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

1.

STRUCTURE AND CONVENTIONS

1.1.

STRUCTURE

  1. (1)

    Overall, the framework consists of five blocks of templates:

    1. (a)

      Capital adequacy, an overview of regulatory capital; total risk exposure amount;

    2. (b)

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

    3. (c)

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

    4. (d)

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

    5. (e)

      Operational risk.

  2. (2)

    For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework.

  3. (3)

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

1.2.

NUMBERING CONVENTION

  1. (4)

    The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.

  2. (5)

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

  3. (6)

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

  4. (7)

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

  5. (8)

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

1.3.

SIGN CONVENTION

  1. (9)

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

1.

CAPITAL ADEQUACY OVERVIEW (CA)

1.1.

GENERAL REMARKS

  1. (10)

    CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:

    1. (a)

      CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital

    2. (b)

      CA2 template summarizes the total risk exposures amounts (as defined in Article 92(3) of CRR)

    3. (c)

      CA3 template contains the ratios for which CRR state a minimum level, and some other related data

    4. (d)

      CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.

    5. (e)

      CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will seize to exist once the transitional provisions will expire.

  2. (11)

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

  3. (12)

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

  4. (13)

    Transitional provisions are treated as follows in CA templates:

    1. (a)

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

    2. (b)

      Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.

    3. (c)

      Template CA5 is exclusively used for reporting the transitional provisions.

  5. (14)

    The treatment of Pillar II requirements can be different within the EU (Article 104 (2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.

    1. (a)

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

    2. (b)

      The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.

    3. (c)

      The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104 (2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2.

C 01.00 — OWN FUNDS (CA1)

1.2.1.

Instructions concerning specific positions

Row

Legal references and instructions

010

1.

Own funds

Articles 4(1)(118) and 72 of CRR

The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.

015

1.1

Tier 1 capital

Article 25 of CRR

The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital

020

1.1.1

Common Equity Tier 1 capital

Article 50 of CRR

030

1.1.1.1

Capital instruments eligible as CET1 capital

Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR

040

1.1.1.1.1

Paid up capital instruments

Articles 26(1) point (a) and 27 to 30 of CRR

Includes capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR).

The amount to be reported shall not include the share premium related to the instruments

050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

Article 28(1) points (b), (l) and (m) of CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

060

1.1.1.1.3

Share premium

Articles 4(1)(124), 26(1) point (b) of CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

070

1.1.1.1.4

(-) Own CET1 instruments

Articles 36(1) point (f) and 42 of CRR

Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR.

Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.

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

Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.

080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

Articles 36(1) point (f) and 42 of CRR

Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.

The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR.

090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

Articles 4(1)(114), 36(1) point (f) and 42 of CRR

091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

Articles 4(1)(126), 36(1) point (f) and 42 of CRR

092

1.1.1.1.5

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

Articles 36(1) point (f) and 42 of CRR

According to Article 36(1) point (f) of CRR, "own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation" shall be deducted.

130

1.1.1.2

Retained earnings

Articles 26(1) point (c) and 26(2) of CRR

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits

140

1.1.1.2.1

Previous years retained earnings

Articles 4(1)(123) and 26(1) c) of CRR

Article 4(1)(123) of CRR defines retained earnings as "Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting standards".

150

1.1.1.2.2

Profit or loss eligible

Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR

Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.

On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point a) of CRR.

160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

Articles 26(2) and 36(1) point (a) of CRR

The amount to be reported shall be the profit or loss reported in the accounting income statement.

170

1.1.1.2.2.2

(-) Part of interim or year-end profit not eligible

Article 26(2) of CRR

This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1.

If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends)

Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.

180

1.1.1.3

Accumulated other comprehensive income

Articles 4(1)(100) and 26(1) point (d) of CRR

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters

200

1.1.1.4

Other reserves

Articles 4(1)(117) and 26(1) point (e) of CRR

Other reserves are defined in CRR as "Reserves within the meaning of the applicable accounting standard that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings".

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

210

1.1.1.5

Funds for general banking risk

Articles 4(1)(112) and 26(1) point (f) of CRR

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

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

220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

Articles 483(1) to (3), and 484 to 487 of CRR

Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.

230

1.1.1.7

Minority interest given recognition in CET1 capital

Article 4 (120) and 84 of CRR

Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

240

1.1.1.8

Transitional adjustments due to additional minority interests

Articles 479 and 480 of CRR

Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.

250

1.1.1.9

Adjustments to CET1 due to prudential filters

Articles 32 to 35 of CRR

260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

Article 32(1) of CRR

The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard.

For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.

270

1.1.1.9.2

Cash flow hedge reserve

Article 33(1) point (a) of CRR

The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

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

280

1.1.1.9.3

Cumulative gains and losses due to changes in own credit risk on fair valued liabilities

Article 33(1) point (b) of CRR

The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

285

1.1.1.9.4

Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

Article 33(1) point (c) and 33(2) of CRR

The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.

Unaudited profit shall not be included in this item.

290

1.1.1.9.5

(-) Value adjustments due to the requirements for prudent valuation

Articles 34 and 105 of CRR

Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR

300

1.1.1.10

(-) Goodwill

Articles 4(1)(113), 36(1) point (b) and 37 of CRR

310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

Articles 4(1)(113) and 36(1) point (b) of CRR

Goodwill has the same meaning as under the applicable accounting standard.

The amount to be reported here shall be the same that is reported in the balance sheet.

320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

Article 37 point (b) and 43 of CRR

330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

Article 37 point (a) of CRR

Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard

340

1.1.1.11

(-) Other intangible assets

Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

350

1.1.1.11.1

(-) Other intangible assets gross amount

Articles 4(1)(115) and 36(1) point (b) of CRR

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.

360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

Article 37 point (a) of CRR

Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard

370

1.1.1.12

(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

Articles 36(1) point (c) and 38 of CRR

380

1.1.1.13

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

Articles 36(1) point (d), 40, 158 and 159 of CRR

The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses (Article 40 of CRR)

390

1.1.1.14

(-) Defined benefit pension fund assets

Articles 4(1)(109), 36(1) point (e) and 41 of CRR

400

1.1.1.14.1

(-) Defined benefit pension fund assets gross amount

Articles 4(1)(109), 36(1) point (e) of CRR

Defined benefit pension fund assets are defined as "the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan"

The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).

410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

Articles 4(1)(108) and (109), and 41(1) point (a) of CRR

Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.

420

1.1.1.14.3

Defined benefit pension fund assets which the institution has an unrestricted ability to use

Articles 4(1)(109) and 41(1) point (b) of CRR

This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted.

The assets included in this row shall receive a risk weight for credit risk requirements.

430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

Articles 4(1)(122), 36(1) point (g) and 44 of CRR

Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.

440

1.1.1.16

(-) Excess of deduction from AT1 items over AT1 Capital

Article 36(1) point (j) of CRR

The amount to be reported is directly taken from CA 1 item "Excess of deduction from AT1 items over AT1 Capital". The amount has to be deducted from CET1.

450

1.1.1.17

(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1.250 % risk weight

Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR

Qualifying holdings are defined as "direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking".

According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.

460

1.1.1.18

(-) Securitisation positions which can alternatively be subject to a 1250 % risk weight

Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b) and 258 of CRR

Securitisation positions which are subject to a 1250 % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item.

470

1.1.1.19

(-) Free deliveries which can alternatively be subject to a 1.250 % risk weight

Articles 36(1) point k) (iii) and 379(3) of CRR

Free deliveries are subject to a 1250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.

471

1.1.1.20

(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1.250 % risk weight

Articles 36(1) point k) (iv) and 153(8) of CRR

According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.

472

1.1.1.21

(-) Equity exposures under an internal models approach which can alternatively be subject to a 1.250 % risk weight

Articles 36(1) point k) (v) and 155(4) of CRR

According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.

480

1.1.1.22

(-) CET1 instruments of financial sector entities where the institution does not have a significant investment

Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1

See alternatives to deduction when consolidation is applied (article 49 (2) and (3))

490

1.1.1.23

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

Articles 36(1) point (c); 38 and 48(1) point (a) of CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.

500

1.1.1.24

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

Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR

Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR.

See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).

510

1.1.1.25

(-) Amount exceeding the 17.65 % threshold

Article 48(1) of CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17.65 % threshold in Article 48(1) of CRR.

520

1.1.1.26

Other transitional adjustments to CET1 Capital

Articles 469 to 472, 478 and 481 of CRR

Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.

524

1.1.1.27

Additional deductions of CET1 Capital due to Article 3 CRR

Article 3 CRR

529

1.1.1.28

CET1 capital elements or deductions — other

This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524.

This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

530

1.1.2

ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR

540

1.1.2.1

Capital instruments eligible as AT1 Capital

Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR

550

1.1.2.1.1

Paid up capital instruments

Articles 51 point (a) and 52 to 54 of CRR

The amount to be reported shall not include the share premium related to the instruments

560

1.1.2.1.2

(*) Memorandum item: Capital instruments not eligible

Article 52(1) points (c), (e) and (f) of CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

570

1.1.2.1.3

Share premium

Article 51 point (b) of CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

580

1.1.2.1.4

(-) Own AT1 instruments

Articles 52(1) point (b), 56 point (a) and 57 of CRR

Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR.

Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.

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

Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.

590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR

Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.

620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

Articles 52 (1) point (b) (ii), 56 point (a) and 57of CRR

621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR

622

1.1.2.1.5

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

Articles 56 point (a) and 57 of CRR

According to Article 56 point (a) of CRR, "own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations" shall be deducted.

660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR

Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.

670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

Articles 85 and 86 of CRR

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

680

1.1.2.4

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

Article 480 of CRR

Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.

690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

Articles 4(1)(122), 56 point (b) and 58 of CRR

Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.

700

1.1.2.6

(-) AT1 instruments of financial sector entities where the institution does not have a significant investment

Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1

710

1.1.2.7

(-) AT1 instruments of financial sector entities where the institution has a significant investment

Articles 4(1)(27), 56 point (d), 59 and 79 of CRR

Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted

720

1.1.2.8

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

Article 56 point (e) of CRR

The amount to be reported is directly taken from CA 1 item "Excess of deduction from T2 items over T2 Capital (deducted in AT1)".

730

1.1.2.9

Other transitional adjustments to AT1 Capital

Articles 474, 475, 478 and 481 of CRR

Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.

740

1.1.2.10

Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)

Article 36(1) point j) of CRR

Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.

With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.

744

1.1.2.11

Additional deductions of AT1 Capital due to Article 3 CRR

Article 3 CRR

748

1.1.2.12

AT1 capital elements or deductions — other

This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744.

This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR)!

750

1.2

TIER 2 CAPITAL

Article 71 of CRR

760

1.2.1

Capital instruments and subordinated loans eligible as T2 Capital

Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR

770

1.2.1.1

Paid up capital instruments and subordinated loans

Articles 62 point (a), 63 and 65 of CRR

The amount to be reported shall not include the share premium related to the instruments

780

1.2.1.2

(*)Memorandum item: Capital instruments and subordinated loans not eligible

Article 63 points (c), (e) and (f); and article 64 of CRR

Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.

The amount to be reported shall not include the share premium related to the instruments

790

1.2.1.3

Share premium

Articles 62 point (b) and 65 of CRR

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

800

1.2.1.4

(-) Own T2 instruments

Article 63 point (b) (i), 66 point (a), and 67 of CRR

Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR.

Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.

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

Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.

810

1.2.1.4.1

(-) Direct holdings of T2 instruments

Articles 63 point (b), 66 point (a) and 67 of CRR

Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.

840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR

841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR

842

1.2.1.5

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

Articles 66 point (a) and 67 of CRR

According to Article 66 point (a) of CRR, "own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations" shall be deducted.

880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR

Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.

890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

Articles 87 and 88 of CRR

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

900

1.2.4

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

Article 480 of CRR

Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.

910

1.2.5

IRB Excess of provisions over expected losses eligible

Article 62 point (d) of CRR

For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.

920

1.2.6

SA General credit risk adjustments

Article 62 point (c) of CRR

For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.

930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

Articles 4(1)(122), 66 point (b) and 68 of CRR

Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.

The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.

940

1.2.8

(-) T2 instruments of financial sector entities where the institution does not have a significant investment

Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR

Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.

950

1.2.9

(-) T2 instruments of financial sector entities where the institution has a significant investment

Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR

Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.

960

1.2.10

Other transitional adjustments to T2 Capital

Articles 476 to 478 and 481 of CRR

Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.

970

1.2.11

Excess of deduction from T2 items over T2 Capital (deducted in AT1)

Article 56 point (e) of CRR

Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1.

With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.

974

1.2.12

(-) Additional deductions of T2 Capital due to Article 3 CRR

Article 3 CRR

978

1.2.13

T2 capital elements or deductions — other

This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974.

This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

1.3.

C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

1.3.1.

Instructions concerning specific positions

Row

Legal references and instructions

010

1.

TOTAL RISK EXPOSURE AMOUNT

Articles 92(3), 95, 96 and 98 of CRR

020

1*

Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

For investment firms under Article 95 (2) and Article 98 of CRR

030

1**

Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR

For investment firms under Article 96 (2) and Article 97 of CRR

040

1.1

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

Article 92(3) points (a) and (f) of CRR

050

1.1.1

Standardised approach (SA)

CR SA and SEC SA templates at the level of total exposures.

060

1.1.1.1

SA exposure classes excluding securitisations positions

CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.

070

1.1.1.1.01

Central governments or central banks

See CR SA template

080

1.1.1.1.02

Regional governments or local authorities

See CR SA template

090

1.1.1.1.03

Public sector entities

See CR SA template

100

1.1.1.1.04

Multilateral Development Banks

See CR SA template

110

1.1.1.1.05

International Organisations

See CR SA template

120

1.1.1.1.06

Institutions

See CR SA template

130

1.1.1.1.07

Corporates

See CR SA template

140

1.1.1.1.08

Retail

See CR SA template

150

1.1.1.1.09

Secured by mortgages on immovable property

See CR SA template

160

1.1.1.1.10

Exposures in default

See CR SA template

170

1.1.1.1.11

Items associated with particular high risk

See CR SA template

180

1.1.1.1.12

Covered bonds

See CR SA template

190

1.1.1.1.13

Claims on institutions and corporate with a short-term credit assessment

See CR SA template

200

1.1.1.1.14

Collective investments undertakings (CIU)

See CR SA template

210

1.1.1.1.15

Equity

See CR SA template

211

1.1.1.1.16

Other items

See CR SA template

220

1.1.1.2

Securitisations positions SA

CR SEC SA template at the level of total securitisation types

230

1.1.1.2.*

Of which: resecuritisation

CR SEC SA template at the level of total securitisation types

240

1.1.2

Internal ratings based Approach (IRB)

250

1.1.2.1

IRB approaches when neither own estimates of LGD nor Conversion Factors are used

CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)

260

1.1.2.1.01

Central governments and central banks

See CR IRB template

270

1.1.2.1.02

Institutions

See CR IRB template

280

1.1.2.1.03

Corporates — SME

See CR IRB template

290

1.1.2.1.04

Corporates — Specialised Lending

See CR IRB template

300

1.1.2.1.05

Corporates — Other

See CR IRB template

310

1.1.2.2

IRB approaches when own estimates of LGD and/or Conversion Factor are used

CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)

320

1.1.2.2.01

Central governments and central banks

See CR IRB template

330

1.1.2.2.02

Institutions

See CR IRB template

340

1.1.2.2.03

Corporates — SME

See CR IRB template

350

1.1.2.2.04

Corporates — Specialised Lending

See CR IRB template

360

1.1.2.2.05

Corporates — Other

See CR IRB template

370

1.1.2.2.06

Retail — secure by real estate SME

See CR IRB template

380

1.1.2.2.07

Retail — secure by real estate non-SME

See CR IRB template

390

1.1.2.2.08

Retail — Qualifying revolving

See CR IRB template

400

1.1.2.2. 09

Retail — Other SME

See CR IRB template

410

1.1.2.2.10

Retail — Other non-SME

See CR IRB template

420

1.1.2.3

Equity IRB

See CR EQU IRB template

430

1.1.2.4

Securitisations positions IRB

CR SEC IRB template at the level of total securitisation types

440

1.1.2.4*

Of which: resecuritisation

CR SEC IRB template at the level of total securitisation types

450

1.1.2.5

Other non credit-obligation assets

The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.

460

1.1.3

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

Articles 307 to 309 of CRR

490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR

500

1.2.1

Settlement/delivery risk in the non-Trading book

See CR SETT template

510

1.2.2

Settlement/delivery risk in the Trading book

See CR SETT template

520

1.3

TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS

Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR

530

1.3.1

Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)

540

1.3.1.1

Traded debt instruments

MKR SA TDI template at the level of total currencies.

550

1.3.1.2

Equity

MKR SA EQU template at the level of total national markets.

560

1.3.1.3

Foreign Exchange

See MKR SA FX template

570

1.3.1.4

Commodities

See MKR SA COM template

580

1.3.2

Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)

See MKR IM template

590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

Article 92(3) point (e) and 92(4) point (b) of CRR

For investment firms under Article 95 (2), Article 96 (2) and Article 98 of CRR this element shall be zero.

600

1.4.1

OpR Basic Indicator approach (BIA)

See OPR template

610

1.4.2

OpR Standardised (TSA)/Alternative Standardised (ASA) approaches

See OPR template

620

1.4.3

OpR Advanced measurement approaches (AMA)

See OPR template

630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR

Only for investment firms under Article 95 (2), Article 96 (2) and Article 98 of CRR. See also Article 97 of CRR

Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5.

Investment firms under Article 95 of CRR shall report:

  • If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.
  • If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.

640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Article 92(3) point (d) of CRR See CVA template.

650

1.6.1

Advanced method

Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.

660

1.6.2

Standardised method

Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.

670

1.6.3.

Based on OEM

Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.

680

1.7

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

Articles 92(3) point (b) (ii) and 395 to 401 of CRR

690

1.8

OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.

Institutions shall report the amounts needed to comply with the following:

Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR

Additional risk exposure amounts due to Article 3 CRR

This item does not have a link to a details template.

710

1.8.2

Of which: Additional stricter prudential requirements based on Art 458

Article 458 of CRR

720

1.8.2*

Of which: requirements for large exposures

Article 458 of CRR

730

1.8.2**

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

Article 458 of CRR

740

1.8.2***

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

Article 458 of CRR

750

1.8.3

Of which: Additional stricter prudential requirements based on Art 459

Article 459 of CRR

760

1.8.4

Of which: Additional risk exposure amount due to Article 3 CRR

Article 3 CRR

The additional risk exposure amount has to be reported. shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30).

1.4.

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1.

Instructions concerning specific positions

Rows

010

1

CET1 Capital ratio

Article 92(2) point (a) of CRR

The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.

020

2

Surplus(+)/Deficit(-) of CET1 capital

This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

030

3

T1 Capital ratio

Article 92(2) point (b) of CRR

The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.

040

4

Surplus(+)/Deficit(-) of T1 capital

This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

050

5

Total capital ratio

Article 92(2) point (c) of CRR

The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.

060

6

Surplus(+)/Deficit(-) of total capital

This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

070

CET1 capital ratio including Pillar II adjustments

Article 92(2) point (a) of CRR and Article 104 (2) CRD IV

This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.

080

Target CET1 capital ratio due to Pillar II adjustments

Article 104 (2) CRD IV

This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.

090

T1 capital ratio including Pillar II adjustments

Article 92(2) point (b) of CRR and Article 104 (2) CRD IV

This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.

100

Target T1 capital ratio due to Pillar II adjustments

Article 104 (2) CRD IV

This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.

110

Total capital ratio including Pillar II adjustments

Article 92(2) point (c) of CRR and Article 104 (2) CRD IV

This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.

120

Target Total capital ratio due to Pillar II adjustments

Article 104 (2) CRD IV

This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.

1.5.

C 04.00 — MEMORANDUM ITEMS (CA4)

1.5.1.

Instructions concerning specific positions

Rows

010

1.

Total deferred tax assets

The amount reported in this item shall be equal to the amount reported in the accounting balance sheet.

020

1.1

Deferred tax assets that do not rely on future profitability

Article 39 of CRR

Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.

030

1.2

Deferred tax assets that rely on future profitability and do not arise from temporary differences

Articles 36(1) point (c) and 38 of CRR

Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).

040

1.3

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

Articles 36(1) point (c); 38 and 48(1) point (a) of CRR

Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17.65 % thresholds in Article 48 of CRR.

050

2

Total deferred tax liabilities

The amount reported in this item shall be equal to the amount reported in the accounting balance sheet.

060

2.1

Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability

Article 38(3) and (4) of CRR

Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.

070

2.2

Deferred tax liabilities deductible from deferred tax assets that rely on future profitability

Article 38 of CRR

080

2.2.1

Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences

Article 38 (3), (4) and (5) of CRR

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

090

2.2.2

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

Article 38 (3), (4) and (5) of CRR

Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

100

3.

IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR

This item shall only be reported by IRB institutions.

110

3.1

Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount

Article 159 of CRR

This item shall only be reported by IRB institutions.

120

3.1.1

General credit risk adjustments

Article 159 of CRR

This item shall only be reported by IRB institutions.

130

3.1.2

Specific credit risk adjustments

Article 159 of CRR

This item shall only be reported by IRB institutions.

131

3.1.3

Additional value adjustments and other own funds reductions

Articles 34, 110 and 159 of CRR

This item shall only be reported by IRB institutions.

140

3.2

Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR

This item shall only be reported by IRB institutions. Only the expected loss related to non defaulted exposures shall be reported.

145

4

IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures

Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR

This item shall only be reported by IRB institutions.

150

4.1

Specific credit risk adjustments and positions treated similarily

Article 159 of CRR

This item shall only be reported by IRB institutions.

155

4.2

Total expected losses eligible

Articles 158(5), (6) and (10), and 159 of CRR

This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.

160

5

Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2

Article 62 point (d) of CRR

For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0.6 % of risk-weighted exposure amounts calculated with the IRB approach.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0.6 %) which is the base for calculating the cap.

170

6

Total gross provisions eligible for inclusion in T2 capital

Article 62 point (c) of CRR

This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.

The amount to be reported shall be gross of tax effects.

180

7

Risk weighted exposure amounts for calculating the cap to the provision eligible as T2

Article 62 point (c) of CRR

According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1.25 % of risk-weighted exposure amounts.

The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1.25 %) which is the base for calculating the cap.

190

8

Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment

Article 46(1) point (a) of CRR

This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %..

200

9

10 % CET1 threshold

Article 48(1) points (a) and (b) of CRR

This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences.

The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

210

10

17.65 % CET1 threshold

Article 48(1) of CRR

This item contains the 17.65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.

The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions.

220

11

Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures

Article 4(1)(71)

"Eligible capital" is defined, for the purposes of qualifying holdings outside the financial sector and large exposures, as the sum of Tier 1 and Tier 2 capital which is equal to or less than one third of Tier 1 capital.

230

12

Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 44 to 46 and 49 of CRR

240

12.1

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

Articles 44, 45, 46 and 49 of CRR

250

12.1.1

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

Articles 44, 46 and 49 of CRR

Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:

260

12.1.2

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

Article 45 of CRR

Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

270

12.2

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

Articles 4(1)(114), 44 and 45 of CRR

280

12.2.1

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

Articles 4(1)(114), 44 and 45 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included

290

12.2.2

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

Articles 4(1)(114) and 45 of CRR

Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

291

12.3.1

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

Articles 4(1)(126), 44 and 45 of CRR

292

12.3.2

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

Articles 4(1)(126), 44 and 45 of CRR

293

12.3.3

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

Articles 4(1)(126) and 45 of CRR

300

13

Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 58 to 60 of CRR

310

13.1

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

Articles 58, 59 and 60(2) of CRR

320

13.1.1

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

Articles 58 and 60(2) of CRR

Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:

330

13.1.2

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

Article 59 of CRR

Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

340

13.2

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

Articles 4(1)(114), 58 and 59 of CRR

350

13.2.1

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

Articles 4(1)(114), 58 and 59 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included

360

13.2.2

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

Articles 4(1)(114) and 59 of CRR

Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

361

13.3

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

Articles 4(1)(126), 58 and 59 of CRR

362

13.3.1

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

Articles 4(1)(126), 58 and 59 of CRR

363

13.3.2

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

Articles 4(1)(126) and 59 of CRR

370

14.

Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions

Articles 68 to 70 of CRR

380

14.1

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

Articles 68, 69 and 70(2) of CRR

390

14.1.1

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

Articles 68 and 70(2) of CRR

Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding:

400

14.1.2

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

Article 69 of CRR

Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

410

14.2

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

Article 4(1)(114), 68 and 69 of CRR

420

14.2.1

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

Articles 4(1)(114), 68 and 69 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

430

14.2.2

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

Articles 4(1)(114) and 69 of CRR

Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

431

14.3

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

Articles 4(1)(126), 68 and 69 of CRR

432

14.3.1

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

Articles 4(1)(126), 68 and 69 of CRR

433

14.3.2

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

Articles 4(1)(126) and 69 of CRR

440

15

Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 44, 45, 47 and 49 of CRR

450

15.1

Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 44, 45, 47 and 49 of CRR

460

15.1.1

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

Articles 44, 45, 47 and 49 of CRR

Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding:

470

15.1.2

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

Article 45 of CRR

Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

480

15.2

Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(114), 44 and 45 of CRR

490

15.2.1

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

Articles 4(1)(114), 44 and 45 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included.

500

15.2.2

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

Articles 4(1)(114) and 45 of CRR

Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

501

15.3

Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment

Articles 4(1)(126), 44 and 45 of CRR

502

15.3.1

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

Articles 4(1)(126), 44 and 45 of CRR

503

15.3.2

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

Articles 4(1)(126) and 45 of CRR

510

16

Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 58 and 59 of CRR

520

16.1

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

Articles 58 and 59 of CRR

530

16.1.1

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

Article 58 of CRR

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

540

16.1.2

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

Article 59 of CRR

Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

550

16.2

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

Articles 4(1)(114), 58 and 59 of CRR

560

16.2.1

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

Articles 4(1)(114), 58 and 59 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included.

570

16.2.2

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

Article 4(1)(114) and 59 of CRR

Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

571

16.3

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

Articles 4(1)(126), 58 and 59 of CRR

572

16.3.1

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

Articles 4(1)(126), 58 and 59 of CRR

573

16.3.2

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

Articles 4(1)(126) and 59 of CRR

580

17

Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions

Articles 68 and 69 of CRR

590

17.1

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

Articles 68 and 69 of CRR

600

17.1.1

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

Article 68 of CRR

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

610

17.1.2

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

Article 69 of CRR

Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

620

17.2

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

Articles 4(1)(114), 68 and 69 of CRR

630

17.2.1

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

Articles 4(1)(114), 68 and 69 of CRR

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

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

640

17.2.2

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

Articles 4(1)(114), 69 of CRR

Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

641

17.3

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

Articles 4(1)(126), 68 and 69 of CRR

642

17.3.1

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

Articles 4(1)(126), 68 and 69 of CRR

643

17.3.2

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

Articles 4(1)(126) and 69 of CRR

650

18

Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital

Article 46(4) of CRR

660

19

Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital

Article 60 of CRR

670

20

Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital

Article 70 of CRR

680

21

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

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 12.1.

690

22

Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 15.1.

700

23

Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 13.1.

710

24

Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 16.1.

720

25

Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 14.1.

730

26

Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

Article 79 of CRR

A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

Note that these instruments shall also be reported on item 17.1.

740

27

Combined buffer requirement

Article 128 point (6) of CRD

750

Capital conservation buffer

Articles 128 point (1) and 129 of CRD

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.

760

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

Article 458 (2) point d (iv) of CRR

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 CRR in addition to the capital conservation buffer shall be reported.

770

Institution specific countercyclical capital buffer

Articles 128 point (2), 130, 135-140 of CRD

780

Systemic risk buffer

Articles 128 point (5), 133 and 134 of CRD

790

Systemically important institution buffer

Article 131 of CRD

Institutions shall report the amount of the Systemically important institution buffer which is applicable on a consolidated basis.

800

Global Systemically Important Institution buffer

Articles 128 point (3) and 131 of CRD

810

Other Systemically Important Institution buffer

Articles 128 point (4) and 131 of CRD

820

28

Own funds requirements related to Pillar II adjustments

Article 104 (2) of CRD.

If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell.

830

29

Initial capital

Articles 12, 28 to 31of CRD and Article 93 of CRR

840

30

Own funds based on Fixed Overheads

Articles 96(2) point (b), 97 and 98(1) point (a) of CRR

850

31

Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.

Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

860

32

Total original exposures

Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.

Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

870

Adjustments to total own funds

Article 500 (4) of CRR

880

Own funds fully adjusted for Basel I floor

Article 500 (1) point (b) and (4) of CRR

890

Own funds requirements for Basel I floor

Article 500 (1) point (b) of CRR

900

Own funds requirements for Basel I floor — SA alternative

Article 500 (2) and (3) of CRR

1.6.

TRANSITIONAL PROVISIONS and GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)

1.6.1.

General remarks

  1. (15)

    CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.

  2. (16)

    CA5 is structured as follows:

    1. (a)

      Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as "adjustments" to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.

    2. (b)

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

  3. (17)

    Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.

  4. (18)

    Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.

  5. (19)

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

1.6.2.

C 05.01 — Transitional provisions (CA5.1)

  1. (20)

    Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.

  2. (21)

    Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 060 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.

  3. (22)

    Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).

  4. (23)

    In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.

  5. (24)

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

  6. 1.6.2.1.

    Instructions concerning specific positions

    Columns

    010

    Adjustments to CET1

    020

    Adjustments to AT1

    030

    Adjustments to T2

    040

    Adjustments included in RWAs

    Column 050 includes the relevant residual amount, i.e. prior the application of provisions of Chapter 2 or 3 of Part Three of CRR.

    Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments included in RWA do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the RWA, those adjustments shall be included directly in the CR SA, CR IRB or CR EQU IRB. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items.

    050

    Applicable percentage

    060

    Eligible amount without transitional provisions

    Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.

    Rows

    010

    1.

    Total adjustments

    This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments

    020

    1.1

    Grandfathered instruments

    Articles 483 to 491 of CRR

    This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.

    030

    1.1.1

    Grandfathered instruments: Instruments constituting state aid

    Article 483 CRR

    040

    1.1.1.1

    Instruments that qualified as own funds according to 2006/48/EC

    Article 483 (1) (2), (4) and (6) of CRR

    050

    1.1.1.2

    Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme

    Article 483 (1), (3), (5), (7) and (8) of CRR

    060

    1.1.2

    Instruments not constituting state aid

    The amounts to be reported shall be obtained from column 060 of table CA 5.2.

    070

    1.2

    Minority interests and equivalents

    Articles 479 and 480 of CRR

    This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.

    080

    1.2.1

    Capital instruments and items that do not qualify as minority interests

    Articles 479 of CRR

    The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.

    090

    1.2.2

    Transitional recognition in consolidated own funds of minority interests

    Articles 84 and 480 of CRR

    The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

    091

    1.2.3

    Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital

    Article 85 and 480 of CRR

    The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

    092

    1.2.4

    Transitional recognition in consolidated own funds of qualifying Tier 2 capital

    Article 87 and 480 of CRR

    The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

    100

    1.3

    Other transitional adjustments

    Articles 467 to 478 and 481 of CRR

    This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.

    110

    1.3.1

    Unrealised gains and losses

    Articles 467 and 468 of CRR

    This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value.

    120

    1.3.1.1

    Unrealised gains

    Article 468(1) of CRR

    130

    1.3.1.2

    Unrealised losses

    Article 467(1) of CRR

    133

    1.3.1.3

    Unrealised gains on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39

    Article 468 of CRR

    136

    1.3.1.4

    Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39

    Article 467 of CRR

    138

    1.3.1.5

    Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities

    Article 468 of CRR

    140

    1.3.2

    Deductions

    Articles 36(1), 469 to 478 of CRR

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

    150

    1.3.2.1.

    Losses for the current financial year

    Articles 36 (1) point (a), 469 (1), 472 (3) and 478 of CRR

    The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR.

    Where firms have only been required to deduct material losses:

    • where the total interim net loss was "material", the full residual amount would be deducted from Tier 1, or
    • where the whole total interim net loss was not "material", no deduction of residual amount would be made.

    160

    1.3.2.2.

    Intangible assets

    Articles 36 (1) point (b), 469 (1), 472 (4) and 478 of CRR

    When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR.

    The amount to be reported in column 060 of this row shall be the original deduction Article 36(1)(b) of CRR.

    170

    1.3.2.3.

    Deferred tax assets that rely on future profitability and do not arise from temporary differences

    Articles 36 (1) point (c), 469 (1), 472 (5) and 478 of CRR

    When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities.

    The amount to be reported in column 060 of this row: Total amount according to Article 469 (1) c) of CRR.

    180

    1.3.2.4.

    IRB shortfall of provisions to expected losses

    Articles 36 (1) point (d), 469 (1), 472 (6) and 478 of CRR

    When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR.

    The amount to be reported in column 060 of this row: Original deduction Article 36(1)(d) of CRR

    190

    1.3.2.5.

    Defined benefit pension fund assets

    Articles 33 (1) point (e), 469 (1), 472 (7), 473 and 478 of CRR

    When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR.

    The amount to be reported in column 060 of this row: Original deduction Article 36(1)(e) of CRR

    194

    1.3.2.5.*

    of which: Introduction of amendments to IAS 19 — positive item

    Article 473 of CRR

    198

    1.3.2.5.**

    of which: Introduction of amendments to IAS 19 — negative item

    Article 473 of CRR

    200

    1.3.2.6.

    Own instruments

    Articles 36 (1) point (f), 469 (1), 472 (8) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR

    210

    1.3.2.6.1

    Own CET1 instruments

    Articles 36 (1) point (f), 469 (1), 472 (8) and 478 of CRR

    When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR.

    Given that the treatment of the "residual amount" differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to "direct" and "indirect" holdings.

    The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR.

    211

    1.3.2.6.1**

    of which: Direct holdings

    The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469 (1) (b), 472 (8) (a) of CRR.

    212

    1.3.2.6.1*

    of which: Indirect holdings

    The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469 (1) (b), 472 (8) (b) of CRR.

    220

    1.3.2.6.2

    Own AT1 instruments

    Articles 56 point (a), 474, 475(2) and 478 of CRR

    When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR.

    Given that the treatment of the "residual amount" differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to "direct" and "indirect" own Additional Tier 1 holdings.

    The amount to be reported in column 060 of this row: Original deduction Article 56 (a) of CRR.

    221

    1.3.2.6.2**

    of which: Direct holdings

    The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 474 (b) and 475 (2) (a) of CRR.

    222

    1.3.2.6.2*

    of which: Indirect holdings

    The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 474 (b), 475 (2) (b) of CRR.

    230

    1.3.2.6.3

    Own T2 instruments

    Articles 66 point (a), 476, 477(2) and 478 of CRR

    When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR.

    Given that the treatment of the "residual amount" differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to "direct" and "indirect" own Tier 2 holdings.

    The amount to be reported in column 060 of this row: Original deduction Article 66 (a) of CRR.

    231

    of which: Direct holdings

    The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (a) of CRR

    232

    of which: Indirect holdings

    The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (b) of CRR

    240

    1.3.2.7.

    Reciprocal cross holdings

    Given that the treatment of the "residual amount" differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.

    250

    1.3.2.7.1

    Reciprocal cross holdings in CET1 Capital

    Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 36(1)(g) of CRR

    260

    1.3.2.7.1.1

    Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment

    Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR

    The amount to be reported in column 060 of this row: Residual amount according to Article 469 (1) (b) of CRR

    270

    1.3.2.7.1.2

    Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment

    Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR

    The amount to be reported in column 060 of this row: Residual amount according to Article 469 (1) (b) of CRR

    280

    1.3.2.7.2

    Reciprocal cross holdings in AT1 Capital

    Articles 56 point (b), 474, 475(3) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 56 (b) of CRR

    290

    1.3.2.7.2.1

    Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment

    Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR

    The amount to be reported in column 060 of this row: Residual amount according to Article 475 (3) of CRR

    300

    1.3.2.7.2.2

    Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment

    Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR

    The amount to be reported in column 060 of this row: Residual amount according to Article 475 (3) of CRR

    310

    1.3.2.7.3

    Reciprocal cross holdings in T2 Capital

    Articles 66 point (b), 476, 477(3) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 66 (b) of CRR

    320

    1.3.2.7.3.1

    Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment

    Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR

    The amount to be reported in column 060 of this row: Residual amount according to Article 477 (3) of CRR

    330

    1.3.2.7.3.2

    Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment

    Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR

    The amount to be reported in column 060 of this row: Residual amount according to Article 477 (3) of CRR

    340

    1.3.2.8.

    Own funds instruments of financial sector entities where the institution does not have a significant investment

    350

    1.3.2.8.1

    CET1 instruments of financial sector entities where the institution does not have a significant investment

    Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 36 (1) (h) of CRR

    360

    1.3.2.8.2

    AT1 instruments of financial sector entities where the institution does not have a significant investment

    Articles 56 point (c), 474, 475(4) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 56 (c) of CRR

    370

    1.3.2.8.3

    T2 instruments of financial sector entities where the institution does not have a significant investment

    Articles 66 point (c), 476, 477(4) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 66 (c) of CRR

    380

    1.3.2.9

    Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment

    Article 470(2) and (3) of CRR

    The amount to be reported in column 060 of this row: Article 470 (1) of CRR

    390

    1.3.2.10

    Own funds instruments of financial sector entities where the institution has a significant investment

    400

    1.3.2.10.1

    CET1 instruments of financial sector entities where the institution has a significant investment

    Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 36 (1) (i) of CRR

    410

    1.3.2.10.2

    AT1 instruments of financial sector entities where the institution has a significant investment

    Articles 56 point (d), 474, 475(4) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 56 (d) of CRR

    420

    1.3.2.10.3

    T2 instruments of financial sector entities where the institution has a significant investment

    Articles 66 point (d), 476, 477(4) and 478 of CRR

    The amount to be reported in column 060 of this row: Original deduction Article 66 (d) of CRR

    425

    1.3.2.11

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

    Article 471 of CRR

    430

    1.3.3

    Additional filters and deductions

    Article 481 of CRR

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

1.6.3.

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

  1. (26)

    Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).

  2. 1.6.3.1.

    Instructions concerning specific positions

    Columns

    010

    Amount of instruments plus related share premium

    Article 484 (3) to (5) of CRR

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

    020

    Base for calculating the limit

    Articles 486 (2) to (4) of CRR

    030

    Applicable percentage

    Article 486 (5) of CRR

    040

    Limit

    Article 486 (2) to (5) of CRR

    050

    (-) Amount that exceeds the limits for grandfathering

    Article 486 (2) to (5) of CRR

    060

    Total grandfathered amount

    The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.

    Rows

    010

    1.

    Instruments that qualified for point a) of Article 57 of 2006/48/EC

    Article 484(3) of CRR

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

    020

    2.

    Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489

    Article 484(4) of CRR

    030

    2.1

    Total instruments without a call or an incentive to redeem

    Article 489 of CRR

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

    040

    2.2

    Grandfathered instruments with a call and incentive to redeem

    Article 489 of CRR

    050

    2.2.1

    Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity

    Articles 489(3), and 491 point (a) of CRR

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

    060

    2.2.2

    Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity

    Articles 489(5), and 491 point (a) of CRR

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

    070

    2.2.3

    Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity

    Articles 489(6) and 491 point (c) of CRR

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

    080

    2.3

    Excess on the limit of CET1 grandfathered instruments

    Article 487(1) of CRR

    The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.

    090

    3.

    Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490

    Article 484(5) of CRR

    100

    3.1

    Total items without an incentive to redeem

    Article 490 of CRR

    110

    3.2

    Grandfathered items with an incentive to redeem

    Article 490 of CRR

    120

    3.2.1

    Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity

    Articles 490(3), and 491 point (a) of CRR

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

    130

    3.2.2

    Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

    Articles 490(5), and 491 point (a) of CRR

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

    140

    3.2.3

    Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity

    Articles 490(6) and 491 point (c) of CRR

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

    150

    3.3

    Excess on the limit of AT1 grandfathered instruments

    Article 487(2) of CRR

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

2.

C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.1.

GENERAL REMARKS

  1. (27)

    This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation of the reporting entity.

    1. (a)

      Entities within the scope of consolidation;

    2. (b)

      Detailed group solvency information;

    3. (c)

      Information on the contribution of individual entities to group solvency

    4. (d)

      Information on capital buffers

  2. (28)

    Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.

2.2.

DETAILED GROUP SOLVENCY INFORMATION;

  1. (29)

    The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.

  2. (30)

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

2.3.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY

  1. (31)

    The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.

  2. (32)

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

  3. (33)

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

  4. (34)

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

  5. (35)

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

  6. (36)

    Institutions which calculate their own funds requirements on a consolidated basis shall report the GS template. It is possible for one consolidated group to be included within another consolidated group in which case the consolidated entity will have their details included in a higher consolidated group's GS template.

  7. (37)

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

2.4.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

Columns

Instructions

010-060

ENTITIES WITHIN SCOPE OF CONSOLIDATION

This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR.

The figures of the parent institutions shall also be included in the group solvency template.

This part is not applicable to the total row.

010

NAME

Name of the entity within the scope of consolidation.

020

CODE

Code assigned to the entity within the scope of consolidation.

The actual composition of the code depends on the national reporting system

025

LEI CODE

030

INSTITUTION OR EQUIVALENT: YES/NO

"YES" shall be reported in case the entity is subject to own funds requirements according to CRD or provisions at least equivalent to Basel provisions.

"NO" shall be reported otherwise.

Minority interests:

81(1) point (a) (ii) and 82(1) point (a) (ii)

To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR.

040

SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF), SOLO PARTIALLY CONSOLIDATED (SP) OR SUBCONSOLIDATED (SC)

"SF" SHALL BE REPORTED FOR INDIVIDUAL SUBSIDIARIES FULLY CONSOLIDATED

"SP" SHALL BE REPORTED FOR INDIVIDUAL SUBSIDIARIES PARTIALLY CONSOLIDATED

"SC" SHALL BE REPORTED FOR SUBGROUPS.

050

COUNTRY CODE

Institutions shall report the two-letter country code according to ISO 3166-2.

060

SHARE OF HOLDING (%)

Total percentages of holding held by the reporting institution. This percentage is referred to the actual share of capital relevant for consolidation.

070-240

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).

Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.

The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution's rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

Reporting of fixed overheads of investment firms:

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR.

The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.

070

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 080 to 110 shall be reported.

080

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 "RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES" and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 "TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS" of the template CA2.

090

POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 "TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS" of the template CA2.

100

OPERATIONAL RISK

The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 "TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)" of the template CA2.

Fixed overheads shall be included in this column including the row 630 "ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS" of the template CA2.

110

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2.

120-240

DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.

120

OWN FUNDS

The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 "OWN FUNDS" of the template CA1.

130

OF WHICH: QUALIFYING OWN FUNDS

Article 82 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

140

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 87 (1) (b) of CRR

150

TOTAL TIER 1 CAPITAL

Article 25 of CRR

160

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

170

OF WHICH: T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Article 87 (1) (b) of CRR

180

COMMON EQUITY TIER 1 CAPITAL

Article 50 of CRR

190

OF WHICH: MINORITY INTERESTS

Article 81 of CRR

This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

200

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 87 (1) (b) of CRR

210

ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR

220

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in article 85 (2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

230

TIER 2 CAPITAL

Article 71 of CRR

240

OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in article 87 (2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting.

250-400

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

250-290

CONTRIBUTION TO RISKS

The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.

250

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 260 to 290 shall be reported.

260

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation.

270

POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 "TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS" of the consolidated report.

280

OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification.

Fixed overheads shall be included in this column.

290

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.

300-400

CONTRIBUTION TO OWN FUNDS

This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity.

Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, whereas columns 360 to 400 shall be reported by all other consolidated entities which contribute to the consolidated own funds.

Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves.

The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.

300-350

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

The amount to be reported as "QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS" shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities.

300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of CRR

310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 of CRR

320

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 of CRR

The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR.

330

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 of CRR

The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated AT1 according to the CRR.

340

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 89 of CRR

The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated T2 according to the CRR.

350

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

360-400

CONSOLIDATED OWN FUNDS

Article 18 (2) CRR

The amount to be reported as "CONSOLIDATED OWN FUNDS" is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.

360

CONSOLIDATED OWN FUNDS

370

OF WHICH: COMMON EQUITY TIER 1

380

OF WHICH: ADDITIONAL TIER 1

390

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests.

400

OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL

Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here.

410-430

CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported following the calculating of the buffer requirements, that means depending whether the requirements shall be calculated on consolidated, subconsolidated or individual level.

410

COMBINED BUFFER REQUIREMENTS

Article 128 point (2) of CRD

420

CAPITAL CONSERVATION BUFFER

Article 128 point (1) and 129 of CRD

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.

430

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Article 128 point (7), Article 130 and 135-140 of CRD

In this cell the concrete amount of the countercyclical buffer shall be reported.

440

CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

Article 458 (2) point d (iv) of CRR

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 CRR in addition to the capital conservation buffer shall be reported.

450

SYSTEMIC RISK BUFFER

Article 133 and 134 of CRD

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

460

SYSTEMICAL IMPORTANT INSTITUTION BUFFER

Article 128 point (4) of CRD

In this cell the amount of the Systemically important institution buffer shall be reported.

470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 131 of CRD

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

480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 131 of CRD

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

Rows

Instructions

010

The template has a fixed row, which is the total of all the individual entities (not including subgroups). This row does not require information in the first part of the template.

999

Below the fixed row, there shall be a row for each entity.

3.

CREDIT RISK TEMPLATES

3.1.

GENERAL REMARKS

  1. (38)

    There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.

  2. 3.1.1.

    Reporting of CRM techniques with substitution effect

    1. (39)

      Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.

    2. (40)

      Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.

    3. (41)

      Articles 196, 197 and 200 of CRR regulate the funded credit protection.

    4. (42)

      Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.

    5. (43)

      The exposure type does not change because of unfunded credit protection.

    6. (44)

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

    7. (45)

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

    3.1.2.

    Reporting of Counterparty Credit Risk

    1. (46)

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

3.2.

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

3.2.1.

General remarks

  1. (47)

    The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on:

    1. (a)

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

    2. (b)

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

3.2.2.

Scope of the CR SA template

  1. (48)

    According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.

  2. (49)

    The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.

  3. (50)

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

    1. (a)

      Exposures assigned to exposure class "items representing securitisation positions" according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.

    2. (b)

      Exposures deducted from own funds.

  4. (51)

    The scope of the CR SA template covers the following own funds requirements:

    1. (a)

      Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;

    2. (b)

      Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;

    3. (c)

      Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.

  5. (52)

    The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94 (1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/ off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.

  6. (53)

    In addition CR SA includes memorandum items in rows 220 to 250 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.

  7. (54)

    These memorandum items shall only be reported for the following exposure classes:

    1. (a)

      Central governments or central banks (Article 112 point (a) of CRR)

    2. (b)

      Regional governments or local authorities (Article 112 point (b) of CRR)

    3. (c)

      Public sector entities (Article 112 point (c) of CRR)

    4. (d)

      Institutions (Article 112 point (f) of CRR)

    5. (e)

      Corporates (Article 112 point (g) of CRR)

    6. (f)

      Retail (Article 112 point (h) of CRR).

  8. (55)

    The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA,.

  9. (56)

    The memorandum rows provide additional information about the obligor structure of the exposure classes "in default" or "secured by immovable property". Here exposures shall be reported where the obligors would have been reported in the exposure classes "Central governments or central banks", "Regional governments or local authorities", "Public sector entities", "Institutions", "Corporates" and "Retail" of CR SA, if those exposures were not assigned to the exposure classes "in default" or "secured by immovable property".

  10. (57)

    E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, rows 220 in the total and in the exposure class "in default". If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 220 of exposure class "institutions".

3.2.3.

Assignment of exposures to exposure classes under the Standardised Approach

  1. (58)

    In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied:

    1. (a)

      In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

    2. (b)

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

  2. (59)

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

  3. (60)

    For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).

  4. (61)

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

  5. (62)

    For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.

  6. (63)

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

  7. (64)

    With this background the assessment ranking in the decision tree mentioned below would follow the following order:

    1. (1)

      Securitisation positions;

    2. (2)

      Items associated with particular high risk;

    3. (3)

      Equity exposures

    4. (4)

      Exposures in default;

    5. (5)

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

    6. (6)

      Exposures secured by mortgages on immovable property;

    7. (7)

      Other items;

    8. (8)

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

    9. (9)

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

  8. (65)

    In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132 (3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings ("CIU").

  9. (66)

    In the case of "nth" to default credit derivatives specified in Article 134 (6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the "Other items" exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for "Other risk weights" (the risk weight used shall be that specified by the sum indicated under Article 134 (6) of CRR.

  10. (67)

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

DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR

FORM

3.2.4.

Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR

3.2.4.1.

Exposure Class "Institutions"

  1. (68)

    Reporting of intra-group exposures according to Article 113 (6) to (7) of CRR shall be done as follows:

  2. (69)

    Exposures which fulfil the requirements of Article 113 (7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.

  3. (70)

    According Article 113 (6) and (7) of CRR "an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC." This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12 (1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2.

Exposure Class "Covered Bonds"

  1. (71)

    The assignment of SA exposures to the exposure class "covered bonds" shall be done as follows:

  2. (72)

    Bonds as defined in Article 52 (4) of Directive 2009/65/EC shall fulfil the requirements of Article 129 (1) to (2) of CRR to be classified in the exposure class "Covered Bonds". The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52 (4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class "Covered Bonds" because of Article 129 (6) of CRR.

3.2.4.3.

Exposure class "Collective Investment Undertakings"

  1. (73)

    Where the possibility according to Article 132 (5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111 (1) sentence 1 of CRR.

3.2.5.

Instructions concerning specific positions

Columns

010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111 (2) of CRR:

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92 (3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR.

Exposure values for leases are subject to Article 134 (7) of CRR.

In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral.

In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/ or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220 (4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.

020

OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS

Article 307 and 310 of CRR

030

(-) Value adjustments and provision associated with the original exposure

Article 24 and 110 of CRR

Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.

040

Exposure net of value adjustments and provisions

Sum of columns 010 and 030.

050-100

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

Credit risk mitigation techniques as defined in Article 4 (57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM.

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

Items to be reported here:

  • collateral, incorporated according to Financial Collateral Simple Method;
  • eligible unfunded credit protection.

Please also see instructions of point 4.1.1.

050-060

Unfunded credit protection: adjusted values (Ga)

Article 235 of CRR

Article 239 (3) of CRR defines the adjusted value Ga of an unfunded credit protection.

050

Guarantees

  • Article 203 of CRR
  • Unfunded Credit Protection as defined in Article 4 (59) of CRR different from Credit Derivatives.

060

Credit derivatives

Article 204 of CRR.

070-080

Funded credit protection

These columns refer to funded credit protection according to Article 4 (58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors).

Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.

070

Financial collateral: simple method

Article 222 (1) to (2) of CRR.

080

Other funded credit protection

Article 232 of CRR.

090-100

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Articles 222 (3), Article 235 (1) to (2) and Article 236 of CRR.

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and subsequently assigned to the protection provider's exposure class. This amount shall be considered as an Inflow into the protection provider's exposure class.

Inflows and outflows within the same exposure classes shall also be reported.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

110

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

120-140

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)

Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral.

The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.

120

Volatility adjustment to the exposure

Article 223 (2) to (3) of CRR.

The amount to be reported is given by the impact of the volatility adjustment to the exposure (Eva-E) = E*He

130

(-) Financial collateral adjusted value (Cvam)

Article 239 (2) of CRR.

For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299 (2) points (c) to (f) of CRR.

The amount to be reported corresponds to Cvam= C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.

140

Of which: Volatility and maturity adjustments

Article 223 (1) of CRR and Article 239 (2) of CRR.

The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva)= C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]

150

Fully adjusted exposure value (E*)

Article 220 (4), Article 223 (2) to (5) and Article 228 (1) of CRR.

160-190

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

Article 111 (1) and Article 4 (56) of CRR. See also Article 222 (3) and Article 228 (1) of CRR.

200

Exposure value

Part 3 title II chapter 4 section 4 of CRR.

Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.

210

Of which: Arising from Counterparty Credit Risk

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.

215

Risk weighted exposure amount pre SME-supporting factor

Article 113 (1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.

220

Risk weighted exposure amount after SME-supporting factor

Article 113 (1) to (5) of CRR taking into account the SME-supporting factor according to Article 501 of CRR.

230

Of which: with a credit assessment by a nominated ECAI

240

Of which: with a credit assessment derived from central government

Rows

Instructions

010

Total exposures

020

of which: SME

This row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property

All exposures to SME shall be reported here.

030

of which: SME subject to the SME-supporting factor

This row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property.

Only exposures to SME which meet the requirements of Article 501 CRR shall be reported here.

040

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

Article 125 of CRR.

Only reported in exposure class "Secured by mortgages on immovable property"

050

of which: Exposures under the permanent partial use of the standardised approach

Exposures treated under Article 150(1) of the CRR

060

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

Exposures treated under Article 148(1) of the CRR

070-130

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES

Reporting institution's "banking book" positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

Reporting institution's "trading book" counterparty credit risk positions according to Article 92 (3) point (f) and Article 299 (2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 89 (1) of CRR also break down their "trading book" positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

070

On balance sheet exposures subject to credit risk

Assets referred to in Article 24 of CRR not included in any other category.

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040,060 and 080, therefore, not reported in this row.

Free deliveries according to Article 379 (1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030.

080

Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row.

Exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if they are considered as off-balance sheet items.

090

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document "The Application of Basel II to Trading Activities and the Treatment of Double Default Effects", includes: (i) Repurchase and reverse repurchase agreements defined in Article 4 (82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272 (3) of CRR.

100

Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4 (88) in conjunction with Article 301 (2) of CRR.

Trade exposures to a CCP according to Article 4 (91) of CRR

110

Derivatives and Long Settlement Transactions

Derivatives comprise those contract listed in Annex II of CRR.

Long Settlement Transactions as defined in Article 272 (2) of CRR.

Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 080, shall not be reported in this row.

120

Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4 (88) in conjunction with Article 301 (2) of CRR

Trade exposures to a CCP according to Article 4 (91) of CRR

130

From Contractual Cross Product Netting

Exposures that due to the existence of a contractual cross product netting (as defined in Article 272 (11) of CRR cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions) shall be included in this row.

140-280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

140

0 %

150

2 %

Article 306 (1) of CRR

160

4 %

Article 305 (3) of CRR

170

10 %

180

20 %

190

35 %

200

50 %

210

70 %

Article 232 (3) point (c) of CRR.

220

75 %

230

100 %

240

150 %

250

250 %

Article 133 (2) of CRR

260

370 %

Article 471 of CRR

270

1250 %

Article 133 (2) of CRR

280

Other risk weights

This row is not available for exposure classes Government, Corporates, Institutions and Retail.

For reporting those exposures not subject to the risk weights listed in the template.

Article 113 (1) to (5) of CRR.

Unrated nth to default credit derivatives under the Standardized Approach (Article 134 (6) of CRR) shall be reported in this row under the exposure class "Other items".

See also Article 124 (2) and Article 152 (2) point (b) of CRR.

290-320

Memorandum Items

See also the explanation of the purpose of the memorandum items in the general section of the CR SA.

290

Exposures secured by mortgages on commercial immovable property

Article 112 point (i) of CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.

300

Exposures in default subject to a risk weight of 100 %

Article 112 point (j) of CRR.

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

310

Exposures secured by mortgages on residential property

Article 112 point (i) of CRR.

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.

320

Exposures in default subject to a risk weight of 150 %

Article 112 point (j) of CRR.

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

3.3.

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

3.3.1.

Scope of the CR IRB template

  1. (74)

    The scope of the CR IRB template covers own funds requirements for:

    1. (i)

      Credit risk in the banking book, among which:

      • Counterparty credit risk in the banking book;
      • Dilution risk for purchased receivables;

    2. (ii)

      Counterparty credit risk in the trading book;

    3. (iii)

      Free deliveries resulting from all business activities..

  2. (75)

    The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).

  3. (76)

    The CR IRB template does not cover the following data:

    1. (i)

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

    2. (ii)

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

    3. (iii)

      "Other non-obligation assets", according to Article 147 (2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;

    4. (iv)

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

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

  4. (77)

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

  5. "NO"= in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

  6. "YES"= in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

  7. In any case, for the reporting of the retail portfolios "YES" has to be reported.

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

3.3.2.

Breakdown of the CR IRB template

  1. (78)

    The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:

    1. (1)

      Total

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

    2. (2)

      Central banks and central governments

      (Article 147 (2) (a) CRR)

    3. (3)

      Institutions

      (Article 147 (2) point (b) CRR)

    4. (4.1)

      Corporate — SME

      (Article 147 (2) point (c) CRR

    5. (4.1)*

      Corporate — SME subject to SME-supporting factor

      (Article 147 (2) point (c) CRR in conjunction with Article 501 (2))

    6. (4.2)

      Corporate — Specialised lending

      (Article 147 (8) CRR)

    7. (4.3)

      Corporate — Other

      (All corporates according to article 147 (2) point (c), not reported under 4.1 and 4.2).

    8. (5.1)

      Retail — Secured by immovable property SME

      (Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured by immovable property).

    9. (5.1)*

      Retail — Secured by immovable property SME subject to SME-supporting factor

      (Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured by immovable property).

    10. (5.2)

      Retail — Secured by immovable property non-SME

      (Exposures reflecting Article 147 (2) point (d) CRR which are secured by immovable property and not reported under 5.1).

    11. (5.3)

      Retail — Qualifying revolving

      (Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).

    12. (5.4)

      Retail — Other SME

      (Article 147 (2) point (d) not reported under 5.1 and 5.3).

    13. (5.4)*

      Retail — Other SME subject to SME supporting factor

      (Article 147 (2) point (d) in conjunction with Article 501 (2) CRR not reported under 5.1 and 5.3).

    14. (5.5)

      Retail — Other non — SME

      (Article 147 (2) point (d) CRR which were not reported under 5.2 and 5.3).

    For the sub-exposure classes 4.1)*, 5.1)* and 5.4)* only row 010 (Total exposures) shall be reported. They represent "of which" positions of the relevant exposure classes with the effect that data relating to these sub-exposure classes shall also be included in the exposure classes 4.1, 5.1 and 5.4.

3.3.3.

C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)

3.3.3.1

Instructions concerning specific positions

Columns

Instructions

010

INTERNAL RATING SYSTEM/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.

For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used.

Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades.

For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for "total exposure"). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.

020

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.

The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166 (1) and (2) and (4) to (7) of CRR.

The effect resulting from Article 166 (3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.

030

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

040-080

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

Credit risk mitigation techniques as defined in article 4 (57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in "SUBSTITUTION OF THE EXPOSURE DUE TO CRM".

040-050

UNFUNDED CREDIT PROTECTION

Unfunded credit protection: Values as they are defined in Article 4 (59) of CRR.

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

040

GUARANTEES:

If the CRM effect of the guarantee is calculated by recognition of the substitution effect, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection is reported in Column 220.

When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.

When Own estimates of LGD are used: Article 183 of CRR, except paragraph 3. The nominal amount of the guarantees shall be reported.

Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.

050

CREDIT DERIVATIVES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.

When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160

Regarding exposures subject to the double default treatment the value of unfunded credit protection is reported in Column 220.

060

OTHER FUNDED CREDIT PROTECTION

When own estimates of LGD are not used: Article 232 of CRR

When own estimates of LGD are used: those credit risk mitigants that comply with the criteria in Article 212 of the CRR.

To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170

070-080

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, obligor grades or pools.

Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

090

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

100, 120

Of which: Off Balance Sheet Items

See CR-SA instructions

110

EXPOSURE VALUE

The value in accordance with Article 166 of CRR and Article 230 (1) sentence 2 of CRR are reported.

For the instruments as defined in Annex I, the credit conversion factors (Article 166 (8) to (10) of CRR) irrespective the approach chosen by the institution, are applied.

For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 "Of which: arising from counterparty credit risk".

130

Of which: Arising from counterparty Credit Risk

See CR SA instructions.

140

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

150-210

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.

Where own estimates of LGD are not used: Articles 228 (2), 230 (1) and (2), 231 of the CRR

Where own estimates of LGD are used:

  • Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR.
  • Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of the CRR.

150

GUARANTEES

See instructions to column 040.

160

CREDIT DERIVATIVES

See instructions to column 050.

170

OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

The relevant value used in the internal modelling of the institution.

Those credit risk mitigants that comply with the criteria in Article 212 of the CRR.

180

ELIGIBLE FINANCIAL COLLATERAL

For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragaph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral.

When own estimates of LGD are not used: values in accordance with Article 193 (1) to (4) and Article 194 (1) of CRR. The adjusted value (Cvam) as set out in Article 223 (2) of CRR is reported.

When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.

190-210

OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used: Article 199 (1) to (8) of CRR and Article 229 of CRR.

Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of CRR.

190

REAL ESTATE

Where own estimates of LGD are not used, values in accordance with Article 199 (2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199 (7) of CRR). See also Article 229 of CRR.

When own estimates of LGD are used the amount to be reported shall be the estimated market value.

200

OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values in accordance with Article 199 (6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199 (7) of CRR). See also Article 229 (3) of CRR.

Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.

210

RECEIVABLES

When own estimates of LGD are not used, values in accordance with Articles 199 (5), 229 (2) of CRR are reported.

When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

220

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 "Guarantees" and 050 "Credit derivatives".

230

EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161 (4) of CRR.

For defaulted exposures, provisions laid down in Article 181 (1) point (h) of CRR shall be considered.

The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).

For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228 (2) CRR.

The exposure weighted average LGD associated to each PD "obligor grade or pool" shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110.

If own estimates of LGD are applied Article 175 and Article 181 (1) and (2) of CRR shall be considered.

In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161 (4) of CRR.

The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.

Data shall not be reported for specialized lending exposures referred to in article 153 (5).

Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.

240

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Exposure weighted average LGD (%) for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days.

This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class "retail".

255

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153 (1) and (3) of CRR. For Retail see Article 154 (1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall not be taken into account.

260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153 (1) and (3) of CRR. For Retail see Article 154 (1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall be taken into account.

270

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

280

EXPECTED LOSS AMOUNT

For the definition of Expected Loss see Article 5 (3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.

290

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades.

300

NUMBER OF OBLIGORS

Articles 172 (1) and (2) of CRR.

For all exposure classes except retail, the institution shall report the number of legal entities /obligors which were separately rated, regardless of the number of different loans or exposures granted.

Within the exposure class retail the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172 (2) of CRR applies, an obligor may be considered in more than one grade.

As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).

The number of obligors shall be calculated based on groups of connected clients according to Article 4 (39) CRR.

Rows

Instructions

010

TOTAL EXPOSURES

020-060

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items subject to credit risk

Assets referred to in Article 24 of CRR not included in any other category.

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.

Free deliveries according to Article 379 (1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP according to Article 4 (91) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030.

030

Off balance sheet items subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.

Exposures arising from assets posted to a CCP according to Article 4 (91) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if they are considered as off-balance sheet items.

040-060

Exposures/Transactions subject to counterparty credit risk

040

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document "The Application of Basel II to Trading Activities and the Treatment of Double Default Effects", includes: (i) Repurchase and reverse repurchase agreements defined in Article 4 (82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272 (3) of CRR.

Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.

050

Derivatives and Long Settlement Transactions

Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.

060

From Contractual Cross Product Netting

See CR SA instructions

070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and Central governments and Central Banks see Article 142 (1) point (6) and Article 170 (1) point c) of CRR.

For retail exposures see Article 170 (3) point b) of CRR. For Exposures arising from purchased receivables see Article 166 (6) of CRR.

Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.

Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

A master scale is not used. Instead, institutions shall determine the scale to be used themselves.

080

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

Article 153 (5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.

090-150

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

120

Of which: In category 1

Article 153 (5) table 1 of CRR.

160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Articles 193 (1) and (2), 194 (1) to (7) and 230 (3) of CRR.

170

EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

Exposures arising from free deliveries for which the alternative treatment referred to in Article 379 (2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to a Article 379 (2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153 (8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.

180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See Article 4 (53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157 (1) of CRR.

According to Article 166 (6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

3.3.4.

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

Column

Instructions

010-300

Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.

Row

Instructions

010-001 — 010-NNN

Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template..

3.4.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)

  1. (79)

    Institutions fulfilling the threshold set in Article 5 (a) (4) shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2.

  2. (80)

    The term "residence of the obligor" refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to a country.

  3. (81)

    Data regarding "original exposure pre conversion factors" shall be reported referring to the country of residence of the immediate obligor. Data regarding "exposure value" and "Risk weighted exposure amounts" shall be reported as of the country of residence of the ultimate obligor.

  4. 3.4.1.

    C 09.01 — Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)

    3.4.1.1.

    Instructions concerning specific positions

    Columns

    010

    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

    Same definition as for column 010 of CR SA template

    020

    Exposures in default

    Original exposure pre conversion factors for those exposures which have been classified as "defaulted exposures".

    This "memorandum item" provides additional information about the obligor structure of the exposure class "in default". Exposures shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes "in default".

    This information is a "memorandum item" — hence does not affect the calculation of risk weighted exposure amounts of exposure class "in default" according to Article 112 point (j) of CRR.

    040

    Observed new defaults for the period

    The amount of original exposures which have moved into exposure class "Exposures in default" during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

    050

    General credit risk adjustments

    Credit risk adjustments according to Article 110 of CRR.

    055

    Specific credit risk adjustments

    Credit risk adjustments according to Article 110 of CRR.

    060

    Write-offs

    Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

    070

    Credit risk adjustments/write-offs for observed new defaults

    Sum of credit risk adjustments and write-offs for those exposures which were classified as "defaulted exposures" during the 3-month period since the last data submission.

    075

    Exposure value

    Same definition as for column 200 of CR SA template

    080

    RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

    Same definition as for column 215 of CR SA template

    090

    RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

    Same definition as for column 220 of CR SA template

    Rows

    010

    Central governments or central banks

    Article 112 point (a) of CRR.

    020

    Regional governments or local authorities

    Article 112 point (b) of CRR.

    030

    Public sector entities

    Article 112 point (c) of CRR.

    040

    Multilateral developments banks

    Article 112 point (d) of CRR.

    050

    International organisations

    Article 112 point (e) of CRR.

    060

    Institutions

    Article 112 point (f) of CRR.

    070

    Corporates

    Article 112 point (g) of CRR.

    075

    of which: SME

    Same definition as for row 020of CR SA template

    080

    Retail

    Article 112 point (h) of CRR.

    085

    of which: SME

    Same definition as for row 020of CR SA template

    090

    Secured by mortgages on immovable property

    Article 112 point (i) of CRR.

    095

    of which: SME

    Same definition as for row 020of CR SA template

    100

    Exposures in default

    Article 112 point (j) of CRR.

    110

    Items associated with particularly high risk

    Article 112 point (k) of CRR.

    120

    Covered bonds

    Article 112 point (l) of CRR.

    130

    Claims on institutions and corporates with a short-term credit assessment

    Article 112 point (n) of CRR.

    140

    Collective investments undertakings (CIU)

    Article 112 point (o) of CRR.

    150

    Equity exposures

    Article 112 point (p) of CRR.

    160

    Other exposures

    Article 112 point (q) of CRR.

    3.4.2.

    C 09.02 — Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)

    3.4.2.1.

    Instructions concerning specific positions

    Columns

    010

    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

    Same definition as for column 020 of CR IRB template

    030

    Of which defaulted

    Original exposure value for those exposures which have been classified as "defaulted exposures" according to CRR article 178.

    040

    Observed new defaults for the period

    The amount of original exposures which have moved into exposure class "Exposures in default" during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

    050

    General credit risk adjustments

    Credit risk adjustments according to Article 110of CRR..

    055

    Specific credit risk adjustments

    Credit risk adjustments according to Article 110 of CRR.

    060

    Write-offs

    Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

    070

    Credit risk adjustments/write-offs for observed new defaults

    Sum of credit risk adjustments and write-offs for those exposures which were classified as "defaulted exposures" during the 3-month period since the last data submission.

    080

    INTERNAL RATING SYSTEM/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

    Same definition as for column 010 of CR IRB template

    090

    EXPOSURE WEIGHTED AVERAGE LGD (%)

    Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181 (1) point h) of CRR shall apply.

    Data shall not be reported for specialized lending exposures referred to in article 153 (5).

    100

    Of which: defaulted

    Exposure weighted LGD for those exposures which have been classified as "defaulted exposures" according to Article 178 of CRR.

    105

    Exposure value

    Same definition as for column 110 of CR IRB template.

    110

    RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

    Same definition as for column 255 of CR IRB template

    120

    Of which defaulted

    Risk weighted exposure amount for those exposures which have been classified as "defaulted exposures" according to Article 178 of CRR.

    125

    RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

    Same definition as for column 260 of CR IRB template

    130

    EXPECTED LOSS AMOUNT

    Same definition as for column 280 of CR IRB template

    Rows

    010

    Central banks and central governments

    (Article 147 (2) (a) CRR)

    020

    Institutions

    (Article 147 (2) point (b) CRR)

    030

    Corporates

    (All corporates according to article 147 (2) point (c).)

    040

    Of which: Specialized lending

    (Article 147 (8) a CRR)

    Data shall not be reported for specialized lending exposures referred to in article 153 (5).

    050

    Of which: SME

    (Article 147 (2) point (c) CRR)

    060

    Retail

    All Retail exposures according to Article 147 (2) point (d)

    070

    Retail — Secured by real estate property

    Exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.

    080

    SME

    Retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR which are secured by real estate.

    090

    non-SME

    Retail exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.

    100

    Retail — Qualifying revolving

    (Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).

    110

    Other Retail

    Other retail exposures according to Article 147 (2) point (d) not reported in rows 070 — 100.

    120

    SME

    Other retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR.

    130

    non-SME

    Other retail exposures reflecting Article 147 (2) point (d) CRR.

    140

    Equity

    Equity exposures reflecting Article 147 (2) point (e) CRR.

    3.4.3.

    C 09.03 — Breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)

    3.4.3.1.

    General remarks

    1. (82)

      According to Article 128 point (7) in connection with Articles 130 and 140 (1) CRD the countercyclical buffer rate is the "weighted average of the countercyclical buffer rates that apply in the jurisdiction where the relevant credit exposures of the institution are located". The weighted average is calculated as follows:

      1. (a)

        Numerator: Total own funds requirements for credit risk determined in accordance with Part Three, Titles II and IV of CRR that relate to the relevant credit exposures in the territory in question

      2. (b)

        Denominator: Total own funds requirements for credit risk that relate to the relevant credit exposures

    2. (83)

      This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II of the CRR which includes credit risk and securitisation calculated on the basis of the relevant credit exposures broken down by country.

    3. (84)

      The information shall be reported by each country. The threshold set in Article 5 (a) (4) is not relevant for the reporting of this breakdown.

    3.4.3.2.

    Instructions concerning specific positions

    Rows

    010

    Own funds requirements for credit risk

    Part Three, Title II of the CRR

3.5.

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

3.5.1.

General remarks

  1. (85)

    The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. "CR EQU IRB" refers to both "CR EQU IRB 1" and "CR EQU IRB 2" templates, as applicable, in the following instructions.

  2. (86)

    The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92 (3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.

  3. (87)

    According to Article 147 (6) of CRR, the following exposures shall be assigned to the equity exposure class:

    1. (a)

      non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or

    2. (b)

      debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).

  4. (88)

    Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.

  5. (89)

    In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:

    • the Simple Risk Weight approach,
    • the PD/LGD approach, or
    • the Internal Models approach.

    Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a riskweight of 250 % in accordance with Article 48(4) of CRR, respectively a riskweight of 370 % in accordance with Article 471(2) of CRR))).

  6. (90)

    The following equity claims shall not be reported in the CR EQU IRB template:

    • Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).
    • Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:
    • Grandfathered equity exposures according to Article 495(1) of CRR,
    • Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),
    • Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).
    • Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of "other non credit-obligation assets" (in accordance with Article 155(1) of CRR).
    • Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.

3.5.2.

Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)

    Columns

    010

    INTERNAL RATING SYSTEM

    PD ASSIGNED TO THE OBLIGOR GRADE (%)

    Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR.

    The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

    For figures corresponding to an aggregation of obligor grades or pools (e.g. "total exposures") the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.

    020

    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

    Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.

    Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. "the unpaid portion of partly-paid shares").

    Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR.

    030-040

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

    UNFUNDED CREDIT PROTECTION

    GUARANTEES

    CREDIT DERIVATIVES

    Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.

    050

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

    SUBSTITUTION OF THE EXPOSURE DUE TO CRM

    (-) TOTAL OUTFLOWS

    Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.

    060

    EXPOSURE VALUE

    Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR).

    As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR).

    070

    EXPOSURE WEIGHTED AVERAGE LGD (%)

    Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR.

    080

    RISK WEIGHTED EXPOSURE AMOUNT

    Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR.

    In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR).

    With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR).

    090

    MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

    Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR.

  1. (91)

    In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).

    Rows

    CR EQU IRB 1 — row 020

    PD/LGD APRROACH: TOTAL

    Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template.

    CR EQU IRB 1 — rows 050-090

    SIMPLE RISK WEIGHT APPROACH: TOTAL

    BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:

    Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested information according to the characteristics of the underlying exposures in rows 050 to 090.

    CR EQU IRB 1 — row 100

    INTERNAL MODELS APPROACH

    Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100.

    CR EQU IRB 1 — row 110

    EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

    Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example,

    • the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as
    • equity positions risk-weighted with 370 % in accordance with Article 471 (2) CRR

    shall be reported in row 110.

    CR EQU IRB 2

    BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

    Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template.

    In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

3.6.

C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)

3.6.1.

General remarks

  1. (92)

    This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) Point c) ii) and 378 of CRR.

  2. (93)

    Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.

  3. (94)

    According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.

  4. (95)

    In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.

  5. (96)

    Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.

  6. (97)

    According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.

  7. (98)

    Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2.

Instructions concerning specific positions

Columns

010

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices.

All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

020

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution.

Only unsettled transactions at a loss after the due settlement date shall be reported in column 020

030

OWN FUNDS REQUIREMENTS

Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.

040

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.

Rows

010

Total unsettled transactions in the Non-trading Book

Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR).

Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the "price difference" reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).

020 to 060

Transactions unsettled up to 4 days (Factor 0 %)

Transactions unsettled between 5 and 15 days (Factor 8 %)

Transactions unsettled between 16 and 30 days (Factor 50 %)

Transactions unsettled between 31 and 45 days (Factor 75 %)

Transactions unsettled for 46 days or more (Factor 100 %)

Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

070

Total unsettled transactions in the Trading Book

Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR).

Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the "price difference" reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).

080 to 120

Transactions unsettled up to 4 days (Factor 0 %)

Transactions unsettled between 5 and 15 days (Factor 8 %)

Transactions unsettled between 16 and 30 days (Factor 50 %)

Transactions unsettled between 31 and 45 days (Factor 75 %)

Transactions unsettled for 46 days or more (Factor 100 %)

Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

3.7.

C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

3.7.1.

General remarks

  1. (99)

    The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.

  2. (100)

    The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242 (10) and (11) of CRR, respectively.

3.7.2.

Instructions concerning specific positions

    Columns

    010

    TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

    Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported.

    In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR.

    For all other securitisations for which there is a recognition of significant risk transfer it shall be further clarified that under column 010 of the CR SEC IRB and CR SEC SA templates the originator shall report all the securitisation exposures originated irrespective of who is holding them.

    020-040

    SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

    Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch.

    020

    (-) FUNDED CREDIT PROTECTION (CVA )

    The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA ) which is expected to be reported in this column is established in Article 223(2) of CRR.

    030

    (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

    Following the general rule for "inflows" and "outflows" the amounts reported under this column shall appear as "inflows" in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection)

    The calculation procedure of the "foreign exchange risk"- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.

    040

    NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

    All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.

    The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

    050

    SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

    Securitisation positions held by the reporting institution, calculated according to Article 246 (1) and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.

    Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered.

    In case of early amortization clauses, institutions must specify the amount of "originator's' interest" as defined in Article 256(2) of CRR.

    In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.

    060

    (-) VALUE ADJUSTMENTS AND PROVISIONS

    Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

    070

    EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

    Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors.

    This piece of information is related to column 040 of the CR SA Total template.

    080-110

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

    Article 4 (57) and Part Three, Title II, Chapter 4 of CRR.

    This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

    See CR SA instructions (Reporting of CRM techniques with substitution effect).

    080

    (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA )

    Unfunded credit protection is defined in Article 4 (59) and regulated in Article 235 of CRR.

    See CR SA instructions (Reporting of CRM techniques with substitution effect).

    090

    (-) FUNDED CREDIT PROTECTION

    Funded credit protection is defined in Article 4 (58) and regulated in Articles 195, 197 and 200 of CRR.

    Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral.

    See CR SA instructions (Reporting of CRM techniques with substitution effect).

    100-110

    SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

    Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.

    100

    (-) TOTAL OUTFLOWS

    Articles 222 (3) and 235 (1) and (2).

    Outflows correspond to the covered part of the "Exposure net of value adjustments and provisions", that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade.

    This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.

    This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.

    110

    TOTAL INFLOWS

    Securitisation positions which are debt securities and are eligible financial collateral according to Article 197 (1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.

    This piece of information is related to column 100 (Total Inflows) of the CR SA Total template.

    120

    NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

    Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to "Credit risk mitigation (CRM) techniques with substitution effects on the exposure".

    This piece of information is related to column 110 of the CR SA Total template.

    130

    (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM )

    This item also includes credit linked notes (Article 218 of CRR).

    This piece of information is related to columns 120 and 130 of the CR SA Total template.

    140

    FULLY ADJUSTED EXPOSURE VALUE (E*)

    Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point c) of CRR.

    This piece of information is related to column 150 of the CR SA Total template.

    150-180

    BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

    Article 246(1) point c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in the CRR.

    See columns 160 to 190 of the CR SA Total template.

    For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, [0 %, 20 %], [20 %, [50 %] and [50 %, 100 %].

    190

    EXPOSURE VALUE

    Securitisation positions according to Article 246 of CRR.

    This piece of information is related to column 200 of the CR SA Total template.

    200

    (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

    Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1250 % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

    210

    EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

    Exposure value minus the exposure value deducted from own funds.

    220-320

    BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS

    220-260

    RATED

    Article 242(8) of CRR defines rated positions.

    Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR.

    270

    1250 % (UNRATED)

    Article 242(7) of CRR defines unrated positions.

    280

    LOOK-THROUGH

    Articles 253, 254 and 256(5) of CRR.

    The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

    290

    LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP

    Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR.

    Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.

    300

    LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)

    Exposure value weighted average risk weight shall be provided.

    310

    INTERNAL ASSESSMENT APPROACH (IAA)

    Articles 109 (1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.

    320

    IAA: AVERAGE RISK WEIGHT (%)

    Exposure value weighted average risk weight shall be provided.

    330

    RISK-WEIGHTED EXPOSURE AMOUNT

    Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

    340

    OF WHICH: SYNTHETIC SECURITISATIONS

    For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.

    350

    OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

    Articles 14 (2), 406 (2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.

    360

    ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

    For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

    370-380

    TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/ AFTER CAP

    Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col. 370) /after (col. 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR.

    390

    MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

    Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

  1. (101)

    The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.

  2. (102)

    Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.

    Rows

    010

    TOTAL EXPOSURES

    Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.

    020

    OF WHICH: RE-SECURITISATIONS

    Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

    030

    ORIGINATOR: TOTAL EXPOSURES

    This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.

    040-060

    ON-BALANCE SHEET ITEMS

    Article 246 (1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments.

    On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).

    070-090

    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

    These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified.

    The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.

    For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

    For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.

    Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR.

    100

    EARLY AMORTISATION

    This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242 (13) and (14) of CRR.

    110

    INVESTOR: TOTAL EXPOSURES

    This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.

    The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

    120-140

    ON-BALANCE SHEET ITEMS

    The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

    150-170

    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

    The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.

    180

    SPONSOR: TOTAL EXPOSURES

    This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4 (14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows the information regarding its own securitised assets.

    190-210

    ON-BALANCE SHEET ITEMS

    The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

    220-240

    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

    The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.

    250-290

    BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

    These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.

    These rows are only to be reported for columns 190 to 270 and columns 330 to 340.

3.8.

C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

3.8.1.

General remarks

  1. (103)

    The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.

  2. (104)

    The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.

  3. (105)

    The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.

3.8.2.

Instructions concerning specific positions

    Columns

    010

    TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

    For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date.

    See column 010 of CR SEC SA.

    020-040

    SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

    Articles 249 and 250 of CRR.

    Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.

    020

    (-) FUNDED CREDIT PROTECTION (CVA )

    The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA ) which is expected to be reported in this column is established in Article 223(2) of CRR.

    030

    (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

    Following the general rule for "inflows" and "outflows" the amounts reported under column 030 of the CR SEC IRB template shall appear as "inflows" in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection).

    The calculation procedure of the "foreign exchange risk"- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.

    040

    NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

    All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.

    The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

    050

    SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

    Securitisation positions held by the reporting institution, calculated according to Article 246(1) and(2) of CRR, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.

    Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered.

    In case of early amortisation clauses, institutions must specify the amount of "originator's' interest" as defined in Article 256(2) of CRR.

    In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.

    060-090

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

    See Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR.

    This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

    060

    (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA )

    Unfunded credit protection is defined in Article 4(1)(59) of CRR.

    Article 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority.

    This piece of information is related to columns 040 and 050 of the CR IRB template.

    070

    (-) FUNDED CREDIT PROTECTION

    Funded credit protection is defined in Article 4(1)(58) of CRR.

    Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column.

    This piece of information is related to column 060 of the CR IRB template.

    080-090

    SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

    Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.

    080

    (-) TOTAL OUTFLOWS

    Article 236 of CRR.

    Outflows correspond to the covered part of the "Exposure net of value adjustments and provisions", that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade.

    This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.

    This piece of information is related to column 070 of the CR IRB template.

    090

    TOTAL INFLOWS

    This piece of information is related to column 080 of the CR IRB template.

    100

    EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

    Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to "Credit risk mitigation (CRM) techniques with substitution effects on the exposure".

    This piece of information is related to column 090 of the CR IRB template.

    110

    (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

    Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR).

    120

    FULLY ADJUSTED EXPOSURE VALUE (E*)

    Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point c) of CRR.

    130-160

    BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

    Article 246(1) point c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified.

    In this respect, Article 4(1)(56) of CRR defines conversion factor.

    For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %].

    170

    EXPOSURE VALUE

    Securitisation positions according to Article 246 of CRR.

    This piece of information is related to column 110 of the CR IRB template.

    180

    (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

    Article 266(3) of CRR foresees that in case of a securitisation position in respect of which a 1250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

    190

    EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

    200-320

    RATINGS BASED METHOD (CREDIT QUALITY STEPS)

    Article 261 of CRR.

    IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating.

    Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR.

    330

    SUPERVISORY FORMULA METHOD

    For the Supervisory Formula Method (SFM), Article 262 of CRR.

    The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided.

    340

    SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT

    Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the "effective risk weight" of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100).

    When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the "T" adjusted according to what is established in Article 264(3) of CRR.

    Weighted average risk weights shall be reported in this column.

    350

    LOOK-THROUGH

    The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool).

    Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated.

    The undrawn amount of the liquidity facilities shall be reported under "Off balance sheet items and derivatives".

    As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR.

    For early amortisations see Articles 256(5) and 265 of CRR.

    360

    LOOK-THROUGH: AVERAGE RISK WEIGHT

    Exposure value weighted average risk weight shall be provided.

    370

    INTERNAL ASSESSMENT APPROACH

    Article 259(3) and (4) of CRR envisages the "Internal Assessment Approach" (IAA) for positions in ABCP programmes.

    380

    IAA: AVERAGE RISK WEIGHT

    Weighted average risk weights shall be reported in this column.

    390

    (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

    Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR.

    Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

    400

    RISK-WEIGHTED EXPOSURE AMOUNT

    Part Three, Title II, Chapter 5, Section 3 of CRR prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

    410

    RWEA OF WHICH: SYNTHETIC SECURITISATIONS

    For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.

    420

    OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

    Articles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.

    430

    ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

    For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

    Negative values shall be reported in this column.

    440-450

    TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/ AFTER CAP

    Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered.

    460

    MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

    Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

  1. (106)

    The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.

  2. (107)

    Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.

    Rows

    010

    TOTAL EXPOSURES

    Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.

    020

    OF WHICH: RE-SECURITISATIONS

    Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

    030

    ORIGINATOR: TOTAL EXPOSURES

    This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.

    040-090

    ON-BALANCE SHEET ITEMS

    Article 246 (1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made.

    On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR.

    100-150

    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

    These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified.

    Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.

    For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

    For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.

    Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR.

    160

    EARLY AMORTISATION

    This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242 (13) and (14) of CRR.

    170

    INVESTOR: TOTAL EXPOSURES

    This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.

    The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

    180-230

    ON-BALANCE SHEET ITEMS

    The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here.

    240-290

    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

    The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

    300

    SPONSOR: TOTAL EXPOSURES

    This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets.

    310-360

    ON-BALANCE SHEET ITEMS

    The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here.

    370-420

    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

    The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

    430-540

    BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

    These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.

    These rows are only to be reported for columns 170 to 320 and columns 400 to 410.

3.9.

C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9.1.

General remarks

  1. (108)

    This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.

  2. (109)

    This template is to be reported for:

    1. (a)

      Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.

    2. (b)

      Securitisations originated/sponsored by the reporting institution during the year of report, in case it holds no position.

    3. (c)

      Securitisations of financial liabilities (e.g. covered bonds) issued by the reporting institution.

    4. (d)

      Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

  3. (110)

    This template has to be rendered on a consolidated basis, i.e. only by consolidated groups and stand alone institutions located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.

  4. (111)

    On account of Article 406 (1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.

  5. (112)

    Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.9.2.

Instructions concerning specific positions

Columns

010

INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.

020

IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the eight characters that are common to all tranches of the securitisation shall be reported in this column.

030

IDENTIFIER OF THE ORIGINATOR (Code/Name)

The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column.

In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.

040

SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)

Report the following abbreviations:

The definitions of "traditional securitisation" and "synthetic securitisation" is provided in Article 242(10) and (11) of CRR.

050

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

Report the following abbreviations:

This column summarises the accounting treatment of the transaction.

In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet.

In all cases, investors shall report "N" (not applicable).

In case of the securitisations of liabilities originators shall not report this column.

Option "P" (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity' continuing involvement as regulated in IAS 39.30-35.

060

SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Originators, only, shall report the following abbreviations:

Articles 109, 243 and 244 of CRR.

This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book).

If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution.

Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.

In the case of the securitisations of liabilities originators shall not report this column.

070

SECURITISATION OR RE-SECURITISATION ?

According to definitions of "securitisation" and "re-securitisation" are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations:

080-100

RETENTION

Articles 404 to 410 of CRR.

080

TYPE OF RETENTION APPLIED

For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article405 of CRR:

090

% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date).

Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not necessarily required.

This column shall not be reported in case codes "E" (exempted) or "N" (not applicable) are reported under column 080 (Type of retention applied).

100

COMPLIANCE WITH THE RETENTION REQUIREMENT?

Article 405(1) of CRR.

Report the following abbreviations:

This column shall not be reported in case codes "E" (exempted) or "N" (not applicable) are reported under column 080 (Type of retention applied).

110

ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

Report the following abbreviations:

See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.

120-130

NON ABCP PROGRAMS

Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.

120

ORIGINATION DATE (mm/yyyy)

The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: "mm/yyyy".

For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

130

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date.

In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

140-220

SECURITISED EXPOSURES

Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.

140

TOTAL AMOUNT

Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

150

INSTITUTION'S SHARE (%)

It shall be reported the institution's share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

160

TYPE

This column gathers information on the type of assets ("1" to "9") or liabilities ("10" and "11") of the securitised portfolio. The institution must report one of the following number codes:

In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type "10" (Other liabilities) includes treasury bonds and credit linked notes.

For securitisation schemes backed by closed pools the type cannot change between reporting dates.

170

APPROACH APPLIED (SA/IRB/MIX)

This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures.

Report the following abbreviations:

If under SA, "P" is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template.

If under IRB, "P" is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template.

If under combination of SA and IRB, "P" is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.

180

NUMBER OF EXPOSURES

Article 261(1) of CRR.

This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting "I" in column 170). The institution shall report the letter code according to the relevant interval:

This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.

190

COUNTRY

Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then "OT" (other) shall be reported.

200

ELGD (%)

The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting "I" in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR.

This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.

210

(-) VALUE ADJUSTMENTS AND PROVISIONS

See columns 060 in CR SEC SA and 390 in CR SEC IRB.

This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities.

This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

Sponsors shall not report this column.

220

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (kirb ), as a percentage (with two decimals) on the total of securitised exposures at origination date. kirb is defined in Article 242 (4) of CRR.

This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

Sponsors shall not report this column.

230-300

SECURITISATION STRUCTURE

This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/ first loss) and maturity.

In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.

230-250

ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

230

SENIOR

All tranches that do not qualify as mezzanine or first loss shall be included in this category.

240

MEZZANINE

See Articles 243 (3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR.

250

FIRST LOSS

First loss tranche is defined in Article 242 (15) of CRR.

260-280

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

290

FIRST FORESEEABLE TERMINATION DATE

The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:

The month and year of the first foreseeable termination date shall be reported according to the following format: "mm/yyyy".

300

LEGAL FINAL MATURITY DATE

The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).

The month and year of the legal final maturity date shall be reported according to the following format: "mm/yyyy".

310-400

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/ first loss) at reporting date.

310-330

ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

340-360

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for off-balance sheet items shall be applied here.

370-400

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360).

370

DIRECT CREDIT SUBSTITUTES (DCS)

This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).

According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:

  • Guarantees having the character of credit substitutes.
  • Irrevocable standby letters of credit having the character of credit substitutes.

380

IRS/CRS

IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.

390

ELIGIBLE LIQUIDITY FACILITIES

Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).

400

OTHER (INCLUDING NON-ELIGIBLE LF)

This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).

410

EARLY AMORTISATION: CONVERSION FACTOR APPLIED

Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors' interest (in order to calculate risk-weighted exposure amounts).

This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations).

According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread.

In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.

420

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template.

A negative figure shall be reported in this column.

430

TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column.

In the case of the securitisations of liabilities this column shall not be reported.

440

TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column.

In the case of the securitisations of liabilities this column shall not be reported.

450-510

SECURITISATION POSITIONS — TRADING BOOK

450

CTP OR NON-CTP?

Report the following abbreviations:

460-470

NET POSITIONS — LONG/SHORT

See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.

480

TOTAL OWN FUNDS REQUIREMENTS (SA) — SPECIFIC RISK

See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.

4.

OPERATIONAL RISK TEMPLATES

4.1.

C 16.00 — OPERATIONAL RISK (OPR)

4.1.1.

General Remarks

  1. (113)

    This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level

  2. (114)

    Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should remain unchanged. Deviations from this "unchanged" principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.

  3. (115)

    If an institution can justify its competent authority that — due to exceptional circumstances such as a merger or a disposal of entities or activities — using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk,, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.

  4. (116)

    By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.

  5. (117)

    By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.

  6. (118)

    This template shall be submitted by all institutions subject to operational risk own funds requirement.

4.1.2.

Instructions concerning specific positions

Columns

010-030

RELEVANT INDICATOR

Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks.

Hereafter, the term "relevant indicator" refers to "the sum of the elements" at the end of the financial year as defined in Article 316 point 1, Table1 of CRR.

If the institution has less than 3 years of data on "relevant indicator" available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2).

Furthermore if there are no historical data on "relevant indicator" available the institution may use forward-looking business estimates.

040-060

LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

These columns shall be used to report the amounts of the loans and advances for business lines "Commercial banking" and "Retail banking", as referred to in Article 319 (1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319 (1) point a) of CRR).

For the "commercial banking" business line, securities held in the non-trading book shall also be included.

070

OWN FUND REQUIREMENT

The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.

071

TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

Article 92 (4) of CRR. Own funds requirements in column 070 multiplied by 12.5.

080

OF WHICH: DUE TO AN ALLOCATION MECHANISM

Article 18 (1) of CRR (related to the inclusion, in the application referred to in Article 312 (2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company.

090-120

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

090

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).

100

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322 (2) point a) of CRR) is reported.

110

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a "perfect dependence" situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than "perfect dependence" between the risk classes). The "perfect dependence" situation occurs in the "default case", that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the "default case" and that obtained after applying the correlations structure between the risk classes. The value reflects the "diversification capacity" of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.

120

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.

Rows

010

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR).

020

BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ ALTERNATIVE STANDARDISED (ASA) APPROACHES

The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.

030-100

SUBJECT TO TSA

In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.

110-120

SUBJECT TO ASA

Institutions using the ASA (Article 319 of CRR) shall report for the respective years relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines "Commercial banking" and "Retail banking".

Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line "Commercial banking" and those corresponding to the business line "Retail banking" (Article 319 of CRR). There can be amounts for the rows corresponding to "Commercial banking" and "Retail banking" under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).

130

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported.

In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.

4.2.

C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)

4.2.1.

General Remarks

  1. (119)

    This template summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss.

  2. (120)

    The information is presented by distributing the gross losses above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line "Corporate items" as referred to in Article 322 (3) point b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.

  3. (121)

    Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold.

  4. (122)

    Rows present the business lines, and within each business line, information on the number of events, the amount of the total loss, the maximum single loss and the sum of the five largest losses (regardless the number of losses).

  5. (123)

    This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.

  6. (124)

    Institutions subject to Article 5 point (b) (2) ii may only report the following information for the sum of all event types (column 080) of the OPR Details template:

    1. (a)

      Number of events (row 910),

    2. (b)

      Total loss amount (row 920),

    3. (c)

      Maximum single loss (row 930) and

    4. (d)

      Sum of the five largest losses (row 940).

4.2.2.

Instructions concerning specific positions

Columns

010-070

EVENT TYPES

Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 of CRR.

Institutions that calculate their own funds requirement according to TSA or ASA can report the losses for which the event type is not identified in column 080.

080

TOTAL EVENT TYPES

In column 080, for each business line, institutions report the total "number of events" and the total of "total loss amount" as the simple aggregation of the number of loss events and the total gross loss amounts reported in columns 010 to 070. The "maximum single loss" in column080 is the maximum of the "maximum single gross losses" reported in columns 010 to 070. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.

090-100

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322 (3) point c) of CRR, last sentence of CRR. If the institution applies only one threshold for in each business line, only the column 090 shall be filled in. In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well.

Rows

010-840

BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS

For each business line as defined in Article 317 (4) table 2 of CRR, including the additional business line "Corporate items" as referred to in Article 322 (3) point b) of CRR, and for each event type, the institution shall report, according to the thresholds the following information: number of events, total loss amount, maximum single loss and sum of the five largest losses. For a loss event that affects more than one business line the "total loss amount" is distributed among all the affected business lines.

910-940

TOTAL BUSINESS LINES

For each event type (column 010 to 080), the following information ( Article 322 (3) points b), c) and e) of CRR on total business lines (rows 910 to 940) has to be reported:

  • Number of events (row 910): the number of events above the threshold by event types for the total business lines. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one.
  • Total loss amount (row 920): the total loss amount is the simple aggregation of the total loss amount for each business line.
  • Maximum single loss (row 930): the maximum single loss is the maximum loss over the threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines.
  • Sum of the five largest losses (row 940): the sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless the number of losses.

910-940/080

TOTAL BUSINESS LINES — TOTAL EVENT TYPES

  • Number of events: it is equal to the horizontal aggregation of the number of events in row 910, given that in those figures the events with impacts in different business lines shall have already been considered as one event. This number shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously.
  • Total loss amount: it is equal to both the horizontal aggregation of total loss amounts by event type in row 920 and the vertical aggregation of total loss amounts by business line in column 080.
  • Maximum single loss: as previously mentioned, when an event has impact in different business lines, it may be that the amount for "Maximum single loss" in "Total Business lines" for that particular event type is higher than the amounts of "Maximum single loss" in each business line. Hence, the amount in this cell shall be equal to the highest of the values of "Maximum single loss" in "Total Business lines", which may not necessarily be equal to the highest value of "Maximum single loss" across business lines in column 080.
  • Sum of the five largest losses: it is the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of "sum of the five largest losses" in "Total Business lines" nor the maximum value of "sum of the five largest losses" in column 080.

5.

MARKET RISK TEMPLATES

  1. (125)

    These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.

  2. (126)

    The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of CRR.

  3. 5.1.

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

    5.1.1.

    General Remarks

    1. (127)

      This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.

    2. (128)

      The template has to be filled out separately for the "Total", plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HUF, ISK, JPY, LVL, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

    5.1.2.

    Instructions concerning specific positions

    Columns

    010-020

    ALL POSITIONS (LONG AND SHORT)

    Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.

    030-040

    NET POSITIONS (LONG AND SHORT)

    Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.

    050

    POSITIONS SUBJECT TO CAPITAL CHARGE

    Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.

    060

    OWN FUNDS REQUIREMENTS

    The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

    070

    TOTAL RISK EXPOSURE AMOUNT

    Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

    Rows

    010-350

    TRADED DEBT INSTRUMENTS IN TRADING BOOK

    Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.

    011

    GENERAL RISK.

    012

    Derivatives

    Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.

    013

    Other assets and liabilities

    Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.

    020-200

    MATURITY BASED APPROACH

    Positions in traded debt instruments subject to the maturity-based approach according to Article 339 (1) to (8) of CRR and the correspondent own funds requirements set up in Article 339 (9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.

    210-240

    GENERAL RISK. DURATION BASED APPROACH

    Positions in traded debt instruments subject to the duration-based approach according to Article 340 (1) to (6) of CRR and the correspondent own funds requirements set up in Article 340 (7) of CRR. The position shall be split by zones 1, 2 and 3.

    250

    SPECIFIC RISK

    Sum of amounts reported in rows 251, 325 and 330.

    Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92 (3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327 (1) of CRR.

    251-321

    Own funds requirement for non-securitisation debt instruments

    Sum of the amounts reported in rows 260 to 321.

    The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332 (1) point e) para 1 and 2 CRR — "look-through"). N-th-to-default credit derivatives which are rated externally (Article 332 (1) point e) para 3 CRR) shall be reported separately in line 321.

    Reporting of positions subject to Article 336 (3) CRR:

    There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129 (3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity.

    If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.

    325

    Own funds requirement for securitisation instruments

    Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.

    330

    Own funds requirement for the correlation trading portfolio

    Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.

    340

    PARTICULAR APPROACH FOR POSITION RISK IN CIUs

    Articles 348 to 350 of CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 of CRR. It includes, if it is the case, the effects of applicable caps in the own funds requirements.

    If the particular approach according to Article 348 sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.

    350-390

    ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

    Article 329 (3) of CRR.

    The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

    5.2.

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

    5.2.1.

    General Remarks

    1. (129)

      This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/ re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the standardised approach.

    2. (130)

      The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.

    3. (131)

      Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

    5.2.2.

    Instructions concerning specific positions

    Columns

    010-020

    ALL POSITIONS (LONG AND SHORT)

    Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.

    030-040

    (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

    Article 258 of CRR.

    050-060

    NET POSITIONS (LONG AND SHORT)

    Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.

    070-520

    BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS

    Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.

    230-240 and 460-470

    1250 %

    Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

    250-260 and 480-490

    SUPERVISORY FORMULA METHOD

    Article 337 (2) of CRR in connection with Article 262 of CRR.

    These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche.

    270 and 500

    LOOK THROUGH

    SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

    IRB: Articles 263 (2) and (3) of CRR. For early amortisations see Article 265 (1) and 256 (5) of CRR.

    280-290/510-520

    INTERNAL ASSESSMENT APPROACH

    Article 109 (1) sentence 2 and Article 259 (3) and (4) of CRR.

    These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI's methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception.

    530-540

    OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

    Article 337 (3) of CRR in connection with Article 407 of CRR. Article 13 (2) of CRR

    550-570

    BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

    Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.

    580-600

    AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

    Article 337 of CRR taking into account the discretion of Article 335 of CRR.

    610

    TOTAL OWN FUNDS REQUIREMENTS

    According to Article 337 (4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (col. 580) and its weighted net short positions (col. 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337 (4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (col. 600), in order to calculate the own funds requirements.

    Rows

    010

    TOTAL EXPOSURES

    Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.

    040, 070 and 100

    SECURITISATIONS

    Article 4 (38) of CRR.

    020, 050, 80 and 110

    RE-SECURITISATIONS

    Article 4 (39) and (40) of CRR.

    030-050

    ORIGINATOR

    Article 4 (41) of CRR

    060-080

    INVESTOR

    Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

    090-110

    SPONSOR

    Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets

    120-210

    BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES

    Article 337 (4), last sentence of CRR.

    The breakdown of the underlying assets follows the classification used in the SEC Details template (Column "Type"):

    • 1-residential mortgages;
    • 2-commercial mortgages;
    • 3-credit card receivables;
    • 4-leasing;
    • 5-loans to corporates or SMEs (treated as corporates);
    • 6-consumer loans;
    • 7-trade receivables;
    • 8-other assets;
    • 9-covered bonds;
    • 10-other liabilities.

    For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.

    5.3.

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

    5.3.1.

    General Remarks

    1. (132)

      This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338 (3)) and the corresponding own funds requirements under the standardised approach.

    2. (133)

      The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.

    3. (134)

      This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The "other CTP-positions" are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338 (3) CRR), but they are explicitly "linked" (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading "securitisation" or "n-th to default credit derivative".

    4. (135)

      Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

    5.3.2.

    Instructions concerning specific positions

    Columns

    010-020

    ALL POSITIONS (LONG AND SHORT)

    Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338 (2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.

    030-040

    (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

    Article 258 of CRR.

    050-060

    NET POSITIONS (LONG AND SHORT)

    Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.

    070-400

    BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB)

    Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

    160 and 330

    OTHER

    Other risk weights not explicitly mentioned in the previous columns.

    For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or — if they are incorporated into the CTP — shall be assigned to the column of the respective risk weight.

    170-180 and 360-370

    1250 %

    Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

    190-200 and 340-350

    SUPERVISORY FORMULA METHOD

    Article 337 (2) of CRR in connection with Article 262 of CRR.

    210/380

    LOOK THROUGH

    SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

    IRB: Articles 263 (2) and (3) of CRR. For early amortisations see Article 265 (1) and 256 (5) of CRR.

    220-230 and 390-400

    INTERNAL ASSESSMENT APPROACH

    Article 259 (3) and (4) of CRR.

    410-420

    BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS

    Article 338 without taking into account the discretion of Article 335 of CRR.

    430-440

    AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS

    Article 338 taking into account the discretion of Article 335 of CRR.

    450

    TOTAL OWN FUNDS REQUIREMENTS

    The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (col. 430) or (ii) the specific risk charge that would apply just to the net short positions (col. 440).

    Rows

    010

    TOTAL EXPOSURES

    Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.

    020-040

    ORIGINATOR

    Article 4 (41) of CRR

    050-070

    INVESTOR

    Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

    080-100

    SPONSOR

    Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets

    030, 060 and 090

    SECURITISATIONS

    The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338 (2) and (3) of CRR.

    Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row "Other CTP positions".

    110

    N-TH-TO-DEFAULT CREDIT DERIVATIVES

    N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.

    The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives..

    040, 070, 100 and 120

    OTHER CTP POSITIONS

    The positions in:

    • Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions;
    • CTP positions hedged by credit derivatives according to Article 346 CRR;
    • Other positions that satisfy Article 338 (3) of CRR;

    are included.

    5.4.

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

    5.4.1.

    General Remarks

    1. (136)

      This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the standardised approach.

    2. (137)

      The template has to be filled out separately for the "Total", plus a static, pre-defined list of following markets: Austria, Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Egypt, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Liechtenstein, Luxembourg, Malta, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA plus one residual template for all other markets. For the purpose of this reporting requirement the term "market" shall be read as "country".

    5.4.2.

    Instructions concerning specific positions

    Columns

    010-020

    ALL POSITIONS (LONG AND SHORT)

    Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR).

    030-040

    NET POSITIONS (LONG AND SHORT)

    Articles 327, 329, 332, 341 and 345 of CRR.

    050

    POSITIONS SUBJECT TO CAPITAL CHARGE

    Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately.

    060

    OWN FUNDS REQUIREMENTS

    The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

    070

    TOTAL RISK EXPOSURE AMOUNT

    Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

    Rows

    010-130

    EQUITIES IN TRADING BOOK

    Own funds requirements for position risk according to article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.

    020-040

    GENERAL RISK

    Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR.

    Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.

    Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.

    021

    Derivatives

    Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.

    022

    Other assets and liabilities

    Instruments other than derivatives included in the calculation of equity risk of trading book positions.

    030

    Exchange traded stock-index futures broadly diversified and subject to a particular approach

    Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344 (1) amd (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).

    040

    Other equities than exchange traded stock-index futures broadly diversified

    Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.

    050

    SPECIFIC RISK

    Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.

    080

    PARTICULAR APPROACH FOR POSITION RISK IN CIUs

    The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. For reporting purposes, those positions shall be reported in the MKR SA EQU template.

    Positions in CIUs if capital requirements are calculated according to Article 348 (1) CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 (reference to the "Use of internal models to calculate own funds requirements") of CRR.

    If the particular approach according to Article 348 (1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 (1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.

    If the specific methods of Article 350 CRR are applicable, the reporting of those positions shall follow the underlying investments. As a consequence, those positions would be reported in the relevant rows of either the MKR SA TDI or the MKR SA EQU template.

    090-130

    ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

    Article 329 (3) of CRR.

    The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

    5.5.

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

    5.5.1.

    General Remarks

    1. (138)

      This template request information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange and treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs.

    2. (139)

      The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

    5.5.2.

    Instructions concerning specific positions

    Columns

    010

    CURRENCY

    The three-letter currency unit code according to ISO 4217 shall be reported under the block Memorandum of items (currency 6 onwards).

    020-030

    ALL POSITIONS (LONG AND SHORT)

    Gross positions due to assets, amounts to be received and similar items referred to in Article 352 (1) of CRR.

    040-050

    NET POSITIONS (LONG AND SHORT)

    Articles 352 (3) and 353 of CRR. The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.

    060-080

    POSITIONS SUBJECT TO CAPITAL CHARGE

    Articles 352 (2) and (4), 353 and 354 of CRR.

    060-070

    POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

    The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions.

    Long net positions for each operation in a currency are added to obtain the long net position in that currency.

    Short net positions for each operation in a currency are added to obtain the short net position in that currency.

    Unmatched positions are added to positions subject to capital charges for other currencies (row 030) in column (040) or (050) depending on their short or long arrangement.

    080

    POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

    Matched positions for closely correlated currencies

    RISK CAPITAL CHARGE (%)

    As defined in Articles 351 and 354, the risk capital charges in percentage.

    090

    OWN FUNDS REQUIREMENTS

    The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.

    100

    TOTAL RISK EXPOSURE AMOUNT

    Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

    Rows

    010

    TOTAL POSITIONS IN NON REPORTING CURRENCIES

    Positions in non-reporting currencies and their correspondent own funds requirements according to article 92 (3) point c) (i) and Article 352 (2) and (4) of CRR (for conversion into the reporting currency).

    020

    CURRENCIES CLOSELY CORRELATED

    Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.

    030

    ALL OTHER CURRENCIES (including CIU's treated as different currencies)

    Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.

    Reporting of CIU's treated as separate currencies according to Article 353 CRR:

    There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements:

    The reporting of those CIU's follows the calculation of the capital requirements accordingly.

    040

    GOLD

    Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.

    050-090

    ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

    Article 352 (5) and (6) of CRR.

    The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

    100-120

    Breakdown of total positions (reporting currency included) by exposure types

    Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.

    100

    Other assets and liabilities other than off-balance sheet items and derivatives

    Positions not included in row 110 or 120 shall be included here.

    110

    Off-balance sheet items

    Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

    120

    Derivatives

    Positions valued according to Articles 352 CRR.

    130-410

    MEMORANDUM ITEMS: CURRENCY POSITIONS

    The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

    5.6.

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

    5.6.1.

    General Remarks

    1. (140)

      This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.

    5.6.2.

    Instructions concerning specific positions

    Columns

    010-020

    All POSITIONS (LONG AND SHORT)

    Gross long/short positions considered positions in the same commodity according to Article 357 (1) and (5) of CRR (see also Article 359 (1) of CRR).

    030-040

    NET POSITIONS (LONG AND SHORT)

    As defined in Article 357 (4) of CRR.

    050

    POSITIONS SUBJECT TO CAPITAL CHARGE

    Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.

    060

    OWN FUNDS REQUIREMENTS

    The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.

    070

    TOTAL RISK EXPOSURE AMOUNT

    Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

    Rows

    010

    TOTAL POSITIONS IN COMMODITIES

    Positions in commodities and their correspondent own funds requirements for market risk according to article 92 (3) point c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.

    020-060

    POSITIONS BY CATEGORY OF COMMODITY

    For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.

    070

    MATURITY LADDER APPROACH

    Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.

    080

    EXTENDED MATURITY LADDER APPROACH

    Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR

    090

    SIMPLIFIED APPROACH

    Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.

    100-140

    ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

    Article 358 (4) of CRR.

    The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation

    5.7.

    C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)

    5.7.1.

    General Remarks

    1. (141)

      This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.

    2. (142)

      Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR /Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.

    5.7.2.

    Instructions concerning specific positions

    columns

    030-040

    VaR

    It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.

    030

    Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

    Articles 364 (1) point a) (ii) and 365 (1) of CRR.

    040

    Previous day VaR (VaRt-1)

    Articles 364 (1) point a) (i) and 365 (1) of CRR.

    050-060

    Stressed VaR

    It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution's portfolio.

    050

    Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

    Articles 364 (1) point b) (ii) and 365 (1) of CRR.

    060

    Latest available (SVaRt-1)

    Articles 364 (1) point b) (i) and 365 (1) of CRR.

    070-080

    INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

    It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364 (2) point b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

    070

    12 weeks average measure

    Article 364 (2) point b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

    080

    Last Measure

    Article 364 (2) point b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

    090-110

    ALL PRICE RISKS CAPITAL CHARGE FOR CTP

    090

    FLOOR

    Article 364 (3) point (c) of CRR.

    = 8 % of the capital charge that would be calculated in accordance with Article 338 (1) of CRR for all positions in the "all price risks" capital charge.

    100-110

    12 WEEKS AVERAGE MEASURE AND LAST MEASURE

    Article 364 (3) point (b).

    110

    LAST MEASURE

    Article 364 (3) point (a)

    120

    OWN FUNDS REQUIREMENTS

    Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364 (2) of CRR.

    130

    TOTAL RISK EXPOSURE AMOUNT

    Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

    140

    Number of overshootings (during previous 250 working days)

    Referred to in Article 366 of CRR.

    150-160

    VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

    As referred to in Article 366 of CRR.

    170-180

    ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP

    The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364 (3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

    Rows

    010

    TOTAL POSITIONS

    Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363 (1) of CRR linked to the risk factors specified in Article 367 (2) of CRR.

    Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.

    020

    TRADED DEBT INSTRUMENTS

    Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367 (2) of CRR.

    030

    TDI — GENERAL RISK

    General risk defined in Article 362 of CRR.

    040

    TDI — SPECIFIC RISK

    Specific risk defined in Article 362 of CRR.

    050

    EQUITIES

    Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367 (2) of CRR.

    060

    EQUITIES — GENERAL RISK

    General risk defined in Article 362 of CRR.

    070

    EQUITIES — SPECIFIC RISK

    Specific risk defined in Article 362 of CRR.

    080

    FOREIGN EXCHANGE RISK

    Articles 363 (1) and 367 (2) of CRR.

    090

    COMMODITY RISK

    Articles 363 (1) and 367 (2) of CRR.

    100

    TOTAL AMOUNT FOR GENERAL RISK

    Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable).

    110

    TOTAL AMOUNT FOR SPECIFIC RISK

    Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable).

    5.8.

    C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)

    5.8.1.

    Instructions concerning specific positions

    Columns

    010

    Exposure value

    Article 271 of CRR in accordance with article 382 of CRR

    Total EAD from all transactions subject to CVA charge

    020

    Of which: OTC derivatives

    Article 271 of CRR in accordance with article 382 (1) of CRR

    The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

    030

    Of which: SFT

    Article 271 of CRR in accordance with article 382 (2) of CRR

    The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

    040

    MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

    Article 383 of CRR in accordance with article 363 (1)(d) of CRR

    VaR calculation based on internal models for market risk

    050

    PREVIOUS DAY (VaRt-1)

    See instructions referring to column 040

    060

    MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

    See instructions referring to column 040

    070

    LATEST AVAILABLE (SVaRt-1)

    See instructions referring to column 040

    080

    OWN FUNDS REQUIREMENTS

    Article 92 (3) d) of CRR

    Own funds requirements for CVA Risk calculated via the chosen method

    090

    TOTAL RISK EXPOSURE AMOUNT

    Article 92 (4) b) of CRR

    Own funds requirements multiplied by 12,5.

    Memorandum items

    100

    Number of counterparties

    Article 382 of CRR

    Number of counterparties included in calculation of own funds for CVA risk

    Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.

    110

    Of which: proxy was used to determine credit spread

    number of counterparties where the credit spread was determined using a proxy instead of directly observed market data

    120

    INCURRED CVA

    Accounting provisions due to decreased credit worthiness of derivatives counterparties

    130

    SINGLE NAME CDS

    Article 386 (1) lit. a of CRR

    Total notional amounts of single name CDS used as hedge for CVA risk

    140

    INDEX CDS

    Article 386 (1) lit. b) of CRR

    Total notional amounts of index CDS used as hedge for CVA risk

    Rows

    010

    CVA risk total

    Sum of rows 020-040 as applicable

    020

    According to Advanced method

    Advanced CVA risk method as prescribed by Article 383 of CRR

    030

    According to Standardised method

    Standardised CVA risk method as prescribed by Article 384 of CRR

    040

    Based on OEM

    Amounts subject to the application of Art. 385 of CRR