commercial or trade creditor arising from the provision to the institution or entity referred to in point (b), (c) or (d) of Article 1(1) of Directive 2014/59/EU of goods or services that are critical to the daily functioning of its operations, including IT services, utilities and the rental, servicing and upkeep of premises.

0190

Tax and social security authorities liabilities, if preferred

Article 44(2) point g (iii) of Directive 2014/59/EU

Liabilities to tax and social security authorities provided that those liabilities are preferred under the applicable law.

0200

DGS liabilities

Article 44(2) point g (iv) of Directive 2014/59/EU

Liabilities to deposit guarantee schemes arising from contributions due in accordance with Directive 2014/49/EU.

0300

Liabilities not excluded from bail-in

This is the sum of rows 0310, 0320, 0334, 0340, 0350, 0360, 0365, 0370, 0380, 0390 and 0400.

0310

Deposits, not covered but preferential

Article 108 of Directive 2014/59/EU

Deposits as defined in Article 2(1) point 3 of Directive 2014/49/EU that do not qualify for exclusion from bail-in (Article 44(2) point (a) of Directive 2014/59/EU), yet for which a preferential treatment is foreseen in line with article 108 of Directive 2014/59/EU.

0320

Deposits, not covered and not preferential

Deposits as defined in Article 2(1) point 3 of Directive 2014/49/EU that do not qualify for exclusion from bail-in or preferential treatment in application of Articles 44(2) point a or 108 of Directive 2014/59/EU.

0330

Balance sheet liabilities arising from derivatives

Accounting value of liabilities arising from derivatives, for the total amount corresponding to FINREP: {F 01.02;020;010) + {F 01.02;150;010}.

0331

Sum of net liability positions taking into account contractual netting sets, after mark-to-market adjustments, prior to collateral offset

By default the sum of all net market values of derivative liabilities per contractual netting set. Only where the net market value of a netting set is a liability, the netting set shall be reported. To this end, derivatives which are not subject to netting arrangements shall be treated as a single contract, i.e. as if it were a netting set with only one derivative.

0332

Sum of net liability positions taking into account contractual netting sets, after mark-to-market adjustments, post collateral offset

The valuation in row 0331 is subject to an adjustment for collateral posted to secure this exposure, which results in the sum of these net market values after offsetting collateral at its market value.

0333

Sum of net liability positions taking into account contractual netting sets, after mark-to-market adjustments, post collateral offset, incorporating estimated close-out amounts

In line with Commission Delegated Regulation (EC) No 2016/1401 on the valuation of liabilities arising from derivatives, an additional close-out amount covering the amount of losses or costs incurred by derivative counterparties, or gains realised by them, in replacing or obtaining the economic equivalent on material terms of the contracts and the option rights of the parties in respect of the terminated contracts.

The estimations required to determine a close-out amount in line with the abovementioned Regulation can prove quite difficult on an individual basis. Therefore, proxy values, which may be based on available data such as the prudential requirements for market risk, can be used instead. If it proves impossible to calculate the close-out amount for the derivative liabilities, the amount reported shall be equal to the amount reported in row 0332.

0334

Sum of net liability positions taking into account prudential netting rules

The net liability positions for derivatives taking into account the prudential netting rules of Article 429 of Regulation (EU) No 575/2013 (related to the calculation of the leverage ratio total exposure measure) shall be reported.

0340

Uncollateralised secured liabilities

The amount of secured liabilities or liabilities for which collateral has been pledged that exceeds the value of the assets, pledge, lien or collateral against which it is secured. This shall capture the "undercollateralized" part of any collateralized liability, for example the undercollateralised part of covered bonds or repurchase operations.

0350

Structured notes

Structured notes are defined for this purpose as debt obligations that contain an embedded derivative component, with returns linked to an underlying security or index (public or bespoke, such as equities or bonds, fixed income rates or credit, FX, commodities etc.). Structured notes do not include debt instruments that include call or put options only, i.e. the value of the instrument does not depend on any embedded derivative component.

0360

Senior unsecured liabilities

This includes all senior, unsecured instruments that are not included in the structured notes category.

0365

Senior non-preferred liabilities

Amount of any of the following liabilities:

  • Unsecured claims resulting from debt instruments that meet the conditions laid down in points (a), (b) and (c) of paragraph 2 and of paragraph 3 of Article 108 of Directive 2014/59/EU;
  • Unsecured claims resulting from debt instruments referred to in point (b) of the first subparagraph of Article 108(5) of Directive 2014/59/EU; or
  • Debt instruments with the lowest priority ranking among the ordinary unsecured claims resulting from debt instruments referred to in Article 108(7) of Directive 2014/59/EU, for which a Member State has provided, in accordance with that paragraph, that they have the same ranking as that of claims that meet the conditions of points (a), (b) and (c) of paragraph 2 and of paragraph 3 of Article 108 of Directive 2014/59/EU.

0370

Subordinated liabilities

Liabilities which will only be repaid under national insolvency law after all classes of ordinary creditors and senior non-preferred creditors have been repaid in full. This includes both contractually and statutorily subordinated liabilities. In the case of holding companies, unsubordinated debt securities may also be reported in this category (i.e. structural subordination).

Only subordinated instruments that are not recognized as own funds shall be included in this category.

This row shall also include that part of subordinated liabilities that qualifies in principle as own funds, but is not included in own funds due to phase-out provisions such as Article 64 of Regulation (EU) No 575/2013 (remaining maturity) or Part 10 of the Regulation (EU) No 575/2013 (grandfathering impact).

0380

Other MREL eligible liabilities

Any instrument that is eligible to MREL but is not captured in rows 0320 and 0340 to 0370.

0390

Non-financial liabilities

This row captures non-financial liabilities that do not relate to debt instruments of which the holders can be bailed in due to practical reasons, such as provisions related to litigations to which the entity is subject.

0400

Residual liabilities

Any liability not reported in rows 0100 to 0390.

0500

Own funds

Articles 4(1)(118) and 72 of Regulation (EU) No 575/2013

Same definition as COREP (OF): {C 01.00;010;010}

0510

Common Equity Tier 1 Capital

Article 50 of Regulation (EU) No 575/2013

Same definition as COREP (OF): {C 01.00;020;010}

0511

Of which: capital instruments/share capital

Legal instruments that constitute (part of) CET1 capital in the form of capital instruments/share capital

0512

Of which: instruments ranking pari passu with ordinary shares

Legal instruments that constitute (part of) CET1 own funds in the form of instruments other than capital instruments/share capital, but ranking pari passu with this category

0520

Additional Tier 1 capital

Article 61 of Regulation (EU) No 575/2013

Same definition as COREP (OF): {C 01.00;530;010}

0521

Of which: (part of) subordinated liabilities recognised as own funds

Legal instruments that constitute (part of) Additional Tier 1.

0530

Tier 2 Capital

Article 71 of Regulation (EU) No 575/2013

Same definition as COREP (OF): {C 01.00;750;010}

0531

Of which: (part of) subordinated liabilities recognised as own funds

This breakdown identifies the legal instruments that constitute (part of) Tier 2 own funds.

0600

Total liabilities and own funds including derivative liabilities

Sum of all the liabilities reported in this template and the amount of regulatory own funds. To this end, all the amounts from the above lines shall be added. With respect to derivatives, the value to be used shall be row 0334 "Sum of net liability positions taking into account prudential netting rules".

II.3

Z 03.00 — Own funds requirements (OWN)

II.3.1

General remarks

  1. (19)

    This template gathers information on the own funds requirements for an entity or group.

  2. (20)

    All information reported shall reflect the own funds requirements applicable at the reporting reference date.

  3. (21)

    The information on Pillar 2 requirements reported in this template shall be based on the latest available official SREP letter communicated by the competent authority.

  4. (22)

    Where the entity the report refers to is not subject to capital requirements on an individual basis, it shall only report row 0110.

II.3.2

Instructions concerning specific positions

Rows

Instructions

0100

Total Risk Exposure Amount

Article 92(3) of the Regulation (EU) No 575/2013

See Z 01.00, column 0100

Total risk exposure amount as defined for COREP (OF): {C 02.00;010;010}

0110

Contribution to total consolidated risk exposure amount

See Z 01.00, column 0140

Total leverage ratio exposure as defined for COREP (LR): {C 47.00;290;010}

This item shall only be reported for entities that are not subject to capital requirements on an individual basis.

0210-0250

Initial capital and Leverage Ratio requirements

0210

Initial capital

Articles 12, 28 to 31 of Directive 2013/36/EU and Article 93 of Regulation (EU) No 575/2013

The amount of initial capital required as a precondition for the authorization to commence the activity of an institution.

0220

Leverage Ratio Requirement

Leverage ratio requirement as applicable to the entity or group, expressed as a percentage of the total leverage ratio exposure. If no formal requirement is in place, entities shall leave this cell empty.

Total leverage ratio exposure shall be defined as for COREP (LR): {C 47.00;290;010}

0300

Total SREP capital requirement (TSCR) ratio

COREP (OF): {C 03.00;130;010}

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

This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 of the EBA SREP GL.

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

0310

TSCR: to be made up of CET1 capital

COREP (OF): {C 03.00;140;010}

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

If no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, then only point (i) shall be reported.

0320

TSCR: to be made up of Tier 1 capital

COREP (OF): {C 03.00;150;010}

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

If no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) shall be reported.

0400

Combined Buffer Requirements

Article 128 point 6 of Directive 2013/36/EU

COREP (OF): {C 04.00;740;010}

0410

Capital Conservation Buffer

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

COREP (OF): {C 04.00;750;010}).

According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell.

0420

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

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

COREP (OF): {C 04.00;760;010}).

In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of Regulation (EU) No 575/2013 in addition to the capital conservation buffer shall be reported.

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0430

Institution-Specific Countercyclical Capital Buffer

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

(see COREP (OF): {C 04.00;770;010}).

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0440

Systemic Risk Buffer

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

(see COREP (OF): {C 04.00;780;010}).

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0450

Global Systemically Important Institution Buffer

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

COREP (OF): {C 04.00;800;010}

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0460

Other Systemically Important Institution Buffer

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

COREP (OF): {C 04.00;810;010}

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0500

Overall capital requirement (OCR) ratio

COREP (OF): {C 03.00;160;010}

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

This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP Guidelines.

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

0510

OCR: to be made up of CET1 capital

COREP (OF): {C 03.00;170;010}

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

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

0520

OCR: to be made up of Tier 1 capital

COREP (OF): {C 03.00;180;010}

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

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

0600

OCR and Pillar 2 Guidance (P2G)

COREP (OF): {C 03.00;190;010}

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

If no P2G is communicated by the competent authority, then only point (i) shall be reported.

0610

OCR: to be made up of CET1 capital

COREP (OF): {C 03.00;200;010}

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

If no P2G is communicated by the competent authority, then only point (i) shall be reported.

0620

OCR and P2G: to be made up of Tier 1 capital

COREP (OF): {C 03.00;210;010}

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

If no P2G is communicated by the competent authority, then only point (i) shall be reported.

II.4

Z 04.00 — Intragroup financial interconnections (IFC)

II.4.1

General remarks

  1. (23)

    This template requires information on intragroup liabilities not excluded from bail-in, capital instruments and guarantees.

  2. (24)

    All financial interconnections between relevant legal entities that are included in the consolidated financial statements shall be reported. Reported amounts shall be aggregated where they pertain to the same counterparties (both issuer or guaranteed entity, and creditor, holder or guarantee provider) and the same type of liabilities, capital instruments or guarantees.

  3. (25)

    The combination of values reported in columns 0020, 0040 and 0050 of this template forms a primary key which has to be unique for each row of the template.

II.4.2

Instructions concerning specific positions

Columns

Instructions

0010-0020

Issuer or guaranteed entity

Legal entity that issues the liabilities or capital instrument, or is the guaranteed entity.

0010

Entity name

Must be different from the Entity name listed in column 0030.

0020

Code

The code of the issuer or guarantee recipient. For institutions the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code, or if not available a code under a uniform codification applicable in the Union, or if not available a national code.

The code shall be unique and used consistently across the templates.

The code must be different from the code listed in column 0040.

0030-0040

Creditor, holder or guarantee provider

Legal entity that is the creditor to the liability, holds the capital instrument or provides the guarantee.

0030

Entity name

Must be different from the entity name listed in column 0010.

0040

Code

The code of the Creditor, holder or guarantee provider. For institutions the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code, or if not available a code under a uniform codification applicable in the Union, or if not available a national code.

The code shall be unique and used consistently across the templates.

Must be different from the code listed in column 0020.

0050-0070

Financial interconnection

This field describes the financial interconnection between the relevant legal entities.

0050

Type

To be chosen from the following list:

0060

Outstanding amount

For liabilities (column 0050, types L.1, L.2 and L.4 - L.14), the outstanding amount of the intragroup liabilities; for liabilities arising from derivatives (type L.3), the close-out amounts as defined for the purposes of template Z 02.00 (LIAB), row 0333.

For guarantees (column 0050, values G.1 - G.4), the maximum potential amount of future payments under the guarantee

0070

of which issued under 3rd ctry law

The share, in monetary amount, of the outstanding amount that is governed by the law of a third country.

0080

of which: MREL eligible

The outstanding amount of the MREL eligible liabilities calculated according to Article 45(4)(a) and (c) to (f) of the Directive 2014/59/EU. For this purpose, liabilities shall not be excluded from the calculation on the sole ground that they are issued to or held by a group entity.

II.5

Z 05.01 and Z 05.02 — Major Counterparties (MCP)

II.5.1

General remarks

  1. (26)

    These templates collect information on liabilities towards major counterparties (Z 05.01) and off-balance sheet items received from major counterparties (Z 05.02).Reported amounts shall be aggregated where they belong to the same counterparty and the same type of liabilities or off-balance sheet items.

  2. (27)

    Liabilities and off-balance sheet items for which the counterparty cannot be identified shall not be reported in these templates. Liabilities and off balance sheet items for which the counterparty is an entity included in the consolidated financial statements shall not be reported.

II.5.2

Z 05.01 – Major liabilities counterparties — Instructions concerning specific positions

  1. (28)

    The combination of values reported in columns 0020 and 0060 of this template forms a primary key which has to be unique for each row of the template.

  2. Columns

    Instructions

    0010-0050

    Counterparty

    Information on the major counterparty in relation to which the liability arises

    Major counterparties shall be identified by summing up the outstanding amounts of all liabilities of the entity or group for which the template is reported, to each counterparty or group of connected clients, excluding liabilities to entities included in the consolidated financial statements.

    The counterparties and groups of connected counterparties are then ranked by aggregate outstanding amount in order to identify the top 10 major counterparties, on which information shall be provided in this template.

    The definition of "group of connected counterparties" shall follow the definition of "group of connected clients" laid down in Article 4(1) point 39 of Regulation (EU) No 575/2013.

    For the purpose of this template, a counterparty may not be an entity included in the consolidated financial statements.

    0010

    Entity name

    Name of the major counterparty or, where applicable, name of a group of connected clients.

    The name of a group of connected clients shall be the name of the parent company or, when the group of connected clients does not have a parent, the group's commercial name.

    0020

    Code

    The code of the major counterparty or group of connected clients. For institutions the code shall be the 20-digit, alphanumeric LEI code. For other entities the code shall be the 20-digit, alphanumeric LEI code, or if not available a code under a uniform codification applicable in the Union, or if not available a national code.

    The code shall be unique and used consistently across the templates.

    0030

    Group or individual

    The institution shall report "1" for individual major counterparties and "2" for groups of connected clients.

    0040

    Country

    The ISO 3166-1-alpha-2 code of the country of incorporation of the counterparty. This includes pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's "Balance of Payments Vademecum".

    The country is determined by reference to counterparty's registered office. For groups of connected clients, the country of incorporation of the parent company.

    0050

    Sector

    One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes (FINREP, Annex V, Part 1, chapter 6):

    • Central Banks
    • General Governments
    • Credit institutions:
    • Other financial corporations
    • Non-financial corporations
    • Households

    For groups of connected clients, no sector shall be reported.

    0060

    Type

    The liability type shall be one of the liability types listed in template Z 02.00 — Liability Structure (LIAB), namely:

    If the liabilities towards a major counterparty consist of more than one of the types mentioned above, each liability type shall be reported in a separate row.

    0070

    Amount

    The amount shall be equivalent to the definition of an "outstanding amount" as prescribed for in template Z 02.00 — Liability Structure. In case of liabilities arising from derivatives (type L.3), the close-out amounts as defined for the purposes of row 0333 template Z 02.00 shall be reported.

II.5.3

Z 05.02 – Major off-balance sheet counterparties: Instructions concerning specific positions

  1. (29)

    The combination of values reported in columns 0020 and 0060 of this template forms a primary key which has to be unique for each row of the template.

  2. Columns

    Instructions

    0010-0050

    Counterparties

    Information on the major off-balance sheet counterparties.

    Major off-balance sheet counterparties shall be identified by summing up the total nominal amount of commitments and financial guarantees received (as defined for the purposes of FINREP, template F 09) by the entity or group entities for which the template is reported from counterparties or group of connected clients. Major off-balance sheet counterparties shall exclude entities included in the consolidated financial statements of the group. The counterparties and groups of connected clients are then ranked by aggregate amount in order to identify the top 10 major off-balance sheet counterparties, on which information shall be provided in this template.

    For the purpose of this template, only counterparties that are not included in the consolidated financial statements shall be reported.

    0010

    Entity name

    See instructions on column 0010 of Z 05.01

    0020

    Code

    See instructions on column 0020 of Z 05.01

    0030

    Group or individual

    See instructions on column 0030 of Z 05.01

    0040

    Country

    See instructions on column 0040 of Z 05.01

    0050

    Sector

    See instructions on column 0050 of Z 05.01

    0060

    Type

    The type of off-balance sheet exposure shall be one of the following as defined in FINREP, template F 09.02:

    If the off-balance sheet items received from a major counterparty consist of more than one of the types mentioned above, each type of off-balance sheet item shall be reported in a separate row.

    0070

    Amount

II.6

Z 06.00 — Deposit insurance (DIS)

II.6.1

General remarks

  1. (30)

    This template provides an overview of deposits insurance within a group and the Deposit Guarantee Schemes of which credit institutions which are relevant legal entities are a member.

  2. (31)

    Every credit institution belonging to the group shall be reported in a separate row.

II.6.2

Instructions concerning specific positions

Columns

Instructions

0010-0020

Entity

0010

Entity Name

The name of the entity as reported in Z 01.00 — Organisational structure (ORG).

0020

Code

Code of the entity, as reported in Z 01.00 — Organisational structure (ORG).

This is a row identifier and has to be unique for each row in the template.

0030

DGS

Article 4(3) of the Directive 2014/49/EU

The name of the officially recognised DGS of which the entity is a member in application of the Directive 2014/49/EU. This shall be the DGS in the Member State of incorporation of the entity, at the exclusion of other DGSs which, in other Member States, might provide additional protection ("top up") to customers of the Entity at a branch in that Member State. Where an institution is member of an IPS which is also official recognised as a DGS pursuant to Article 4(2) of the Directive 2014/49/EU, the name of the DGS shall be identical as the name of the IPS in row 050.

The DGS shall be chosen, for each country of incorporation of the entity, among the following:

If the officially recognised DGS of which the entity is member is not listed above, "other" shall be reported.

0040

Amount of covered deposits

Articles 2(1)(5) and 6(2) of Directive 2014/49/EU

The amount of covered deposits as defined in point (5) of Article 2(1), in conjunction with Article 6, of the Directive 2014/49/EU, as covered by the DGS in row 00030, with the exclusion of temporary high balances as defined in Article 6(2) of Directive 2014/49/EU.

0050

Institutional Protection Scheme

Article 113(7) of Regulation (EU) No 575/2013

Name of the Institutional Protection Scheme, as referred to in Article 113(7) Regulation (EU) No 575/2013, of which the entity is a member. Do not report anything if the entity is not a member of an IPS. If the entity is member of an IPS which is also officially recognised as a DGS pursuant to Article 4(2) of Directive 2014/49/EU, the name of the IPS shall be identical to the name of the DGS in row 030.

0060

Additional protection under contractual scheme

Article 1(3)(a) of Directive 2014/49/EU

Amount of deposits covered by a contractual scheme at the Entity.

II.7

Critical functions and core business lines

II.7.1

General remarks

  1. (32)

    The four templates of this section provide key data and qualitative assessments of the impact, substitutability and criticality of economic functions the group is providing, supplemented by a mapping of those critical functions to core business lines and legal entities.

  2. (33)

    More specifically, the templates are dedicated to the following topics:

  3. (34)

    Template Z 07.01 — Criticality assessment of economic functions (FUNC 1) identifies, based on quantitative and qualitative indicators, the non-critical and critical functions performed by the group for each Member State in which the group is active;

  4. (35)

    Template Z 07.02 — Mapping of critical functions by legal entity (FUNC 2) maps the critical functions identified to legal entities and assesses whether each legal entity is considered material to the performance of the critical function or not;

  5. (36)

    Z 07.03 — Mapping of Core Business Lines by legal entity (FUNC 3) provides a full list of core business lines and maps them to legal entities;

  6. (37)

    Template Z 07.04 — Mapping of critical functions to core business lines (FUNC 4) maps the identified critical functions to business lines.

  7. (38)

    Pursuant to Article 2(1) point 35 of the Directive 2014/59/EU, critical functions means activities, services or operations the discontinuance of which is likely in one or more Member States, to lead to the disruption of services that are essential to the real economy or to disrupt financial stability due to the size, market share, external and internal interconnectedness, complexity or cross-border activities of an institution or group, with particular regard to the substitutability of those activities, services or operations.

  8. (39)

    Pursuant to Article 6(1) of Commission Regulation (EU) 2016/778, a function shall be considered critical, when it meets both of the following:

    1. (1)

      the function is provided by an institution to third parties not affiliated to the institution or group; and

    2. (2)

      a sudden disruption would likely have a material negative impact on the third parties, give rise to contagion or undermine the general confidence of market participants due to the systemic relevance of the function for the third parties and the systemic relevance of the institution or group in providing the function.

  9. (40)

    Pursuant to Article 2(1), point (36) of the Directive 2014/59/EU, "core business lines" means business lines and associated services which represent material sources of revenue, profit or franchise value for an institution or for a group of which an institution forms part.

  10. (41)

    For the purposes of this template, economic functions shall refer to the functions listed in the table below.

  11. (42)

    For each category of economic functions, an economic function "other" may be chosen if the function is not captured by the other predefined functions.

  12. (43)

    Counterparties referred to in rows 0010 to 0070 and rows 0080 to 0150 are defined identically to counterparty sectors as provided in FINREP, Annex V, Part 1, chapter 6. "SMEs" refers to SMEs as defined in FINREP, Annex V, Part 1, paragraph 5, point (i).

  13. ID

    Economic function

    Deposits

    Deposit taking shall refer to the acceptance of deposits from non-financial intermediaries. It does not include borrowing from other financial intermediaries, which is dealt with separately in "wholesale funding".

    Deposits include: i) current accounts/overnight deposits, ii) deposits with agreed maturity, and iii) deposits redeemable at notice, and exclude repurchase agreements.

    References: FSB Guidance on Identification of Critical Functions and Critical Shared Services (2013) p. 14; Annex II Part 2 items 9.1, 9.2 and 9.3 of Regulation (EU) No 1071/2013.

    1.1

    Households

    1.2

    Non-financial corporations (SMEs)

    1.3

    Non-financial corporations (non-SMEs)

    1.4

    General governments

    1.5, 1.6, 1.7

    Other sectors/counterparties (1), (2) and (3)

    Lending

    Lending shall refer to the provision of funds to non-financial counterparties, such as corporate or retail clients. Lending to financial counterparties is a distinct activity and is assessed in "wholesale funding". Loans includes debt instruments held by the institutions but exclude debt instruments that are securities, irrespective of their accounting classification (e.g. held-to-maturity or available for sale).

    References: FSB Guidance on Identification of Critical Functions and Critical Shared Services (2013) p. 17; Annex II Part 2 item 2 of Regulation (EU) No 1071/2013.

    2.1

    Households – Lending for house purchase

    Lending for house purchase means loans extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments.

    2.2

    Households – other lending

    2.3

    Non-financial corporations — SMEs

    2.4

    Non-financial corporations — non-SMEs

    2.5

    General Governments

    2.6, 2.7, 2.8

    Other sectors/counterparties (1), (2) and (3)

    Payments, Cash, Settlement, Clearing, Custody services

    Reference: FSB Guidance on Identification of Critical Functions and Critical Shared Services (2013) p. 20.

    The economic functions included under this caption shall consist of the provision of payments, cash, settlement, clearing and custody services by a credit institution, as an intermediary between own clients or as an intermediary between a client and one or several relevant Financial Market Infrastructures (FMIs), or the provision of (indirect) access to FMIs to other banks. In line with FSB Guidance on Identification of Critical Functions and Critical Shared Services, the payments, clearing and settlement function is limited to services provided by banks to their clients. This category does not cover services provided by (pure) FMI providers. For the purpose of this template, FMIs include payment systems, securities settlement systems, central securities depositories and central counterparties (and do not include trade repositories).

    Payment service', "payment transaction" and "payment system" have the same meaning as defined in Article 4(3), (5) and (7), respectively, of DIRECTIVE 2015/2366 on payment services in the internal market.

    3.1

    Payment services to MFIs

    This row shall include payment services offered to Monetary Financial Institutions (MFIs), with or without use of external payment systems. This shall also include (payments related to) correspondent banking services. MFIs shall consist of all institutional units included in the sub-sectors: i) central bank; ii) deposit-taking corporations except the central bank; and iii) money market funds.

    3.2

    Payment services to non-MFIs

    Payment services offered to clients, with or without use of external payment systems. This shall only include natural or legal person who do not belong to the MFIs sector. Payment services providers are also excluded from the "non-MFIs" sector.

    3.3

    Cash services

    Provision of cash services to clients (both individuals and corporates, only non-MFIs). These services refer to withdrawals at ATMs and at branches counters and do not include other cash services (like cash-in-transit services for mass retailers). Cash withdrawal with cheques and at branches counters using bank forms (where cards may be used as identification means) are included.

    3.4

    Securities settlement services

    Services offered to clients for confirmation, clearing and settlement of securities transactions, with or without use of securities settlement systems. "Settlement" means the completion of a securities transaction where it is concluded with the aim of discharging the obligations of the parties to that transaction through the transfer of cash and/or securities.

    3.5

    CCP clearing services

    Securities and derivatives clearing services provided to clients. This also includes the provision of indirect access to a Central Counterparty (CCP).

    3.6

    Custody services

    Safekeeping and administration of financial instruments for clients and services related to custodianship such as cash and collateral management.

    3.7, 3.8, 3.9

    Other services/activities/functions (1), (2) and (3)

    Capital Markets

    Capital markets activities shall refer to the issuance and trading of securities, related advisory services, and related services such as prime brokerage and market making.

    4.1

    Derivatives held for trading (OTC)

    Article 2(5) and (7) of REGULATION (EU) No 648/2012.

    A derivative or derivative contract means a financial instrument as set out in points (4) to (10) of Section C of Annex I to DIRECTIVE 2014/65/EU as implemented by Article 38 and 39 of REGULATION (EC) No 1287/2006.

    An OTC derivative or OTC derivative contract means a derivative contract the execution of which does not take place on a regulated market within the meaning of Article 4(1)(21) of DIRECTIVE 2014/65/EU or on a third-country market considered to be equivalent to a regulated market in accordance with Article 2a of REGULATION (EU) No 648/2012.

    The amount to be reported shall only include derivatives traded in the OTC market.

    4.2

    Derivatives held for trading (non-OTC)

    All derivatives held for trading, excluding OTC derivatives held for trading.

    4.3

    Secondary markets/Trading:

    The secondary market is where investors buy and sell securities. This function applies to the total trading portfolio (i.e. equity, corporate credit, sovereign credit).

    The amount to be reported shall include value of securities measured as the total amount of securities in the held-for-trading. Securities shall be reported at fair value at the reporting date.

    The amount shall not include loans, derivatives and non-tradable assets (e.g. receivables).

    4.4

    Primary markets/underwriting

    Primary markets shall mean where new securities are issued on an exchange by companies, governments, and other groups in order to obtain financing through debt-based or equity-based securities (like common and preferred stock, corporate bonds, notes, bills, government bonds). Primary markets are facilitated by underwriting groups.

    4.5, 4.6, 4.7

    Other services/activities/functions (1), (2) and (3)

    Wholesale Funding

    Lending and borrowing activities in wholesale markets to and from financial counterparties (credit institutions and other financial corporations).

    5.1

    Borrowing

    Borrowing in wholesale markets from financial counterparties (including by way of repurchase agreements, interbank borrowing, commercial paper, certificate of deposits, money market funds, lines of credit, asset-backed commercial paper and fiduciary deposits).

    5.2

    Derivatives (assets)

    All derivatives with financial counterparties held on the asset side of the balance sheet. In contrast to "Capital markets", in "Wholesale Funding", derivatives include all derivatives contracts with financial counterparties (not limited to HFT).

    5.3

    Lending

    Lending in wholesale markets to financial counterparties (including by way of reverse repurchase loans, commercial paper, certificate of deposits, money market funds, lines of credit, asset backed commercial paper, fiduciary deposits).

    5.4

    Derivatives (liabilities)

    All derivatives with financial counterparties held on the liability side of the balance sheet.

    5.5, 5.6, 5.7

    Other product types (1), (2) and (3)

    Any function of the economic function "Wholesale funding" which is not included in the above.

II.7.2

Z 07.01 — Criticality assessment of economic functions (FUNC 1): Instructions concerning specific positions

  1. (44)

    This template shall be reported once for each Member State (identified as "country") in which the group is active.

  2. (45)

    It covers all economic functions performed in that Member State by any group entity, whether that function represents a critical function or not.

  3. Rows

    Instructions

    0010-0380

    Economic functions

    Economic functions as defined above

    Columns

    Instructions

    0010

    Description of economic function

    Where the Economic function is of the type "Other" (functions 1.5 – 1.7, 2.6 -2.8, 3.7 – 3.9, 4.5 – 4.7, 5.5 – 5.7), a description of that function shall be provided.

    0020

    Market share

    Estimate of the market share of the institution or group for the economic function in the respective country. As a percentage of the total market in terms the monetary amount.

    0030

    Monetary Amount

    The content of this column depends on the Economic function provided:

    0040

    Numeric indicator

    The content of this column depends on the Economic function provided.

    0050

    Impact on market

    Estimated impact of a sudden discontinuation of the function on third parties, financial markets and the real economy, taking into account the size, market share in the country, external and internal interconnectedness, complexity, and cross-border activities of the institution.

    This assessment shall be expressed qualitatively as "High (H)", "Medium-High (MH)", "Medium-Low (ML)" or "Low (L)".

    "H" shall be selected if the discontinuation has a major impact on the national market; "MH" if the impact is significant; "ML" if the impact is material, but limited; and "L" if the impact is low.

    0060

    Substitutability

    Article 6(3) of Delegated Regulation (EU) 2016/778.

    A function is considered substitutable where it can be replaced in an acceptable manner and within a reasonable timeframe thereby avoiding systemic problems for the real economy and the financial markets. The following shall be taken into account:

    This assessment shall be expressed qualitatively as "High (H)", "Medium-High (MH)", "Medium-Low (ML)" or "Low (L)".

    "H" shall be selected if a function can easily be provided by another bank under comparable conditions within a reasonable timeframe;

    "L" if a function cannot be easily or rapidly substituted;

    "MH" and "ML" for intermediate cases taking into account different dimensions (e.g. market share, market concentration, time to substitution, as well as legal barriers to and operational requirements for entry or expansion)

    0070

    Critical Function

    In this column it shall be reported whether, taking into account the quantitative data and criticality indicators in this template, the economic function is considered to be critical in the market for the relevant country.

    Report "Yes" or "No"

II.7.3

Z 07.02 — Mapping of critical functions by legal entity (FUNC 2): Instructions concerning specific positions

  1. (46)

    This template shall be reported for the entire group. Only critical functions identified as such in {Z 07.01;070} (per Member State) shall be reported in this template.

  2. (47)

    The combination of values reported in columns 0010, 0020 and 0040 of this template forms a primary key which has to be unique for each row of the template.

  3. Columns

    Instructions

    0010

    Country

    The country for which the function is critical, as reported in Z 07.01 (FUNC 1)

    0020

    ID

    ID of the critical functions as defined in chapter 2.7.1.4 above and referred to in template Z 07.01 (FUNC 1)

    0030

    Entity Name

    Name of the Entity performing the critical function, as reported in Z 01.00 (ORG).

    If there are several entities performing the same critical functions in the same country, each entity shall be reported in a separate row.

    0040

    Code

    Code of the entity performing the critical function, as reported in Z 01.00 — Organisational structure (ORG).

    0050

    Monetary amount

    Contribution, in monetary amount, of the Legal entity to the monetary amount as described in column 0030 of template Z 07.01 (FUNC 1)

II.7.4

Z 07.03 — Mapping of Core Business Lines to legal entities (FUNC 3): Instructions concerning specific positions

  1. (48)

    The combination of values reported in columns 0020 and 0040 of this template forms a primary key which has to be unique for each row of the template.

  2. (49)

    Only material entities, as identified in {Z 07.02;0060}, shall be reported in this template.

  3. Columns

    Instructions

    0010

    Core business line

    Core business line pursuant to Article 2(1)(36) and Article 2(2) of Directive 2014/59/EU.

    0020

    Business Line ID

    Unique ID of the business line to be provided by the institution

    0030

    Description

    Description of core business line.

    0040

    Entity Name

    Name of the Entity as reported in Z 01.00 (ORG) having or being part of the core business line.

    If there are several entities having or being part of the same core business line, each entity shall be reported in a separate row.

    0050

    Code

    Code of the Entity having or being part of the core business line, as reported in Z 01.00 (ORG).

II.7.5

Z 07.04 — Mapping of critical functions to core business lines (FUNC 4): Instructions concerning specific positions

  1. (50)

    The combination of values reported in columns 0010, 0020 and 0040 of this template forms a primary key which has to be unique for each row of the template.

  2. (51)

    Only critical functions, as identified in {Z 07.01;0070}, shall be reported in this template.

  3. Columns

    Instructions

    0010

    Country

    Country for which the function is critical, as reported in Z 07.01 (FUNC 1)

    0020

    Function ID

    ID of the critical functions as defined in chapter 2.7.1.2 above and referred to in template Z 07.01 (FUNC 1)

    0030

    Core business line

    Core business line pursuant to Article 2(1)(36) and Article 2(2) of Directive 2014/59/EU as reported in template Z 07.03 (FUNC 3)

    0040

    Business Line ID

    Unique ID of the business line to be provided by the institution; same ID as reported in template Z 07.03 (FUNC 3)

II.8

Z 08.00 — Critical services (SERV)

II.8.1

General instructions

  1. (52)

    The information to be included in this template shall be reported once for the entire group, list critical services received by any entity in the group, and link them to the critical functions provided by the group.

  2. (53)

    Critical services shall mean the underlying operations, activities and services performed for one (dedicated services) or more business units or legal entities (shared services) within the group which are needed to provide one or more critical functions. Critical services may be performed by entities within the group (Internal service) or be outsourced to an external provider (External service). A service shall be considered critical where its disruption can present a serious impediment to, or completely prevent, the performance of critical functions as they are intrinsically linked to the critical functions that an institution performs for third parties.

  3. (54)

    Services that are performed entirely internally to a legal entity shall not be reported in this template.

  4. (55)

    Services that do not have a material impact on critical functions shall not be reported in this template.

  5. (56)

    The combination of values reported in columns 0010, 0030, 0050, 0070 and 0080 of this template forms a primary key which has to be unique for each row of the template.

II.8.2

Instructions concerning specific positions

Columns

Instructions

0005

Identifier

0010

Service type

The service type shall be one of the service types listed below.

Where possible, the sub-category shall be reported (two digit identification). Where no sub-category exists or no sub-category properly describes the service provided by the institution, the main category (one digit identification) shall be reported.

0020-0030

Service recipient

The Entity of the group which receives the critical service reported in column 0010 from another group entity or the external provider reported in columns 0040-0050.

0020

Entity name

Must be different from the name listed in column 0040.

0030

Code

Unique identifier of the legal entity in column 0020 as reported in template Z 01.00 (ORG)

Must be different from the identifier reported in column 0050.

0040-0050

Service provider

The legal entity (internal or external) which provides the critical service reported in column 0010 to a group entity

0040

Entity name

Must be different from the name listed in column 0020.

0050

Code

Unique identifier of the legal entity in column 0020.Must be different from the identifier listed in column 0030.

Where the service provider is a group entity, the code shall be the same as reported in n template Z 01.00 (ORG).

Where the service provider is not a group entity, the code of that entity shall be:

  • for institutions the 20-digit, alphanumeric LEI code;
  • for other entities the code shall be the 20-digit, alphanumeric LEI code, or if not available a code under a uniform codification applicable in the Union, or if not available a national code.

The code shall be unique and used consistently across the templates.

0060

Part of the group

"Yes" – if the service is provided by an entity of the group ("Internal")

"No" – if the service is provided by an entity outside of the group ("external")

0070-0080

Critical function

The critical function the performance of which would suffer a serious impediment or be completely prevented in case of disruption of the critical service. It is one of the functions assessed as critical in template Z 07.01 (FUNC 1).

0070

Country

Member State for which the function is critical, as reported in Z 07.01 (FUNC 1)

0080

ID

ID of the critical functions as defined in chapter 2.7.1.4 above and referred to in template Z 07.01 (FUNC 1)

0090

Estimated time for substitutability

Estimated time necessary to substitute a provider with another one to a comparable extent as regards object, quality and cost of the service received.

Report one of the following values:

  • "1 day - 1 week" where the substitution time is no longer than a week;
  • "1 week – 1 month" where the substitution time is longer than a week but no longer than a month;
  • "1 - 6 months" where the substitution time is longer than a month but no longer than 6 months;
  • "6 - 12 months" where the substitution time is longer than 6 months but no longer than a year;
  • "more than 1 year" where the substitution time is longer than a year.

0100

Estimated time for access to contracts

Estimated time necessary to retrieve the following information on the contract regulating the service following a request by the resolution authority:

  • duration of the contract
  • parties to the contract (authoring party and supplier, contact persons) and their jurisdiction
  • nature of the service (i.e. short description of the nature of the transaction between the parties, including prices)
  • whether the same service can be offered by any other internal/external provider (and identify potential candidates)
  • jurisdiction of the contract
  • department responsible of dealing with the main operations covered by the contract
  • main penalties included in the contract in case of suspension or delay on the payments
  • trigger for early termination and timing allowed for termination
  • operational support following termination
  • relevance for which critical functions and business lines

Report one of the following values:

  • 1 day
  • 1 day - 1 week
  • more than 1 week
  • no contract regulating the service

0110

Governing law

ISO code of the country code the law of which governs the contract.

0120

Resolution-proof contract

Reflects the assessment whether the contract could be continued and transferred in resolution.

The assessment shall take into account, among other factors:

  • any clause that would entitle a counterparty to terminate the contract solely as a result of resolution, early intervention measures or cross-default scenarios in spite of substantive obligations continuing to be performed;
  • any clause that would entitle a counterparty to alter the terms of service or pricing solely as a result of resolution, early intervention or cross-default scenarios in spite of substantive obligations continuing to be performed;
  • the recognition, in the contract, of the suspension rights of resolution authorities.

Report one of the following values:

II.9

Z 09.00 — FMI Services — Providers and Users — Mapping to Critical Functions

II.9.1

General remarks

  1. (57)

    This template identifies clearing, payments, securities settlement and custody activities, functions or services, the discontinuation of which can present a serious impediment to, or completely prevent the performance of one or more critical functions.

  2. (58)

    This template shall be reported once for the entire institution or group.

  3. (59)

    Only the Financial Market Infrastructures the disruption of which would present a serious impediment or prevent the performance of a critical function shall be identified.

II.9.2

Instructions concerning specific positions

Columns

Instructions

0010-0020

User

Group entity using payments, custody, settlement, clearing or trade repository services, as reported in Z 01.00 — Organisational structure (ORG).

0010

Entity Name

Name of the Entity using payments, custody, settlement, clearing or trade repository services, as reported in Z 01.00 — Organisational structure (ORG).

Only entities which are identified as providing critical functions in Z 07.02 shall be reported.

0020

Code

Code of the Entity using payments, custody, settlement, clearing or trade repository services, as reported in Z 01.00 — Organisational structure (ORG).

0030-0040

Critical Function

Critical function performed by the entity, the performance of which would be impeded or prevented by the disruption of access to the payments, custody, settlement, clearing or trade repository service

0030

Country

Country for which the function is critical, as reported in Z 07.01 (FUNC 1)

0040

ID

ID of the critical functions as defined in chapter 2.7.1.4 above and referred to in template Z 07.01 (FUNC 1)

0050-0080

Financial Market Infrastructure (FMI)

Reference: CPMI, Principles for financial market infrastructures

A multilateral system among participating financial institutions, including the operator of the system, used for the purposes of recording, clearing, or settling payments, securities, derivatives, or other financial transactions.

0050

System Type

Report one of the following values

0060

Name

Commercial name of the Financial Market Infrastructure

When "NA" is reported in column 0050, this column shall be left empty

0070

FMI Code

The code of the FMI. Where available, the code shall be the 20-digit, alphanumeric LEI code. Where the LEI is not available, a code under a uniform codification applicable in the Union, or if not available a national code.

When "NA" is reported in column 0050, this column shall be left empty.

0080

Participation Mode

Report one of the following values:

0090

Name

Commercial name of the Intermediary when "Indirect" or "NA" is reported in column 0080.

When "Direct" is reported in column 0080, "NA" (for Not Applicable) shall be reported.

The Intermediary may be either part of the group to which the reporting entity belongs or another credit institution not related to that group.

An Intermediary can be a firm that provides clearing, payments, securities settlement and/or custody services to other firms (especially when "NA" is reported in column 0050); it can be a direct member of one or several FMI and provides indirect access to the services offered by such FMI (especially when "Indirect" is reported in column 0080).

0100

Code

The code of the intermediary. Where available, the code shall be the 20-digit, alphanumeric LEI code. Where the LEI is not available, a code under a uniform codification applicable in the Union, or if not available a national code.

When "Direct" is reported in column 0090, "NA" (for Not Applicable) shall be reported.

0110

Service description

Description of the service if the System Type reported in column 050 is "Other" or "NA".

0120

Governing Law

ISO 3166-1 alpha-2 identification of the country whose law governs the access to the FMI.

In case of Direct Membership or Direct Participation, it is the Governing Law of the contract between the Financial Market Infrastructure and the User which has to be reported. In case of Indirect Membership or Indirect Participation, it is the Governing Law of the contract between the Representative Institution and the User which has to be reported.

II.10

Critical information systems

II.10.1

General remarks

  1. (60)

    This section consists of the following templates:

    • Z 10.01 — Critical Information systems (General information) (CIS 1), which lists all critical information systems in the group;
    • Z 10.02 — Mapping of critical information systems (CIS 2), which maps the critical information systems to user entities in the group and critical functions.

  2. (61)

    A Critical Information System ("CIS") shall be understood as an IT application or software which supports a critical service and the disruption of which would present a serious impediment or prevent the performance of a critical function.

  3. (62)

    These templates shall be reported for the entire group.

II.10.2

Z 10.01 — Critical Information systems (General information) (CIS 1): Instructions concerning specific positions

  1. (63)

    The value reported in column 0010 of this template forms a primary key which has to be unique for each row of the template.

  2. Columns

    Instructions

    0010-0040

    Critical Information System

    0010

    System Identification Code

    The system identification code is an acronym set by the institution that identifies unequivocally the critical information system.

    This is a row identifier and shall be unique for each row in the template.

    0020

    System name

    Commercial or internal name of the system.

    0030

    System Type

    Report one of the following values:

    • "Custom-Built Software For Business Support"
    • Applications that have been developed according to detailed business specifications. It may have been developed internally or using external contractors, but always with the purpose of business support.
    • "Software Purchased As-Is"
    • Applications purchased in the market, typically sold or licensed by a vendor, that were not modified in terms of specific customizations to the organisation's business. Applications that were subjected to normal configuration mechanisms are included in this category.
    • "Software Purchased With Custom Modifications"
    • Applications purchased in the market but where the vendor (or his representative) has created a specific version for the context of that installation. This particular version is characterized by changes in the application behaviour, new features or by inclusion of non-standard plug-ins developed according to the organisation's business.
    • "Application/External Portal"
    • External portals or applications provided by third parties, typically partners, to access the services they offered. Normally they are outside the scope of the information systems management of the organisation, and are installed, maintained and managed by the partner itself. Such applications often take the form of portals (accessible via the internet or private networks), and despite being outside the scope of the information systems management services of the organisation, they are important (or critical) to some business functions.

    0040

    Description

    Description of the main purpose of the information system in the business context.

    0050-0060

    Group Entity Responsible for the System

    0050

    Entity name

    Name of the legal entity responsible for the system within the group.

    This is the entity responsible for the overall procurement, development, integration, modification, operation, maintenance and retirement of an information system and is a key contributor in developing system design specifications to ensure the security and user operational needs are documented, tested, and implemented.

    0060

    Code

    Code of the legal entity responsible for the system within the group, as reported in Z 01.00 — Organisational structure (ORG).

II.10.3

Z 10-02 — Mapping of information systems (CIS 2): Instructions concerning specific positions

  1. (64)

    The combination of values reported in columns 0010, 0030, 0040 and 0050 of this template forms a primary key which has to be unique for each row of the template.

  2. Columns

    Instructions

    0010

    System Identification Code

    The information system Identification code as reported in column 010 of template Z 10.01 (CIS 1).

    0020-0030

    Group Entity user of the System

    The entity that uses the system within the group ("user"). There might be several users, in which case several rows for the same information system shall be reported.

    0020

    Entity name

    Name of the user entity, as reported in Z 01.00 (ORG)

    0030

    Code

    Code of the user entity, as reported in Z 01.00 (ORG)

    0040

    Critical service

    The identifier of the critical service, as reported in Z 08.00 (column 0005) which the system supports. The critical service may in itself be an IT service, or another type of service which the information system supports (for example transaction processing).

    0050-0060

    Critical function

    The critical function that would be seriously hindered or completely prevented by a disruption of services supported by the information system. There might be several critical functions, in which case several rows for the same information system shall be reported.

    0050

    Country

    Country for which the function is critical, as reported in Z 07.01 (FUNC 1)

    0060

    ID

    ID of the critical functions as defined in chapter 2.7.1.4 above and referred to in template Z 07.01 (FUNC 1)