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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.

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Status: In this content, we have included all amendments made by EU exit-related instruments up to end September 2020. There will be more amendments to be made later this year, further to the September QCP.

ANNEX V PART 1 GENERAL INSTRUCTIONS PART 2 TEMPLATE RELATED INSTRUCTIONS PART 3 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS

1.

REFERENCES

  1. (1)

    This Annex contains additional instructions for the financial information templates (hereinafter "FINREP") included in Annex III and Annex IV of this Regulation. This Annex complements the instructions included in form of references in the templates in Annex III and Annex IV.

  2. (2)

    The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in Article 4(1)(77) of the CRR.

  3. (3)

    Institutions shall only submit those parts of the templates related to:

    1. (a)

      Assets, liabilities, equity, income and expenses that are recognised by the institution.

    2. (b)

      Off-balance sheet exposures and activities in which the institution is involved.

    3. (c)

      Transactions performed by the institution.

    4. (d)

      Valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.

  4. (4)

    For the purposes of Annex III and Annex IV as well as this Annex, the following notation shall apply:

    1. (a)

      "IAS regulation" refers to Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards.

    2. (b)

      "IAS" or "IFRS" refers to the "International Accounting Standards", as defined in Article 2 of the "IAS regulation" that has been adopted by the Commission in accordance with the aforementioned "IAS regulation".

    3. (c)

      "ECB BSI Regulation" or "ECB/2008/32" refers to Regulation of the European Central Bank of 19 December 2008 concerning the balance sheet of monetary financial institutions sector (recast).

    4. (d)

      "NACE Regulation" refers to REGULATION (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains.

    5. (e)

      "BAD" refers to COUNCIL DIRECTIVE of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (86/635/EEC).

    6. (f)

      "4th Directive" refers to FOURTH COUNCIL DIRECTIVE of 25 July 1978 based in Article 54(3)(g) of the Treaty on the annual accounts of certain types of companies (78/660/EEC).

    7. (g)

      "National GAAP" means national accounting frameworks developed under BAD.

    8. (h)

      "SME" refers to COMMISSION RECOMMENDATION of 6 May 2003 concerning definition of micro, small and medium-sized enterprises (2003/361/EC).

    9. (i)

      "ISIN code" means the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue.

    10. (j)

      "LEI code" means the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction.

    11. (k)

      "Annex V" refers to the cited Part of Annex V of this Regulation.

2.

CONVENTION

  1. (5)

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

  2. (6)

    Templates in Annex III and Annex IV include implicit validation rules which are defined in the templates themselves through the use of conventions.

  3. (7)

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

  4. (8)

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

  5. (9)

    In the "Data Point Model" (hereinafter DPM) for financial information reporting templates described in Annex III and IV, every data point (cell) has a "base item" to which the "credit/debit" attribute is allocated. This allocation ensures that all entities who report data points follow the "sign convention" and allows to know the "credit/debit" attribute that corresponds to each data point.

  6. (10)

    Schematically, this convention works as in Table 1.

    (10) Table 1 Credit/debit convention, positive and negative signs

    Element

    Credit/Debit

    Balance/Movement

    Figure reported

    Assets

    Debit

    Balance on assets

    Positive ("Normal", no sign needed)

    Increase on assets

    Positive ("Normal", no sign needed)

    Negative balance on assets

    Negative (Minus "–" sign needed)

    Decrease on assets

    Negative (Minus "–" sign needed)

    Expenses

    Balance on expenses

    Positive ("Normal", no sign needed)

    Increase on expenses

    Positive ("Normal", no sign needed)

    Negative balance (including reversals) on expenses

    Negative (Minus "–" sign needed)

    Decrease on expenses

    Negative (Minus "–" sign needed)

    Liabilities

    Credit

    Balance on liabilities

    Positive ("Normal", no sign needed)

    Increase on liabilities

    Positive ("Normal", no sign needed)

    Negative balance on liabilities

    Negative (Minus "–" sign needed)

    Decrease on liabilities

    Negative (Minus "–" sign needed)

    Equity

    Balance on equity

    Positive ("Normal", no sign needed)

    Increase on equity

    Positive ("Normal", no sign needed)

    Negative balance on equity

    Negative (Minus "–" sign needed)

    Decrease on equity

    Negative (Minus "–" sign needed)

    Income

    Balance on income

    Positive ("Normal", no sign needed)

    Increase on income

    Positive ("Normal", no sign needed)

    Negative balance (including reversals) on income

    Negative (Minus "–" sign needed)

    Decrease on income

    Negative (Minus "–" sign needed)

3.

CONSOLIDATION

  1. (11)

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

    1. (a)

      Institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with article 18.5 of the CRR.

    2. (b)

      Institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with article 18.2 of the CRR.

    3. (c)

      Institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with article 18.4 of the CRR.

4.

ACCOUNTING PORTFOLIOS

4.1.

Assets

  1. (12)

    "Accounting portfolios" shall mean financial instruments aggregated by valuation rules. These aggregations do not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as "Cash and cash balances at central banks" as well as those financial instruments classified as "Held for sale" presented in the items "Non-current assets and disposal groups classified as held for sale" and "Liabilities included in disposal groups classified as held for sale".

  2. (13)

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

    1. (a)

      "Financial assets held for trading",

    2. (b)

      "Financial assets designated at fair value through profit or loss",

    3. (c)

      "Available-for-sale financial assets",

    4. (d)

      "Loans and Receivables",

    5. (e)

      "Held-to-maturity investments".

  3. (14)

    The following accounting portfolios based on National GAAP shall be used for financial assets:

    1. (a)

      "Trading financial assets",

    2. (b)

      "Non-trading non-derivative financial assets measured at fair value through profit or loss",

    3. (c)

      "Non-trading non-derivative financial assets measured at fair value to equity",

    4. (d)

      "Non-trading debt instruments measured at a cost-based method", and

    5. (e)

      "Other non-trading non-derivative financial assets".

  4. (15)

    "Trading financial assets" has the same meaning as under the relevant National GAAP based on BAD. Under National GAAP based on BAD, derivatives that are not held for hedge accounting shall be reported in this item without regarding the method applied to measure these contracts. Institutions shall include derivatives contracts in the balance sheet only when these contracts are recognised in accordance with the relevant accounting framework.

  5. (16)

    For financial assets, "cost-based methods" include those valuation rules by which the financial asset is measured at cost plus interest accrued less impairment losses.

  6. (17)

    Under National GAAP based on BAD, "Other non-trading non-derivative financial assets" shall include financial assets that do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets that are measured at the lower of their amount at initial recognition or their fair value (so-called "Lower Of Cost Or Market" or "LOCOM").

  7. (18)

    Under National GAAP based on BAD, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.

  8. (19)

    "Derivatives — Hedge accounting" shall include derivatives held for hedge accounting under the relevant accounting framework.

4.2.

Liabilities

  1. (20)

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

    1. (a)

      "Financial liabilities held for trading",

    2. (b)

      "Financial liabilities designated at fair value through profit or loss",

    3. (c)

      "Financial liabilities measured at amortised cost".

  2. (21)

    The following accounting portfolios based on National GAAP shall be used for financial liabilities:

    1. (a)

      "Trading financial liabilities", and

    2. (b)

      "Non-trading non-derivative financial liabilities measured at a cost-based method".

  3. (22)

    Under National GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.

  4. (23)

    Both under IFRS and National GAAP, "Derivatives — Hedge accounting" shall include derivatives held for hedge accounting under the relevant accounting framework.

5.

FINANCIAL INSTRUMENTS

5.1.

Financial assets

  1. (24)

    The carrying amount shall mean the amount to be reported in the asset side of the balance sheet. The carrying amount of financial assets shall include accrued interest.

  2. (25)

    Financial assets shall be distributed among the following classes of instruments: "Cash on hand", "Derivatives", "Equity instruments", "Debt securities", and "Loan and advances".

  3. (26)

    "Debt securities" are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.

  4. (27)

    "Loans and advances" are debt instruments held by the institutions that are not securities; this item includes "loans" in accordance with the ECB BSI Regulation as well as advances that cannot be classified as "loans" according to the ECB BSI Regulation. "Advances that are not loans" are further characterized in paragraph 41(g) of this Part. Consequently, "debt instruments" shall include "loans and advances" and "debt securities".

5.2.

Financial liabilities

  1. (28)

    The carrying amount shall mean the amount to be reported in the liability side of the balance sheet. The carrying amount of financial liabilities shall include accrued interest.

  2. (29)

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

  3. (30)

    "Deposits" are defined in the same way as in the ECB BSI Regulation.

  4. (31)

    "Debt securities issued" are debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation.

  5. (32)

    "Other financial liabilities" include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.

  6. (33)

    Under IFRS or compatible National GAAP, "Other financial liabilities" may include financial guarantees when they are measured either at fair value through profit or loss [IAS 39.47(a)] or at the amount initially recognised less cumulative amortization [IAS 39.47(c)(ii)]. Loan commitments shall be reported as "Other financial liabilities" when they are designated as financial liabilities at fair value through profit or loss [IAS 39.4(a)] or they are commitments to provide a loan at a below-market interest rate [IAS 39.4(b), 47(d)]. Provisions arising from these contracts [IAS 39.47(c)(i), (d)(i)] are reported as provisions for "Commitments and guarantees given".

  7. (34)

    "Other financial liabilities" may also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions (payables for transactions recognised before the payment date).

6.

COUNTERPARTY BREAKDOWN

  1. (35)

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

    1. (a)

      Central banks.

    2. (b)

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

    3. (c)

      Credit institutions: banks and multilateral banks.

    4. (d)

      Other financial corporations: all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries and financial auxiliaries.

    5. (e)

      Non-financial corporations: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation.

    6. (f)

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

  2. (36)

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

1.

BALANCE SHEET

1.1.

Assets (1.1)

  1. (1)

    "Cash on hand" includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.

  2. (2)

    "Cash balances at central banks" include balances receivable on demand at central banks.

  3. (3)

    "Other demand deposits" include balances receivable on demand with credit institutions.

  4. (4)

    "Investments in subsidiaries, joint ventures and associates" include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated. The carrying amount of investments accounted for using the equity method includes related goodwill.

  5. (5)

    Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in "Other assets". Other assets may include gold, silver and other commodities; even when they are held with trading intent.

  6. (6)

    "Non-current assets and disposal groups classified as held for sale" has the same meaning as under IFRS 5.

1.2.

Liabilities (1.2)

  1. (7)

    Provisions for "Pensions and other post employment defined benefit obligations" include the amount of net defined benefit liabilities.

  2. (8)

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

  3. (9)

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

  4. (10)

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

  5. (11)

    "Liabilities included in disposal groups classified as held for sale" has the same meaning as under IFRS 5.

  6. (12)

    "Funds for general banking risks" are amounts that have been assigned in accordance with article 38 of the BAD. When recognised, they shall appear separately either as liabilities under "provisions" or within equity under "other reserves".

1.3.

Equity (1.3)

  1. (13)

    Under IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the scope of IAS 32.

  2. (14)

    "Unpaid capital which has been called up" includes the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date.

  3. (15)

    "Equity component of compound financial instruments" includes the equity component of compound financial instruments (that is, financial instruments that contain both a liability and a equity component ) issued by the institution, when segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives whose values are interdependent);

  4. (16)

    "Other equity instruments issued" includes equity instruments that are financial instruments other than "Capital" and "Equity component of compound financial instruments".

  5. (17)

    "Other equity" shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10].

  6. (18)

    Under IFRS or compatible National GAAP, "Revaluation reserves" includes the amount of reserves resulting from first-time adoption to IAS, or compatible National GAAP, that have not been released to other type of reserves.

  7. (19)

    "Other reserves" are split between "Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates" and "Other". "Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates" include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years. "Other" includes reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.

  8. (20)

    "Treasury shares" cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution.

2.

STATEMENT OF PROFIT OR LOSS (2)

  1. (21)

    Interest income and interest expense from financial instruments held for trading, and from financial instruments designated at fair value through profit or loss, shall be reported either separately from other gains and losses under items "interest income" and "interest expense" (so-called "clean price") or as part of gains or losses from these categories of instruments ("dirty price").

  2. (22)

    Institutions shall report the following items broken-down by accounting portfolios:

    1. (a)

      "Interest income";

    2. (b)

      "Interest expense";

    3. (c)

      "Dividend income";

    4. (d)

      "Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net";

    5. (e)

      "Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss".

  3. (23)

    "Interest income. Derivatives — Hedge accounting, interest rate risk" and "Interest expenses. Derivatives — Hedge accounting, interest rate risk" include the amounts related to those derivatives classified in the category "hedge accounting" which cover interest rate risk. They shall be reported as interest income and expenses on a gross basis, to present correct interest income and expenses from the hedged items to which they are linked.

  4. (24)

    The amounts related to those derivatives classified in the category "held for trading" which are hedging instruments from an economic but not accounting point of view may be reported as interest income and expenses, to present correct interest income and expenses from the financial instruments that are hedged. These amounts shall be included as a part of the items "Interest income. Financial assets held for trading" and "Interest expenses. Financial liabilities held for trading".

  5. (25)

    "Interest income — other assets" includes amounts of interest income not included in the other items. This item may include interest income related to cash and cash balances at central banks and non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset.

  6. (26)

    "Interest expenses — other liabilities" includes amounts of interest expenses not included in the other items. This item may include interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined benefit liabilities.

  7. (27)

    "Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations" includes profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.

  8. (28)

    Dividend income from financial assets held for trading and from financial assets designated at fair value through profit or loss shall be reported either as "dividend income" separately from other gains and losses from these categories or as part of gains or losses from these categories of instruments. Dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within "Share of the profit or (–) loss of investments in subsidiaries, joint ventures and associates".

  9. (29)

    Under IFRS or compatible National GAAP, Impairment on "Financial assets at cost" includes impairment losses arising from the application of the impairment rules in IAS 39.66.

  10. (30)

    For "Gains or (–) losses from hedge accounting, net" institutions shall report fair value changes on hedging instruments and hedged items, including the result of ineffectiveness from cash flow hedges and from hedges of net investment in foreign operations.

3.

STATEMENT OF COMPREHENSIVE INCOME (3)

  1. (31)

    Under IFRS or compatible National GAAP, "Income tax relating to items that will not be reclassified" and "Income tax relating to items that may be reclassified to profit or (–) loss" [IAS 1.91 (b), IG6] shall be reported as separate line items.

4.

BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)

  1. (32)

    Financial assets shall be broken down by instrument and — when required — by counterparty.

  2. (33)

    Under IFRS or compatible National GAAP, equity instruments shall be reported with a specific breakdown ("of which") to identify instruments measured at cost and specific counterparty sectors only. Under National GAAP based on BAD, equity instruments shall be reported with a specific breakdown ("of which") to identify unquoted and specific counterparty sectors only.

  3. (34)

    For available-for-sale financial assets institutions shall report the fair value of impaired assets and unimpaired assets respectively, and the cumulative amount of impairment losses recognised in profit or loss as at the reporting date. The sum of fair value of unimpaired assets and fair value of impaired assets shall be the carrying amount of these assets.

  4. (35)

    Under IFRS or compatible National GAAP, for financial assets classified as "Loans and receivables" or as "Held-to-maturity", the gross carrying amount of unimpaired assets and of impaired assets shall be reported. The allowances shall be broken down to "Specific allowances for individually assessed financial assets", "Specific allowances for collectively assessed financial assets" and "Collective allowances for incurred but not reported losses". Under National GAAP based on BAD, for financial assets classified as "non-trading non-derivative financial asset measured at a cost-based method", the gross carrying amount of unimpaired assets and of impaired assets shall be reported.

  5. (36)

    "Specific allowances for individually assessed financial assets" shall include cumulative amount of impairment related to financial assets which have been assessed individually.

  6. (37)

    "Specific allowances for collectively assessed financial assets" shall include the cumulative amount of collective impairment calculated on insignificant loans which are impaired on individual basis and for which the institution decides to use a statistical approach (portfolio basis). This approach does not preclude performing individual impairment evaluation of loans that are individually insignificant and thus to report them as specific allowances for individually assessed financial assets.

  7. (38)

    "Collective allowances for incurred but not reported losses" shall include the cumulative amount of collective impairment determined on financial assets which are not impaired on individual basis. For "allowances for incurred but not reported losses", IAS 39.59(f), AG87 and AG90 may be followed.

  8. (39)

    The sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount.

  9. (40)

    Template 4.5 includes the carrying amount of "Loans and advances" and "Debt securities" that meet the definition of "subordinated debt" in paragraph 54 of this Part.

5.

BREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5)

  1. (41)

    The "carrying amount" of loans and advances shall be reported by type of product net of allowances due to impairment. Balances receivable on demand classified as "Cash and cash balances at central banks" shall also be reported in this template independently of the "accounting portfolio" in which they are included shall be allocated to the following products:

    1. (a)

      "On demand (call) and short notice (current account)" include balances receivable on demand (call), at short notice, current accounts and similar balances which may include loans that are overnight deposits for the borrower, regardless of their legal form. It also includes "overdrafts" that are debit balances on current account balances.

    2. (b)

      "Credit card debt" includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation].

    3. (c)

      "Trade receivables" include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. This item includes all factoring transactions (both with and without recourse).

    4. (d)

      "Finance leases" include the carrying amount of finance lease receivables. Under IFRS or compatible National GAAP, "finance lease receivables" are as defined in IAS 17.

    5. (e)

      "Reverse repurchase loans" include finance granted in exchange for securities bought under repurchase agreements or borrowed under securities lending agreements.

    6. (f)

      "Other term loans" include debit balances with contractually fixed maturities or terms that are not included in other items.

    7. (g)

      "Advances that are not loans" include advances that cannot be classified as "loans" according to the ECB BSI Regulation. This item includes, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection).

    8. (h)

      "Mortgage loans [Loans collateralized by immovable property]" include loans formally secured by immovable property collateral independently of their loan/collateral ratio (commonly referred as "loan-to-value").

    9. (i)

      "Other collateralized loans" include loans formally backed by collateral, independently of their loan/collateral ratio (so-called "loan-to-value"), other than "Loans collateralised by immovable property", "Finance leases" and "Reverse repurchase loans". This collateral includes pledges of securities, cash, and other collateral.

    10. (j)

      "Credit for consumption" includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation].

    11. (k)

      "Lending for house purchase" includes credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation].

    12. (l)

      "Project finance loans" include loans that are recovered solely from the income of the projects financed by them.

6.

BREAKDOWN OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES AND BY RESIDENCE OF THE COUNTERPARTY (6)

  1. (42)

    Gross carrying amount of loans and advances to non-financial corporations shall be classified by sector of economic activities using codes in NACE Regulation ("NACE Codes") on the basis of the principal activity of the counterparty.

  2. (43)

    The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36 in Part 1.

  3. (44)

    Reporting of NACE codes shall be done with the first level of disaggregation, (by "section").

  4. (45)

    For debt instruments at amortised cost or at fair value through other comprehensive income, "Gross carrying amount" shall mean the carrying amount excluding "Accumulated impairment". For debt instruments at fair value through profit and loss, "Gross carrying amount" shall mean the carrying amount excluding "Accumulated changes in fair value due to credit risk".

  5. (46)

    "Accumulated impairment" shall be reported for financial assets at amortised cost or at fair value through other comprehensive income. "Accumulated changes in fair value due to credit risk" figures shall be reported for financial assets at fair value through profit or loss. "Accumulated impairment" shall include specific allowances for individually and collectively assessed financial assets as defined in paragraphs 36 and 37as well as "Collective allowances for incurred but not reported losses" as defined in paragraph 38 but do not include "Accumulated write-offs" amounts as defined in paragraph 49 of this Part.

7.

FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR IMPAIRED (7)

  1. (47)

    Debt instruments that are past due but not impaired at the reporting reference date shall be reported in the accounting portfolios subject to impairment. According to IFRS or compatible National GAAP, these accounting portfolios comprise the categories "Available for sale", "Loans and receivables", and "Held-to-maturity". According to National GAAP based on BAD, these accounting portfolios comprise also "Non-trading debt instruments measured at a cost-based method" and "Other non-trading non-derivative financial assets".

  2. (48)

    Assets qualify as past due when counterparties have failed to make a payment when contractually due. The amounts of such assets shall be reported and broken down according to the number of days past due. The past due analysis shall not include any impaired assets. The carrying amount of impaired financial assets shall be reported separately from the past due assets.

  3. (49)

    The column "Accumulated write-offs" includes the cumulative amount of principal and past due interest of any debt instrument that the institution is no longer recognising because they are considered uncollectible, independently of the portfolio in which they were included. These amounts shall be reported until the total extinguishment of all the institution's rights (by expiry of the statute-of–limitations period, forgiveness or other causes) or until recovery.

  4. (50)

    "Write-offs" could be caused both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as by reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.

8.

BREAKDOWN OF FINANCIAL LIABILITIES (8)

  1. (51)

    As "Deposits" are defined in the same way as in the ECB BSI Regulation, regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very close to overnight deposits, are classified as deposits redeemable at notice.

  2. (52)

    "Debt securities issued" shall be disaggregated into the following type of products:

    1. (a)

      "Certificates of deposits" are securities that enable the holders to withdraw funds from an account,

    2. (b)

      "Asset backed securities" according to article 4(1)(61) of the CRR,

    3. (c)

      "Covered Bonds" according to article 129(1) of the CRR,

    4. (d)

      "Hybrid contracts" comprise contracts with embedded derivatives,

    5. (e)

      "Other debt securities issued" includes debt securities not recorded in the previous lines and distinguishes convertible and non convertible instruments.

  3. (53)

    "Subordinated financial liabilities" issued are treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities are classified as "Debt securities issued", whereas subordinated liabilities in the form of deposits are classified as "Deposits".

  4. (54)

    Template 8.2 includes the carrying amount of "Deposits" and "Debt securities issued" that meet the definition of subordinated debt classified by accounting portfolios. "Subordinated debt" instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied [ECB BSI Regulation].

9.

LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)

  1. (55)

    Off-balance sheet exposures include the off-balance sheet items listed in Annex I of the CRR. Off-balance sheet exposures shall be broken-down in loan commitments given, financial guarantees given, and other commitments given.

  2. (56)

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

  3. (57)

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

    1. (a)

      "Forward deposits".

    2. (b)

      "Undrawn credit facilities" which comprise agreements to "lend" or provide "acceptance facilities" under pre-specified terms and conditions.

  4. (58)

    "Financial guarantees" are contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Under IFRS or compatible National GAAP, these contracts meet the IAS 39.9 and IFRS 4.A definition of financial guarantee contracts. The following items of Annex I of the CRR shall be classified as "financial guarantees":

    1. (a)

      "Guarantees having the character of credit substitute".

    2. (b)

      "Credit derivatives" that meet the definition of financial guarantee.

    3. (c)

      "Irrevocable standby letters of credit having the character of credit substitutes".

  5. (59)

    "Other commitments" includes the following items of Annex I of the CRR:

    1. (a)

      "Unpaid portion of partly-paid shares and securities".

    2. (b)

      "Documentary credits issued or confirmed".

    3. (c)

      Trade finance Off-balance sheet items.

    4. (d)

      "Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions".

    5. (e)

      "Warranties and indemnities" (including tender and performance bonds) and "guarantees not having the character of credit substitutes".

    6. (f)

      "Shipping guarantees, customs and tax bonds".

    7. (g)

      Note issuance facilities (NIFs) and revolving underwritings facilities (RUFs).

    8. (h)

      "Undrawn credit facilities" which comprise agreements to "lend" or provide "acceptance facilities" when the terms and conditions are not pre-specified.

    9. (i)

      "Undrawn credit facilities" which comprise agreements to "purchase securities" or "provide guarantees".

    10. (j)

      "Undrawn credit facilities for tender and performance guarantees".

    11. (k)

      "Other off-balance sheet items" in Annex I of the CRR.

  6. (60)

    Under IFRS or compatible National GAAP, the following item are recognised in the balance sheet and, consequently, should not be reported as off-balance sheet exposures:

    1. (a)

      "Credit derivatives" that do not meet the definition of financial guarantees are "derivatives" under IAS 39.

    2. (b)

      "Acceptances" are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as "trade receivables" on the balance sheet

    3. (c)

      "Endorsements on bills" that do not meet the criteria for derecogniton under IAS 39.

    4. (d)

      "Transactions with recourse" that do not meet the criteria for derecogniton under IAS 39.

    5. (e)

      "Assets purchased under outright forward purchase agreements" are "derivatives" under IAS 39.

    6. (f)

      "Asset sale and repurchase agreements as defined in Article 12 (3) and (5) of Directive 86/635/EEC". In these contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified (or to be specified). Therefore, these contracts meet the definition of derivatives under IAS 39.9.

  7. (61)

    "of which: defaulted" shall include the nominal amount of those loan commitments, financial guarantees and other commitments given whose counterparty has incurred in default according to Article 178 of the CRR.

  8. (62)

    For off-balance sheet exposures, the "Nominal amount" is the amount that best represents the institution's maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount is the maximum amount the entity could have to pay if the guarantee is called on. For loan commitments, the nominal amount is the undrawn amount that the institution has committed to lend. Nominal amounts are exposure values before applying conversion factors and credit risk mitigation techniques.

  9. (63)

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

10.

DERIVATIVES (10 AND 11)

  1. (64)

    The carrying amount and the notional amount of the derivatives held for trading and the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market (over-the-counter versus organised markets) and type of product.

  2. (65)

    Institutions shall report the derivatives held for hedge accounting broken down by type of hedge.

  3. (66)

    Derivatives included in hybrid instruments which have been separated from the host contract shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in these templates. However, if the hybrid instrument is measured at fair value through profit or loss, the contract as a whole shall be included in the category of held for trading or financial instruments designated at fair value through profit or loss (and, thus, the embedded derivatives are not reported in 10 and 11).

  4. 10.1.

    Classification of derivatives by type of risk

    1. (67)

      All derivatives shall be classified into the following risk categories:

      1. (a)

        Interest rate: Interest rate derivatives are contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category is restricted to those deals where all the legs are exposed to only one currency's interest rate. Thus it excludes contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be reported as foreign exchange contracts. Interest rate contracts include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaptions and interest rate warrants.

      2. (b)

        Equity: Equity derivatives are contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices.

      3. (c)

        Foreign exchange and gold: These derivatives include contracts involving the exchange of currencies in the forward market and the exposure to gold. They therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives include all deals involving exposure to more than one currency, whether in interest rates or exchange rates. Gold contracts include all deals involving exposure to that commodity.

      4. (d)

        Credit: Credit derivatives are contracts that do not meet the definition of financial guarantees and in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit. The contracts specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset.

      5. (e)

        Commodity: These derivatives are contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products.

      6. (f)

        Other: These derivatives are any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.

    2. (68)

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

      1. (a)

        Commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category.

      2. (b)

        Equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates should be included in this category.

      3. (c)

        Foreign exchange and gold: This category includes all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining either to interest-bearing financial instruments or exchange rates.

    10.2.

    Amounts to be reported for derivatives

    1. (69)

      The "carrying amount" for all derivatives (hedging or trading) is the fair value. Derivatives with a positive fair value (above zero) are "financial assets" and derivatives with a negative fair value (below zero) are "financial liabilities". The "carrying amount" shall be reported separately for derivatives with a positive fair value ("financial assets") and for those with a negative fair value ("financial liabilities"). At the date of initial recognition, a derivative is classified as "financial asset" or "financial liability" according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as "financial asset") or unfavourable (and the derivative is classified as "financial liability").

    2. (70)

      The "Notional amount" is the gross nominal of all deals concluded and not yet settled at the reference date. In particular, the following shall be taken account to determine the notional amount:

      1. (a)

        For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts at the reference date.

      2. (b)

        The notional amount value to be reported for a derivative contract with a multiplier component is the contract effective notional amount or par value.

      3. (c)

        Swaps: The notional amount of a swap is the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based.

      4. (d)

        Equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract is the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal is the contractual amount multiplied by the number of remaining exchanges of principal in the contract.

      5. (e)

        Credit derivatives: The contract amount to be reported for credit derivatives is the nominal value of the relevant reference credit.

      6. (f)

        Digital options have a predefined payoff which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options is defined as either the predefined monetary amount or the fair value of the underlying at the reference date.

    3. (71)

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

    4. (72)

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

    10.3.

    Derivatives classified as "economic hedges"

    1. (73)

      Derivatives that are not effective hedging instruments in accordance with IAS 39 should be included in the "held for trading" portfolio. This applies also to derivatives held for hedging purposes not meeting the requirements in IAS 39 to be effective hedging instruments as well as to derivatives linked to unquoted equity instruments whose fair value cannot be measured reliably.

    2. (74)

      Derivatives "held for trading" that meet the definition of "economic hedges" shall be reported separately for each type of risk. The item "economic hedges" includes those derivatives that are classified as "held for trading" but they are not part of the trading book as defined in Article 4(1)(86) of the CRR. This item does not include derivatives for proprietary trading.

    10.4.

    Breakdown of derivatives by counterparty sector

    1. (75)

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

      1. (a)

        "credit institutions",

      2. (b)

        "other financial corporations", and

      3. (c)

        "rest" comprising all other counterparties.

    2. (76)

      All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the institution in the contract (buyer or seller of protection) is allocated.

11.

MOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY INSTRUMENTS (12)

  1. (77)

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

  2. (78)

    As explained in paragraph 50 of this Part, "write-offs" may be done either by recognising directly in the statement of profit or loss the reduction in the amount of the financial asset (without using an allowance account) or by reducing the amount of the allowance accounts related to a financial asset. "Decreases due to amounts taken against allowances" means decreases in the accumulated amount of allowances due to "write-offs" made during the period because the related debt instruments are considered uncollectible. "Value adjustments recorded directly to the statement of profit or loss" are "write-offs" made during the period directly against the amount of the related financial asset.

12.

COLLATERAL AND GUARANTEES RECEIVED (13)

12.1.

Breakdown of loans and advances by collateral and guarantees (13.1)

  1. (79)

    The pledges and guarantees backing the loans and advances shall be reported by type of pledges: mortgage loans and other collateralised loans, and by financial guarantees. The loans and advances shall be broken down by counterparties.

  2. (80)

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

  3. (81)

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

    1. (a)

      within "Mortgage loans [Loans collateralised by immovable property]", "Residential" includes loans secured by residential immovable property and "Commercial" loans secured by pledges of commercial immovable property; in both cases as defined in the CRR.

    2. (b)

      within "Other collateralised loans", "Cash [Debt instruments issued]" includes pledges of deposits in or debt securities issued by the institution, and "Rest" includes pledges of other securities or assets.

    3. (c)

      "Financial guarantees received" include contracts that require the issuer to make specified payments to reimburse the institution of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument.

  4. (82)

    For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the "Maximum collateral/guarantee that can be considered" shall be allocated according to its quality starting from the one with the best quality.

12.2.

Collateral obtained by taking possession during the period [held at the reporting date] (13.2)

  1. (83)

    This template includes the carrying amount of the collateral that has been obtained between the beginning and the end of the reference period and that remain recognised in the balance sheet at the reference date.

12.3.

Collateral obtained by taking possession [tangible assets] accumulated (13.3)

  1. (84)

    "Foreclosure [tangible assets]" is the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as "Property, plant and equipment".

13.

FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)

  1. (85)

    Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by in IFRS 13.72.

  2. (86)

    "Change in fair value for the period" shall include gains or losses from remeasurements of the instruments in the period. These gains and losses are reported as for inclusion in the statement of profit or loss; thus, the amounts reported are before taxes.

  3. (87)

    "Accumulated change in fair value before taxes" shall include the amount of gains or losses from remeasurements of the instruments accumulated from the initial recognition to the reference date.

14.

DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)

  1. (88)

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

  2. (89)

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

  3. (90)

    The column "Amounts derecognised for capital purposes" includes the carrying amount of the financial assets recognised for accounting purposes but derecognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Article 109 of the CRR.

  4. (91)

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

    1. (a)

      Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral.

    2. (b)

      Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.

  5. (92)

    "Repurchase agreements" ("repos") and "reverse repurchase loans" ("reverse repos") involve cash received or loaned out by the institution.

  6. (93)

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

15.

BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)

  1. (94)

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

  2. 15.1.

    Interest income and expenses by instrument and counterparty sector (16.1)

    1. (95)

      The interests shall be broken down both by interest income on financial and other assets and interest expenses on financial and other liabilities. Interest income on financial assets includes interest income on derivatives held for trading, debt securities, and loans and advances. Interest expenses on financial liabilities includes interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities. All instruments in the various portfolios are taken into account except those included in the items "Derivatives — Hedge accounting" not used to hedge interest rate risk.

    2. (96)

      Interest on derivatives held for trading includes the amounts related to those derivatives held for trading which qualify as "economic hedges" that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view.

    15.2.

    Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)

    1. (97)

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

    15.3.

    Gains or losses on financial assets and liabilities held for trading by instrument (16.3)

    1. (98)

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

    15.4.

    Gains or losses on financial assets and liabilities held for trading by risk (16.4)

    1. (99)

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

      1. (a)

        Interest rate instruments: including trading of loans and advances, deposits and debt securities (held or issued);

      2. (b)

        Equity instruments: including trading of shares, quotas of UCITS and other equity instruments;

      3. (c)

        Foreign exchange trading: including exclusively trading on foreign exchanges;

      4. (d)

        Credit risk instruments: including trading of credit link notes;

      5. (e)

        Commodities: this item includes only derivatives because commodities held with trading intent shall be reported under "Other assets" not under "Financial assets held for trading".

      6. (f)

        Other: including trading of financial instruments which cannot be classified in other breakdowns.

    15.5.

    Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)

    1. (100)

      Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised and the amount of change in fair value in the period due to changes in the credit risk (own credit risk of the borrower or issuer).

    15.6.

    Gains or losses from hedge accounting (16.6)

    1. (101)

      Gains and losses from hedge accounting shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item.

    15.7.

    Impairment on financial and non-financial assets (16.7)

    1. (102)

      "Additions" shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. "Reversals" shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period result in the recognition of net income.

16.

RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)

  1. (103)

    "Accounting scope of consolidation" includes the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation; that is, including in the consolidation insurance undertakings and non-financial corporations.

  2. (104)

    In this template, the item "Investments in subsidiaries, joint ventures and associates" shall not include subsidiaries as with the accounting scope of consolidation all subsidiaries are fully consolidated

  3. (105)

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

  4. (106)

    "Liabilities under insurance and reinsurance contracts" shall include liabilities under insurance and reinsurance contracts issued.

17.

GEOGRAPHICAL BREAKDOWN (20)

  1. (107)

    Template 20 shall be reported when the institution exceeds the threshold described in Article 5.1(a)(iv). The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between "domestic activities" and "non-domestic activities". "Location" means the jurisdiction of incorporation of the legal entity which has recognized the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, "Domestic" shall include the activities recognised in Member State where the institution is located.

  2. (108)

    Templates 20.4 to 20.7 contain information "country-by-country" on the basis of the residence of the immediate counterparty. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures.

  3. (109)

    In template 20.4 for debt instruments, "gross carrying amount" shall be reported as defined in paragraph 45 of Part 2. For derivatives and equity instruments, the amount to be reported is the carrying amount. "Of which: defaulted" shall include the carrying amount of those debt instruments whose counterparty has incurred in default according to Article 178 of the CRR. Template 20.7 shall be reported with the classification by NACE Codes on a "country-by-country" basis. NACE Codes shall be reported with the first level of disaggregation (by "section").

18.

TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)

  1. (110)

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

  2. (111)

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

19.

ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)

  1. (112)

    For the purposes of the calculation of the threshold in Article 9(f), the amount of "net fee and commission income" is the absolute value of the difference between "fee and commission income" and "fee and commission expense". For the same purposes, the amount of "net interest" is the absolute value of the difference between "interest income" and "interest expenses".

  2. 19.1.

    Fee and commission income and expenses by activity (22.1)

    1. (113)

      The fee and commission income and expenses shall be reported by type of activity. Under IFRS or compatible National GAAP, this template includes fee and commission income and expenses other than:

      1. (a)

        amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and

      2. (b)

        amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].

    2. (114)

      Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included; they form part of the initial acquisition/issue value of these instruments and are amortised to profit or loss over their residual life using the effective interest rate [see IAS 39.43].

    3. (115)

      Transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of "Gains or losses on financial assets and liabilities held for trading, net" or "Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net". They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss.

    4. (116)

      Institutions shall report fee and commission income and expenses according to the following criteria:

      1. (a)

        "Securities. Issuances" includes fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution.

      2. (b)

        "Securities. Transfer orders" includes fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities.

      3. (c)

        "Securities. Other" includes fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution.

      4. (d)

        "Clearing and settlement" includes fee and commission income (expenses) generated by (charged to) the institution when participating in counterparty, clearing and settlement facilities.

      5. (e)

        "Asset management", "Custody", "Central administrative services for collective investment undertakings", "Fiduciary transactions", "Payment services" include fee and commission income (expenses) generated by (charged to) the institution when providing these services.

      6. (f)

        "Structured finance" includes fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution.

      7. (g)

        "Servicing fees from securitisation activities" includes, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers.

      8. (h)

        "Loan commitments given" and "Financial guarantees given" include the amount, recognized as income during the period, of the amortization of the fees and commission for these activities initially recognised as "other financial liabilities".

      9. (i)

        "Loan commitments received" and "Financial guarantees received" include the fee and commission expense recognised by the institution as a consequence of the charge made by the counterparty that has given the loan commitment or the financial guarantee.

      10. (j)

        "Other" includes the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from "other commitments", from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.

    19.2.

    Assets involved in the services provided (22.2)

    1. (117)

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

      1. (a)

        "Asset management" refers to assets belonging directly to the customers, for which the institution is providing management. "Asset management" shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles.

      2. (b)

        "Custody assets" refers to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. "Custody assets" shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item "of which: entrusted to other entities" refers to the amount of assets included in custody assets for which the institution has given the effective custody to other entities.

      3. (c)

        "Central administrative services for collective investment" refers to the administrative services provided by the institution to collective investment undertakings. It includes, among others, the services of transfer agent; of compiling accounting documents; of preparing the prospectus, financial reports and all other documents intended for investors; of carrying out the correspondence by distributing financial reports and all other documents intended for investors; of carrying out issues and redemptions and keeping the register of investors; as well as of calculating the net asset value.

      4. (d)

        "Fiduciary transactions" refers to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody asset management services to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item without regarding whether the institution provides additionally other services.

      5. (e)

        "Payment services" refers to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it.

      6. (f)

        "Customer resources distributed but not managed" refers to products issued by entities outside the group that the institution has distributed to its current customers. This item shall be reported by type of product.

      7. (g)

        "Amount of the assets involved in the services provided" includes the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used if the fair value is not available. In those cases where the institution provides services to entities such as collective investment undertakings, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, if appropriate.

20.

INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)

  1. (118)

    "Liquidity support drawn" shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.

21.

RELATED PARTIES (31)

  1. (119)

    Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party.

  2. (120)

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

  3. 21.1.

    Related parties: amounts payable to and amounts receivable from (31.1)

    1. (121)

      For "Loan commitments, financial guarantees and other commitments received", the amount that shall be reported is the sum of the "nominal" of loan commitments received, the "maximum collateral/guarantee that can be considered" of financial guarantees received and the "nominal" of the other commitments received.

    21.2.

    Related parties: expenses and income generated by transactions with (31.2)

    1. (122)

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

      1. (a)

        "Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates"

      2. (b)

        "Gains or losses on derecognition of non-financial assets other than held for sale",

      3. (c)

        "Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations", and

      4. (d)

        "Profit or loss after tax from discontinued operations".

22.

GROUP STRUCTURE (40)

  1. (123)

    Institutions shall provide detailed information on subsidiaries, joint ventures and associates as of the reporting date. All subsidiaries regardless the activity they perform shall be reported.

  2. 22.1.

    Group structure: "entity-by-entity" (40.1)

    1. (124)

      The following information shall be reported on a "entity-by-entity" basis:

      1. (a)

        "LEI code" includes the LEI code of the investee.

      2. (b)

        "Entity code" includes the identification code of the investee.

      3. (c)

        "Entity name" includes the name of the investee.

      4. (d)

        "Entry date" means the date in which the investee entered within the "scope of the group".

      5. (e)

        "Share capital" means the total amount of capital issued by the investee as at the reference date.

      6. (f)

        "Equity of Investee", "Total assets of the Investee" and "Profit or (loss) of the Investee" include the amounts of these items in the last financial statements of the investee.

      7. (g)

        "Residence of investee" means the country of residence of the investee.

      8. (h)

        "Sector of investee" means the sector of counterparty as defined in paragraph 35 of Part 1.

      9. (i)

        "NACE code" shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by "section"); for financial corporations, NACE codes shall be reported with a two level detail (by "division").

      10. (j)

        "Accumulated equity interest (%)" is the percentage of ownership instruments held by the institution as of the reference date.

      11. (k)

        "Voting rights (%)" means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.

      12. (l)

        "Group structure [relationship]" shall indicate the relationship between the parent and the investee (subsidiary, joint venture or associate).

      13. (m)

        "Accounting treatment [Accounting Group]" shall indicate the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation or equity method).

      14. (n)

        "Accounting treatment [CRR Group]" shall indicate the accounting treatment with the CRR scope of consolidation (full integration, proportional integration or equity method).

      15. (o)

        "Carrying amount" means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated.

      16. (p)

        "Acquisition cost" means the amount paid by the investors.

      17. (q)

        "Goodwill link to the investee" means the amount of goodwill reported on the consolidated balance sheet of the institution for the investee in the items "goodwill" or "investments in subsidiaries, joint ventures and associated".

      18. (r)

        "Fair value of the investments for which there are published price quotations" means the price at the reference date; it shall be provided only if the instruments are quoted.

    22.2.

    Group structure: "instrument-by-instrument" (40.2)

    1. (125)

      The following information shall be reported on an "instrument-by-instrument" basis:

      1. (a)

        "Security code" includes the ISIN code of the security. For securities without ISIN code assigned, it includes another code that uniquely identifies the security.

      2. (b)

        "Holding company code" is the identification code of the entity within the group that holds the investment.

      3. (c)

        "Entity code", "Accumulated equity interest (%)", "Carrying amount" and "Acquisition cost" are defined above. The amounts shall correspond to the security held by the related holding company.

23.

FAIR VALUE (41)

23.1.

Fair value hierarchy: financial instruments at amortised cost (41.1)

  1. (126)

    Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 7.27A shall be reported in this template.

23.2.

Use of fair value option (41.2)

  1. (127)

    Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template. "Hybrid contracts" includes the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it includes non-separated hybrid instruments in their entirely.

23.3.

Hybrid financial instruments not designated at fair value through profit or loss (41.3)

  1. (128)

    In this template shall be reported information on hybrid financial instruments with the exception of those hybrid contracts measured at fair value through profit or loss under the "fair value option" that are reported in template 41.2.

  2. (129)

    "Held for trading" includes the carrying amount of hybrid financial instruments classified, as a whole, as "financial assets held for trading" or "financial liabilities held for trading"; that is it includes non-separated hybrid instruments in their entirely.

  3. (130)

    The other rows include the carrying amount of the host contracts that have been separated from the embedded derivatives according to the relevant accounting framework. The carrying amounts of the embedded derivatives separated from these host contracts, in accordance with the relevant accounting framework, shall be reported in templates 10 and 11.

24.

TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)

  1. (131)

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

  2. (132)

    "Other intangible assets" include all other intangible assets than goodwill.

25.

PROVISIONS (43)

  1. (133)

    This template includes reconciliation between the carrying amount of the item "Provisions" at the beginning and end of the period by the nature of the movements.

26.

DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)

  1. (134)

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

  2. 26.1.

    Components of net defined benefit plan assets and liabilities (44.1)

    1. (135)

      "Components of net defined benefit plan assets and liabilities" shows the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights [IAS 19.140 (a), (b)].

    2. (136)

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

    26.2.

    Movements in defined benefit obligations (44.2)

    1. (137)

      "Movements in defined benefit obligations" shows the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period are presented separately.

    2. (138)

      The amount of "Closing balance [present value]" in the template for movements in defined benefit obligations shall be equal to "Present value defined benefit obligations".

    26.3.

    Memo items [related to staff expenses] (44.3)

    1. (139)

      For reporting of memorandum items related to staff expenses, the following definitions shall be used:

      1. (a)

        "Pension and similar expenses" includes the amount recognized in the period as staff expenses for any post — employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds.

      2. (b)

        "Share based payments" include the amount recognized in the period as staff expenses for share based payments.

27.

BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)

27.1.

Gains or losses on derecognition of non-financial assets other than held-for-sale (45.2)

  1. (140)

    Gains and losses on derecognition of non financial assets other than held for sale shall be broken down by type of asset; each line item shall include the gain or the loss on the asset (such as property, software, hardware, gold, investment) that has been derecognised.

27.2.

Other operating income and expenses (45.3)

  1. (141)

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

  2. (142)

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

  3. (143)

    Gains or losses from remeasurements of holdings of precious metals and other commodities measured at fair value less cost to sell shall be reported among the items included in "Other operating income. Other" or "Other operating expenses. Other"

28.

STATEMENT OF CHANGES IN EQUITY (46)

  1. (144)

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

  1. (1)

    The following tables map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables.

    (1) Table 2 Standardised Approach

    SA exposure classes (CRR article 112)

    FINREP counterparty sectors

    Comments

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

    These exposures should be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, when securitized positions remain recognised in the balance sheet, the counterparty sectors are the sectors of the immediate counterparties of these positions.

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.

    Equity instruments

    Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through.

    Equity instruments

    In FINREP, equities are separated as instruments under different categories of financial assets

    Various items of the balance sheet

    In FINREP, other items may be included under different asset categories.

    (1) Table 3 Internal Ratings Based Approach

    IRBA exposure classes (CRR article 147)

    FINREP counterparty sectors

    Comments

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

    These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty

    Equity instruments

    In FINREP, equities are separated as instruments under different categories of financial assets

    These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, when securitized positions remain recognised in the balance sheet, the counterparty sectors are the sectors of the immediate counterparties of these positions

    Various items of the balance sheet

    In FINREP, other items may be included under different asset categories.