Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013
as it stood on 2016-03-25, permalink: /eu-eurlex/32014r0680/2016-03-25
12 versions · click any mark to read the law as it stood that day · ▌ the one you are reading
Outline, 42 provisions
Article 1 Article 2 Article 3 Article 4 Article 5 Article 6 Article 7 Article 8 Article 9 Article 10 Article 11 Article 12 Article 13 Article 14 Article 15 Article 16 Article 16a Article 16b Article 17 Article 18 Article 19 ANNEX I ANNEX II ANNEX III ANNEX IV ANNEX V ANNEX VI ANNEX VII ANNEX VIII ANNEX IX ANNEX X ANNEX XI ANNEX XII ANNEX XIII ANNEX XIV ANNEX XV ANNEX XVI ANNEX XVII ANNEX XVIII ANNEX XIX ANNEX XX ANNEX XXI
CHAPTER 1 — SUBJECT MATTER AND SCOPE
This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:
(a) own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;
(b) losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;
(c) large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;
(d) leverage ratio according to Article 430 of Regulation (EU) No 575/2013;
(e) Liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013;
(f) asset encumbrance according to Article 100 of Regulation (EU) No 575/2013;
(g) additional liquidity monitoring metrics according to Article 415(3)(b) of Regulation (EU) No 575/2013.
CHAPTER 2 — REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS
1. Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:
(a) Monthly reporting: on the last day of each month;
(b) Quarterly reporting: 31 March, 30 June, 30 September and 31 December;
(c) Semi-annual reporting: 30 June and 31 December;
(d) Annual reporting: 31 December.
2. Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.
3. Where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.
1. Institutions shall submit information to competent authorities by close of business of the following remittance dates:
(a) Monthly reporting: 15th calendar day after the reporting reference date;
(b) Quarterly reporting: 12 May, 11 August, 11 November and 11 February;
(c) Semi-annual reporting: 11 August and 11 February;
(d) Annual reporting: 11 February.
2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.
3. Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.
4. Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.
5. Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.
1. Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.
2. For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.
3. Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.
CHAPTER 3 — FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION / SECTION 1 — Format and frequency of reporting on own funds and own funds requirements
In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).
(a) Institutions shall submit the following information with a quarterly frequency: (1) the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II; (2) the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II; (3) the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II; (4) the information on the geographical distribution of exposures by country as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II, where non-domestic original exposures in all ‘non-domestic’ countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply; (5) the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II; (6) the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II; (7) the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex I, according to the instructions in Part II point 3.7 of Annex II; (8) the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of Annex I, according to the instructions in Part II point 3.8 of Annex II; (9) the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II; (10) the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II; (11) the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II.
(b) Institutions shall submit the following information with a semi-annual frequency: (1) the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in point 3.9 of Part II of Annex II. Institutions shall be exempted from submitting those securitisation details where they are part of a group in the same country in which they are subject to own funds requirements; (2) the information on material losses regarding operational risk in the following manner: (a) institutions which calculate own funds requirements relating to operational risk according to Chapters 3 or 4 of Title III of Part 3 of Regulation (EU) No 575/2013 shall report this information as specified in template 17 of Annex I, according to the instructions in Part II point 4.2 of Annex II; (b) institutions which calculate own funds requirements relating to operational risk according to Chapter 3 of Title III of Part 3 of Regulation (EU) No 575/2013 and whose ratio of their individual balance sheet total on the sum of individual balance sheet totals of all institutions within the same Member State is below 1 % may only report the information as specified in template 17 of Annex I according to the instructions in paragraph 124 of Part II of Annex II. Balance sheet total figures shall be based on year-end figures for the year before the year preceding the reporting reference date. The entry and exit criteria of Article 4 shall apply; (c) institutions which calculate the own funds requirements relating to operational risk according to Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 are entirely exempted from reporting information referred to in template 17 of Annex I and point 4.2 of Part II of Annex II.
In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in a member state shall submit:
(a) the information specified in Article 5 in the frequency specified therein but on a consolidated basis;
(b) the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II regarding entities included in the scope of consolidation, with a semi-annual frequency.
1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.
2. In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.
1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions in point 1 of Part II of Annex II, with a quarterly frequency;
(b) the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.
2. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:
(a) the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;
(b) the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.
CHAPTER 3 — FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION / SECTION 2 — Format and frequency of reporting on financial information on a consolidated basis
1. In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex III with a quarterly frequency;
(b) the information specified in Part 3 of Annex III with a semi-annual frequency;
(c) the information specified in Part 4 of Annex III with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex III with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.
Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.
1. Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Part 1 of Annex IV with a quarterly frequency;
(b) the information specified in Part 3 of Annex IV with a semi-annual frequency;
(c) the information specified in Part 4 of Annex IV with an annual frequency;
(d) the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;
(e) the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(f) the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;
(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.
CHAPTER 4 — FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013
1. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.
2. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.
3. Branches in another Member State shall also submit to the competent authority of the host Member State information as specified in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.
CHAPTER 5 — FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
1. In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
2. In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
3. In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.
CHAPTER 6 — FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
1. In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in Annex XI, with a quarterly frequency.
2. The reporting of this data shall reflect the methodology applicable for the calculation of the leverage ratio, either as the simple arithmetic mean of monthly data over the quarter, as per Article 429(2) of Regulation (EU) No 575/2013, or, where competent authorities have exercised the derogation in Article 499 (3) of the Regulation (EU) No 575/2013, as end of quarter leverage ratio.
3. Institutions are required to report the information referred to in paragraph 22 of Part II of Annex XI in the next reporting period, if one of the following conditions is met:
(a) the derivatives share referred to in paragraph 15 of Part II of Annex XI is more than 1,5 %;
(b) the derivatives share referred to in paragraph 15 of Part II of Annex XI exceeds 2,0 %.
The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date
4. Institutions for which the total notional value of derivatives as defined in paragraph 17 of Part II of Annex XI exceeds 10 billion € shall report the information referred to in paragraph 22 of Part II of Annex XI, even though their derivatives share does not fulfil the conditions described in paragraph 3.
The entry criteria of Article 4 shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.
5. Institutions are required to report the information referred to in paragraph 23 of Part II of Annex XI in the next reporting period where one of the following conditions is met:
(a) the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI is more than EUR 300 million;
(b) the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI exceeds EUR 500 million.
The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.
6. Where the threshold that is specified in paragraph 39 of Part II of Annex XI is in all cases not met, institutions shall be exempted from the requirement to report information as specified in paragraph 40 of Part II of Annex XI.
CHAPTER 7 — FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
1. In order to report information on the liquidity coverage requirement according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.
2. The information set out in Annex XII shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.
In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.
CHAPTER 7a — FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
1. In order to report information on asset encumbrance in accordance with Article 100 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation according to the instructions set out in Annex XVII to this Regulation.
2. The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a) the information specified in Parts A, B and D of Annex XVI with a quarterly frequency;
(b) the information specified in Part C of Annex XVI with an annual frequency;
(c) the information specified in Part E of Annex XVI with a semi-annual frequency.
3. Institutions shall not be required to report the information in Parts B, C or E of Annex XVI where all of the following conditions are met:
(a) the institution has total assets, as calculated in accordance with paragraph 10 of point 1.6 of Annex XVII, of less than EUR 30 billion;
(b) the asset encumbrance level of the institution, as calculated in accordance with paragraph 9 of point 1.6 of Annex XVII, is below 15 %.
4. Institutions shall only be required to report the information in Part D of Annex XVI where they issue the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council.
CHAPTER 7b — FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
1. In order to report information on additional liquidity monitoring metrics in accordance with Article 415(3)(b) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:
(a) the information specified in Annex XVIII in accordance with the instructions in Annex XIX;
(b) the information specified in Annex XX in accordance with the instructions in Annex XXI.
2. By way of derogation from paragraph 1, an institution may report the information on additional liquidity monitoring metrics with a quarterly frequency where all of the following conditions are met:
(a) the institution does not form part of a group with subsidiaries or parent institutions located in jurisdictions other than that of its competent authority;
(b) the ratio of the individual balance sheet total of the institution to the sum of individual balance sheet totals of all institutions in the respective Member State is below 1 % for two consecutive years preceding the year of reporting;
(c) the institution has total assets, calculated in accordance with Council Directive 86/635/EEC, of less than EUR 30 billion.
For the purposes of point (b), balance sheet total figures for calculating the ratio shall be based on year-end audited figures for the year before the year preceding the reporting reference date.
3. For the purposes of the obligations set out in paragraphs 1 and 2, the first month for which information on additional liquidity monitoring metrics is to be reported shall be April 2016.
CHAPTER 8 — IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES
1. Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definitions included in the single data point model referred to in Annex XIV and the validation rules referred to in Annex XV as well as the following specifications:
(a) information not required or not applicable shall not be included in a data submission;
(b) numeric values shall be submitted as facts according to the following: (i) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units; (ii) data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals; (iii) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.
2. The data submitted by the institutions shall be associated with the following information:
(a) reporting reference date and reference period;
(b) reporting currency;
(c) accounting standard;
(d) identifier of the reporting institution;
(e) level of application as individual or consolidated.
CHAPTER 9 — TRANSITIONAL AND FINAL PROVISIONS
The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest.
For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014.
For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date
In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014.
Without prejudice to Article 2, the first remittance date for templates 18 and 19 in Annex III shall be 31 December 2014. Rows and columns of templates 6, 9.1, 20.4, 20.5, and 20.7 in Annex III referring to forborne exposures and to non-performing exposures shall be completed for the remittance date 31 December 2014.
By way of derogation from Article 3(1)(a), for the months from April 2016 to October 2016 inclusive, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics shall be the thirtieth calendar day after the reporting reference date.
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
This Regulation shall apply from 1 January 2014.
Articles 9, 10 and 11 shall apply from 1 July 2014.
Article 15 shall apply from 1 March 2014.
Article 16a shall apply from 1 December 2014.
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
| COREP TEMPLATES | |||
|---|---|---|---|
| Template number | Template code | Name of the template/group of templates | Short name |
| CAPITAL ADEQUACY | CA | ||
| 1 | C 01.00 | OWN FUNDS | CA1 |
| 2 | C 02.00 | OWN FUNDS REQUIREMENTS | CA2 |
| 3 | C 03.00 | CAPITAL RATIOS | CA3 |
| 4 | C 04.00 | MEMORANDUM ITEMS: | CA4 |
| TRANSITIONAL PROVISIONS | CA5 | ||
| 5.1 | C 05.01 | TRANSITIONAL PROVISIONS | CA5.1 |
| 5.2 | C 05.02 | GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID | CA5.2 |
| GROUP SOLVENCY | GS | ||
| 6.1 | C 06.01 | GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL | GS Total |
| 6.2 | C 06.02 | GROUP SOLVENCY: INFORMATION ON AFFILIATES | GS |
| CREDIT RISK | CR | ||
| 7 | C 07.00 | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS | CR SA |
| CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS | CR IRB | ||
| 8.1 | C 08.01 | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS | CR IRB 1 |
| 8.2 | C 08.02 | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) | CR IRB 2 |
| GEOGRAPHICAL BREAKDOWN | CR GB | ||
| 9.1 | C 09.01 | Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) | CR GB 1 |
| 9.2 | C 09.02 | Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) | CR GB 2 |
| 9.3 | C 09.03 | Table 9.3 - Geographical breakdown of relevant credit exposures for the purpose of calculation of the institution-specific countercyclical buffer | CR GB 3 |
| CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS | CR EQU IRB | ||
| 10.1 | C 10.01 | CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS | CR EQU IRB 1 |
| 10.2 | C 10.02 | CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: | CR EQU IRB 2 |
| 11 | C 11.00 | SETTLEMENT/DELIVERY RISK | CR SETT |
| 12 | C 12.00 | CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS | CR SEC SA |
| 13 | C 13.00 | CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS | CR SEC IRB |
| 14 | C 14.00 | DETAILED INFORMATION ON SECURITISATIONS | CR SEC Details |
| OPERATIONAL RISK | OPR | ||
| 16 | C 16.00 | OPERATIONAL RISK | OPR |
| 17 | C 17.00 | OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR | OPR Details |
| MARKET RISK | MKR | ||
| 18 | C 18.00 | MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS | MKR SA TDI |
| 19 | C 19.00 | MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS | MKR SA SEC |
| 20 | C 20.00 | MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO | MKR SA CTP |
| 21 | C 21.00 | MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES | MKR SA EQU |
| 22 | C 22.00 | MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK | MKR SA FX |
| 23 | C 23.00 | MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES | MKR SA COM |
| 24 | C 24.00 | MARKET RISK INTERNAL MODELS | MKR IM |
| 25 | C 25.00 | CREDIT VALUE ADJUSTMENT RISK | CVA |
C 01.00 — OWN FUNDS (CA1)
| Rows | ID | Item | Amount |
|---|---|---|---|
| 010 | 1 | OWN FUNDS | |
| 015 | 1.1 | TIER 1 CAPITAL | |
| 020 | 1.1.1 | COMMON EQUITY TIER 1 CAPITAL | |
| 030 | 1.1.1.1 | Capital instruments eligible as CET1 Capital | |
| 040 | 1.1.1.1.1 | Paid up capital instruments | |
| 045 | 1.1.1.1.1* | Of which: Capital instruments subscribed by public authorities in emergency situations | |
| 050 | 1.1.1.1.2* | Memorandum item: Capital instruments not eligible | |
| 060 | 1.1.1.1.3 | Share premium | |
| 070 | 1.1.1.1.4 | (-) Own CET1 instruments | |
| 080 | 1.1.1.1.4.1 | (-) Direct holdings of CET1 instruments | |
| 090 | 1.1.1.1.4.2 | (-) Indirect holdings of CET1 instruments | |
| 091 | 1.1.1.1.4.3 | (-) Synthetic holdings of CET1 instruments | |
| 092 | 1.1.1.1.5 | (-) Actual or contingent obligations to purchase own CET1 instruments | |
| 130 | 1.1.1.2 | Retained earnings | |
| 140 | 1.1.1.2.1 | Previous years retained earnings | |
| 150 | 1.1.1.2.2 | Profit or loss eligible | |
| 160 | 1.1.1.2.2.1 | Profit or loss attributable to owners of the parent | |
| 170 | 1.1.1.2.2.2 | (-) Part of interim or year-end profit not eligible | |
| 180 | 1.1.1.3 | Accumulated other comprehensive income | |
| 200 | 1.1.1.4 | Other reserves | |
| 210 | 1.1.1.5 | Funds for general banking risk | |
| 220 | 1.1.1.6 | Transitional adjustments due to grandfathered CET1 Capital instruments | |
| 230 | 1.1.1.7 | Minority interest given recognition in CET1 capital | |
| 240 | 1.1.1.8 | Transitional adjustments due to additional minority interests | |
| 250 | 1.1.1.9 | Adjustments to CET1 due to prudential filters | |
| 260 | 1.1.1.9.1 | (-) Increases in equity resulting from securitised assets | |
| 270 | 1.1.1.9.2 | Cash flow hedge reserve | |
| 280 | 1.1.1.9.3 | Cumulative gains and losses due to changes in own credit risk on fair valued liabilities | |
| 285 | 1.1.1.9.4 | Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities | |
| 290 | 1.1.1.9.5 | (-) Value adjustments due to the requirements for prudent valuation | |
| 300 | 1.1.1.10 | (-) Goodwill | |
| 310 | 1.1.1.10.1 | (-) Goodwill accounted for as intangible asset | |
| 320 | 1.1.1.10.2 | (-) Goodwill included in the valuation of significant investments | |
| 330 | 1.1.1.10.3 | Deferred tax liabilities associated to goodwill | |
| 340 | 1.1.1.11 | (-) Other intangible assets | |
| 350 | 1.1.1.11.1 | (-) Other intangible assets before deduction of deferred tax liabilities | |
| 360 | 1.1.1.11.2 | Deferred tax liabilities associated to other intangible assets | |
| 370 | 1.1.1.12 | (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities | |
| 380 | 1.1.1.13 | (-) IRB shortfall of credit risk adjustments to expected losses | |
| 390 | 1.1.1.14 | (-) Defined benefit pension fund assets | |
| 400 | 1.1.1.14.1 | (-) Defined benefit pension fund assets | |
| 410 | 1.1.1.14.2 | Deferred tax liabilities associated to defined benefit pension fund assets | |
| 420 | 1.1.1.14.3 | Defined benefit pension fund assets which the institution has an unrestricted ability to use | |
| 430 | 1.1.1.15 | (-) Reciprocal cross holdings in CET1 Capital | |
| 440 | 1.1.1.16 | (-) Excess of deduction from AT1 items over AT1 Capital | |
| 450 | 1.1.1.17 | (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight | |
| 460 | 1.1.1.18 | (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight | |
| 470 | 1.1.1.19 | (-) Free deliveries which can alternatively be subject to a 1250 % risk weight | |
| 471 | 1.1.1.20 | (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1250 % risk weight | |
| 472 | 1.1.1.21 | (-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight | |
| 480 | 1.1.1.22 | (-) CET1 instruments of financial sector entites where the institution does not have a significant investment | |
| 490 | 1.1.1.23 | (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences | |
| 500 | 1.1.1.24 | (-) CET1 instruments of financial sector entities where the institution has a significant investment | |
| 510 | 1.1.1.25 | (-) Amount exceeding the 17,65 % threshold | |
| 520 | 1.1.1.26 | Other transitional adjustments to CET1 Capital | |
| 524 | 1.1.1.27 | (-) Additional deductions of CET1 Capital due to Article 3 CRR | |
| 529 | 1.1.1.28 | CET1 capital elements or deductions — other | |
| 530 | 1.1.2 | ADDITIONAL TIER 1 CAPITAL | |
| 540 | 1.1.2.1 | Capital instruments eligible as AT1 Capital | |
| 550 | 1.1.2.1.1 | Paid up capital instruments | |
| 560 | 1.1.2.1.2* | Memorandum item: Capital instruments not eligible | |
| 570 | 1.1.2.1.3 | Share premium | |
| 580 | 1.1.2.1.4 | (-) Own AT1 instruments | |
| 590 | 1.1.2.1.4.1 | (-) Direct holdings of AT1 instruments | |
| 620 | 1.1.2.1.4.2 | (-) Indirect holdings of AT1 instruments | |
| 621 | 1.1.2.1.4.3 | (-) Synthetic holdings of AT1 instruments | |
| 622 | 1.1.2.1.5 | (-) Actual or contingent obligations to purchase own AT1 instruments | |
| 660 | 1.1.2.2 | Transitional adjustments due to grandfathered AT1 Capital instruments | |
| 670 | 1.1.2.3 | Instruments issued by subsidiaries that are given recognition in AT1 Capital | |
| 680 | 1.1.2.4 | Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries | |
| 690 | 1.1.2.5 | (-) Reciprocal cross holdings in AT1 Capital | |
| 700 | 1.1.2.6 | (-) AT1 instruments of financial sector entities where the institution does not have a significant investment | |
| 710 | 1.1.2.7 | (-) AT1 instruments of financial sector entities where the institution has a significant investment | |
| 720 | 1.1.2.8 | (-) Excess of deduction from T2 items over T2 Capital | |
| 730 | 1.1.2.9 | Other transitional adjustments to AT1 Capital | |
| 740 | 1.1.2.10 | Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) | |
| 744 | 1.1.2.11 | (-) Additional deductions of AT1 Capital due to Article 3 CRR | |
| 748 | 1.1.2.12 | AT1 capital elements or deductions — other | |
| 750 | 1.2 | TIER 2 CAPITAL | |
| 760 | 1.2.1 | Capital instruments and subordinated loans eligible as T2 Capital | |
| 770 | 1.2.1.1 | Paid up capital instruments and subordinated loans | |
| 780 | 1.2.1.2* | Memorandum item: Capital instruments and subordinated loans not eligible | |
| 790 | 1.2.1.3 | Share premium | |
| 800 | 1.2.1.4 | (-) Own T2 instruments | |
| 810 | 1.2.1.4.1 | (-) Direct holdings of T2 instruments | |
| 840 | 1.2.1.4.2 | (-) Indirect holdings of T2 instruments | |
| 841 | 1.2.1.4.3 | (-) Synthetic holdings of T2 instruments | |
| 842 | 1.2.1.5 | (-) Actual or contingent obligations to purchase own T2 instruments | |
| 880 | 1.2.2 | Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans | |
| 890 | 1.2.3 | Instruments issued by subsidiaries that are given recognition in T2 Capital | |
| 900 | 1.2.4 | Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries | |
| 910 | 1.2.5 | IRB Excess of provisions over expected losses eligible | |
| 920 | 1.2.6 | SA General credit risk adjustments | |
| 930 | 1.2.7 | (-) Reciprocal cross holdings in T2 Capital | |
| 940 | 1.2.8 | (-) T2 instruments of financial sector entities where the institution does not have a significant investment | |
| 950 | 1.2.9 | (-) T2 instruments of financial sector entities where the institution has a significant investment | |
| 960 | 1.2.10 | Other transitional adjustments to T2 Capital | |
| 970 | 1.2.11 | Excess of deduction from T2 items over T2 Capital (deducted in AT1) | |
| 974 | 1.2.12 | (-) Additional deductions of T2 Capital due to Article 3 CRR | |
| 978 | 1.2.13 | T2 capital elements or deductions — other |
C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
| Rows | Item | Label | Amount |
|---|---|---|---|
| 010 | 1 | TOTAL RISK EXPOSURE AMOUNT | |
| 020 | 1* | Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR | |
| 030 | 1** | Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR | |
| 040 | 1.1 | RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES | |
| 050 | 1.1.1 | Standardised approach (SA) | |
| 060 | 1.1.1.1 | SA exposure classes excluding securitisation positions | |
| 070 | 1.1.1.1.01 | Central governments or central banks | |
| 080 | 1.1.1.1.02 | Regional governments or local authorities | |
| 090 | 1.1.1.1.03 | Public sector entities | |
| 100 | 1.1.1.1.04 | Multilateral Development Banks | |
| 110 | 1.1.1.1.05 | International Organisations | |
| 120 | 1.1.1.1.06 | Institutions | |
| 130 | 1.1.1.1.07 | Corporates | |
| 140 | 1.1.1.1.08 | Retail | |
| 150 | 1.1.1.1.09 | Secured by mortgages on immovable property | |
| 160 | 1.1.1.1.10 | Exposures in default | |
| 170 | 1.1.1.1.11 | Items associated with particular high risk | |
| 180 | 1.1.1.1.12 | Covered bonds | |
| 190 | 1.1.1.1.13 | Claims on institutions and corporates with a short-term credit assessment | |
| 200 | 1.1.1.1.14 | Collective investments undertakings (CIU) | |
| 210 | 1.1.1.1.15 | Equity | |
| 211 | 1.1.1.1.16 | Other items | |
| 220 | 1.1.1.2 | Securitisation positions SA | |
| 230 | 1.1.1.2* | of which: resecuritisation | |
| 240 | 1.1.2 | Internal ratings based Approach (IRB) | |
| 250 | 1.1.2.1 | IRB approaches when neither own estimates of LGD nor Conversion Factors are used | |
| 260 | 1.1.2.1.01 | Central governments and central banks | |
| 270 | 1.1.2.1.02 | Institutions | |
| 280 | 1.1.2.1.03 | Corporates - SME | |
| 290 | 1.1.2.1.04 | Corporates - Specialised Lending | |
| 300 | 1.1.2.1.05 | Corporates - Other | |
| 310 | 1.1.2.2 | IRB approaches when own estimates of LGD and/or Conversion Factors are used | |
| 320 | 1.1.2.2.01 | Central governments and central banks | |
| 330 | 1.1.2.2.02 | Institutions | |
| 340 | 1.1.2.2.03 | Corporates - SME | |
| 350 | 1.1.2.2.04 | Corporates - Specialised Lending | |
| 360 | 1.1.2.2.05 | Corporates - Other | |
| 370 | 1.1.2.2.06 | Retail - Secured by real estate SME | |
| 380 | 1.1.2.2.07 | Retail - Secured by real estate non-SME | |
| 390 | 1.1.2.2.08 | Retail - Qualifying revolving | |
| 400 | 1.1.2.2.09 | Retail - Other SME | |
| 410 | 1.1.2.2.10 | Retail - Other non-SME | |
| 420 | 1.1.2.3 | Equity IRB | |
| 430 | 1.1.2.4 | Securitisation positions IRB | |
| 440 | 1.1.2.4* | Of which: resecuritisation | |
| 450 | 1.1.2.5 | Other non credit-obligation assets | |
| 460 | 1.1.3 | Risk exposure amount for contributions to the default fund of a CCP | |
| 490 | 1.2 | TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY | |
| 500 | 1.2.1 | Settlement/delivery risk in the non-Trading book | |
| 510 | 1.2.2 | Settlement/delivery risk in the Trading book | |
| 520 | 1.3 | TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS | |
| 530 | 1.3.1 | Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) | |
| 540 | 1.3.1.1 | Traded debt instruments | |
| 550 | 1.3.1.2 | Equity | |
| 560 | 1.3.1.3 | Foreign Exchange | |
| 570 | 1.3.1.4 | Commodities | |
| 580 | 1.3.2 | Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) | |
| 590 | 1.4 | TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) | |
| 600 | 1.4.1 | OpR Basic indicator approach (BIA) | |
| 610 | 1.4.2 | OpR Standardised (STA) / Alternative Standardised (ASA) approaches | |
| 620 | 1.4.3 | OpR Advanced measurement approaches (AMA) | |
| 630 | 1.5 | ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS | |
| 640 | 1.6 | TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT | |
| 650 | 1.6.1 | Advanced method | |
| 660 | 1.6.2 | Standardised method | |
| 670 | 1.6.3 | Based on OEM | |
| 680 | 1.7 | TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK | |
| 690 | 1.8 | OTHER RISK EXPOSURE AMOUNTS | |
| 710 | 1.8.2 | Of which: Additional stricter prudential requirements based on Art 458 | |
| 720 | 1.8.2* | Of which: requirements for large exposures | |
| 730 | 1.8.2** | Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property | |
| 740 | 1.8.2*** | Of which: due to intra financial sector exposures | |
| 750 | 1.8.3 | Of which: Additional stricter prudential requirements based on Art 459 | |
| 760 | 1.8.4 | Of which: Additional risk exposure amount due to Article 3 CRR |
C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
| Rows | ID | Item | Amount |
|---|---|---|---|
| 010 | 1 | CET1 Capital ratio | |
| 020 | 2 | Surplus(+)/Deficit(-) of CET1 capital | |
| 030 | 3 | T1 Capital ratio | |
| 040 | 4 | Surplus(+)/Deficit(-) of T1 capital | |
| 050 | 5 | Total capital ratio | |
| 060 | 6 | Surplus(+)/Deficit(-) of total capital | |
| Memorandum Items: Capital ratios due to Pillar II adjustments | |||
| 070 | 7 | CET1 capital ratio including Pillar II adjustments | |
| 080 | 8 | Target CET1 capital ratio due to Pillar II adjustments | |
| 090 | 9 | T1 capital ratio including Pillar II adjustments | |
| 100 | 10 | Target T1 capital ratio due to Pillar II adjustments | |
| 110 | 11 | Total capital ratio including Pillar II adjustments | |
| 120 | 12 | Target Total capital ratio due to Pillar II adjustments |
C 04.00 — MEMORANDUM ITEMS (CA4)
| Row | ID | Item | Column |
|---|---|---|---|
| Deferred tax assest and liabilities | 010 | ||
| 010 | 1 | Total deferred tax assets | |
| 020 | 1.1 | Deferred tax assets that do not rely on future profitability | |
| 030 | 1.2 | Deferred tax assets that rely on future profitability and do not arise from temporary differences | |
| 040 | 1.3 | Deferred tax assets that rely on future profitability and arise from temporary differences | |
| 050 | 2 | Total deferred tax liabilities | |
| 060 | 2.1 | Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability | |
| 070 | 2.2 | Deferred tax liabilities deductible from deferred tax assets that rely on future profitability | |
| 080 | 2.2.1 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences | |
| 090 | 2.2.2 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences | |
| 100 | 3 | IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures | |
| 110 | 3.1 | Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount | |
| 120 | 3.1.1 | General credit risk adjustments | |
| 130 | 3.1.2 | Specific credit risk adjustments | |
| 131 | 3.1.3 | Additional value adjustments and other own funds reductions | |
| 140 | 3.2 | Total expected losses eligible | |
| 145 | 4 | IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures | |
| 150 | 4.1 | Specific credit risk adjustments and positions treated similarily | |
| 155 | 4.2 | Total expected losses eligible | |
| 160 | 5 | Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 | |
| 170 | 6 | Total gross provisions eligible for inclusion in T2 capital | |
| 180 | 7 | Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 | |
| 190 | 8 | Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment | |
| 200 | 9 | 10 % CET1 threshold | |
| 210 | 10 | 17,65 % CET1 threshold | |
| 225 | 11.1 | Eligible capital for the purposes of qualifying holdings outside the financial sector | |
| 226 | 11.2 | Eligible capital for the purposes of large exposures | |
| 230 | 12 | Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
| 240 | 12.1 | Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 250 | 12.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 260 | 12.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 270 | 12.2 | Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 280 | 12.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 290 | 12.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 291 | 12.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 292 | 12.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment | |
| 293 | 12.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 300 | 13 | Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
| 310 | 13.1 | Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 320 | 13.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 330 | 13.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 340 | 13.2 | Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 350 | 13.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 360 | 13.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 361 | 13.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 362 | 13.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment | |
| 363 | 13.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 370 | 14 | Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions | |
| 380 | 14.1 | Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 390 | 14.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 400 | 14.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 410 | 14.2 | Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 420 | 14.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 430 | 14.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 431 | 14.3 | Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 432 | 14.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment | |
| 433 | 14.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 440 | 15 | Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions | |
| 450 | 15.1 | Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 460 | 15.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 470 | 15.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 480 | 15.2 | Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 490 | 15.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 500 | 15.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 501 | 15.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 502 | 15.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment | |
| 503 | 15.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 510 | 16 | Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions | |
| 520 | 16.1 | Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 530 | 16.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 540 | 16.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 550 | 16.2 | Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 560 | 16.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 570 | 16.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 571 | 16.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 572 | 16.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment | |
| 573 | 16.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 580 | 17 | Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions | |
| 590 | 17.1 | Direct holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 600 | 17.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 610 | 17.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above | |
| 620 | 17.2 | Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 630 | 17.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 640 | 17.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above | |
| 641 | 17.3 | Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 642 | 17.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment | |
| 643 | 17.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above | |
| 650 | 18 | Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital | |
| 660 | 19 | Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital | |
| 670 | 20 | Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital | |
| 680 | 21 | Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
| 690 | 22 | Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
| 700 | 23 | Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
| 710 | 24 | Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
| 720 | 25 | Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived | |
| 730 | 26 | Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived | |
| 740 | 27 | Combined buffer requirement | |
| 750 | Capital conservation buffer | ||
| 760 | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State | ||
| 770 | Institution specific countercyclical capital buffer | ||
| 780 | Systemic risk buffer | ||
| 790 | Systemical important institution buffer | ||
| 800 | Global Systemically Important Institution buffer | ||
| 810 | Other Systemically Important Institution buffer | ||
| 820 | 28 | Own funds requirements related to Pillar II adjustments | |
| 830 | 29 | Initial capital | |
| 840 | 30 | Own funds based on Fixed Overheads | |
| 850 | 31 | Non-domestic original exposures | |
| 860 | 32 | Total original exposures | |
| 870 | Adjustments to total own funds | ||
| 880 | Own funds fully adjusted for Basel I floor | ||
| 890 | Own funds requirements for Basel I floor | ||
| 900 | Own funds requirements for Basel I floor — SA alternative |
C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)
| Adjustments to CET1 | Adjustments to AT1 | Adjustments to T2 | Adjustments included in RWAs | Memorandum items | ||||
|---|---|---|---|---|---|---|---|---|
| Applicable percentage | Eligible amount without transitional provisions | |||||||
| Code | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 010 | 1 | TOTAL ADJUSTMENTS | ||||||
| 020 | 1.1 | GRANDFATHERED INSTRUMENTS | link to {CA1;r220} | link to {CA1;r660} | link to {CA1;r880} | |||
| 030 | 1.1.1 | Grandfathered instruments: Instruments constituting state aid | ||||||
| 040 | 1.1.1.1 | Instruments that qualified as own funds according to 2006/48/EC | ||||||
| 050 | 1.1.1.2 | Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme | ||||||
| 060 | 1.1.2 | Instruments not constituting state aid | link to {CA5.2;r010;c060} | link to {CA5.2;r020;c060} | link to {CA5.2;r090;c060} | |||
| 070 | 1.2 | MINORITY INTERESTS AND EQUIVALENTS | link to {CA1;r240} | link to {CA1;r680} | link to {CA1;r900} | |||
| 080 | 1.2.1 | Capital instruments and items that do not qualify as minority interests | ||||||
| 090 | 1.2.2 | Transitional recognition in consolidated own funds of minority interests | ||||||
| 091 | 1.2.3 | Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital | ||||||
| 092 | 1.2.4 | Transitional recognition in consolidated own funds of qualifying Tier 2 capital | ||||||
| 100 | 1.3 | OTHER TRANSITIONAL ADJUSTMENTS | link to {CA1;r520} | link to {CA1;r730} | link to {CA1;r960} | |||
| 110 | 1.3.1 | Unrealised gains and losses | ||||||
| 120 | 1.3.1.1 | Unrealised gains | ||||||
| 130 | 1.3.1.2 | Unrealised losses | ||||||
| 133 | 1.3.1.3. | Unrealised gains on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 | ||||||
| 136 | 1.3.1.4. | Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 | ||||||
| 138 | 1.3.1.5. | Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities | ||||||
| 140 | 1.3.2 | Deductions | ||||||
| 150 | 1.3.2.1 | Losses for the current financial year | ||||||
| 160 | 1.3.2.2 | Intangible assets | ||||||
| 170 | 1.3.2.3 | Deferred tax assets that rely on future profitability and do not arise from temporary differences | ||||||
| 180 | 1.3.2.4 | IRB shortfall of provisions to expected losses | ||||||
| 190 | 1.3.2.5 | Defined benefit pension fund assets | ||||||
| 194 | 1.3.2.5* | of which: Introduction of amendments to IAS 19 - positive item | ||||||
| 198 | 1.3.2.5** | of which: Introduction of amendments to IAS 19 - negative item | ||||||
| 200 | 1.3.2.6 | Own instruments | ||||||
| 210 | 1.3.2.6.1 | Own CET1 instruments | ||||||
| 211 | 1.3.2.6.1** | of which: Direct holdings | ||||||
| 212 | 1.3.2.6.1* | of which: Indirect holdings | ||||||
| 220 | 1.3.2.6.2 | Own AT1 instruments | ||||||
| 221 | 1.3.2.6.2** | of which: Direct holdings | ||||||
| 222 | 1.3.2.6.2* | of which: Indirect holdings | ||||||
| 230 | 1.3.2.6.3 | Own T2 instruments | ||||||
| 231 | 1.3.2.6.3* | of which: Direct holdings | ||||||
| 232 | 1.3.2.6.3** | of which: Indirect holdings | ||||||
| 240 | 1.3.2.7 | Reciprocal cross holdings | ||||||
| 250 | 1.3.2.7.1 | Reciprocal cross holdings in CET1 Capital | ||||||
| 260 | 1.3.2.7.1.1 | Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment | ||||||
| 270 | 1.3.2.7.1.2 | Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment | ||||||
| 280 | 1.3.2.7.2 | Reciprocal cross holdings in AT1 Capital | ||||||
| 290 | 1.3.2.7.2.1 | Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment | ||||||
| 300 | 1.3.2.7.2.2 | Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment | ||||||
| 310 | 1.3.2.7.3 | Reciprocal cross holdings in T2 Capital | ||||||
| 320 | 1.3.2.7.3.1 | Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment | ||||||
| 330 | 1.3.2.7.3.2 | Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment | ||||||
| 340 | 1.3.2.8 | Own funds instruments of financial sector entities where the institution does not have a significant investment | ||||||
| 350 | 1.3.2.8.1 | CET1 instruments of financial sector entities where the institution does not have a significant investment | ||||||
| 360 | 1.3.2.8.2 | AT1 instruments of financial sector entities where the institution does not have a significant investment | ||||||
| 370 | 1.3.2.8.3 | T2 instruments of financial sector entities where the institution does not have a significant investment | ||||||
| 380 | 1.3.2.9 | Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment | ||||||
| 390 | 1.3.2.10 | Own funds instruments of financial sector entities where the institution has a significant investment | ||||||
| 400 | 1.3.2.10.1 | CET1 instruments of financial sector entities where the institution has a significant investment | ||||||
| 410 | 1.3.2.10.2 | AT1 instruments of financial sector entities where the institution has a significant investment | ||||||
| 420 | 1.3.2.10.3 | T2 instruments of financial sector entities where the institution has a significant investment | ||||||
| 425 | 1.3.2.11 | Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items | ||||||
| 430 | 1.3.3 | Additional filters and deductions |
C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
| CA 5.2 Grandfathered instruments: Instruments not constituting State aid | Amount of instruments plus related share premium | Base for calculating the limit | Applicable percentage | Limit | (-) Amount that exceeds the limits for grandfathering | Total grandfathered amount | ||
|---|---|---|---|---|---|---|---|---|
| Code | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 |
| 010 | 1. | Instruments that qualified for point a) of Article 57 of 2006/48/EC | link to {CA5.1;r060;c010) | |||||
| 020 | 2. | Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 | link to {CA5.1;r060;c020) | |||||
| 030 | 2.1 | Total instruments without a call or an incentive to redeem | ||||||
| 040 | 2.2. | Grandfathered instruments with a call and incentive to redeem | ||||||
| 050 | 2.2.1 | Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity | ||||||
| 060 | 2.2.2 | Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity | ||||||
| 070 | 2.2.3 | Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity | ||||||
| 080 | 2.3 | Excess on the limit of CET1 grandfathered instruments | ||||||
| 090 | 3 | Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 | link to {CA5.1;r060;c030) | |||||
| 100 | 3.1 | Total items without an incentive to redeem | ||||||
| 110 | 3.2 | Grandfathered items with an incentive to redeem | ||||||
| 120 | 3.2.1 | Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity | ||||||
| 130 | 3.2.2 | Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity | ||||||
| 140 | 3.2.3 | Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity | ||||||
| 150 | 3.3 | Excess on the limit of AT1 grandfathered instruments |
C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
| INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS | ||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TOTAL RISK EXPOSURE AMOUNT | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | CONSOLIDATED OWN FUNDS | COMBINED BUFFER REQUIRE-MENTS | ||||||||||||||||||||||
| CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (–) / (+) NEGATIVE GOODWILL | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (–) GOODWILL / (+) NEGATIVE GOODWILL | CAPITAL CONSERVATION BUFFER | INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE | SYSTEMIC RISK BUFFER | SYSTEMICAL IMPORTANT INSTITUTION BUFFER | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | ||||||||
| MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL | ||||||||||||||||||||||||
| 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480 | ||
| 010 | TOTAL |
C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
| ENTITIES WITHIN SCOPE OF CONSOLIDATION | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| NAME | CODE | LEI code | INSTITUTION OR EQUIVALENT**(YES/NO)** | SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) | COUNTRY CODE | SHARE OF HOLDING (%) | TOTAL RISK EXPOSURE AMOUNT | ||||
| CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | ||||||||
| 010 | 020 | 025 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 |
| INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| OWN FUNDS | ||||||||||||
| TOTAL TIER 1 CAPITAL | TIER 2 CAPITAL | |||||||||||
| COMMON EQUITY TIER 1 CAPITAL | ADDITIONAL TIER 1 CAPITAL | |||||||||||
| OF WHICH: QUALIFYING OWN FUNDS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | OF WHICH: QUALIFYING TIER 1 CAPITAL | RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | OF WHICH: MINORITY INTERESTS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES | OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL | OF WHICH: QUALIFYING TIER 2 CAPITAL | |||||
| 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TOTAL RISK EXPOSURE AMOUNT | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS | CONSOLIDATED OWN FUNDS | ||||||||||
| CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (-) /(+) NEGATIVE GOODWILL | OF WHICH: COMMON EQUITY TIER 1 | |||||
| MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL | |||||||||||
| 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 |
| INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| COMBINED BUFFER REQUIRE-MENTS | ||||||||||
| OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL | CAPITAL CONSERVATION BUFFER | INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE | SYSTEMIC RISK BUFFER | SYSTEMICAL IMPORTANT INSTITUTION BUFFER | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | |
| 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480 |
C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)SA Exposure class
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | |||
|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) | ||||||
| (-) GUARANTEES | (-) CREDIT DERIVATIVES | |||||
| 010 | 030 | 040 | 050 | 060 | ||
| 010 | TOTAL EXPOSURES | |||||
| 020 | of which: SME | |||||
| 030 | of which: Exposures subject to SME-supporting factor | |||||
| 040 | of which: Secured by mortgages on immovable property — Residential property | |||||
| 050 | of which: Exposures under the permanent partial use of the standardised approach | |||||
| 060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | |||||
| 070 | On balance sheet exposures subject to credit risk | |||||
| 080 | Off balance sheet exposures subject to credit risk | |||||
| Exposures/Transactions subject to counterparty credit risk | ||||||
| 090 | Securities Financing Transactions | |||||
| 100 | of which: centrally cleared through a QCCP | |||||
| 110 | Derivatives & Long Settlement Transactions | |||||
| 120 | of which: centrally cleared through a QCCP | |||||
| 130 | From Contractual Cross Product Netting | |||||
| 140 | 0 % | |||||
| 150 | 2 % | |||||
| 160 | 4 % | |||||
| 170 | 10 % | |||||
| 180 | 20 % | |||||
| 190 | 35 % | |||||
| 200 | 50 % | |||||
| 210 | 70 % | |||||
| 220 | 75 % | |||||
| 230 | 100 % | |||||
| 240 | 150 % | |||||
| 250 | 250 % | |||||
| 260 | 370 % | |||||
| 270 | 1250 % | |||||
| 280 | Other risk weights | |||||
| 290 | Exposures secured by mortgages on commercial immovable property | |||||
| 300 | Exposures in default subject to a risk weight of 100 % | |||||
| 310 | Exposures secured by mortgages on residential property | |||||
| 320 | Exposures in default subject to a risk weight of 150 % |
| CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | |||||
|---|---|---|---|---|---|---|
| FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | |||||
| (-) FINANCIAL COLLATERAL: SIMPLE METHOD | (-) OTHER FUNDED CREDIT PROTECTION | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | |||
| 070 | 080 | 090 | 100 | 110 | ||
| 010 | TOTAL EXPOSURES | |||||
| 020 | of which: SME | |||||
| 030 | of which: Exposures subject to SME-supporting factor | |||||
| 040 | of which: Secured by mortgages on immovable property — Residential property | |||||
| 050 | of which: Exposures under the permanent partial use of the standardised approach | |||||
| 060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | |||||
| 070 | On balance sheet exposures subject to credit risk | |||||
| 080 | Off balance sheet exposures subject to credit risk | |||||
| Exposures/Transactions subject to counterparty credit risk | ||||||
| 090 | Securities Financing Transactions | |||||
| 100 | of which: centrally cleared through a QCCP | |||||
| 110 | Derivatives & Long Settlement Transactions | |||||
| 120 | of which: centrally cleared through a QCCP | |||||
| 130 | From Contractual Cross Product Netting | |||||
| 140 | 0 % | |||||
| 150 | 2 % | |||||
| 160 | 4 % | |||||
| 170 | 10 % | |||||
| 180 | 20 % | |||||
| 190 | 35 % | |||||
| 200 | 50 % | |||||
| 210 | 70 % | |||||
| 220 | 75 % | |||||
| 230 | 100 % | |||||
| 240 | 150 % | |||||
| 250 | 250 % | |||||
| 260 | 370 % | |||||
| 270 | 1250 % | |||||
| 280 | Other risk weights | |||||
| 290 | Exposures secured by mortgages on commercial immovable property | |||||
| 300 | Exposures in default subject to a risk weight of 100 % | |||||
| 310 | Exposures secured by mortgages on residential property | |||||
| 320 | Exposures in default subject to a risk weight of 150 % |
| CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD | FULLY ADJUSTED EXPOSURE VALUE (E)* | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS | |||||||
|---|---|---|---|---|---|---|---|---|---|
| VOLATILITY ADJUSTMENT TO THE EXPOSURE | (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) | 0 % | 20 % | 50 % | 100 % | ||||
| (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS | |||||||||
| 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | ||
| 010 | TOTAL EXPOSURES | ||||||||
| 020 | of which: SME | ||||||||
| 030 | of which: Exposures subject to SME-supporting factor | ||||||||
| 040 | of which: Secured by mortgages on immovable property — Residential property | ||||||||
| 050 | of which: Exposures under the permanent partial use of the standardised approach | ||||||||
| 060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | ||||||||
| 070 | On balance sheet exposures subject to credit risk | ||||||||
| 080 | Off balance sheet exposures subject to credit risk | ||||||||
| Exposures/Transactions subject to counterparty credit risk | |||||||||
| 090 | Securities Financing Transactions | ||||||||
| 100 | of which: centrally cleared through a QCCP | ||||||||
| 110 | Derivatives & Long Settlement Transactions | ||||||||
| 120 | of which: centrally cleared through a QCCP | ||||||||
| 130 | From Contractual Cross Product Netting | ||||||||
| 140 | 0 % | ||||||||
| 150 | 2 % | ||||||||
| 160 | 4 % | ||||||||
| 170 | 10 % | ||||||||
| 180 | 20 % | ||||||||
| 190 | 35 % | ||||||||
| 200 | 50 % | ||||||||
| 210 | 70 % | ||||||||
| 220 | 75 % | ||||||||
| 230 | 100 % | ||||||||
| 240 | 150 % | ||||||||
| 250 | 250 % | ||||||||
| 260 | 370 % | ||||||||
| 270 | 1250 % | ||||||||
| 280 | Other risk weights | ||||||||
| 290 | Exposures secured by mortgages on commercial immovable property | ||||||||
| 300 | Exposures in default subject to a risk weight of 100 % | ||||||||
| 310 | Exposures secured by mortgages on residential property | ||||||||
| 320 | Exposures in default subject to a risk weight of 150 % |
| EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | |||||
|---|---|---|---|---|---|---|---|
| OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI | OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT | |||||
| 200 | 210 | 215 | 220 | 230 | 240 | ||
| 010 | TOTAL EXPOSURES | Cell linked to CA | |||||
| 020 | of which: SME | ||||||
| 030 | of which: Exposures subject to SME-supporting factor | ||||||
| 040 | of which: Secured by mortgages on immovable property — Residential property | ||||||
| 050 | of which: Exposures under the permanent partial use of the standardised approach | ||||||
| 060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation | ||||||
| 070 | On balance sheet exposures subject to credit risk | ||||||
| 080 | Off balance sheet exposures subject to credit risk | ||||||
| Exposures/Transactions subject to counterparty credit risk | |||||||
| 090 | Securities Financing Transactions | ||||||
| 100 | of which: centrally cleared through a QCCP | ||||||
| 110 | Derivatives & Long Settlement Transactions | ||||||
| 120 | of which: centrally cleared through a QCCP | ||||||
| 130 | From Contractual Cross Product Netting | ||||||
| 140 | 0 % | ||||||
| 150 | 2 % | ||||||
| 160 | 4 % | ||||||
| 170 | 10 % | ||||||
| 180 | 20 % | ||||||
| 190 | 35 % | ||||||
| 200 | 50 % | ||||||
| 210 | 70 % | ||||||
| 220 | 75 % | ||||||
| 230 | 100 % | ||||||
| 240 | 150 % | ||||||
| 250 | 250 % | ||||||
| 260 | 370 % | ||||||
| 270 | 1250 % | ||||||
| 280 | Other risk weights | ||||||
| 290 | Exposures secured by mortgages on commercial immovable property | ||||||
| 300 | Exposures in default subject to a risk weight of 100 % | ||||||
| 310 | Exposures secured by mortgages on residential property | ||||||
| 320 | Exposures in default subject to a risk weight of 150 % |
C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)IRB Exposure class:Own estimates of LGD and/or conversion factors:
| INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION | (-) OTHER FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | |||||||||
| PD ASSIGNED TO THE OBLIGOR GRADE OR POOL**(%)** | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | OF WHICH: OFF BALANCE SHEET ITEMS | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
| 010 | TOTAL EXPOSURES | ||||||||||
| 015 | of which: Exposures subject to SME-supporting factor | ||||||||||
| 020 | On balance sheet items subject to credit risk | ||||||||||
| 030 | Off balance sheet items subject to credit risk | ||||||||||
| Exposures/Transactions subject to counterparty credit risk | |||||||||||
| 040 | Securities Financing Transactions | ||||||||||
| 050 | Derivatives & Long Settlement Transactions | ||||||||||
| 060 | From Contractual Cross Product Netting | ||||||||||
| 070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | ||||||||||
| 080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | ||||||||||
| 090 | RISK WEIGHT: 0 % | ||||||||||
| 100 | 50 % | ||||||||||
| 110 | 70 % | ||||||||||
| 120 | Of which: in category 1 | ||||||||||
| 130 | 90 % | ||||||||||
| 140 | 115 % | ||||||||||
| 150 | 250 % | ||||||||||
| 160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | ||||||||||
| 170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS | ||||||||||
| 180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
| EXPOSURE VALUE | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| **OWN ESTIMATES OF LGD'S ARE USED:**UNFUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | |||||||||||
| OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | GUARANTEES | CREDIT DERIVATIVES | **OWN ESTIMATES OF LGD'S ARE USED:**OTHER FUNDED CREDIT PROTECTION | ELIGIBLE FINANCIAL COLLATERAL | OTHER ELIGIBLE COLLATERAL | |||||
| REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES | ||||||||||
| 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | ||
| 010 | TOTAL EXPOSURES | |||||||||||
| 015 | of which: Exposures subject to SME-supporting factor | |||||||||||
| 020 | On balance sheet items subject to credit risk | |||||||||||
| 030 | Off balance sheet items subject to credit risk | |||||||||||
| Exposures/Transactions subject to counterparty credit risk | ||||||||||||
| 040 | Securities Financing Transactions | |||||||||||
| 050 | Derivatives & Long Settlement Transactions | |||||||||||
| 060 | From Contractual Cross Product Netting | |||||||||||
| 070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | |||||||||||
| 080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | |||||||||||
| 090 | RISK WEIGHT: 0 % | |||||||||||
| 100 | 50 % | |||||||||||
| 110 | 70 % | |||||||||||
| 120 | Of which: in category 1 | |||||||||||
| 130 | 90 % | |||||||||||
| 140 | 115 % | |||||||||||
| 150 | 250 % | |||||||||||
| 160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | |||||||||||
| 170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS | |||||||||||
| 180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
| SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | MEMORANDUM ITEMS: | |||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | ||||||||
| OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | |||||||||||
| 220 | 230 | 240 | 250 | 255 | 260 | 270 | 280 | 290 | 300 | ||
| 010 | TOTAL EXPOSURES | Cell linked to CA | |||||||||
| 015 | of which: Exposures subject to SME-supporting factor | ||||||||||
| 020 | On balance sheet items subject to credit risk | ||||||||||
| 030 | Off balance sheet items subject to credit risk | ||||||||||
| Exposures/Transactions subject to counterparty credit risk | |||||||||||
| 040 | Securities Financing Transactions | ||||||||||
| 050 | Derivatives & Long Settlement Transactions | ||||||||||
| 060 | From Contractual Cross Product Netting | ||||||||||
| 070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | ||||||||||
| 080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | ||||||||||
| 090 | RISK WEIGHT: 0 % | ||||||||||
| 100 | 50 % | ||||||||||
| 110 | 70 % | ||||||||||
| 120 | Of which: in category 1 | ||||||||||
| 130 | 90 % | ||||||||||
| 140 | 115 % | ||||||||||
| 150 | 250 % | ||||||||||
| 160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | ||||||||||
| 170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS | ||||||||||
| 180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES |
C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)IRB Exposure class:Own estimates of LGD and/or conversion factors:
| OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | EXPOSURE VALUE | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR | MEMORANDUM ITEMS: | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION | (-) OTHER FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | **OWN ESTIMATES OF LGD'S ARE USED:**UNFUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | |||||||||||||||||||||||
| PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | GUARANTEES | CREDIT DERIVATIVES | **OWN ESTIMATES OF LGD'S ARE USED:**OTHER FUNDED CREDIT PROTECTION | ELIGIBLE FINANCIAL COLLATERAL | OTHER ELIGIBLE COLLATERAL | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | ||||||||||||||||
| REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES | |||||||||||||||||||||||||||||
| 005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 255 | 260 | 270 | 280 | 290 | 300 |
C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)Country:
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | Exposures in default | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Of which: write off | Credit risk adjustments/write-offs for observed new defaults | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | ||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 040 | 050 | 055 | 060 | 070 | 075 | 080 | 090 | ||
| 010 | Central governments or central banks | ||||||||||
| 020 | Regional governments or local authorities | ||||||||||
| 030 | Public sector entities | ||||||||||
| 040 | Multilateral Development Banks | ||||||||||
| 050 | International Organisations | ||||||||||
| 060 | Institutions | ||||||||||
| 070 | Corporates | ||||||||||
| 075 | of which: SME | ||||||||||
| 080 | Retail | ||||||||||
| 085 | of which: SME | ||||||||||
| 090 | Secured by mortgages on immovable property | ||||||||||
| 095 | of which: SME | ||||||||||
| 100 | Exposures in default | ||||||||||
| 110 | Items associated with particularly high risk | ||||||||||
| 120 | Covered bonds | ||||||||||
| 130 | Claims on institutions and corporates with a short-term credit assessment | ||||||||||
| 140 | Collective investments undertakings (CIU) | ||||||||||
| 150 | Equity exposures | ||||||||||
| 160 | Other exposures | ||||||||||
| Total exposures |
C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)Country:
| ORIGINAL EXPOSURE PRE CONVERSION FACTORS | Of which: defaulted | Observed new defaults for the period | General credit risk adjustments | Specific credit risk adjustments | Of which: write off | Credit risk adjustments/write-offs for observed new defaults | PD ASSIGNED TO THE OBLIGOR GRADE OR POOL**(%)** | ||
|---|---|---|---|---|---|---|---|---|---|
| 010 | 030 | 040 | 050 | 055 | 060 | 070 | 080 | ||
| 010 | Central governments or central banks | ||||||||
| 020 | Institutions | ||||||||
| 030 | Corporates | ||||||||
| 040 | Of Which: Specialised Lending | ||||||||
| 050 | Of Which: SME | ||||||||
| 060 | Retail | ||||||||
| 070 | Secured by real estate property | ||||||||
| 080 | SME | ||||||||
| 090 | Non-SME | ||||||||
| 100 | Qualifying Revolving | ||||||||
| 110 | Other Retail | ||||||||
| 120 | SME | ||||||||
| 130 | Non-SME | ||||||||
| 140 | Equity | ||||||||
| Total exposures |
| EXPOSURE WEIGHTED AVERAGE LGD (%) | Of which: defaulted | EXPOSURE VALUE | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | Of which: defaulted | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | EXPECTED LOSS AMOUNT | ||
|---|---|---|---|---|---|---|---|---|
| 090 | 100 | 105 | 110 | 120 | 125 | 130 | ||
| 010 | Central governments or central banks | |||||||
| 020 | Institutions | |||||||
| 030 | Corporates | |||||||
| 040 | Of Which: Specialised Lending | |||||||
| 050 | Of Which: SME | |||||||
| 060 | Retail | |||||||
| 070 | Secured by real estate property | |||||||
| 080 | SME | |||||||
| 090 | Non-SME | |||||||
| 100 | Qualifying Revolving | |||||||
| 110 | Other Retail | |||||||
| 120 | SME | |||||||
| 130 | Non-SME | |||||||
| 140 | Equity | |||||||
| Total exposures |
C 09.03 — GEOGRAPHICAL BREAKDOWN OF RELEVANT CREDIT EXPOSURES FOR THE PURPOSE OF CALCULATION OF THE INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER (CR GB 3)Country:
| Amount | ||
|---|---|---|
| 010 | ||
| 010 | Own fund requirements |
C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
| INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: | ||||
|---|---|---|---|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPECTED LOSS AMOUNT | ||||||||
| PD ASSIGNED TO THE OBLIGOR GRADE (%) | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | |||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | ||
| 010 | TOTAL IRB EQUITY EXPOSURES | Cell linked to CA | ||||||||
| 020 | PD/LGD APRROACH: TOTAL | |||||||||
| 050 | SIMPLE RISK WEIGHT APPROACH: TOTAL | |||||||||
| 060 | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | |||||||||
| 070 | RISK WEIGHT: 190 % | |||||||||
| 080 | 290 % | |||||||||
| 090 | 370 % | |||||||||
| 100 | INTERNAL MODELS APPROACH | |||||||||
| 110 | EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS |
C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)
| OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD**(%)** | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: | ||
|---|---|---|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPECTED LOSS AMOUNT | |||||||
| PD ASSIGNED TO THE OBLIGOR GRADE**(%)** | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | ||||||
| 005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 |
C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)
| UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE | PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS | OWN FUNDS REQUIREMENTS | TOTAL SETTLEMENT RISK EXPOSURE AMOUNT | ||
|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | ||
| 010 | Total unsettled transactions in the Non-trading Book | Cell linked to CA | |||
| 020 | Transactions unsettled up to 4 days (Factor 0 %) | ||||
| 030 | Transactions unsettled between 5 and 15 days (Factor 8 %) | ||||
| 040 | Transactions unsettled between 16 and 30 days (Factor 50 %) | ||||
| 050 | Transactions unsettled between 31 and 45 days (Factor 75 %) | ||||
| 060 | Transactions unsettled for 46 days or more (Factor 100 %) | ||||
| 070 | Total unsettled transactions in the Trading Book | Cell linked to CA | |||
| 080 | Transactions unsettled up to 4 days (Factor 0 %) | ||||
| 090 | Transactions unsettled between 5 and 15 days (Factor 8 %) | ||||
| 100 | Transactions unsettled between 16 and 30 days (Factor 50 %) | ||||
| 110 | Transactions unsettled between 31 and 45 days (Factor 75 %) | ||||
| 120 | Transactions unsettled for 46 days or more (Factor 100 %) |
C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
| TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED | SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES | SECURITISATION POSITIONS | (-) VALUE ADJUSTMENTS AND PROVISIONS | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) | FULLY ADJUSTED EXPOSURE VALUE (E)* | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS* | EXPOSURE VALUE | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | RISK-WEIGHTED EXPOSURE AMOUNT | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS | ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | **MEMORANDUM ITEM:**RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES | |||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (-) FUNDED CREDIT PROTECTION (Cva) | (-) TOTAL OUTFLOWS | NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) | (-) FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | 0 % | > 0 % and <= 20 % | > 20 % and <= 50 % | > 50 % and <= 100 % | (-) DEDUCTED FROM OWN FUNDS | SUBJECT TO RISK WEIGHTS | RATED**(CREDIT QUALITY STEPS)** | 1250 % | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | ||||||||||||||||||||||||
| (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G)* | (-) TOTAL OUTFLOWS | TOTAL INFLOWS | CQS 1 | CQS 2 | CQS 3 | CQS 4 | ALL OTHER CQS | UNRATED | OF WHICH: SECOND LOSS IN ABCP | OF WHICH: AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | OF WHICH: SYNTHETIC SECURITISATIONS | BEFORE CAP | AFTER CAP | ||||||||||||||||||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | ||
| 010 | TOTAL EXPOSURES | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||
| 020 | OF WHICH: RE-SECURITISATIONS | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||
| 030 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
| 040 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||
| 050 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 060 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 070 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
| 080 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 090 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 100 | EARLY AMORTISATION | |||||||||||||||||||||||||||||||||||||||
| 110 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
| 120 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||
| 130 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 140 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 150 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
| 160 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 170 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 180 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
| 190 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||
| 200 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 210 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 220 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
| 230 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 240 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: | ||||||||||||||||||||||||||||||||||||||||
| 250 | CQS 1 | |||||||||||||||||||||||||||||||||||||||
| 260 | CQS 2 | |||||||||||||||||||||||||||||||||||||||
| 270 | CQS 3 | |||||||||||||||||||||||||||||||||||||||
| 280 | CQS 4 | |||||||||||||||||||||||||||||||||||||||
| 290 | ALL OTHER CQS AND UNRATED |
C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
| TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED | SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES | SECURITISATION POSITIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) | FULLY ADJUSTED EXPOSURE VALUE (E)* | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS* | EXPOSURE VALUE | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS | RISK-WEIGHTED EXPOSURE AMOUNT | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS | ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES | |||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (-) FUNDED CREDIT PROTECTION (Cva) | (-) TOTAL OUTFLOWS | NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) | (-) FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | 0 % | > 0 % and <=20 % | > 20 % and <=50 % | > 50 % and <=100 % | (-) DEDUCTED FROM OWN FUNDS | SUBJECT TO RISK WEIGHTS | RATINGS BASED METHOD (CREDIT QUALITY STEPS) | 1250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESSMENT APPROACH | |||||||||||||||||||||||||||||||
| (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G)* | (-) TOTAL OUTFLOWS | TOTAL INFLOWS | CQS 1 & S/T CQS 1 | CQS 2 | CQS 3 | CQS 4 & S/T CQS 2 | CQS 5 | CQS 6 | CQS 7 & S/T CQS 3 | CQS 8 | CQS 9 | CQS 10 | CQS 11 | ALL OTHER CQS | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | OF WHICH: SYNTHETIC SECURITISATIONS | BEFORE CAP | AFTER CAP | |||||||||||||||||||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | |||
| 010 | TOTAL EXPOSURES | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||||||||||
| 020 | OF WHICH: RE-SECURITISATIONS | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||||||||||
| 030 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||
| 040 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||||||||||
| 050 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 060 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 070 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 080 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 090 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 100 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||||
| 110 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 120 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 130 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 140 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 150 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 160 | EARLY AMORTISATION | |||||||||||||||||||||||||||||||||||||||||||||||
| 170 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||
| 180 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||||||||||
| 190 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 200 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 210 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 220 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 230 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 240 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||||
| 250 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 260 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 270 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 280 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 290 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 300 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||
| 310 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||||||||||
| 320 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 330 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 340 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 350 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 360 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 370 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||||
| 380 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 390 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 400 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 410 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 420 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: | ||||||||||||||||||||||||||||||||||||||||||||||||
| 430 | CQS 1 & S/T CQS 1 | |||||||||||||||||||||||||||||||||||||||||||||||
| 440 | CQS 2 | |||||||||||||||||||||||||||||||||||||||||||||||
| 450 | CQS 3 | |||||||||||||||||||||||||||||||||||||||||||||||
| 460 | CQS 4 & S/T CQS 2 | |||||||||||||||||||||||||||||||||||||||||||||||
| 470 | CQS 5 | |||||||||||||||||||||||||||||||||||||||||||||||
| 480 | CQS 6 | |||||||||||||||||||||||||||||||||||||||||||||||
| 490 | CQS 7 & S/T CQS 3 | |||||||||||||||||||||||||||||||||||||||||||||||
| 500 | CQS 8 | |||||||||||||||||||||||||||||||||||||||||||||||
| 510 | CQS 9 | |||||||||||||||||||||||||||||||||||||||||||||||
| 520 | CQS 10 | |||||||||||||||||||||||||||||||||||||||||||||||
| 530 | CQS 11 | |||||||||||||||||||||||||||||||||||||||||||||||
| 540 | ALL OTHER CQS AND UNRATED |
C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
| ROW NUMBER | INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | IDENTIFIER OF THE ORIGINATOR | SECURITISATION TYPE:****(TRADITIONAL / SYNTHETIC) | ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet? | SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? | SECURITISATION OR RE-SECURITISATION? | RETENTION | ROLE OF THE INSTITUTION:****(ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) | NON ABCP PROGRAMMES | SECURITISED EXPOSURES | SECURITISATION STRUCTURE | SECURITISATION POSITIONS | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | SECURITISATION POSITIONS - TRADING BOOK | ||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TYPE OF RETENTION APPLIED | % OF RETENTION AT REPORTING DATE | COMPLIANCE WITH THE RETENTION REQUIREMENT? | ORIGINATION DATE (mm/yyyy) | TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE | TOTAL AMOUNT | INSTITUTION'S SHARE (%) | TYPE | APPROACH APPLIED (SA/IRB/MIX) | NUMBER OF EXPOSURES | COUNTRY | ELGD (%) | (-) VALUE ADJUSTMENTS AND PROVISIONS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) | ON-BALANCE SHEET ITEMS | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | MATURITY | ORIGINAL EXPOSURE PRE-CONVERSION FACTORS | MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES | EARLY AMORTISATION | CTP OR NON-CTP? | NET POSITIONS | TOTAL OWN FUNDS REQUIREMENTS (SA) | ||||||||||||||||||||||||||
| SENIOR | MEZZANINE | FIRST LOSS | SENIOR | MEZZANINE | FIRST LOSS | FIRST FORESEEABLE TERMINATION DATE | LEGAL FINAL MATURITY DATE | ON-BALANCE SHEET ITEMS | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | DIRECT CREDIT SUBSTITUTES | IRS / CRS | ELIGIBLE LIQUIDITY FACILITIES | OTHER (including non-eligible LF) | CONVERSION FACTOR APPLIED | ||||||||||||||||||||||||||||||||||
| SENIOR | MEZZANINE | FIRST LOSS | SENIOR | MEZZANINE | FIRST LOSS | BEFORE CAP | AFTER CAP | |||||||||||||||||||||||||||||||||||||||||
| LONG | SHORT | SPECIFIC RISK | ||||||||||||||||||||||||||||||||||||||||||||||
| 005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480 |
C 16.00 — OPERATIONAL RISK (OPR)
| BANKING ACTIVITIES | RELEVANT INDICATOR | LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) | OWN FUNDS REQUIREMENT | Total operational risk exposure amount | AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| YEAR-3 | YEAR-2 | LAST YEAR | YEAR-3 | YEAR-2 | LAST YEAR | OF WHICH: DUE TO AN ALLOCATION MECHANISM | OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES | (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES | (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION | (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) | ||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | O71 | 080 | 090 | 100 | 110 | 120 | ||
| 010 | 1.BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) | Cell linked to CA2 | ||||||||||||
| 020 | 2.BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES | Cell linked to CA2 | ||||||||||||
| SUBJECT TO TSA: | ||||||||||||||
| 030 | CORPORATE FINANCE (CF) | |||||||||||||
| 040 | TRADING AND SALES (TS) | |||||||||||||
| 050 | RETAIL BROKERAGE (RBr) | |||||||||||||
| 060 | COMMERCIAL BANKING (CB) | |||||||||||||
| 070 | RETAIL BANKING (RB) | |||||||||||||
| 080 | PAYMENT AND SETTLEMENT (PS) | |||||||||||||
| 090 | AGENCY SERVICES (AS) | |||||||||||||
| 100 | ASSET MANAGEMENT (AM) | |||||||||||||
| SUBJECT TO ASA: | ||||||||||||||
| 110 | COMMERCIAL BANKING (CB) | |||||||||||||
| 120 | RETAIL BANKING (RB) | |||||||||||||
| 130 | 3.BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA | Cell linked to CA2 |
C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)
| MAPPING OF LOSSES TO BUSINESS LINES | EVENT TYPES | TOTAL EVENT TYPES | MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| INTERNAL FRAUD | EXTERNAL FRAUD | EMPLOYMENT PRACTICES AND WORKPLACE SAFETY | CLIENTS, PRODUCTS & BUSINESS PRACTICES | DAMAGE TO PHYSICAL ASSETS | BUSINESS DISRUPTION AND SYSTEM FAILURES | EXECUTION, DELIVERY & PROCESS MANAGEMENT | LOWEST | HIGHEST | ||||
| Rows | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
| 010 | CORPORATE FINANCE [CF] | Number of events | ||||||||||
| 020 | Total loss amount | |||||||||||
| 030 | Maximum single loss | |||||||||||
| 040 | Sum of the five largest losses | |||||||||||
| 050 | Total loss recovery | |||||||||||
| 110 | TRADING AND SALES [TS] | Number of events | ||||||||||
| 120 | Total loss amount | |||||||||||
| 130 | Maximum single loss | |||||||||||
| 140 | Sum of the five largest losses | |||||||||||
| 150 | Total loss recovery | |||||||||||
| 210 | RETAIL BROKERAGE [RBr] | Number of events | ||||||||||
| 220 | Total loss amount | |||||||||||
| 230 | Maximum single loss | |||||||||||
| 240 | Sum of the five largest losses | |||||||||||
| 250 | Total loss recovery | |||||||||||
| 310 | COMMERCIAL BANKING [CB] | Number of events | ||||||||||
| 320 | Total loss amount | |||||||||||
| 330 | Maximum single loss | |||||||||||
| 340 | Sum of the five largest losses | |||||||||||
| 350 | Total loss recovery | |||||||||||
| 410 | RETAIL BANKING [RB] | Number of events | ||||||||||
| 420 | Total loss amount | |||||||||||
| 430 | Maximum single loss | |||||||||||
| 440 | Sum of the five largest losses | |||||||||||
| 450 | Total loss recovery | |||||||||||
| 510 | PAYMENT AND SETTLEMENT [PS] | Number of events | ||||||||||
| 520 | Total loss amount | |||||||||||
| 530 | Maximum single loss | |||||||||||
| 540 | Sum of the five largest losses | |||||||||||
| 550 | Total loss recovery | |||||||||||
| 610 | AGENCY SERVICES [AS] | Number of events | ||||||||||
| 620 | Total loss amount | |||||||||||
| 630 | Maximum single loss | |||||||||||
| 640 | Sum of the five largest losses | |||||||||||
| 650 | Total loss recovery | |||||||||||
| 710 | ASSET MANAGEMENT [AM] | Number of events | ||||||||||
| 720 | Total loss amount | |||||||||||
| 730 | Maximum single loss | |||||||||||
| 740 | Sum of the five largest losses | |||||||||||
| 750 | Total loss recovery | |||||||||||
| 810 | CORPORATE ITEMS [CI] | Number of events | ||||||||||
| 820 | Total loss amount | |||||||||||
| 830 | Maximum single loss | |||||||||||
| 840 | Sum of the five largest losses | |||||||||||
| 850 | Total loss recovery | |||||||||||
| 910 | TOTAL BUSINESS LINES | Number of events. Of which: | ||||||||||
| 911 | ≥ 10000 and < 20000 | |||||||||||
| 912 | ≥ 20000 and < 100000 | |||||||||||
| 913 | ≥ 100000 and < 1000000 | |||||||||||
| 914 | ≥ 1000000 | |||||||||||
| 920 | Total loss amount. Of which: | |||||||||||
| 921 | ≥ 10000 and < 20000 | |||||||||||
| 922 | ≥ 20000 and < 100000 | |||||||||||
| 923 | ≥ 100000 and < 1000000 | |||||||||||
| 924 | ≥ 1000000 | |||||||||||
| 930 | Maximum single loss | |||||||||||
| 940 | Sum of the five largest losses | |||||||||||
| 950 | Total loss recovery |
C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)Currency:
| POSITIONS | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||||||
|---|---|---|---|---|---|---|---|---|
| ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | ||||||
| LONG | SHORT | LONG | SHORT | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | ||
| 010 | TRADED DEBT INSTRUMENTS IN TRADING BOOK | Cell linked to CA2 | ||||||
| 011 | General risk | |||||||
| 012 | Derivatives | |||||||
| 013 | Other assets and liabilities | |||||||
| 020 | Maturity-based approach | |||||||
| 030 | Zone 1 | |||||||
| 040 | 0 ≤ 1 month | |||||||
| 050 | > 1 ≤ 3 months | |||||||
| 060 | > 3 ≤ 6 months | |||||||
| 070 | > 6 ≤ 12 months | |||||||
| 080 | Zone 2 | |||||||
| 090 | > 1 ≤ 2 (1,9 for cupon of less than 3 %) years | |||||||
| 100 | > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years | |||||||
| 110 | > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years | |||||||
| 120 | Zone 3 | |||||||
| 130 | > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years | |||||||
| 140 | > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years | |||||||
| 150 | > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years | |||||||
| 160 | > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years | |||||||
| 170 | > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years | |||||||
| 180 | > 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years | |||||||
| 190 | (> 12,0 ≤ 20,0 for cupon of less than 3 %) years | |||||||
| 200 | (> 20 for cupon of less than 3 %) years | |||||||
| 210 | Duration-based approach | |||||||
| 220 | Zone 1 | |||||||
| 230 | Zone 2 | |||||||
| 240 | Zone 3 | |||||||
| 250 | Specific risk | |||||||
| 251 | Own funds requirement for non-securitisation debt instruments | |||||||
| 260 | Debt securities under the first category in Table 1 | |||||||
| 270 | Debt securities under the second category in Table 1 | |||||||
| 280 | With residual term ≤ 6 months | |||||||
| 290 | With a residual term > 6 months and ≤ 24 months | |||||||
| 300 | With a residual term > 24 months | |||||||
| 310 | Debt securities under the third category in Table 1 | |||||||
| 320 | Debt securities under the fourth category in Table 1 | |||||||
| 321 | Rated nth-to default credit derivatives | |||||||
| 325 | Own funds requirement for securitisation instruments | |||||||
| 330 | Own funds requirement for the correlation trading portfolio | |||||||
| 340 | Particular approach for position risk in CIUs | |||||||
| 350 | Additional requirements for options (non-delta risks) | |||||||
| 360 | Simplified method | |||||||
| 370 | Delta plus approach - additional requirements for gamma risk | |||||||
| 380 | Delta plus approach - additional requirements for vega risk | |||||||
| 390 | Scenario matrix approach |
C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
| ALL POSITIONS | (-) POSITIONS DEDUCTED FROM OWN FUNDS | NET POSITIONS | BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS | BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS | BEFORE CAP | AFTER CAP | TOTAL OWN FUNDS REQUIREMENTS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| RISK WEIGHTS < 1250 % | 1250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | RISK WEIGHTS < 1250 % | 1250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| LONG | SHORT | (-) LONG | (-) SHORT | LONG | SHORT | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 150 % | 200 % | 225 % | 250 % | 300 % | 350 % | 425 % | 500 % | 650 % | 750 % | 850 % | RATED | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 150 % | 200 % | 225 % | 250 % | 300 % | 350 % | 425 % | 500 % | 650 % | 750 % | 850 % | RATED | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | SUM OF WEIGHTED NET LONG AND SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | SUM OF WEIGHTED NET LONG AND SHORT POSITIONS | |||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480 | 490 | 500 | 510 | 520 | 530 | 540 | 550 | 560 | 570 | 580 | 590 | 600 | 610 | ||
| 010 | TOTAL EXPOSURES | Cell linked to MKR SA TDI {325:060} | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 020 | Of which: RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 030 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 040 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 050 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 060 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 070 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 080 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 090 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 100 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 110 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 120 | 1.Residential mortgages | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 130 | 2.Commercial mortgages | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 140 | 3.Credit card receivables | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 150 | 4.Leasing | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 160 | 5.Loans to corporates or SMEs | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 170 | 6.Consumer loans | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 180 | 7.Trade receivables | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 190 | 8.Other assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 200 | 9.Covered Bondes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 210 | 10.Other liabilities |
C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
| ALL POSITIONS | (-) POSITIONS DEDUCTED FROM OWN FUNDS | NET POSITIONS | BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS | BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS | BEFORE CAP | AFTER CAP | TOTAL OWN FUNDS REQUIREMENTS | |||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| RISK WEIGHTS < 1250 % | 1250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | RISK WEIGHTS < 1250 % | 1250 % | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESMENT APPROACH | |||||||||||||||||||||||||||||||||||||
| LONG | SHORT | (-) LONG | (-) SHORT | LONG | SHORT | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 250 % | 350 % | 425 % | 650 % | Other | RATED | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 250 % | 350 % | 425 % | 650 % | Other | RATED | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | |||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | ||
| 010 | TOTAL EXPOSURES | Cell linked to MKR SA TDI {330:060} | ||||||||||||||||||||||||||||||||||||||||||||
| SECURITISATION POSITIONS: | ||||||||||||||||||||||||||||||||||||||||||||||
| 020 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||
| 030 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||
| 040 | OTHER CTP POSITIONS | |||||||||||||||||||||||||||||||||||||||||||||
| 050 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||
| 060 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||
| 070 | OTHER CTP POSITIONS | |||||||||||||||||||||||||||||||||||||||||||||
| 080 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||
| 090 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||||||||
| 100 | OTHER CTP POSITIONS | |||||||||||||||||||||||||||||||||||||||||||||
| N-TH-TO-DEFAULT CREDIT DERIVATES: | ||||||||||||||||||||||||||||||||||||||||||||||
| 110 | N-TH-TO-DEFAULT CREDIT DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||
| 120 | OTHER CTP POSITIONS |
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)National market:
| POSITIONS | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||||||
|---|---|---|---|---|---|---|---|---|
| ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | ||||||
| LONG | SHORT | LONG | SHORT | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | ||
| 010 | EQUITIES IN TRADING BOOK | Cell linked to CA | ||||||
| 020 | General risk | |||||||
| 021 | Derivatives | |||||||
| 022 | Other assets and liabilities | |||||||
| 030 | Exchange traded stock-index futures broadly diversified subject to particular approach | |||||||
| 040 | Other equities than exchange traded stock-index futures broadly diversified | |||||||
| 050 | Specific risk | |||||||
| 080 | Particular approach for position risk in CIUs | |||||||
| 090 | Additional requirements for options (non-delta risks) | |||||||
| 100 | Simplified method | |||||||
| 110 | Delta plus approach — additional requirements for gamma risk | |||||||
| 120 | Delta plus approach — additional requirements for vega risk | |||||||
| 130 | Scenario matrix approach |
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
| ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE**(Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)** | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| LONG | SHORT | LONG | SHORT | LONG | SHORT | MATCHED | ||||
| 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
| 010 | TOTAL POSITIONS IN NON-REPORTING CURRENCIES | Cell linked to CA | ||||||||
| 020 | Currencies closely correlated | |||||||||
| 030 | All other currencies (including CIUs treated as different currencies) | |||||||||
| 040 | Gold | |||||||||
| 050 | Additional requirements for options (non-delta risks) | |||||||||
| 060 | Simplified method | |||||||||
| 070 | Delta plus approach — additional requirements for gamma risk | |||||||||
| 080 | Delta plus approach — additional requirements for vega risk | |||||||||
| 090 | Scenario matrix approach | |||||||||
| 100 | Other assets and liabilities other than off-balance sheet items and derivatives | |||||||||
| 110 | Off-balance sheet items | |||||||||
| 120 | Derivatives | |||||||||
| 130 | Euro | |||||||||
| 140 | Lek | |||||||||
| 150 | Argentine Peso | |||||||||
| 160 | Australian Dollar | |||||||||
| 170 | Brazilian Real | |||||||||
| 180 | Bulgarian Lev | |||||||||
| 190 | Canadian Dollar | |||||||||
| 200 | Czech Koruna | |||||||||
| 210 | Danish Krone | |||||||||
| 220 | Egyptian Pound | |||||||||
| 230 | Pound Sterling | |||||||||
| 240 | Forint | |||||||||
| 250 | Yen | |||||||||
| 270 | Lithuanian Litas | |||||||||
| 280 | Denar | |||||||||
| 290 | Mexican Peso | |||||||||
| 300 | Zloty | |||||||||
| 310 | Rumanian Leu | |||||||||
| 320 | Russian Ruble | |||||||||
| 330 | Serbian Dinar | |||||||||
| 340 | Swedish Krona | |||||||||
| 350 | Swiss Franc | |||||||||
| 360 | Turkish Lira | |||||||||
| 370 | Hryvnia | |||||||||
| 380 | US Dollar | |||||||||
| 390 | Iceland Krona | |||||||||
| 400 | Norwegian Krone | |||||||||
| 410 | Hong Kong Dollar | |||||||||
| 420 | New Taiwan Dollar | |||||||||
| 430 | New Zealand Dollar | |||||||||
| 440 | Singapore Dollar | |||||||||
| 450 | Won | |||||||||
| 460 | Yuan Renminbi | |||||||||
| 470 | Other | |||||||||
| 480 | Croatian Kuna |
C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
| ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | ||||
|---|---|---|---|---|---|---|---|---|
| LONG | SHORT | |||||||
| LONG | SHORT | |||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | ||
| 010 | TOTAL POSITIONS IN COMMODITIES | Cell linked to CA | ||||||
| 020 | Precious metals (except gold) | |||||||
| 030 | Base metals | |||||||
| 040 | Agricultural products (softs) | |||||||
| 050 | Others | |||||||
| 060 | Of which energy products (oil, gas) | |||||||
| 070 | Maturity ladder approach | |||||||
| 080 | Extended maturity ladder approach | |||||||
| 090 | Simplified approach: All positions | |||||||
| 100 | Additional requirements for options (non-delta risks) | |||||||
| 110 | Simplified method | |||||||
| 120 | Delta plus approach - additional requirements for gamma risk | |||||||
| 130 | Delta plus approach - additional requirements for vega risk | |||||||
| 140 | Scenario matrix approach |
C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM)
| VaR | STRESSED VaR | INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE | ALL PRICE RISKS CAPITAL CHARGE FOR CTP | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | Number of overshootings during previous 250 working days | VaR Multiplication Factor (m_c) | SVaR Multiplication Factor (m_s) | ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP | ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MULTIPLICATION FACTOR (m_c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR_avg) | PREVIOUS DAY (VaR_t-1) | MULTIPLICATION FACTOR (m_s) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR_avg) | LATEST AVAILABLE (SVaR_t-1) | 12 WEEKS AVERAGE MEASURE | LAST MEASURE | FLOOR | 12 WEEKS AVERAGE MEASURE | LAST MEASURE | |||||||||
| 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | ||
| 010 | TOTAL POSITIONS | Cell linked to CA | |||||||||||||||
| Memorandum items: BREAKDOWN OF MARKET RISK | |||||||||||||||||
| 020 | Traded debt instruments | ||||||||||||||||
| 030 | TDI - General risk | ||||||||||||||||
| 040 | TDI - Specific Risk | ||||||||||||||||
| 050 | Equities | ||||||||||||||||
| 060 | Equities - General risk | ||||||||||||||||
| 070 | Equities - Specific Risk | ||||||||||||||||
| 080 | Foreign Exchange risk | ||||||||||||||||
| 090 | Commodities risk | ||||||||||||||||
| 100 | Total amount for general risk | ||||||||||||||||
| 110 | Total amount for specific risk |
C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA)
| EXPOSURE VALUE | VaR | STRESSED VaR | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | MEMORANDUM ITEMS | CVA RISK HEDGE NOTIONALS | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| of which: OTC Derivatives | of which: SFT | MULTIPLICATION FACTOR (m_c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR_avg) | PREVIOUS DAY (VaR_t-1) | MULTIPLICATION FACTOR (m_s) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR_avg) | LATEST AVAILABLE (SVaR_t-1) | Number of counterparties | of which: proxy was used to determine credit spread | INCURRED CVA | SINGLE NAME CDS | INDEX CDS | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | ||
| 010 | CVA risk total | Link to {CA2;r640;c010} | |||||||||||||
| 020 | According to Advanced method | Link to {CA2;r650;c010} | |||||||||||||
| 030 | According to Standardised method | Link to {CA2;r660;c010} | |||||||||||||
| 040 | Based on OEM | Link to {CA2;r670;c010} |
Table of ContentsPART I: GENERAL INSTRUCTIONS1.STRUCTURE AND CONVENTIONS1.1.STRUCTURE1.2.NUMBERING CONVENTION1.3.SIGN CONVENTIONPART II: TEMPLATE RELATED INSTRUCTIONS1.SOLVENCY OVERVIEW (CA)1.1.GENERAL REMARKS1.2.C 01.00 — OWN FUNDS (CA1)1.2.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS1.3.C 02.00 — OWN FUNDS REQUIREMENTS (CA2)1.3.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS1.4.C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)1.4.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS1.5.C 04.00 — MEMORANDUM ITEMS (CA4)1.5.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS1.6.TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA 5)1.6.1.GENERAL REMARKS1.6.2.C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)1.6.2.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS1.6.3.C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)1.6.3.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS2.C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)2.1.GENERAL REMARKS2.2.DETAILED GROUP SOLVENCY INFORMATION;2.3.INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY2.4.C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES — Total (GS Total)2.5.C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)3.CREDIT RISK TEMPLATES3.1.GENERAL REMARKS3.1.1.REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT3.1.2.REPORTING OF COUNTERPARTY CREDIT RISK3.2.C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SA)3.2.1.GENERAL REMARKS3.2.2.SCOPE OF THE CR SA TEMPLATE3.2.3.ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH3.2.4.CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR3.2.4.1.EXPOSURE CLASS ‘INSTITUTIONS’3.2.4.2.EXPOSURE CLASS ‘COVERED BONDS’3.2.4.3.EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’3.2.5.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS3.3.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)3.3.1.SCOPE OF THE CR IRB TEMPLATE3.3.2.BREAKDOWN OF THE CR IRB TEMPLATE3.3.3.C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB 1)3.3.3.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS3.3.4.C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2 TEMPLATE)3.4.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)3.4.1.C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)3.4.1.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS3.4.2.C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)3.4.2.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS3.4.3.C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)3.4.3.1.GENERAL REMARKS3.4.3.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS3.5.C 10.01 AND C 10.02 — EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)3.5.1.GENERAL REMARKS3.5.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)3.6.C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)3.6.1.GENERAL REMARKS3.6.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS3.7.C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)3.7.1.GENERAL REMARKS3.7.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS3.8.C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)3.8.1.GENERAL REMARKS3.8.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS3.9.C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)3.9.1.GENERAL REMARKS3.9.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS4.OPERATIONAL RISK TEMPLATES4.1.C 16.00 — OPERATIONAL RISK (OPR)4.1.1.GENERAL REMARKS4.1.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS4.2.C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)4.2.1.GENERAL REMARKS4.2.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS5.MARKET RISK TEMPLATES5.1.C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)5.1.1.GENERAL REMARKS5.1.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS5.2.C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)5.2.1.GENERAL REMARKS5.2.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS5.3.C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)5.3.1.GENERAL REMARKS5.3.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS5.4.C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)5.4.1.GENERAL REMARKS5.4.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS5.5.C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)5.5.1.GENERAL REMARKS5.5.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS5.6.C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)5.6.1.GENERAL REMARKS5.6.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS5.7.C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)5.7.1.GENERAL REMARKS5.7.2.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS5.8.C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)5.8.1.INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
PART I: GENERAL INSTRUCTIONS
1.STRUCTURE AND CONVENTIONS
1.1.STRUCTURE
Overall, the framework consists of five blocks of templates: (a) capital adequacy, an overview of regulatory capital; total risk exposure amount; (b) group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity (c) credit risk (including counterparty, dilution and settlement risks); (d) market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk); (e) operational risk.
For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework.
Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.
1.2.NUMBERING CONVENTION
The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.
The following general notation is followed in the instructions: {Template;Row;Column}.
In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.
In the case of templates with only one column, only rows are referred to. {Template;Row}
An asterisk sign is used to express that the validation is done for the rows or columns specified before.
1.3.SIGN CONVENTION
- Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.
PART II: TEMPLATE RELATED INSTRUCTIONS
1.CAPITAL ADEQUACY OVERVIEW (CA)
1.1.GENERAL REMARKS
CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates: a) CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital b) CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013 (‘CRR’) c) CA3 template contains the ratios for which CRR state a minimum level, and some other related data d) CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers. e) CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.
The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.
The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).
Transitional provisions are treated as follows in CA templates: a) The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included. b) Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions. c) Template CA5 is exclusively used for reporting the transitional provisions.
The treatment of Pillar II requirements can be different within the EU (Article 104(2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR. a) The templates CA1, CA2 or CA5 only contain data on Pillar I issues. b) The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5. c) The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
1.2.C 01.00 — OWN FUNDS (CA1)
1.2.1.Instructions concerning specific positions
| Row | Legal references and instructions |
|---|---|
| 010 | 1.Own fundsArticles 4(1)(118) and 72 of CRRThe own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital. |
| 015 | 1.1Tier 1 capitalArticle 25 of CRRThe Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital |
| 020 | 1.1.1Common Equity Tier 1 capitalArticle 50 of CRR |
| 030 | 1.1.1.1Capital instruments eligible as CET1 capitalArticles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR |
| 040 | 1.1.1.1.1Paid up capital instrumentsArticles 26(1) point (a) and 27 to 31 of CRRCapital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included.The share premium related to the instruments shall not be included.Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled. |
| 045 | 1.1.1.1.1*Of which: Capital instruments subscribed by public authorities in emergency situationsArticle 31 of CRRCapital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled. |
| 050 | 1.1.1.1.2*Memorandum item: Capital instruments not eligibleArticle 28(1) points (b), (l) and (m) of CRRConditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.The amount to be reported shall not include the share premium related to the instruments |
| 060 | 1.1.1.1.3Share premiumArticles 4(1)(124), 26(1) point (b) of CRRShare premium has the same meaning as under the applicable accounting standard.The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. |
| 070 | 1.1.1.1.4**(-) Own CET1 instruments**Articles 36(1) point (f) and 42 of CRROwn CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR.Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row.The amount to be reported shall include the share premium related to the own shares.Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5. |
| 080 | 1.1.1.1.4.1**(-) Direct holdings of CET1 instruments**Articles 36(1) point (f) and 42 of CRRCommon Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR. |
| 090 | 1.1.1.1.4.2**(-) Indirect holdings of CET1 instruments**Articles 4(1)(114), 36(1) point (f) and 42 of CRR |
| 091 | 1.1.1.1.4.3**(-) Synthetic holdings of CET1 instruments**Articles 4(1)(126), 36(1) point (f) and 42 of CRR |
| 092 | 1.1.1.1.5**(-) Actual or contingent obligations to purchase own CET1 instruments**Articles 36(1) point (f) and 42 of CRRAccording to Article 36(1) point (f) of CRR, ‘own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation’ shall be deducted. |
| 130 | 1.1.1.2Retained earningsArticles 26(1) point (c) and 26(2) of CRRRetained earnings includes the previous year retained earnings plus the eligible interim or year-end profits |
| 140 | 1.1.1.2.1Previous years retained earningsArticles 4(1)(123) and 26(1) c) of CRRArticle 4(1)(123) of CRR defines retained earnings as ‘Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting standards’. |
| 150 | 1.1.1.2.2Profit or loss eligibleArticles 4(1)(121), 26(2) and 36(1) point (a) of CRRArticle 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR. |
| 160 | 1.1.1.2.2.1Profit or loss attributable to owners of the parentArticles 26(2) and 36(1) point (a) of CRRThe amount to be reported shall be the profit or loss reported in the accounting income statement. |
| 170 | 1.1.1.2.2.2**(-) Part of interim or year-end profit not eligible**Article 26(2) of CRRThis row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1.If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends)Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends. |
| 180 | 1.1.1.3Accumulated other comprehensive incomeArticles 4(1)(100) and 26(1) point (d) of CRRThe amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014. |
| 200 | 1.1.1.4Other reservesArticles 4(1)(117) and 26(1) point (e) of CRROther reserves are defined in CRR as ‘Reserves within the meaning of the applicable accounting standard that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings’.The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. |
| 210 | 1.1.1.5Funds for general banking riskArticles 4(1)(112) and 26(1) point (f) of CRRFunds for general banking risk are defined in article 38 of Directive 86/635/EEC as ‘Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking’The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. |
| 220 | 1.1.1.6Transitional adjustments due to grandfathered CET1 Capital instrumentsArticles 483(1) to (3), and 484 to 487 of CRRAmount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5. |
| 230 | 1.1.1.7Minority interest given recognition in CET1 capitalArticle 4(120) and 84 of CRRSum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1. |
| 240 | 1.1.1.8Transitional adjustments due to additional minority interestsArticles 479 and 480 of CRRAdjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5. |
| 250 | 1.1.1.9Adjustments to CET1 due to prudential filtersArticles 32 to 35 of CRR |
| 260 | 1.1.1.9.1**(-) Increases in equity resulting from securitised assets**Article 32(1) of CRRThe amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard.For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation. |
| 270 | 1.1.1.9.2Cash flow hedge reserveArticle 33(1) point (a) of CRRThe amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.The amount shall be net of any tax charge foreseeable at the moment of the calculation. |
| 280 | 1.1.1.9.3Cumulative gains and losses due to changes in own credit risk on fair valued liabilitiesArticle 33(1) point (b) of CRRThe amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.Unaudited profit shall not be included in this item. |
| 285 | 1.1.1.9.4Fair value gains and losses arising from the institution's own credit risk related to derivative liabilitiesArticle 33(1) point (c) and 33(2) of CRRThe amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.Unaudited profit shall not be included in this item. |
| 290 | 1.1.1.9.5**(-) Value adjustments due to the requirements for prudent valuation**Articles 34 and 105 of CRRAdjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR |
| 300 | 1.1.1.10**(-) Goodwill**Articles 4(1)(113), 36(1) point (b) and 37 of CRR |
| 310 | 1.1.1.10.1**(-) Goodwill accounted for as intangible asset**Articles 4(1)(113) and 36(1) point (b) of CRRGoodwill has the same meaning as under the applicable accounting standard.The amount to be reported here shall be the same that is reported in the balance sheet. |
| 320 | 1.1.1.10.2**(-) Goodwill included in the valuation of significant investments**Article 37 point (b) and 43 of CRR |
| 330 | 1.1.1.10.3Deferred tax liabilities associated to goodwillArticle 37 point (a) of CRRAmount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard |
| 340 | 1.1.1.11**(-) Other intangible assets**Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRROther intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. |
| 350 | 1.1.1.11.1**(-) Other intangible assets before deduction of deferred tax liabilities**Articles 4(1)(115) and 36(1) point (b) of CRROther intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill. |
| 360 | 1.1.1.11.2Deferred tax liabilities associated to other intangible assetsArticle 37 point (a) of CRRAmount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard |
| 370 | 1.1.1.12**(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities**Articles 36(1) point (c) and 38 of CRR |
| 380 | 1.1.1.13**(-) IRB shortfall of credit risk adjustments to expected losses**Articles 36(1) point (d), 40, 158 and 159 of CRRThe amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses (Article 40 of CRR) |
| 390 | 1.1.1.14**(-) Defined benefit pension fund assets**Articles 4(1)(109), 36(1) point (e) and 41 of CRR |
| 400 | 1.1.1.14.1**(-) Defined benefit pension fund assets**Articles 4(1)(109), 36(1) point (e) of CRRDefined benefit pension fund assets are defined as ‘the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan’The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately). |
| 410 | 1.1.1.14.2Deferred tax liabilities associated to defined benefit pension fund assetsArticles 4(1)(108) and (109), and 41(1) point (a) of CRRAmount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard. |
| 420 | 1.1.1.14.3Defined benefit pension fund assets which the institution has an unrestricted ability to useArticles 4(1)(109) and 41(1) point (b) of CRRThis item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted.The assets included in this row shall receive a risk weight for credit risk requirements. |
| 430 | 1.1.1.15**(-) Reciprocal cross holdings in CET1 Capital**Articles 4(1)(122), 36(1) point (g) and 44 of CRRHoldings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institutionThe amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items. |
| 440 | 1.1.1.16**(-) Excess of deduction from AT1 items over AT1 Capital**Article 36(1) point (j) of CRRThe amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital.’ The amount has to be deducted from CET1. |
| 450 | 1.1.1.17**(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight**Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRRQualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking’.According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %. |
| 460 | 1.1.1.18**(-) Securitisation positions which can alternatively be subject to a 1250 % risk weight**Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRRSecuritisation positions which are subject to a 1250 % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item. |
| 470 | 1.1.1.19**(-) Free deliveries which can alternatively be subject to a 1250 % risk weight**Articles 36(1) point (k) (iii) and 379(3) of CRRFree deliveries are subject to a 1250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item. |
| 471 | 1.1.1.20**(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1250 % risk weight**Articles 36(1) point (k) (iv) and 153(8) of CRRAccording to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %. |
| 472 | 1.1.1.21**(-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight**Articles 36(1) point (k) (v) and 155(4) of CRRAccording to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %. |
| 480 | 1.1.1.22**(-) CET1 instruments of financial sector entities where the institution does not have a significant investment**Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRRPart of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1See alternatives to deduction when consolidation is applied (Article 49(2) and (3)) |
| 490 | 1.1.1.23**(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences**Articles 36(1) point (c); 38 and 48(1) point (a) of CRRPart of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR. |
| 500 | 1.1.1.24**(-) CET1 instruments of financial sector entities where the institution has a significant investment**Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRRPart of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR.See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)). |
| 510 | 1.1.1.25**(-) Amount exceeding the 17,65 % threshold**Article 48(1) of CRRPart of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(1) of CRR. |
| 520 | 1.1.1.26Other transitional adjustments to CET1 CapitalArticles 469 to 472, 478 and 481 of CRRAdjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5. |
| 524 | 1.1.1.27Additional deductions of CET1 Capital due to Article 3 CRRArticle 3 CRR |
| 529 | 1.1.1.28CET1 capital elements or deductions — otherThis row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524.This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR). |
| 530 | 1.1.2ADDITIONAL TIER 1 CAPITALArticle 61 of CRR |
| 540 | 1.1.2.1Capital instruments eligible as AT1 CapitalArticles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR |
| 550 | 1.1.2.1.1Paid up capital instrumentsArticles 51 point (a) and 52 to 54 of CRRThe amount to be reported shall not include the share premium related to the instruments |
| 560 | 1.1.2.1.2 (*)Memorandum item: Capital instruments not eligibleArticle 52(1) points (c), (e) and (f) of CRRConditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.The amount to be reported shall not include the share premium related to the instruments |
| 570 | 1.1.2.1.3Share premiumArticle 51 point (b) of CRRShare premium has the same meaning as under the applicable accounting standard.The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. |
| 580 | 1.1.2.1.4**(-) Own AT1 instruments**Articles 52(1) point (b), 56 point (a) and 57 of CRROwn AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR.Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row.The amount to be reported shall include the share premium related to the own shares.Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5. |
| 590 | 1.1.2.1.4.1**(-) Direct holdings of AT1 instruments**Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRRAdditional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group. |
| 620 | 1.1.2.1.4.2**(-) Indirect holdings of AT1 instruments**Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR |
| 621 | 1.1.2.1.4.3**(-) Synthetic holdings of AT1 instruments**Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR |
| 622 | 1.1.2.1.5**(-) Actual or contingent obligations to purchase own AT1 instruments**Articles 56 point (a) and 57 of CRRAccording to Article 56 point (a) of CRR, ‘own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted. |
| 660 | 1.1.2.2Transitional adjustments due to grandfathered AT1 Capital instrumentsArticles 483(4) and (5), 484 to 487, 489 and 491 of CRRAmount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5. |
| 670 | 1.1.2.3Instruments issued by subsidiaries that are given recognition in AT1 CapitalArticles 83, 85 and 86 of CRRSum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.Qualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included. |
| 680 | 1.1.2.4Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiariesArticle 480 of CRRAdjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5. |
| 690 | 1.1.2.5**(-) Reciprocal cross holdings in AT1 Capital**Articles 4(1)(122), 56 point (b) and 58 of CRRHoldings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institutionThe amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items. |
| 700 | 1.1.2.6**(-) AT1 instruments of financial sector entities where the institution does not have a significant investment**Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRRPart of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1 |
| 710 | 1.1.2.7**(-) AT1 instruments of financial sector entities where the institution has a significant investment**Articles 4(1)(27), 56 point (d), 59 and 79 of CRRHoldings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted |
| 720 | 1.1.2.8**(-) Excess of deduction from T2 items over T2 Capital**Article 56 point (e) of CRRThe amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1)’. |
| 730 | 1.1.2.9Other transitional adjustments to AT1 CapitalArticles 474, 475, 478 and 481 of CRRAdjustments due to transitional provisions. The amount to be reported is directly obtained from CA5. |
| 740 | 1.1.2.10**Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)**Article 36(1) point (j) of CRRAdditional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure. |
| 744 | 1.1.2.11Additional deductions of AT1 Capital due to Article 3 CRRArticle 3 CRR |
| 748 | 1.1.2.12AT1 capital elements or deductions — otherThis row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744.This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR)! |
| 750 | 1.2TIER 2 CAPITALArticle 71 of CRR |
| 760 | 1.2.1Capital instruments and subordinated loans eligible as T2 CapitalArticles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR |
| 770 | 1.2.1.1Paid up capital instruments and subordinated loansArticles 62 point (a), 63 and 65 of CRRThe amount to be reported shall not include the share premium related to the instruments |
| 780 | 1.2.1.2 (*)Memorandum item: Capital instruments and subordinated loans not eligibleArticle 63 points (c), (e) and (f); and article 64 of CRRConditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.The amount to be reported shall not include the share premium related to the instruments |
| 790 | 1.2.1.3Share premiumArticles 62 point (b) and 65 of CRRShare premium has the same meaning as under the applicable accounting standard.The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. |
| 800 | 1.2.1.4**(-) Own T2 instruments**Article 63 point (b) (i), 66 point (a), and 67 of CRROwn T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR.Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row.The amount to be reported shall include the share premium related to the own shares.Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5. |
| 810 | 1.2.1.4.1**(-) Direct holdings of T2 instruments**Articles 63 point (b), 66 point (a) and 67 of CRRTier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group. |
| 840 | 1.2.1.4.2**(-) Indirect holdings of T2 instruments**Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR |
| 841 | 1.2.1.4.3**(-) Synthetic holdings of T2 instruments**Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR |
| 842 | 1.2.1.5**(-) Actual or contingent obligations to purchase own T2 instruments**Articles 66 point (a) and 67 of CRRAccording to Article 66 point (a) of CRR, ‘own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted. |
| 880 | 1.2.2Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loansArticles 483(6) and (7), 484, 486, 488, 490 and 491 of CRRAmount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5. |
| 890 | 1.2.3Instruments issued by subsidiaries that are given recognition in T2 CapitalArticles 83, 87 and 88 of CRRSum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included. |
| 900 | 1.2.4Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiariesArticle 480 of CRRAdjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5. |
| 910 | 1.2.5IRB Excess of provisions over expected losses eligibleArticle 62 point (d) of CRRFor institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital. |
| 920 | 1.2.6SA General credit risk adjustmentsArticle 62 point (c) of CRRFor institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital. |
| 930 | 1.2.7**(-) Reciprocal cross holdings in T2 Capital**Articles 4(1)(122), 66 point (b) and 68 of CRRHoldings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items. |
| 940 | 1.2.8**(-) T2 instruments of financial sector entities where the institution does not have a significant investment**Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRRPart of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2. |
| 950 | 1.2.9**(-) T2 instruments of financial sector entities where the institution has a significant investment**Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRRHoldings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted. |
| 960 | 1.2.10Other transitional adjustments to T2 CapitalArticles 476 to 478 and 481 of CRRAdjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5. |
| 970 | 1.2.11**Excess of deduction from T2 items over T2 Capital (deducted in AT1)**Article 56 point (e) of CRRTier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1.With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure. |
| 974 | 1.2.12**(-) Additional deductions of T2 Capital due to Article 3 CRR**Article 3 CRR |
| 978 | 1.2.13T2 capital elements or deductions — otherThis row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974.This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR). |
1.3.C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
1.3.1.Instructions concerning specific positions
| Row | Legal references and instructions |
|---|---|
| 010 | 1.TOTAL RISK EXPOSURE AMOUNTArticles 92(3), 95, 96 and 98 of CRR |
| 020 | 1*Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRRFor investment firms under Article 95(2) and Article 98 of CRR |
| 030 | 1****Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR**For investment firms under Article 96(2) and Article 97 of CRR |
| 040 | 1.1RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIESArticle 92(3) points (a) and (f) of CRR |
| 050 | 1.1.1**Standardised approach (SA)**CR SA and SEC SA templates at the level of total exposures. |
| 060 | 1.1.1.1SA exposure classes excluding securitisations positionsCR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions. |
| 070 | 1.1.1.1.01Central governments or central banksSee CR SA template |
| 080 | 1.1.1.1.02Regional governments or local authoritiesSee CR SA template |
| 090 | 1.1.1.1.03Public sector entitiesSee CR SA template |
| 100 | 1.1.1.1.04Multilateral Development BanksSee CR SA template |
| 110 | 1.1.1.1.05International OrganisationsSee CR SA template |
| 120 | 1.1.1.1.06InstitutionsSee CR SA template |
| 130 | 1.1.1.1.07CorporatesSee CR SA template |
| 140 | 1.1.1.1.08RetailSee CR SA template |
| 150 | 1.1.1.1.09Secured by mortgages on immovable propertySee CR SA template |
| 160 | 1.1.1.1.10Exposures in defaultSee CR SA template |
| 170 | 1.1.1.1.11Items associated with particular high riskSee CR SA template |
| 180 | 1.1.1.1.12Covered bondsSee CR SA template |
| 190 | 1.1.1.1.13Claims on institutions and corporate with a short-term credit assessmentSee CR SA template |
| 200 | 1.1.1.1.14**Collective investments undertakings (CIU)**See CR SA template |
| 210 | 1.1.1.1.15EquitySee CR SA template |
| 211 | 1.1.1.1.16Other itemsSee CR SA template |
| 220 | 1.1.1.2Securitisations positions SACR SEC SA template at the level of total securitisation types |
| 230 | 1.1.1.2.*Of which: resecuritisationCR SEC SA template at the level of total securitisation types |
| 240 | 1.1.2Internal ratings based Approach (IRB) |
| 250 | 1.1.2.1IRB approaches when neither own estimates of LGD nor Conversion Factors are usedCR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used) |
| 260 | 1.1.2.1.01Central governments and central banksSee CR IRB template |
| 270 | 1.1.2.1.02InstitutionsSee CR IRB template |
| 280 | 1.1.2.1.03Corporates — SMESee CR IRB template |
| 290 | 1.1.2.1.04Corporates — Specialised LendingSee CR IRB template |
| 300 | 1.1.2.1.05Corporates — OtherSee CR IRB template |
| 310 | 1.1.2.2IRB approaches when own estimates of LGD and/or Conversion Factor are usedCR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used) |
| 320 | 1.1.2.2.01Central governments and central banksSee CR IRB template |
| 330 | 1.1.2.2.02InstitutionsSee CR IRB template |
| 340 | 1.1.2.2.03Corporates — SMESee CR IRB template |
| 350 | 1.1.2.2.04Corporates — Specialised LendingSee CR IRB template |
| 360 | 1.1.2.2.05Corporates — OtherSee CR IRB template |
| 370 | 1.1.2.2.06Retail — secure by real estate SMESee CR IRB template |
| 380 | 1.1.2.2.07Retail — secure by real estate non-SMESee CR IRB template |
| 390 | 1.1.2.2.08Retail — Qualifying revolvingSee CR IRB template |
| 400 | 1.1.2.2.09Retail — Other SMESee CR IRB template |
| 410 | 1.1.2.2.10Retail — Other non-SMESee CR IRB template |
| 420 | 1.1.2.3Equity IRBSee CR EQU IRB template |
| 430 | 1.1.2.4Securitisations positions IRBCR SEC IRB template at the level of total securitisation types |
| 440 | 1.1.2.4*Of which: resecuritisationCR SEC IRB template at the level of total securitisation types |
| 450 | 1.1.2.5Other non credit-obligation assetsThe amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR. |
| 460 | 1.1.3Risk exposure amount for contributions to the default fund of a CCPArticles 307 to 309 of CRR |
| 490 | 1.2TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERYArticles 92(3) point (c) (ii) and 92(4) point (b) of CRR |
| 500 | 1.2.1Settlement/delivery risk in the non-Trading bookSee CR SETT template |
| 510 | 1.2.2Settlement/delivery risk in the Trading bookSee CR SETT template |
| 520 | 1.3TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKSArticles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR |
| 530 | 1.3.1Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) |
| 540 | 1.3.1.1Traded debt instrumentsMKR SA TDI template at the level of total currencies. |
| 550 | 1.3.1.2EquityMKR SA EQU template at the level of total national markets. |
| 560 | 1.3.1.3Foreign ExchangeSee MKR SA FX template |
| 570 | 1.3.1.4CommoditiesSee MKR SA COM template |
| 580 | 1.3.2**Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)**See MKR IM template |
| 590 | 1.4**TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)**Article 92(3) point (e) and 92(4) point (b) of CRRFor investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero. |
| 600 | 1.4.1**OpR Basic Indicator approach (BIA)**See OPR template |
| 610 | 1.4.2OpR Standardised (TSA)/Alternative Standardised (ASA) approachesSee OPR template |
| 620 | 1.4.3**OpR Advanced measurement approaches (AMA)**See OPR template |
| 630 | 1.5ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADSArticles 95(2), 96(2), 97 and 98(1) point (a) of CRROnly for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRRInvestment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5.Investment firms under Article 95 of CRR shall report:If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former. |
| 640 | 1.6TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENTArticle 92(3) point (d) of CRR See CVA template. |
| 650 | 1.6.1Advanced methodOwn funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template. |
| 660 | 1.6.2Standardised methodOwn funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template. |
| 670 | 1.6.3Based on OEMOwn funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template. |
| 680 | 1.7TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOKArticles 92(3) point (b) (ii) and 395 to 401 of CRR |
| 690 | 1.8OTHER RISK EXPOSURE AMOUNTSArticles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.Institutions shall report the amounts needed to comply with the following:Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRRAdditional risk exposure amounts due to Article 3 CRRThis item does not have a link to a details template. |
| 710 | 1.8.2Of which: Additional stricter prudential requirements based on Art 458Article 458 of CRR |
| 720 | 1.8.2*Of which: requirements for large exposuresArticle 458 of CRR |
| 730 | 1.8.2****Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property**Article 458 of CRR |
| 740 | 1.8.2***Of which: Of which: due to intra financial sector exposuresArticle 458 of CRR |
| 750 | 1.8.3Of which: Additional stricter prudential requirements based on Art 459Article 459 of CRR |
| 760 | 1.8.4Of which: Additional risk exposure amount due to Article 3 CRRArticle 3 CRRThe additional risk exposure amount has to be reported. shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30). |
1.4.C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
1.4.1.Instructions concerning specific positions
| Rows | |
|---|---|
| 010 | 1CET1 Capital ratioArticle 92(2) point (a) of CRRThe CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount. |
| 020 | 2Surplus(+)/Deficit(–) of CET1 capitalThis item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. |
| 030 | 3T1 Capital ratioArticle 92(2) point (b) of CRRThe T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount. |
| 040 | 4Surplus(+)/Deficit(–) of T1 capitalThis item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. |
| 050 | 5Total capital ratioArticle 92(2) point (c) of CRRThe total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount. |
| 060 | 6Surplus(+)/Deficit(–) of total capitalThis item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. |
| 070 | CET1 capital ratio including Pillar II adjustmentsArticle 92(2) point (a) of CRR and Article 104(2) CRD IVThis cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio. |
| 080 | Target CET1 capital ratio due to Pillar II adjustmentsArticle 104(2) CRD IVThis cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio. |
| 090 | T1 capital ratio including Pillar II adjustmentsArticle 92(2) point (b) of CRR and Article 104(2) CRD IVThis cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio. |
| 100 | Target T1 capital ratio due to Pillar II adjustmentsArticle 104(2) CRD IVThis cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio. |
| 110 | Total capital ratio including Pillar II adjustmentsArticle 92(2) point (c) of CRR and Article 104(2) CRD IVThis cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio. |
| 120 | Target Total capital ratio due to Pillar II adjustmentsArticle 104(2) CRD IVThis cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio. |
1.5.C 04.00 — MEMORANDUM ITEMS (CA4)
1.5.1.Instructions concerning specific positions
| Rows | |
|---|---|
| 010 | 1.Total deferred tax assetsThe amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet. |
| 020 | 1.1Deferred tax assets that do not rely on future profitabilityArticle 39 of CRRDeferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight. |
| 030 | 1.2Deferred tax assets that rely on future profitability and do not arise from temporary differencesArticles 36(1) point (c) and 38 of CRRDeferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1). |
| 040 | 1.3Deferred tax assets that rely on future profitability and arise from temporary differencesArticles 36(1) point (c); 38 and 48(1) point (a) of CRRDeferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 of CRR. |
| 050 | 2Total deferred tax liabilitiesThe amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet. |
| 060 | 2.1Deferred tax liabilities non deductible from deferred tax assets that rely on future profitabilityArticle 38(3) and (4) of CRRDeferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2. |
| 070 | 2.2Deferred tax liabilities deductible from deferred tax assets that rely on future profitabilityArticle 38 of CRR |
| 080 | 2.2.1Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differencesArticle 38(3), (4) and (5) of CRRDeferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR |
| 090 | 2.2.2Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differencesArticle 38(3), (4) and (5) of CRRDeferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR |
| 100 | 3.IRB excess (+) or shortfall (–) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposuresArticles 36(1) point (d), 62 point (d), 158 and 159 of CRRThis item shall only be reported by IRB institutions. |
| 110 | 3.1Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amountArticle 159 of CRRThis item shall only be reported by IRB institutions. |
| 120 | 3.1.1General credit risk adjustmentsArticle 159 of CRRThis item shall only be reported by IRB institutions. |
| 130 | 3.1.2Specific credit risk adjustmentsArticle 159 of CRRThis item shall only be reported by IRB institutions. |
| 131 | 3.1.3Additional value adjustments and other own funds reductionsArticles 34, 110 and 159 of CRRThis item shall only be reported by IRB institutions. |
| 140 | 3.2Total expected losses eligibleArticles 158(5), (6) and (10), and 159 of CRRThis item shall only be reported by IRB institutions. Only the expected loss related to non defaulted exposures shall be reported. |
| 145 | 4IRB excess (+) or shortfall (–) of specific credit risk adjustments to expected losses for defaulted exposuresArticles 36(1) point (d), 62 point (d), 158 and 159 of CRRThis item shall only be reported by IRB institutions. |
| 150 | 4.1Specific credit risk adjustments and positions treated similarilyArticle 159 of CRRThis item shall only be reported by IRB institutions. |
| 155 | 4.2Total expected losses eligibleArticles 158(5), (6) and (10), and 159 of CRRThis item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported. |
| 160 | 5Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2Article 62 point (d) of CRRFor IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB approach.The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap. |
| 170 | 6Total gross provisions eligible for inclusion in T2 capitalArticle 62 point (c) of CRRThis item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.The amount to be reported shall be gross of tax effects. |
| 180 | 7Risk weighted exposure amounts for calculating the cap to the provision eligible as T2Article 62 point (c) of CRRAccording to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts.The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap. |
| 190 | 8Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investmentArticle 46(1) point (a) of CRRThis item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %. |
| 200 | 910 % CET1 thresholdArticle 48(1) points (a) and (b) of CRRThis item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences.The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %. |
| 210 | 1017,65 % CET1 thresholdArticle 48(1) of CRRThis item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions. |
| 225 | 11.1Eligible capital for the purposes of qualifying holdings outside the financial sectorArticle 4(1)(71)(a) |
| 226 | 11.2Eligible capital for the purposes of large exposuresArticle 4(1)(71)(b) |
| 230 | 12Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positionsArticles 44 to 46 and 49 of CRR |
| 240 | 12.1Direct holdings of CET1 capital Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentArticles 44, 45, 46 and 49 of CRR |
| 250 | 12.1.1Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentArticles 44, 46 and 49 of CRRDirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:a)Underwriting positions held for 5 working days or fewer;b)The amounts relating to the investments for which any alternative in article 49 is applied; andc)Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR |
| 260 | 12.1.2**(-) Permitted offsetting short positions in relation to the direct gross holdings included above**Article 45 of CRRArticle 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 270 | 12.2Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(114), 44 and 45 of CRR |
| 280 | 12.2.1Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(114), 44 and 45 of CRRThe amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included |
| 290 | 12.2.2**(-) Permitted offsetting short positions in relation to the indirect gross holdings included above**Articles 4(1)(114) and 45 of CRRArticle 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 291 | 12.3.1Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(126), 44 and 45 of CRR |
| 292 | 12.3.2Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(126), 44 and 45 of CRR |
| 293 | 12.3.3**(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above**Articles 4(1)(126) and 45 of CRR |
| 300 | 13Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positionsArticles 58 to 60 of CRR |
| 310 | 13.1Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentArticles 58, 59 and 60(2) of CRR |
| 320 | 13.1.1Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentArticles 58 and 60(2) of CRRDirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:a)Underwriting positions held for 5 working days or fewer; andb)Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR |
| 330 | 13.1.2**(-) Permitted offsetting short positions in relation to the direct gross holdings included above**Article 59 of CRRArticle 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 340 | 13.2Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(114), 58 and 59 of CRR |
| 350 | 13.2.1Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(114), 58 and 59 of CRRThe amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included |
| 360 | 13.2.2**(-) Permitted offsetting short positions in relation to the indirect gross holdings included above**Articles 4(1)(114) and 59 of CRRArticle 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 361 | 13.3Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(126), 58 and 59 of CRR |
| 362 | 13.3.1Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(126), 58 and 59 of CRR |
| 363 | 13.3.2**(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above**Articles 4(1)(126) and 59 of CRR |
| 370 | 14.Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positionsArticles 68 to 70 of CRR |
| 380 | 14.1Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investmentArticles 68, 69 and 70(2) of CRR |
| 390 | 14.1.1Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investmentArticles 68 and 70(2) of CRRDirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding:a)Underwriting positions held for 5 working days or fewer; andb)Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR |
| 400 | 14.1.2**(-) Permitted offsetting short positions in relation to the direct gross holdings included above**Article 69 of CRRArticle 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 410 | 14.2Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investmentArticle 4(1)(114), 68 and 69 of CRR |
| 420 | 14.2.1Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(114), 68 and 69 of CRRThe amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included |
| 430 | 14.2.2**(-) Permitted offsetting short positions in relation to the indirect gross holdings included above**Articles 4(1)(114) and 69 of CRRArticle 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 431 | 14.3Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(126), 68 and 69 of CRR |
| 432 | 14.3.1Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investmentArticles 4(1)(126), 68 and 69 of CRR |
| 433 | 14.3.2**(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above**Articles 4(1)(126) and 69 of CRR |
| 440 | 15Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positionsArticles 44, 45, 47 and 49 of CRR |
| 450 | 15.1Direct holdings of CET1 capital of financial sector entities where the institution has a significant investmentArticles 44, 45, 47 and 49 of CRR |
| 460 | 15.1.1Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investmentArticles 44, 45, 47 and 49 of CRRDirect holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding:a)Underwriting positions held for 5 working days or fewer;b)The amounts relating to the investments for which any alternative in article 49 is applied; andc)Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR |
| 470 | 15.1.2**(-) Permitted offsetting short positions in relation to the direct gross holdings included above**Article 45 of CRRArticle 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 480 | 15.2Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(114), 44 and 45 of CRR |
| 490 | 15.2.1Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(114), 44 and 45 of CRRThe amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included. |
| 500 | 15.2.2**(-) Permitted offsetting short positions in relation to the indirect gross holdings included above**Articles 4(1)(114) and 45 of CRRArticle 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 501 | 15.3Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(126), 44 and 45 of CRR |
| 502 | 15.3.1Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(126), 44 and 45 of CRR |
| 503 | 15.3.2**(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above**Articles 4(1)(126) and 45 of CRR |
| 510 | 16Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positionsArticles 58 and 59 of CRR |
| 520 | 16.1Direct holdings of AT1 capital of financial sector entities where the institution has a significant investmentArticles 58 and 59 of CRR |
| 530 | 16.1.1Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investmentArticle 58 of CRRDirect holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding:a)Underwriting positions held for 5 working days or fewer (Article 56 point (d); andb)Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR |
| 540 | 16.1.2**(-) Permitted offsetting short positions in relation to the direct gross holdings included above**Article 59 of CRRArticle 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 550 | 16.2Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(114), 58 and 59 of CRR |
| 560 | 16.2.1Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(114), 58 and 59 of CRRThe amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included. |
| 570 | 16.2.2**(-) Permitted offsetting short positions in relation to the indirect gross holdings included above**Article 4(1)(114) and 59 of CRRArticle 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 571 | 16.3Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(126), 58 and 59 of CRR |
| 572 | 16.3.1Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(126), 58 and 59 of CRR |
| 573 | 16.3.2**(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above**Articles 4(1)(126) and 59 of CRR |
| 580 | 17Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positionsArticles 68 and 69 of CRR |
| 590 | 17.1Direct holdings of T2 capital of financial sector entities where the institution has a significant investmentArticles 68 and 69 of CRR |
| 600 | 17.1.1Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investmentArticle 68 of CRRDirect holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding:a)Underwriting positions held for 5 working days or fewer (Article 66 point (d); andb)Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR |
| 610 | 17.1.2**(-) Permitted offsetting short positions in relation to the direct gross holdings included above**Article 69 of CRRArticle 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 620 | 17.2Indirect holdings of T2 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(114), 68 and 69 of CRR |
| 630 | 17.2.1Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(114), 68 and 69 of CRRThe amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included |
| 640 | 17.2.2**(-) Permitted offsetting short positions in relation to the indirect gross holdings included above**Articles 4(1)(114), 69 of CRRArticle 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. |
| 641 | 17.3Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(126), 68 and 69 of CRR |
| 642 | 17.3.1Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investmentArticles 4(1)(126), 68 and 69 of CRR |
| 643 | 17.3.2**(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above**Articles 4(1)(126) and 69 of CRR |
| 650 | 18Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capitalArticle 46(4), 48(4) and 49(4) of CRR |
| 660 | 19Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capitalArticle 60(4) of CRR |
| 670 | 20Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capitalArticle 70(4) of CRR |
| 680 | 21Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waivedArticle 79 of CRRA competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.Note that these instruments shall also be reported on item 12.1. |
| 690 | 22Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waivedArticle 79 of CRRA competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.Note that these instruments shall also be reported on item 15.1. |
| 700 | 23Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waivedArticle 79 of CRRA competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.Note that these instruments shall also be reported on item 13.1. |
| 710 | 24Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waivedArticle 79 of CRRA competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.Note that these instruments shall also be reported on item 16.1. |
| 720 | 25Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waivedArticle 79 of CRRA competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.Note that these instruments shall also be reported on item 14.1. |
| 730 | 26Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waivedArticle 79 of CRRA competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.Note that these instruments shall also be reported on item 17.1. |
| 740 | 27Combined buffer requirementArticle 128 point (6) of CRD |
| 750 | Capital conservation bufferArticles 128 point (1) and 129 of CRDAccording to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell. |
| 760 | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member StateArticle 458(2) point d (iv) of CRRIn this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported. |
| 770 | Institution specific countercyclical capital bufferArticles 128 point (2), 130, 135-140 of CRD |
| 780 | Systemic risk bufferArticles 128 point (5), 133 and 134 of CRD |
| 790 | Systemically important institution bufferArticle 131 of CRDInstitutions shall report the amount of the Systemically important institution buffer which is applicable on a consolidated basis. |
| 800 | Global Systemically Important Institution bufferArticles 128 point (3) and 131 of CRD |
| 810 | Other Systemically Important Institution bufferArticles 128 point (4) and 131 of CRD |
| 820 | 28Own funds requirements related to Pillar II adjustmentsArticle 104(2) of CRD.If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell. |
| 830 | 29Initial capitalArticles 12, 28 to 31of CRD and Article 93 of CRR |
| 840 | 30Own funds based on Fixed OverheadsArticles 96(2) point (b), 97 and 98(1) point (a) of CRR |
| 850 | 31Non-domestic original exposuresInformation necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. |
| 860 | 32Total original exposuresInformation necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. |
| 870 | Adjustments to total own fundsArticle 500(4) of CRR |
| 880 | Own funds fully adjusted for Basel I floorArticle 500(1) point (b) and (4) of CRR |
| 890 | Own funds requirements for Basel I floorArticle 500(1) point (b) of CRR |
| 900 | Own funds requirements for Basel I floor — SA alternativeArticle 500(2) and (3) of CRR |
1.6.TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
1.6.1.General remarks
CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.
CA5 is structured as follows: a. Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions. b. Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.
Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.
Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.
Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.
1.6.2.C 05.01 — Transitional provisions (CA5.1)
Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.
Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.
Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).
In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.
There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect — if it results from transitional provisions — shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.
1.6.2.1.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | Adjustments to CET1 |
| 020 | Adjustments to AT1 |
| 030 | Adjustments to T2 |
| 040 | Adjustments included in RWAsColumn 050 includes the relevant residual amount, i.e. prior the application of provisions of Chapter 2 or 3 of Part Three of CRR.Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments included in RWA do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the RWA, those adjustments shall be included directly in the CR SA, CR IRB or CR EQU IRB. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items. |
| 050 | Applicable percentage |
| 060 | Eligible amount without transitional provisionsColumn 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments. |
| Rows | |
|---|---|
| 010 | 1.Total adjustmentsThis row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments |
| 020 | 1.1Grandfathered instrumentsArticles 483 to 491 of CRRThis row reflects the overall effect of instruments transitionally grandfathered in the different types of capital. |
| 030 | 1.1.1Grandfathered instruments: Instruments constituting state aidArticle 483 CRR |
| 040 | 1.1.1.1Instruments that qualified as own funds according to 2006/48/ECArticle 483(1) (2), (4) and (6) of CRR |
| 050 | 1.1.1.2Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment ProgrammeArticle 483(1), (3), (5), (7) and (8) of CRR |
| 060 | 1.1.2Instruments not constituting state aidThe amounts to be reported shall be obtained from column 060 of table CA 5.2. |
| 070 | 1.2Minority interests and equivalentsArticles 479 and 480 of CRRThis row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2. |
| 080 | 1.2.1Capital instruments and items that do not qualify as minority interestsArticles 479 of CRRThe amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation. |
| 090 | 1.2.2Transitional recognition in consolidated own funds of minority interestsArticles 84 and 480 of CRRThe amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. |
| 091 | 1.2.3Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capitalArticle 85 and 480 of CRRThe amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. |
| 092 | 1.2.4Transitional recognition in consolidated own funds of qualifying Tier 2 capitalArticle 87 and 480 of CRRThe amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. |
| 100 | 1.3Other transitional adjustmentsArticles 467 to 478 and 481 of CRRThis row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments. |
| 110 | 1.3.1Unrealised gains and lossesArticles 467 and 468 of CRRThis row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value. |
| 120 | 1.3.1.1Unrealised gainsArticle 468(1) of CRR |
| 130 | 1.3.1.2Unrealised lossesArticle 467(1) of CRR |
| 133 | 1.3.1.3Unrealised gains on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39Article 468 of CRR |
| 136 | 1.3.1.4Unrealised loss on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39Article 467 of CRR |
| 138 | 1.3.1.5Fair value gains and losses arising from the institution's own credit risk related to derivative liabilitiesArticle 468 of CRR |
| 140 | 1.3.2DeductionsArticles 36(1), 469 to 478 of CRRThis row reflects the overall effect of transitional provisions on deductions. |
| 150 | 1.3.2.1.Losses for the current financial yearArticles 36(1) point (a), 469 (1), 472 (3) and 478 of CRRThe amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR.Where firms have only been required to deduct material losses:where the total interim net loss was ‘material’, the full residual amount would be deducted from Tier 1, orwhere the whole total interim net loss was not ‘material’, no deduction of residual amount would be made. |
| 160 | 1.3.2.2.Intangible assetsArticles 36(1) point (b), 469 (1), 472 (4) and 478 of CRRWhen determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR.The amount to be reported in column 060 of this row shall be the original deduction Article 36(1)(b) of CRR. |
| 170 | 1.3.2.3.Deferred tax assets that rely on future profitability and do not arise from temporary differencesArticles 36(1) point (c), 469 (1), 472 (5) and 478 of CRRWhen determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities.The amount to be reported in column 060 of this row: Total amount according to Article 469(1) c) of CRR. |
| 180 | 1.3.2.4.IRB shortfall of provisions to expected lossesArticles 36(1) point (d), 469 (1), 472 (6) and 478 of CRRWhen determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR.The amount to be reported in column 060 of this row: Original deduction Article 36(1)(d) of CRR |
| 190 | 1.3.2.5.Defined benefit pension fund assetsArticles 33(1) point (e), 469 (1), 472 (7), 473 and 478 of CRRWhen determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR.The amount to be reported in column 060 of this row: Original deduction Article 36(1)(e) of CRR |
| 194 | 1.3.2.5.*of which: Introduction of amendments to IAS 19 — positive itemArticle 473 of CRR |
| 198 | 1.3.2.5.****of which: Introduction of amendments to IAS 19 — negative item**Article 473 of CRR |
| 200 | 1.3.2.6.Own instrumentsArticles 36(1) point (f), 469 (1), 472 (8) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR |
| 210 | 1.3.2.6.1Own CET1 instrumentsArticles 36(1) point (f), 469 (1), 472 (8) and 478 of CRRWhen determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR.Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to ‘direct’ and ‘indirect’ holdings.The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR. |
| 211 | 1.3.2.6.1****of which: Direct holdings**The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469(1)(b), 472 (8) (a) of CRR. |
| 212 | 1.3.2.6.1*of which: Indirect holdingsThe amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469(1)(b), 472 (8) (b) of CRR. |
| 220 | 1.3.2.6.2Own AT1 instrumentsArticles 56 point (a), 474, 475(2) and 478 of CRRWhen determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR.Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Additional Tier 1 holdings.The amount to be reported in column 060 of this row: Original deduction Article 56 (a) of CRR. |
| 221 | 1.3.2.6.2****of which: Direct holdings**The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 474 (b) and 475 (2) (a) of CRR. |
| 222 | 1.3.2.6.2*of which: Indirect holdingsThe amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 474 (b), 475 (2) (b) of CRR. |
| 230 | 1.3.2.6.3Own T2 instrumentsArticles 66 point (a), 476, 477(2) and 478 of CRRWhen determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR.Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Tier 2 holdings.The amount to be reported in column 060 of this row: Original deduction Article 66 (a) of CRR. |
| 231 | of which: Direct holdingsThe amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (a) of CRR |
| 232 | of which: Indirect holdingsThe amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (b) of CRR |
| 240 | 1.3.2.7.Reciprocal cross holdingsGiven that the treatment of the ‘residual amount’ differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments. |
| 250 | 1.3.2.7.1Reciprocal cross holdings in CET1 CapitalArticles 36(1) point (g), 469 (1), 472(9) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(g) of CRR |
| 260 | 1.3.2.7.1.1Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investmentArticles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRRThe amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR |
| 270 | 1.3.2.7.1.2Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investmentArticles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRRThe amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR |
| 280 | 1.3.2.7.2Reciprocal cross holdings in AT1 CapitalArticles 56 point (b), 474, 475(3) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 56 (b) of CRR |
| 290 | 1.3.2.7.2.1Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investmentArticles 56 point (b), 474, 475(3) point (a) and 478 of CRRThe amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR |
| 300 | 1.3.2.7.2.2Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investmentArticles 56 point (b), 474, 475(3) point (b) and 478 of CRRThe amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR |
| 310 | 1.3.2.7.3Reciprocal cross holdings in T2 CapitalArticles 66 point (b), 476, 477(3) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 66 (b) of CRR |
| 320 | 1.3.2.7.3.1Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investmentArticles 66 point (b), 476, 477(3) point (a) and 478 of CRRThe amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR |
| 330 | 1.3.2.7.3.2Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investmentArticles 66 point (b), 476, 477(3) point (b) and 478 of CRRThe amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR |
| 340 | 1.3.2.8.Own funds instruments of financial sector entities where the institution does not have a significant investment |
| 350 | 1.3.2.8.1CET1 instruments of financial sector entities where the institution does not have a significant investmentArticles 36(1) point (h), 469 (1), 472(10) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(h) of CRR |
| 360 | 1.3.2.8.2AT1 instruments of financial sector entities where the institution does not have a significant investmentArticles 56 point (c), 474, 475(4) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 56 (c) of CRR |
| 370 | 1.3.2.8.3T2 instruments of financial sector entities where the institution does not have a significant investmentArticles 66 point (c), 476, 477(4) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 66 (c) of CRR |
| 380 | 1.3.2.9Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investmentArticle 470(2) and (3) of CRRThe amount to be reported in column 060 of this row: Article 470(1) of CRR |
| 390 | 1.3.2.10Own funds instruments of financial sector entities where the institution has a significant investment |
| 400 | 1.3.2.10.1CET1 instruments of financial sector entities where the institution has a significant investmentArticles 36(1) point (i), 469 (1), 472(11) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(i) of CRR |
| 410 | 1.3.2.10.2AT1 instruments of financial sector entities where the institution has a significant investmentArticles 56 point (d), 474, 475(4) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 56 (d) of CRR |
| 420 | 1.3.2.10.2T2 instruments of financial sector entities where the institution has a significant investmentArticles 66 point (d), 476, 477(4) and 478 of CRRThe amount to be reported in column 060 of this row: Original deduction Article 66 (d) of CRR |
| 425 | 1.3.2.11Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 ItemsArticle 471 of CRR |
| 430 | 1.3.3Additional filters and deductionsArticle 481 of CRRThis row reflects the overall effect of transitional provisions on additional filters and deductions.In accordance with Article 481 of CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two. |
1.6.3.C 05.02 — Grandfathered instruments: instruments not constituing state aid (CA5.2)
- Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).
1.6.3.1.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | Amount of instruments plus related share premiumArticle 484(3) to (5) of CRRInstruments which are eligible for each respective row, including their related share premiums. |
| 020 | Base for calculating the limitArticles 486(2) to (4) of CRR |
| 030 | Applicable percentageArticle 486(5) of CRR |
| 040 | LimitArticle 486(2) to (5) of CRR |
| 050 | (-) Amount that exceeds the limits for grandfatheringArticle 486(2) to (5) of CRR |
| 060 | Total grandfathered amountThe amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1. |
| Rows | |
|---|---|
| 010 | 1.Instruments that qualified for point (a) of Article 57 of 2006/48/ECArticle 484(3) of CRRThe amount to be reported shall include the related share premium accounts. |
| 020 | 2.Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489Article 484(4) of CRR |
| 030 | 2.1Total instruments without a call or an incentive to redeemArticle 489 of CRRThe amount to be reported shall include the related share premium accounts. |
| 040 | 2.2Grandfathered instruments with a call and incentive to redeemArticle 489 of CRR |
| 050 | 2.2.1Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturityArticles 489(3), and 491 point (a) of CRRThe amount to be reported shall include the related share premium accounts. |
| 060 | 2.2.2Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturityArticles 489(5), and 491 point (a) of CRRThe amount to be reported shall include the related share premium accounts. |
| 070 | 2.2.3Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturityArticles 489(6) and 491 point (c) of CRRThe amount to be reported shall include the related share premium accounts |
| 080 | 2.3Excess on the limit of CET1 grandfathered instrumentsArticle 487(1) of CRRThe excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments. |
| 090 | 3.Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490Article 484(5) of CRR |
| 100 | 3.1Total items without an incentive to redeemArticle 490 of CRR |
| 110 | 3.2Grandfathered items with an incentive to redeemArticle 490 of CRR |
| 120 | 3.2.1Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturityArticles 490(3), and 491 point (a) of CRRThe amount to be reported shall include the related share premium accounts. |
| 130 | 3.2.2Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturityArticles 490(5), and 491 point (a) of CRRThe amount to be reported shall include the related share premium accounts. |
| 140 | 3.2.3Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturityArticles 490(6) and 491 point (c) of CRRThe amount to be reported shall include the related share premium accounts. |
| 150 | 3.3Excess on the limit of AT1 grandfathered instrumentsArticle 487(2) of CRRThe excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments. |
2.GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
2.1.GENERAL REMARKS
Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation. a) Entities within the scope of consolidation; b) Detailed group solvency information; c) Information on the contribution of individual entities to group solvency; d) Information on capital buffers;
Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.
2.2.DETAILED GROUP SOLVENCY INFORMATION
The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.
In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.
2.3.INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.
The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.
As this third part of the template refers to ‘contributions’, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.
The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group's consolidated CA template by adding the amounts reported for each entity in ‘Group Solvency’ template. In cases where the 1 % threshold is not exceeded a direct link to the CA template is not possible.
The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.
It is possible for one consolidated group to be included within another consolidated group. This means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. If the subgroup is subject to reporting requirements, it shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.
An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.
2.4.C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES — TOTAL (GS TOTAL)
| Columns | Instructions |
|---|---|
| 250-400 | ENTITIES WITHIN SCOPE OF CONSOLIDATIONSee instructions for C 06.02 |
| 410-480 | CAPITAL BUFFERSSee instructions for C 06.02 |
| Rows | Instructions |
|---|---|
| 010 | TOTALThe Total shall represent the sum of the values reported in all rows of template C 06.02. |
2.5.C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
| Columns | Instructions |
|---|---|
| 010-060 | ENTITIES WITHIN SCOPE OF CONSOLIDATIONThis template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR. |
| 010 | NAMEName of the entity within the scope of consolidation. |
| 020 | CODEThis code is a row identifier and shall be unique for each row in the table.Code assigned to the entity within the scope of consolidation.The actual composition of the code depends on the national reporting system. |
| 025 | LEI CODELEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions.Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org)).Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty. |
| 030 | INSTITUTION OR EQUIVALENT (YES/NO)‘YES’ shall be reported in case the entity is subject to own funds requirements according to CRD or provisions at least equivalent to Basel provisions.‘NO’ shall be reported otherwise.Minority interests:81(1) point (a) (ii) and 82(1) point (a) (ii)To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR. |
| 040 | SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP)‘SF’ shall be reported for individual subsidiaries fully consolidated.‘SP’ shall be reported for individual subsidiaries partially consolidated. |
| 050 | COUNTRY CODEInstitutions shall report the two-letter country code according to ISO 3166-2. |
| 060 | **SHARE OF HOLDING (%)**This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with Article 4(16) of CRR, the share of holding of a subsidiary of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned. |
| 070-240 | INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTThe section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution's rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.**Reporting of fixed overheads of investment firms:**Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR.The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template. |
| 070 | TOTAL RISK EXPOSURE AMOUNTThe sum of the columns 080 to 110 shall be reported. |
| 080 | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISKThe amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 ‘RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES’ and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of the template CA2. |
| 090 | POSITION, FX AND COMMODITY RISKSThe amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of the template CA2. |
| 100 | OPERATIONAL RISKThe amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2.Fixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of the template CA2. |
| 110 | OTHER RISK EXPOSURE AMOUNTSThe amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2. |
| 120-240 | DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDSThe information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating. |
| 120 | OWN FUNDSThe amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 ‘OWN FUNDS’ of the template CA1. |
| 130 | OF WHICH: QUALIFYING OWN FUNDSArticle 82 of CRRThis column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation.The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. |
| 140 | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVESArticle 87(1)(b) of CRR |
| 150 | TOTAL TIER 1 CAPITALArticle 25 of CRR |
| 160 | OF WHICH: QUALIFYING TIER 1 CAPITALArticle 82 of CRRThis column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. |
| 170 | RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTSArticle 85(1)(b) of CRR |
| 180 | COMMON EQUITY TIER 1 CAPITALArticle 50 of CRR |
| 190 | OF WHICH: MINORITY INTERESTSArticle 81 of CRRThis column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis.To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. |
| 200 | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVESArticle 84(1)(b) of CRR |
| 210 | ADDITIONAL TIER 1 CAPITALArticle 61 of CRR |
| 220 | OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITALArticles 82 and 83 of CRRThis column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in Article 85(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis.To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. |
| 230 | TIER 2 CAPITALArticle 71 of CRR |
| 240 | OF WHICH: QUALIFYING TIER 2 CAPITALArticles 82 and 83 of CRRThis column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in Article 87(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis.To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting. |
| 250-400 | INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP |
| 250-290 | CONTRIBUTION TO RISKSThe information reported in the following columns shall be according to the solvency rules applicable to the reporting institution. |
| 250 | TOTAL RISK EXPOSURE AMOUNTThe sum of the columns 260 to 290 shall be reported. |
| 260 | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISKThe amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation. |
| 270 | POSITION, FX AND COMMODITY RISKSRisk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report. |
| 280 | OPERATIONAL RISKIn case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification.Fixed overheads shall be included in this column. |
| 290 | OTHER RISK EXPOSURE AMOUNTSThe amount to be reported in this column corresponds to the risk exposure amount not especially listed above. |
| 300-400 | CONTRIBUTION TO OWN FUNDSThis part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity.Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, whereas columns 360 to 400 shall be reported by all other consolidated entities which contribute to the consolidated own funds.Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves.The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution. |
| 300-350 | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDSThe amount to be reported as ‘QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS’ shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities. |
| 300 | QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDSArticle 87 of CRR |
| 310 | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITALArticle 85 of CRR |
| 320 | MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITALArticle 84 of CRRThe amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR. |
| 330 | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITALArticle 86 of CRRThe amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to the CRR. |
| 340 | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITALArticle 89 of CRRThe amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to the CRR. |
| 350 | MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL |
| 360-400 | CONSOLIDATED OWN FUNDSArticle 18 CRRThe amount to be reported as ‘CONSOLIDATED OWN FUNDS’ is the amount as derived from the balance sheet, excluding any fund brought in by other group entities. |
| 360 | CONSOLIDATED OWN FUNDS |
| 370 | OF WHICH: COMMON EQUITY TIER 1 |
| 380 | OF WHICH: ADDITIONAL TIER 1 |
| 390 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULTThe contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests. |
| 400 | OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILLGoodwill or negative goodwill of the reporting entity on the subsidiary is reported here. |
| 410-480 | CAPITAL BUFFERSThe structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported following the calculating of the buffer requirements, that means depending whether the requirements shall be calculated on consolidated, sub-consolidated or individual level. |
| 410 | COMBINED BUFFER REQUIREMENTSArticle 128 point (2) of CRD |
| 420 | CAPITAL CONSERVATION BUFFERArticle 128 point (1) and 129 of CRDAccording to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell. |
| 430 | INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFERArticle 128 point (7), Article 130 and 135-140 of CRDIn this cell the concrete amount of the countercyclical buffer shall be reported. |
| 440 | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATEArticle 458(2) point d (iv) of CRRIn this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported. |
| 450 | SYSTEMIC RISK BUFFERArticle 133 and 134 of CRDIn this cell the amount of the systemic risk buffer shall be reported. |
| 460 | SYSTEMICAL IMPORTANT INSTITUTION BUFFERArticle 128 point (4) of CRDIn this cell the amount of the Systemically important institution buffer shall be reported. |
| 470 | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFERArticle 131 of CRDIn this cell the amount of the Global Systemically Important Institution buffer shall be reported. |
| 480 | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFERArticle 131 of CRDIn this cell the amount of the Other Systemically Important Institution buffer shall be reported. |
3.CREDIT RISK TEMPLATES
3.1.GENERAL REMARKS
- There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.
3.1.1.Reporting of CRM techniques with substitution effect
Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.
Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.
Articles 196, 197 and 200 of CRR regulate the funded credit protection.
Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.
The exposure type does not change because of unfunded credit protection.
If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.
The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.
3.1.2.Reporting of Counterparty Credit Risk
- Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.
3.2.C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
3.2.1.General remarks
- The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on: a) the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes; b) the amount and type of credit risk mitigation techniques used for mitigating the risks.
3.2.2.Scope of the CR SA template
According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.
The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.
However the following positions are not within the scope of CR SA: a) Exposures assigned to exposure class ‘items representing securitisation positions’ according to Article 112 (m) of CRR which shall be reported in the CR SEC templates. b) Exposures deducted from own funds.
The scope of the CR SA template covers the following own funds requirements: a) Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book; b) Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book; c) Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.
The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.
In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.
These memorandum items shall only be reported for the following exposure classes: a) Central governments or central banks (Article 112 point (a) of CRR) b) Regional governments or local authorities (Article 112 point (b) of CRR) c) Public sector entities (Article 112 point (c) of CRR) d) Institutions (Article 112 point (f) of CRR) e) Corporates (Article 112 point (g) of CRR) f) Retail (Article 112 point (h) of CRR).
The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA.
The memorandum rows provide additional information about the obligor structure of the exposure classes ‘in default’ or ‘secured by immovable property’. Exposures shall be reported in these rows wherethe obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured by immovable property’. However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes ‘in default’ or ‘secured by immovable property’.
E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, row 320 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class ‘institutions’.
3.2.3.Assignment of exposures to exposure classes under the Standardised Approach
In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied: a) In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. b) In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.
The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).
Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in the CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings.
For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.
An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process.
With this background the assessment ranking in the decision tree mentioned below would follow the following order: 1. Securitisation positions; 2. Items associated with particular high risk; 3. Equity exposures 4. Exposures in default; 5. Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/Exposures in the form of covered bonds (disjoint exposure classes); 6. Exposures secured by mortgages on immovable property; 7. Other items; 8. Exposures to institutions and corporates with a short-term credit assessment; 9. All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.
In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (‘CIU’).
In the case of ‘nth’ to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) of CRR.
In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider. DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR
| Original exposure pre conversion factors | ||
|---|---|---|
| Does it fit for being assigned to the exposure class of Article 112 (m)? | YES[other image: L_2015205EN.01011001.tif] | Securitisation positions |
| NO[other image: L_2015205EN.01011002.tif] | ||
| Does it fit for being assigned to the exposure class of Article 112point (k)? | YES[other image: L_2015205EN.01011003.tif] | Items associated with particular high risk (also see Article 128) |
| NO[other image: L_2015205EN.01011004.tif] | ||
| Does it fit for being assigned to the exposure class of Article 112 point (p)? | YES[other image: L_2015205EN.01011005.tif] | Equity exposures (also see Article 133) |
| NO[other image: L_2015205EN.01011006.tif] | ||
| Does it fit for being assigned to the exposure class of Article 112 point (j)? | YES[other image: L_2015205EN.01011007.tif] | Exposures in default |
| NO[other image: L_2015205EN.01011008.tif] | ||
| Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)? | YES[other image: L_2015205EN.01011009.tif] | Exposures in the form of units or shares in collective investment undertakings (CIU)Exposures in the form of covered bonds (also see Article 129)These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward. |
| NO[other image: L_2015205EN.01011010.tif] | ||
| Does it fit for being assigned to the exposure class of Article 112 point (i)? | YES[other image: L_2015205EN.01011011.tif] | Exposures secured by mortgages on immovable property (also see Article 124) |
| NO[other image: L_2015205EN.01011012.tif] | ||
| Does it fit for being assigned to the exposure class of Article 112 point (q)? | YES[other image: L_2015205EN.01011101.tif] | Other items |
| NO[other image: L_2015205EN.01011102.tif] | ||
| Does it fit for being assigned to the exposure class of Article 112 point (n)? | YES[other image: L_2015205EN.01011103.tif] | Exposures to institutions and corporates with a short-term credit assessment |
| NO[other image: L_2015205EN.01011104.tif] | ||
| The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward.Exposures to central governments or central banksExposures to regional governments or local authoritiesExposures to public sector entitiesExposures to multilateral development banksExposures to international organisationsExposures to institutionsExposures to corporatesRetail exposures |
3.2.4.Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR
3.2.4.1.Exposure Class Institutions
Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:
Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.
According Article 113(6) and (7) of CRR ‘an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.’ This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.
3.2.4.2.Exposure Class Covered Bonds
The assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:
Bonds as defined in Article 52(4) of Directive 2009/65/EC shall fulfil the requirements of Article 129(1) to (2) of CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class ‘Covered Bonds’ because of Article 129(6) of CRR.
3.2.4.3.Exposure class Collective Investment Undertakings
- Where the possibility according to Article 132(5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111(1) sentence 1 of CRR.
3.2.5.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | ORIGINAL EXPOSURE PRE CONVERSION FACTORSExposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR:For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR.Exposure values for leases are subject to Article 134(7) of CRR.In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral.In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template. |
| 030 | (-) Value adjustments and provision associated with the original exposureArticle 24 and 110 of CRRValue adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to. |
| 040 | Exposure net of value adjustments and provisionsSum of columns 010 and 030. |
| 050-100 | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURECredit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM.If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.Items to be reported here:collateral, incorporated according to Financial Collateral Simple Method;eligible unfunded credit protection.Please also see instructions of point 4.1.1. |
| 050-060 | **Unfunded credit protection: adjusted values (Ga)**Article 235 of CRRArticle 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection. |
| 050 | GuaranteesArticle 203 of CRRUnfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives. |
| 060 | Credit derivativesArticle 204 of CRR. |
| 070-080 | Funded credit protectionThese columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors).Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral. |
| 070 | Financial collateral: simple methodArticle 222(1) to (2) of CRR. |
| 080 | Other funded credit protectionArticle 232 of CRR. |
| 090-100 | SUBSTITUTION OF THE EXPOSURE DUE TO CRMArticles 222(3), Article 235(1) to (2) and Article 236 of CRR.Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and subsequently assigned to the protection provider's exposure class. This amount shall be considered as an Inflow into the protection provider's exposure class.Inflows and outflows within the same exposure classes shall also be reported.Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. |
| 110 | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORSAmount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE |
| 120-140 | CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHODArticles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral.The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR. |
| 120 | Volatility adjustment to the exposureArticle 223(2) to (3) of CRR.The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He |
| 130 | (-) Financial collateral adjusted value (Cvam)Article 239(2) of CRR.For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR.The amount to be reported corresponds to Cvam = C(1-Hc-Hfx)(t-t)/(T-t). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR. |
| 140 | (-) Of which: Volatility and maturity adjustmentsArticle 223(1) of CRR and Article 239(2) of CRR.The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)(t-t)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1- Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)[(t-t)/(T-t*)-1] |
| 150 | *Fully adjusted exposure value (E)**Article 220(4), Article 223(2) to (5) and Article 228(1) of CRR. |
| 160-190 | Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factorsArticle 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR. |
| 200 | Exposure valuePart 3 title II chapter 4 section 4 of CRR.Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR. |
| 210 | Of which: Arising from Counterparty Credit RiskFor Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR. |
| 215 | Risk weighted exposure amount pre SME-supporting factorArticle 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR. |
| 220 | Risk weighted exposure amount after SME-supporting factorArticle 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR. |
| 230 | Of which: with a credit assessment by a nominated ECAI |
| 240 | Of which: with a credit assessment derived from central government |
| rows | Instructions |
|---|---|
| 010 | Total exposures |
| 020 | of which: SMEAll exposures to SME shall be reported here. |
| 030 | of which: Exposures subject to the SME-supporting factorOnly exposures which meet the requirements of Article 501 CRR shall be reported here. |
| 040 | of which: Secured by mortgages on immovable property — Residential propertyArticle 125 of CRR.Only reported in exposure class ‘Secured by mortgages on immovable property’ |
| 050 | of which: Exposures under the permanent partial use of the standardised approachExposures treated under Article 150(1) of the CRR |
| 060 | of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementationExposures treated under Article 148(1) of the CRR |
| 070-130 | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPESReporting institution's ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.Reporting institution's ‘trading book’ counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their ‘trading book’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. |
| 070 | On balance sheet exposures subject to credit riskAssets referred to in Article 24 of CRR not included in any other category.Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row.Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030. |
| 080 | Off balance sheet exposures subject to credit riskOff-balance sheet positions comprise those items listed in Annex I of CRR.Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row.Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items. |
| 090-130 | Exposures/Transactions subject to counterparty credit risk |
| 090 | Securities Financing TransactionsSecurities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR. |
| 100 | Of which: centrally cleared through a QCCPArticle 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR.Trade exposures to a CCP according to Article 4(91) of CRR |
| 110 | Derivatives and Long Settlement TransactionsDerivatives comprise those contract listed in Annex II of CRR.Long Settlement Transactions as defined in Article 272(2) of CRR.Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row. |
| 120 | Of which: centrally cleared through a QCCPArticle 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRRTrade exposures to a CCP according to Article 4(91) of CRR |
| 130 | From Contractual Cross Product NettingExposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row. |
| 140-280 | BREAKDOWN OF EXPOSURES BY RISK WEIGHTS |
| 140 | 0 % |
| 150 | **2 %**Article 306(1) of CRR |
| 160 | **4 %**Article 305(3) of CRR |
| 170 | 10 % |
| 180 | 20 % |
| 190 | 35 % |
| 200 | 50 % |
| 210 | **70 %**Article 232(3) point (c) of CRR. |
| 220 | 75 % |
| 230 | 100 % |
| 240 | 150 % |
| 250 | **250 %**Article 133(2) of CRR |
| 260 | **370 %**Article 471 of CRR |
| 270 | **1250 %**Article 133(2) of CRR |
| 280 | Other risk weightsThis row is not available for exposure classes Government, Corporates, Institutions and Retail.For reporting those exposures not subject to the risk weights listed in the template.Article 113(1) to (5) of CRR.Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class ‘Other items’.See also Article 124(2) and Article 152(2) point (b) of CRR. |
| 290-320 | Memorandum ItemsSee also the explanation of the purpose of the memorandum items in the general section of the CR SA. |
| 290 | Exposures secured by mortgages on commercial immovable propertyArticle 112 point (i) of CRRThis is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate. |
| 300 | **Exposures in default subject to a risk weight of 100 %**Article 112 point (j) of CRR.Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default. |
| 310 | Exposures secured by mortgages on residential propertyArticle 112 point (i) of CRR.This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property. |
| 320 | **Exposures in default subject to a risk weight of 150 %**Article 112 point (j) of CRR.Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default. |
3.3.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
3.3.1.Scope of the CR IRB template
The scope of the CR IRB template covers own funds requirements for: i. Credit risk in the banking book, among which: - Counterparty credit risk in the banking book; Counterparty credit risk in the banking book; - Dilution risk for purchased receivables; Dilution risk for purchased receivables; ii. Counterparty credit risk in the trading book; iii. Free deliveries resulting from all business activities..
The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).
The CR IRB template does not cover the following data: i. Equity exposures, which are reported in the CR EQU IRB template; ii. Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates; iii. ‘Other non-obligation assets’, according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template; iv. Credit valuation adjustment risk, which is reported on the CVA Risk template; The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.
In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class: ‘NO’in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)‘YES’in case own estimates of LGD and credit conversion factors are used (Advanced IRB) In any case, for the reporting of the retail portfolios ‘YES’ has to be reported. In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.
3.3.2.Breakdown of the CR IRB template
- The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes: 1) Total (The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.) 2) Central banks and central governments (Article 147(2)(a) CRR) 3) Institutions (Article 147(2) point (b) CRR) 4.1) Corporate — SME (Article 147(2) point (c) CRR 4.2) Corporate — Specialised lending (Article 147(8) CRR) 4.3) Corporate — Other (All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2). 5.1) Retail — Secured by immovable property SME (Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property). 5.2) Retail — Secured by immovable property non-SME (Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1). 5.3) Retail — Qualifying revolving (Article 147(2) point (d) in conjunction with Article 154(4) CRR). 5.4) Retail — Other SME (Article 147(2) point (d) not reported under 5.1 and 5.3). 5.5) Retail — Other non — SME (Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).
3.3.3.C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)
3.3.3.1.Instructions concerning specific positions
| Columns | Instructions |
|---|---|
| 010 | **INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)**The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used.Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades.For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for ‘total exposure’). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %. |
| 020 | ORIGINAL EXPOSURE PRE CONVERSION FACTORSInstitutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166(1) and (2) and (4) to (7) of CRR.The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure. |
| 030 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESBreakdown of the original exposure pre conversion factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
| 040-080 | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURECredit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’. |
| 040-050 | UNFUNDED CREDIT PROTECTIONUnfunded credit protection: Values as they are defined in Article 4(59) of CRR.If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. |
| 040 | **GUARANTEES:**When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.When Own estimates of LGD are used, (Article 183 of CRR, except paragraph 3), the relevant value used in the internal model shall be reported.Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.Regarding exposures subject to the double default treatment, the value of unfunded credit protection is re-ported in column 220. |
| 050 | **CREDIT DERIVATIVES:**When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.When own estimates of LGD are used (Article 183 of CRR), the relevant value used in the internal modelling shall be reported.When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160Regarding exposures subject to the double default treatment the value of unfunded credit protection shall be reported in column 220. |
| 060 | OTHER FUNDED CREDIT PROTECTIONIf collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects of the exposure), it shall be capped at the exposure value.When own estimates of LGD are not used, Article 232 of CRR shall be applied.When own estimates of LGD are used, those credit risk mitigants that comply with the criteria in Article 212 of the CRR shall be reported. The relevant value used in the internal model shall be reported.To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170. |
| 070-080 | SUBSTITUTION OF THE EXPOSURE DUE TO CRMOutflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, obligor grades or pools.Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered.Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. |
| 090 | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORSExposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. |
| 100, 120 | Of which: Off Balance Sheet ItemsSee CR-SA instructions |
| 110 | EXPOSURE VALUEThe value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported.For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied.For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’. |
| 130 | Of which: Arising from counterparty Credit RiskSee CR SA instructions. |
| 140 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESBreakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
| 150-210 | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENTCRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of the CRRWhere own estimates of LGD are used:Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR.Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of the CRR. |
| 150 | GUARANTEESSee instructions to column 040. |
| 160 | CREDIT DERIVATIVESSee instructions to column 050. |
| 170 | OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTIONThe relevant value used in the internal modelling of the institution.Those credit risk mitigants that comply with the criteria in Article 212 of the CRR. |
| 180 | ELIGIBLE FINANCIAL COLLATERALFor trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragaph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral.When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported.When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral. |
| 190-210 | OTHER ELIGIBLE COLLATERALWhere own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR.Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. |
| 190 | REAL ESTATEWhere own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR.When own estimates of LGD are used the amount to be reported shall be the estimated market value. |
| 200 | OTHER PHYSICAL COLLATERALWhere own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR.Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral. |
| 210 | RECEIVABLESWhen own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported.When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral. |
| 220 | SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTIONGuarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ‘Guarantees’ and 050 ‘Credit derivatives’. |
| 230 | **EXPOSURE WEIGHTED AVERAGE LGD (%)All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR.For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered.The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E, the fully adjusted value of the exposure, and then reflected in LGD according to Article 228(2) CRR.The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110.If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered.In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR.The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.Data shall not be reported for specialized lending exposures referred to in Article 153(5).Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240. |
| 240 | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESExposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
| 250 | **EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)**The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days.This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class ‘retail’. |
| 255 | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTORFor Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.The SME-supporting factor according to Article 501 of CRR shall not be taken into account. |
| 260 | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTORFor Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.The SME-supporting factor according to Article 501 of CRR shall be taken into account. |
| 270 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESBreakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
| 280 | EXPECTED LOSS AMOUNTFor the definition of Expected Loss see Article 5(3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority. |
| 290 | (-) VALUE ADJUSTMENTS AND PROVISIONSValue Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades. |
| 300 | NUMBER OF OBLIGORSArticles 172(1) and (2) of CRR.For all exposure classes except retail, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted.Within the exposure class retail the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) of CRR applies, an obligor may be considered in more than one grade.As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects). |
| Rows | Instructions |
|---|---|
| 010 | TOTAL EXPOSURES |
| 015 | of which: Exposures subject to SME-supporting factorOnly exposures which meet the requirements of Article 501 CRR shall be reported here. |
| 020-060 | BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: |
| 020 | On balance sheet items subject to credit riskAssets referred to in Article 24 of CRR not included in any other category.Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030. |
| 030 | Off balance sheet items subject to credit riskOff-balance sheet positions comprise those items listed in Annex I of CRR.Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items. |
| 040-060 | Exposures/Transactions subject to counterparty credit risk |
| 040 | Securities Financing TransactionsSecurities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) of CRR.Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row. |
| 050 | Derivatives and Long Settlement TransactionsDerivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row. |
| 060 | From Contractual Cross Product NettingSee CR SA instructions |
| 070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTALFor exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR.For retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR.Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.A master scale is not used. Instead, institutions shall determine the scale to be used themselves. |
| 080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTALArticle 153(5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes. |
| 090-150 | BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: |
| 120 | Of which: In category 1Article 153(5) table 1 of CRR. |
| 160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATEArticles 193(1) and (2), 194 (1) to (7) and 230 (3) of CRR. |
| 170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTSExposures arising from free deliveries for which the alternative treatment referred to in Article 379(2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to a Article 379(2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153(8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row. |
| 180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLESSee Article 4(53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) of CRR.According to Article 166(6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation. |
3.3.4.C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)
| Column | Instructions |
|---|---|
| 005 | **Obligor grade (row identifier)**This is a row identifier and shall be unique for each row on a particular sheet of the table. It shall follow the numerical order 1, 2, 3, etc. |
| 010-300 | Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1. |
| Row | Instructions |
|---|---|
| 010-001 — 010-NNN | Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template. |
3.4.CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)
Institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. Exposures to supranational organisations shall be assigned to the geographical area ‘other countries’.
The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’ irrespective of the exposure class where the exposure to supranational organisations is assigned.
Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.
3.4.1.C 09.01 — Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)
3.4.1.1.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | ORIGINAL EXPOSURE PRE CONVERSION FACTORSSame definition as for column 010 of CR SA template |
| 020 | Exposures in defaultOriginal exposure pre conversion factors for those exposures which have been classified as ‘defaulted exposures’.This ‘memorandum item’ provides additional information about the obligor structure of the exposure class ‘in default’. Exposures shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘in default’.This information is a ‘memorandum item’ — hence does not affect the calculation of risk weighted exposure amounts of exposure class ‘in default’ according to Article 112 point (j) of CRR. |
| 040 | Observed new defaults for the periodThe amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. |
| 050 | General credit risk adjustmentsCredit risk adjustments according to Article 110 of CRR. |
| 055 | Specific credit risk adjustmentsCredit risk adjustments according to Article 110 of CRR. |
| 060 | Write-offsWrite-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)]. |
| 070 | Credit risk adjustments/write-offs for observed new defaultsSum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission. |
| 075 | Exposure valueSame definition as for column 200 of CR SA template |
| 080 | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTORSame definition as for column 215 of CR SA template |
| 090 | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTORSame definition as for column 220 of CR SA template |
| Rows | |
|---|---|
| 010 | Central governments or central banksArticle 112 point (a) of CRR. |
| 020 | Regional governments or local authoritiesArticle 112 point (b) of CRR. |
| 030 | Public sector entitiesArticle 112 point (c) of CRR. |
| 040 | Multilateral developments banksArticle 112 point (d) of CRR. |
| 050 | International organisationsArticle 112 point (e) of CRR. |
| 060 | InstitutionsArticle 112 point (f) of CRR. |
| 070 | CorporatesArticle 112 point (g) of CRR. |
| 075 | of which: SMESame definition as for row 020of CR SA template |
| 080 | RetailArticle 112 point (h) of CRR. |
| 085 | of which: SMESame definition as for row 020of CR SA template |
| 090 | Secured by mortgages on immovable propertyArticle 112 point (i) of CRR. |
| 095 | of which: SMESame definition as for row 020 of CR SA template |
| 100 | Exposures in defaultArticle 112 point (j) of CRR. |
| 110 | Items associated with particularly high riskArticle 112 point (k) of CRR. |
| 120 | Covered bondsArticle 112 point (l) of CRR. |
| 130 | Claims on institutions and corporates with a short-term credit assessmentArticle 112 point (n) of CRR. |
| 140 | **Collective investments undertakings (CIU)**Article 112 point (o) of CRR. |
| 150 | Equity exposuresArticle 112 point (p) of CRR. |
| 160 | Other exposuresArticle 112 point (q) of CRR. |
3.4.2.C 09.02 — Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)
3.4.2.1.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | ORIGINAL EXPOSURE PRE CONVERSION FACTORSSame definition as for column 020 of CR IRB template |
| 030 | Of which defaultedOriginal exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178. |
| 040 | Observed new defaults for the periodThe amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. |
| 050 | General credit risk adjustmentsCredit risk adjustments according to Article 110of CRR. |
| 055 | Specific credit risk adjustmentsCredit risk adjustments according to Article 110 of CRR. |
| 060 | Write-offsWrite-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)]. |
| 070 | Credit risk adjustments/write-offs for observed new defaultsSum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission. |
| 080 | **INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)**Same definition as for column 010 of CR IRB template |
| 090 | **EXPOSURE WEIGHTED AVERAGE LGD (%)**Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181(1) point (h) of CRR shall apply.Data shall not be reported for specialized lending exposures referred to in Article 153(5). |
| 100 | Of which: defaultedExposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR. |
| 105 | Exposure valueSame definition as for column 110 of CR IRB template. |
| 110 | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTORSame definition as for column 255 of CR IRB template |
| 120 | Of which defaultedRisk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR. |
| 125 | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTORSame definition as for column 260 of CR IRB template |
| 130 | EXPECTED LOSS AMOUNTSame definition as for column 280 of CR IRB template |
| Rows | |
|---|---|
| 010 | Central banks and central governments(Article 147(2)(a) CRR) |
| 020 | Institutions(Article 147(2) point (b) CRR) |
| 030 | Corporates(All corporates according to Article 147(2) point (c).) |
| 040 | Of which: Specialized lending(Article 147(8) a CRR)Data shall not be reported for specialized lending exposures referred to in Article 153(5). |
| 050 | Of which: SME(Article 147(2) point (c) CRR) |
| 060 | RetailAll Retail exposures according to Article 147(2) point (d) |
| 070 | Retail — Secured by real estate propertyExposures reflecting Article 147(2) point (d) CRR which are secured by real estate. |
| 080 | SMERetail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR which are secured by real estate. |
| 090 | non-SMERetail exposures reflecting Article 147(2) point (d) CRR which are secured by real estate. |
| 100 | Retail — Qualifying revolving(Article 147(2) point (d) in conjunction with Article 154(4) CRR). |
| 110 | Other RetailOther retail exposures according to Article 147(2) point (d) not reported in rows 070 — 100. |
| 120 | SMEOther retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR. |
| 130 | non-SMEOther retail exposures reflecting Article 147(2) point (d) CRR. |
| 140 | EquityEquity exposures reflecting Article 147(2) point (e) CRR. |
3.4.3.C 09.03 — Geographical breakdown of relevant credit exposures for the purpose of calculation of the institution-specific countercyclical buffer (CR GB 3)
3.4.3.1.General remarks
According to Article 128 point (7) in connection with Articles 130 and 140 (1) CRD the countercyclical buffer rate is the ‘weighted average of the countercyclical buffer rates that apply in the jurisdiction where the relevant credit exposures of the institution are located’. The weighted average is calculated as follows: a)NumeratorTotal own funds requirements for credit risk determined in accordance with Part Three, Titles II and IV of CRR that relate to the relevant credit exposures in the territory in questionb)DenominatorTotal own funds requirements for credit risk that relate to the relevant credit exposures
This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical capital buffer. The information requested refers to the own funds requirements for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific countercyclical capital buffer (CCB) in accordance with Art 140 CRD (relevant credit exposures), and determined in accordance with Part Three, Title II and Title IV of the CRR.
The information shall be reported by country. The distribution by country of own fund requirements of relevant credit exposures should be made in accordance with the provisions laid down in the EBA RTS on the method for the identification of the geographical location of the relevant credit exposures EBA/RTS/2013/15. The threshold set in Article 5 (a) (4) of this Regulation is not relevant for the reporting of this breakdown.
3.4.3.2.Instructions concerning specific positions
| Rows | |
|---|---|
| 010 | Own funds requirementsOwn funds requirements for relevant credit exposures, trading book exposures and securitisation exposures in accordance with Article 140(4) CRD and determined in accordance with Part Three, Title II and Title IV of the CRR. |
3.5.C 10.01 AND C 10.02 — EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)
3.5.1.General remarks
The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. ‘CR EQU IRB’ refers to both ‘CR EQU IRB 1’ and ‘CR EQU IRB 2’ templates, as applicable, in the following instructions.
The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.
According to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class: a) non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or b) debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).
Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.
In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR: - the Simple Risk Weight approach, the Simple Risk Weight approach, - the PD/LGD approach, or the PD/LGD approach, or - the Internal Models approach. the Internal Models approach. Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))).
The following equity claims shall not be reported in the CR EQU IRB template: - Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR). Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR). - Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including: Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including: - Grandfathered equity exposures according to Article 495(1) of CRR, Grandfathered equity exposures according to Article 495(1) of CRR, - Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR), Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR), - Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR). Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR). - Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of ‘other non credit-obligation assets’ (in accordance with Article 155(1) of CRR). Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of ‘other non credit-obligation assets’ (in accordance with Article 155(1) of CRR). - Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR. Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.
3.5.2.Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)
| Columns | |
|---|---|
| 005 | **OBLIGOR GRADE (ROW IDENTIFIER)**The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc. |
| 010 | **INTERNAL RATING SYSTEM****PD ASSIGNED TO THE OBLIGOR GRADE (%)**Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR.The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.For figures corresponding to an aggregation of obligor grades or pools (e.g. ‘total exposures’) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes. |
| 020 | ORIGINAL EXPOSURE PRE CONVERSION FACTORSInstitutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’).Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR. |
| 030-040 | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREUNFUNDED CREDIT PROTECTIONGUARANTEES****CREDIT DERIVATIVESIrrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR. |
| 050 | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURESUBSTITUTION OF THE EXPOSURE DUE TO CRM(-) TOTAL OUTFLOWSInstitutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR. |
| 060 | EXPOSURE VALUEInstitutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR).As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR). |
| 070 | **EXPOSURE WEIGHTED AVERAGE LGD (%)**Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR. |
| 080 | RISK WEIGHTED EXPOSURE AMOUNTInstitutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR.In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR).With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR). |
| 090 | MEMORANDUM ITEM: EXPECTED LOSS AMOUNTInstitutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR. |
- In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).
| Rows | |
|---|---|
| CR EQU IRB 1 — row 020, | PD/LGD APRROACH: TOTALInstitutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template. |
| CR EQU IRB 1 — rows 050-090 | **SIMPLE RISK WEIGHT APPROACH: TOTAL****BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:**Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested information according to the characteristics of the underlying exposures in rows 050 to 090. |
| CR EQU IRB 1 — row 100 | INTERNAL MODELS APPROACHInstitutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100. |
| CR EQU IRB 1 — row 110 | EQUITY EXPOSURES SUBJECT TO RISK WEIGHTSInstitutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example,the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well asequity positions risk-weighted with 370 % in accordance with Article 471(2) CRRshall be reported in row 110. |
| CR EQU IRB 2 | **BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:**Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template.In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher. |
3.6.C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)
3.6.1.General remarks
This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) point (c) ii) and 378 of CRR.
Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.
According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.
In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.
Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.
According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.
Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).
3.6.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | UNSETTLED TRANSACTIONS AT SETTLEMENT PRICEIn accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices.All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date. |
| 020 | PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONSIn accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution.Only unsettled transactions at a loss after the due settlement date shall be reported in column 020 |
| 030 | OWN FUNDS REQUIREMENTSInstitutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR. |
| 040 | TOTAL SETTLEMENT RISK EXPOSURE AMOUNTIn accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount. |
| Rows | |
|---|---|
| 010 | Total unsettled transactions in the Non-trading BookInstitutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR). |
| 020 to 060 | **Transactions unsettled up to 4 days (Factor 0 %)****Transactions unsettled between 5 and 15 days (Factor 8 %)****Transactions unsettled between 16 and 30 days (Factor 50 %)****Transactions unsettled between 31 and 45 days (Factor 75 %)****Transactions unsettled for 46 days or more (Factor 100 %)**Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060.No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. |
| 070 | Total unsettled transactions in the Trading BookInstitutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR). |
| 080 to 120 | **Transactions unsettled up to 4 days (Factor 0 %)****Transactions unsettled between 5 and 15 days (Factor 8 %)****Transactions unsettled between 16 and 30 days (Factor 50 %)****Transactions unsettled between 31 and 45 days (Factor 75 %)****Transactions unsettled for 46 days or more (Factor 100 %)**Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120.No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. |
3.7.C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
3.7.1.General remarks
The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively.
3.7.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATEDOriginator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported.In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR. |
| 020-040 | SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURESFollowing the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch. |
| 020 | **(-) FUNDED CREDIT PROTECTION (C_VA)**The detailed calculation procedure of the volatility-adjusted value of the collateral (C_VA) which is expected to be reported in this column is established in Article 223(2) of CRR. |
| 030 | *(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G)*Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under this column shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection)The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G) is established in Article 233(3) of CRR. |
| 040 | NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTIONAll tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection. |
| 050 | SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORSSecuritisation positions held by the reporting institution, calculated according to Article 246(1)(a), (c) and (e), and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered.In case of early amortization clauses, institutions must specify the amount of ‘originator's' interest’ as defined in Article 256(2) of CRR.In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040. |
| 060 | (-) VALUE ADJUSTMENTS AND PROVISIONSValue adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items. |
| 070 | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONSSecuritisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors.This piece of information is related to column 040 of the CR SA Total template. |
| 080-110 | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREArticle 4(57) and Part Three, Title II, Chapter 4 of CRR.This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).See CR SA instructions (Reporting of CRM techniques with substitution effect). |
| 080 | **(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (G_A)**Unfunded credit protection is defined in Article 4(59) and regulated in Article 235 of CRR.See CR SA instructions (Reporting of CRM techniques with substitution effect). |
| 090 | (-) FUNDED CREDIT PROTECTIONFunded credit protection is defined in Article 4(58) and regulated in Articles 195, 197 and 200 of CRR.Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral.See CR SA instructions (Reporting of CRM techniques with substitution effect). |
| 100-110 | **SUBSTITUTION OF THE EXPOSURE DUE TO CRM:**Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported. |
| 100 | (-) TOTAL OUTFLOWSArticles 222(3) and 235 (1) and (2).Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade.This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template. |
| 110 | TOTAL INFLOWSSecuritisation positions which are debt securities and are eligible financial collateral according to Article 197(1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.This piece of information is related to column 100 (Total Inflows) of the CR SA Total template. |
| 120 | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORSExposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’.This piece of information is related to column 110 of the CR SA Total template. |
| 130 | **(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (C_VAM)**This item also includes credit linked notes (Article 218 of CRR).This piece of information is related to columns 120 and 130 of the CR SA Total template. |
| 140 | *FULLY ADJUSTED EXPOSURE VALUE (E)**Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point (c) of CRR.This piece of information is related to column 150 of the CR SA Total template. |
| 150-180 | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS**Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in the CRR.See columns 160 to 190 of the CR SA Total template.For reporting purposes, fully adjusted exposure values (E) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, [0 %, 20 %], [20 %, [50 %] and [50 %, 100 %]. |
| 190 | EXPOSURE VALUESecuritisation positions according to Article 246 of CRR.This piece of information is related to column 200 of the CR SA Total template. |
| 200 | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDSArticle 258 of CRR envisages that in case of a securitisation position in respect of which a 1250 % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position. |
| 210 | EXPOSURE VALUE SUBJECT TO RISK WEIGHTSExposure value minus the exposure value deducted from own funds. |
| 220-320 | BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS |
| 220-260 | RATEDArticle 242(8) of CRR defines rated positions.Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR. |
| 270 | **1250 % (UNRATED)**Article 242(7) of CRR defines unrated positions. |
| 280 | LOOK-THROUGHArticles 253, 254 and 256(5) of CRR.The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). |
| 290 | LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCPExposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR.Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme. |
| 300 | **LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)**Exposure value weighted average risk weight shall be provided. |
| 310 | **INTERNAL ASSESSMENT APPROACH (IAA)**Articles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach. |
| 320 | **IAA: AVERAGE RISK WEIGHT (%)**Exposure value weighted average risk weight shall be provided. |
| 330 | RISK-WEIGHTED EXPOSURE AMOUNTTotal risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. |
| 340 | OF WHICH: SYNTHETIC SECURITISATIONSFor synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch. |
| 350 | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONSArticles 14(2), 406(2) and 407 of CRR require that whenever certain requirements in Articles 405, 406 or 409 of CRR are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR. Such an additional risk weight may not only be imposed to investor institutions, but also to originators, sponsors and original lenders. |
| 360 | ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHESFor maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. |
| 370-380 | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAPTotal risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (column 370)/after (column 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR. |
| 390 | MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSESRisk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions. |
The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.
Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
| Rows | |
|---|---|
| 010 | TOTAL EXPOSURESTotal exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows. |
| 020 | OF WHICH: RE-SECURITISATIONSTotal amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR. |
| 030 | ORIGINATOR: TOTAL EXPOSURESThis row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR. |
| 040-060 | ON-BALANCE SHEET ITEMSArticle 246(1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments.On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060). |
| 070-090 | OFF-BALANCE SHEET ITEMS AND DERIVATIVESThese rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified.The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR. |
| 100 | EARLY AMORTISATIONThis row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR. |
| 110 | INVESTOR: TOTAL EXPOSURESThis row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. |
| 120-140 | ON-BALANCE SHEET ITEMSThe same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here. |
| 150-170 | OFF-BALANCE SHEET ITEMS AND DERIVATIVESThe same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here. |
| 180 | SPONSOR: TOTAL EXPOSURESThis row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows the information regarding its own securitised assets. |
| 190-210 | ON-BALANCE SHEET ITEMSThe same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here. |
| 220-240 | OFF-BALANCE SHEET ITEMS AND DERIVATIVESThe same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here. |
| 250-290 | BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTIONThese rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.These rows are only to be reported for columns 190 to 270 and columns 330 to 340. |
3.8.C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
3.8.1.General remarks
The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.
The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.
3.8.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATEDFor the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date.See column 010 of CR SEC SA. |
| 020-040 | SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURESArticles 249 and 250 of CRR.Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure. |
| 020 | **(-) FUNDED CREDIT PROTECTION (C_VA)**The detailed calculation procedure of the volatility-adjusted value of the collateral (C_VA) which is expected to be reported in this column is established in Article 223(2) of CRR. |
| 030 | *(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G)*Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under column 030 of the CR SEC IRB template shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection).The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G) is established in Article 233(3) of CRR. |
| 040 | NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTIONAll tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection. |
| 050 | SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORSSecuritisation positions held by the reporting institution, calculated according to Article 246(1)(b), (d) and (e), and (2) of CRR, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered.In case of early amortisation clauses, institutions must specify the amount of ‘originator's' interest’ as defined in Article 256(2) of CRR.In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040. |
| 060-090 | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURESee Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR.This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). |
| 060 | **(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (G_A)**Unfunded credit protection is defined in Article 4(1)(59) of CRR.Article 236 of CRR describes the computation procedure of G_A in the case of full protection/partial protection — equal seniority.This piece of information is related to columns 040 and 050 of the CR IRB template. |
| 070 | (-) FUNDED CREDIT PROTECTIONFunded credit protection is defined in Article 4(1)(58) of CRR.Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column.This piece of information is related to column 060 of the CR IRB template. |
| 080-090 | **SUBSTITUTION OF THE EXPOSURE DUE TO CRM:**Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported. |
| 080 | (-) TOTAL OUTFLOWSArticle 236 of CRR.Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade.This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.This piece of information is related to column 070 of the CR IRB template. |
| 090 | TOTAL INFLOWSThis piece of information is related to column 080 of the CR IRB template. |
| 100 | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORSExposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’.This piece of information is related to column 090 of the CR IRB template. |
| 110 | **(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)**Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR). |
| 120 | *FULLY ADJUSTED EXPOSURE VALUE (E)**Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point (c) of CRR. |
| 130-160 | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS**Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified.In this respect, Article 4(1)(56) of CRR defines conversion factor.For reporting purposes, fully adjusted exposure values (E) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %]. |
| 170 | EXPOSURE VALUESecuritisation positions according to Article 246 of CRR.This piece of information is related to column 110 of the CR IRB template. |
| 180 | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDSArticle 266(3) of CRR foresees that in case of a securitisation position in respect of which a 1250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position. |
| 190 | EXPOSURE VALUE SUBJECT TO RISK WEIGHTS |
| 200-320 | **RATINGS BASED METHOD (CREDIT QUALITY STEPS)**Article 261 of CRR.IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating.Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR. |
| 330 | SUPERVISORY FORMULA METHODFor the Supervisory Formula Method (SFM), Article 262 of CRR.The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided. |
| 340 | SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHTCredit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the ‘effective risk weight’ of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100).When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the ‘T’ adjusted according to what is established in Article 264(3) of CRR.Weighted average risk weights shall be reported in this column. |
| 350 | LOOK-THROUGHThe look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool).Article 263(2) and (3) of CRR envisage an exceptional treatment where K_irb cannot be calculated.The undrawn amount of the liquidity facilities shall be reported under ‘Off balance sheet items and derivatives’.As long as an originator would be under the exceptional treatment where K_irb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR.For early amortisations see Articles 256(5) and 265 of CRR. |
| 360 | LOOK-THROUGH: AVERAGE RISK WEIGHTExposure value weighted average risk weight shall be provided. |
| 370 | INTERNAL ASSESSMENT APPROACHArticle 259(3) and (4) of CRR envisages the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes. |
| 380 | IAA: AVERAGE RISK WEIGHTWeighted average risk weights shall be reported in this column. |
| 390 | (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONSInstitutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR.Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items. |
| 400 | RISK-WEIGHTED EXPOSURE AMOUNTPart Three, Title II, Chapter 5, Section 3 of CRR prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. |
| 410 | RWEA OF WHICH: SYNTHETIC SECURITISATIONSFor synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch. |
| 420 | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONSArticles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR. |
| 430 | ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHESFor maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.Negative values shall be reported in this column. |
| 440-450 | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAPTotal risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered. |
| 460 | MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSESRisk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions. |
The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.
Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
| Rows | |
|---|---|
| 010 | TOTAL EXPOSURESTotal exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows. |
| 020 | OF WHICH: RE-SECURITISATIONSTotal amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR. |
| 030 | ORIGINATOR: TOTAL EXPOSURESThis row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR. |
| 040-090 | ON-BALANCE SHEET ITEMSArticle 246(1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made.On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR. |
| 100-150 | OFF-BALANCE SHEET ITEMS AND DERIVATIVESThese rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified.Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR. |
| 160 | EARLY AMORTISATIONThis row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR. |
| 170 | INVESTOR: TOTAL EXPOSURESThis row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. |
| 180-230 | ON-BALANCE SHEET ITEMSThe same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here. |
| 240-290 | OFF-BALANCE SHEET ITEMS AND DERIVATIVESThe same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here. |
| 300 | SPONSOR: TOTAL EXPOSURESThis row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets. |
| 310-360 | ON-BALANCE SHEET ITEMSThe same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here. |
| 370-420 | OFF-BALANCE SHEET ITEMS AND DERIVATIVESThe same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here. |
| 430-540 | BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTIONThese rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.These rows are only to be reported for columns 170 to 320 and columns 400 to 410. |
3.9.C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
3.9.1.General remarks
This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.
This template is to be reported for: a. Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR. b. Securitisations originated/sponsored by the reporting institution during the year of report, in case it holds no position. c. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160. d. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
This template shall be reported by consolidated groups and stand alone institutions located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.
On account of Article 406(1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.
Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.
3.9.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 005 | ROW NUMBERThe row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc. |
| 010 | INTERNAL CODEInternal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation. |
| 020 | **IDENTIFIER OF THE SECURITISATION (Code/Name)**Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the characters that are common to all tranches of the securitisation shall be reported in this column. |
| 030 | **IDENTIFIER OF THE ORIGINATOR (Code/Name)**The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column.In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported. |
| 040 | **SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)**Report the following abbreviations:—‘T’for Traditional;—‘S’for Synthetic.The definitions of ‘traditional securitisation’ and ‘synthetic securitisation’ is provided in Article 242(10) and (11) of CRR. |
| 050 | **ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?**Originators, sponsors and original lenders shall report one of the following abbreviations:—‘K’if entirely recognised—‘P’if partially derecognised—‘R’if entirely derecognised—‘N’if not applicable.This column summarises the accounting treatment of the transaction.In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet.In case of the securitisations of liabilities originators shall not report this column.Option ‘P’ (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity' continuing involvement as regulated in IAS 39.30-35. |
| 060 | **SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?**Originators, only, shall report the following abbreviations:—‘N’not subject to own funds requirements;—‘B’banking book;—‘T’trading book;—‘A’partly in both books.Articles 109, 243 and 244 of CRR.This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book).If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution.Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.In the case of the securitisations of liabilities originators shall not report this column. |
| 070 | **SECURITISATION OR RE-SECURITISATION?**According to definitions of ‘securitisation’ and ‘re-securitisation’ are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations:—‘S’for securitisation;—‘R’for re-securitisation. |
| 080-100 | RETENTIONArticles 404 to 410 of CRR. |
| 080 | TYPE OF RETENTION APPLIEDFor each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR:AVertical slice (securitisation positions): ‘retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors.’VVertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures.BRevolving exposures:‘in the case of securitisations of revolving exposures, retention of the originator's interest of no less than 5 % of the nominal value of the securitised exposures’.COn-balance sheet: ‘retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination’.DFirst loss: ‘retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures’.EExempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR.NNot applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR.UIn breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance. |
| 090 | % OF RETENTION AT REPORTING DATEThe retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date).Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not required.This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied). |
| 100 | **COMPLIANCE WITH THE RETENTION REQUIREMENT?**Article 405(1) of CRR.Report the following abbreviations:YYes;NNo.This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied). |
| 110 | **ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)**Report the following abbreviations:—‘O’for Originator;—‘S’for Sponsor;—‘L’for Original Lender;—‘I’for Investor.See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply. |
| 120-130 | NON ABCP PROGRAMSBecause of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130. |
| 120 | **ORIGINATION DATE (mm/yyyy)**The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: ‘mm/yyyy’.For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
| 130 | TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATEThis column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date.In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported.This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
| 140-220 | SECURITISED EXPOSURESColumns 140 to 220 request information on several features of the securitised portfolio by the reporting entity. |
| 140 | TOTAL AMOUNTInstitutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced.This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
| 150 | **INSTITUTION'S SHARE (%)**It shall be reported the institution's share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. |
| 160 | TYPEThis column gathers information on the type of assets (‘1’ to ‘8’) or liabilities (‘9’ and ‘10’) of the securitised portfolio. The institution must report one of the following number codes:1Residential mortgages;2Commercial mortgages;3Credit card receivables;4Leasing;5Loans to corporates or SMEs (treated as corporates);6Consumer loans;7Trade receivables;8Other assets;9Covered bonds;10Other liabilities.In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘10’ (Other liabilities) includes treasury bonds and credit linked notes.For securitisation schemes backed by closed pools the type cannot change between reporting dates. |
| 170 | **APPROACH APPLIED (SA/IRB/MIX)**This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures.Report the following abbreviations:—‘S’for Standardised Approach;—‘I’for Internal Ratings Based Approach;—‘M’for a combination of both approaches (SA/IRB).If under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template.If under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template.If under combination of SA and IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates.This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column. |
| 180 | NUMBER OF EXPOSURESArticle 261(1) of CRR.This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘I’ in column 170). The institution shall report the effective number of exposures.This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors. |
| 190 | COUNTRYReport the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘OT’ (other) shall be reported. |
| 200 | **ELGD (%)**The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘I’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR.This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. |
| 210 | (-) VALUE ADJUSTMENTS AND PROVISIONSValue adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities.This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.Sponsors shall not report this column. |
| 220 | **OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)**This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (K_irb), as a percentage (with two decimals) on the total of securitised exposures at origination date. K_irb is defined in Article 242(4) of CRR.This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.Sponsors shall not report this column. |
| 230-300 | SECURITISATION STRUCTUREThis block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity.In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported. |
| 230-250 | ON-BALANCE SHEET ITEMSThis block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss). |
| 230 | SENIORAll tranches that do not qualify as mezzanine or first loss shall be included in this category. |
| 240 | MEZZANINESee Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR. |
| 250 | FIRST LOSSFirst loss tranche is defined in Article 242(15) of CRR. |
| 260-280 | OFF-BALANCE SHEET ITEMS AND DERIVATIVESThis block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).The same criteria of classification among tranches used for on-balance sheet items shall be applied here. |
| 290 | FIRST FORESEEABLE TERMINATION DATEThe likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:(i)the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;(ii)the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.The day, month and year of the first foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported. |
| 300 | LEGAL FINAL MATURITY DATEThe date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported. |
| 310-400 | SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORSThis block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date. |
| 310-330 | ON-BALANCE SHEET ITEMSThe same criteria of classification among tranches used for on-balance sheet items shall be applied here. |
| 340-360 | OFF-BALANCE SHEET ITEMS AND DERIVATIVESThe same criteria of classification among tranches used for off-balance sheet items shall be applied here. |
| 370-400 | MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVESThis block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360). |
| 370 | **DIRECT CREDIT SUBSTITUTES (DCS)**This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:*Guarantees having the character of credit substitutes.*Irrevocable standby letters of credit having the character of credit substitutes. |
| 380 | IRS/CRSIRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR. |
| 390 | ELIGIBLE LIQUIDITY FACILITIESLiquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-). |
| 400 | **OTHER (INCLUDING NON-ELIGIBLE LF)**This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR). |
| 410 | EARLY AMORTISATION: CONVERSION FACTOR APPLIEDArticles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors' interest (in order to calculate risk-weighted exposure amounts).This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations).According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread.In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template. |
| 420 | (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDSThis piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template.A negative figure shall be reported in this column. |
| 430 | TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAPThis column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column.In the case of the securitisations of liabilities this column shall not be reported. |
| 440 | TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAPThis column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column.In the case of the securitisations of liabilities this column shall not be reported. |
| 450-510 | SECURITISATION POSITIONS — TRADING BOOK |
| 450 | **CTP OR NON-CTP?**Report the following abbreviations:CCorrelation Trading Portfolio (CTP);NNon-CTP |
| 460-470 | NET POSITIONS — LONG/SHORTSee columns 050/060 of MKR SA SEC or MKR SA CTP, respectively. |
| 480 | TOTAL OWN FUNDS REQUIREMENTS (SA) — SPECIFIC RISKSee column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively. |
4.OPERATIONAL RISK TEMPLATES
4.1.C 16.00 — OPERATIONAL RISK (OPR)
4.1.1.General Remarks
This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level
Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should remain unchanged. Deviations from this ‘unchanged’ principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met.
If an institution can justify its competent authority that — due to exceptional circumstances such as a merger or a disposal of entities or activities — using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.
By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.
By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.
This template shall be submitted by all institutions subject to operational risk own funds requirement.
4.1.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010-030 | RELEVANT INDICATORInstitutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks.Hereafter, the term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the financial year as defined in Article 316 point 1, Table1 of CRR.If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2).Furthermore if there are no historical data on ‘relevant indicator’ available the institution may use forward-looking business estimates. |
| 040-060 | **LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)**These columns shall be used to report the amounts of the loans and advances for business lines ‘Commercial banking’ and ‘Retail banking’, as referred to in Article 319(1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319(1) point (a) of CRR).For the ‘commercial banking’ business line, securities held in the non-trading book shall also be included. |
| 070 | OWN FUND REQUIREMENTThe own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070. |
| 071 | TOTAL OPERATIONAL RISK EXPOSURE AMOUNTArticle 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5. |
| 080 | OF WHICH: DUE TO AN ALLOCATION MECHANISMArticle 18(1) of CRR (related to the inclusion, in the application referred to in Article 312(2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factoredin the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company. |
| 090-120 | AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE |
| 090 | OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUESThe own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below). |
| 100 | (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICESIn column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322(2) point (a) of CRR) is reported. |
| 110 | (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATIONThe diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a ‘perfect dependence’ situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than ‘perfect dependence’ between the risk classes). The ‘perfect dependence’ situation occurs in the ‘default case’, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the ‘default case’ and that obtained after applying the correlations structure between the risk classes. The value reflects the ‘diversification capacity’ of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported. |
| 120 | **(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)**In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported. |
| Rows | |
|---|---|
| 010 | **BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)**This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR). |
| 020 | BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHESThe own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported. |
| 030-100 | SUBJECT TO TSAIn the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR. |
| 110-120 | SUBJECT TO ASAInstitutions using the ASA (Article 319 of CRR) shall report for the respective years the relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines ‘Commercial banking’ and ‘Retail banking’.Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line ‘Commercial banking’ and those corresponding to the business line ‘Retail banking’ (Article 319 of CRR). There can be amounts for the rows corresponding to ‘Commercial banking’ and ‘Retail banking’ under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA). |
| 130 | BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMAThe relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported.In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks. |
4.2.C 17.00 — OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)
4.2.1.General Remarks
This template summarises the information on the gross losses and loss recoveries registered by an institution in the last year according to event types and business lines.
‘Gross loss’ means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of Regulation (EU) No 575/2013 — before recoveries of any type, without prejudice to 122.
‘Recovery’ means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties.
‘Rapidly recovered loss events’ means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, as well as into the OPR Details reporting at all.
‘Date of accounting’ means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows the ‘Date of occurrence’ (i.e. the date when the operational risk event happened or first began) and the ‘Date of discovery’ (i.e. the date on which the institution became aware of the operational risk event).
The Number of events is the number of operational risk events accounted for the first time within the reporting period.
The Total loss amount is the algebraic sum of the following elements: i. The gross loss amounts pertinent to operational risk events ‘accounted for the first time’ within the reporting period (e.g. direct charges, provisions, settlements); ii. the gross loss amounts pertinent to positive loss adjustments made within the reporting period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events ‘accounted for the first time’ in previous reporting periods; and iii. the gross loss amounts pertinent to negative loss adjustments made within the reporting period — due to decrease of provisions — of operational risk events ‘accounted for the first time’ in previous reporting periods.
The Number of events shall conventionally include also the events accounted for the first time in previous reporting periods and not yet reported in previous supervisory reports. The Total loss amount shall conventionally include also the elements as of Paragraph 124 pertinent to previous reporting periods and not yet reported in previous supervisory reports.
The Maximum single loss is the largest single amount among those included in 124.i or 124.ii above.
The Sum of the five largest losses is the sum of the five largest amounts among those included in 124.i or 124.ii above.
The Total loss recovery is the sum of all the recoveries accounted within the reporting period and pertinent to operational risk events accounted for the first time within the reporting period or in previous reporting periods.
The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1/1 to 30/6 of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1/1 to 31/12 of the calendar year).
The information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.
Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold.
Rows present the business lines, and within each business line, information on the number of events, the total loss amount, the maximum single loss, the sum of the five largest losses and the total loss recovery.
For the total business lines, data on the number of events and the total loss amount are also requested for certain ranges based on preset thresholds, 10000, 20000, 100000, and 1000000. The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.
Where the algebraic sum of the elements of the total loss amount, as indicated in paragraph 124 above, determines a negative value for some business lines/event types combinations, the value of 0 shall be reported in the pertinent cells.
This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.
In order to verify the conditions envisaged by Article 5 point (b) (2) (b), the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get ‘the sum of individual balance sheet totals of all institutions within the same Member State’.
Institutions subject to Article 5(b)(2)(b) of this Regulation may only report the following information for the sum of all event types (column 080) of the OPR Details template: (a) number of events (row 910); (b) total loss amount (row 920); (c) maximum single loss (row 930); (d) sum of the five largest losses (row 940) and (e) total loss recovery (row 950).
4.2.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010-070 | EVENT TYPESInstitutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 of CRR.Institutions that calculate their own funds requirement according to TSA or ASA can report the losses for which the event type is not identified in column 080. |
| 080 | TOTAL EVENT TYPESIn column 080, for each business line, institutions report the total ‘number of events’, the total of ‘total loss amount’ and the total of ‘total loss recovery’ as the simple aggregation of the number of loss events, the total gross loss amounts and the total loss recovery amounts reported in columns 010 to 070. The ‘maximum single loss’ in column 080 is the maximum of the ‘maximum single gross losses’ reported in columns 010 to 070. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported. |
| 090-100 | MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTIONInstitutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c) of CRR, last sentence of CRR. If the institution applies only one threshold for in each business line, only the column 090 shall be filled in. In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well. |
| Rows | |
|---|---|
| 010-850 | BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMSFor each business line as defined in Article 317(4) table 2 of CRR, including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) of CRR, and for each event type, the institution shall report, according to the internal thresholds the following information: number of events, total loss amount, maximum single loss, sum of the five largest losses and total loss recovery. For a loss event that affects more than one business line the ‘total loss amount’ is distributed among all the affected business lines. |
| 910-950 | TOTAL BUSINESS LINESFor each event type (column 010 to 080), the following information (Article 322(3) points b), c) and e) of CRR on total business lines (rows 910 to 950) has to be reported:—Number of events (row 910)the number of events above the internal threshold by event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one.—Number of events. Of which, ≥ 10000 and < 20000, ≥ 20000 and < 100000, ≥ 100000 and < 1000000, ≥ 1000000 (rows 911 to 914)the number of internal events included in the ranges defined in the pertinent rows shall be reported.—Total loss amount (row 920)the total loss amount is the simple aggregation of the total loss amount for each business line.—Total loss amount, Of which, ≥ 10000 and < 20000, ≥ 20000 and < 100000, ≥ 100000 and < 1000000, ≥ 1000000 (rows 921 to 924)the total loss amount included in the ranges defined in the pertinent rows shall be reported.—Maximum single loss (row 930)the maximum single loss is the maximum loss over the internal threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines.—Sum of the five largest losses (row 940)the sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless the number of losses.—Total loss recovery (row 950)the total loss recovery is the simple aggregation of the total loss recovery for each business line. |
| 910-950/080 | TOTAL BUSINESS LINES — TOTAL EVENT TYPES—Number of eventsfor each row from 910 to 914, the number of events is equal to the horizontal aggregation of the number of events in the corresponding row, given that in those figures the events with impacts in different business lines shall have already been considered as one event. The number in row 910 shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously.—Total loss amountfor each row from 920 to 924, the total loss amount is equal to both the horizontal aggregation of total loss amounts by event type in the corresponding row. The total loss amount in row 920 is equal to the vertical aggregation of total loss amounts by business line in column 080.—Maximum single lossas previously mentioned, when an event has impact in different business lines, it may be that the amount for ‘Maximum single loss’ in ‘Total Business lines’ for that particular event type is higher than the amounts of ‘Maximum single loss’ in each business line. Hence, the amount in this cell shall be equal to the highest of the values of ‘Maximum single loss’ in ‘Total Business lines’, which may not necessarily be equal to the highest value of ‘Maximum single loss’ across business lines in column 080.—Sum of the five largest lossesit is the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of ‘sum of the five largest losses’ in ‘Total Business lines’ nor the maximum value of ‘sum of the five largest losses’ in column 080.—Total loss recoveryit is equal to both the horizontal aggregation of total loss recoveries by event type in row 950 and the vertical aggregation of total loss recoveries by business line in column 080. |
5.MARKET RISK TEMPLATES
These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.
The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of CRR.
5.1.C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
5.1.1.General Remarks
This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively..
The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.
5.1.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010-020 | **ALL POSITIONS (LONG AND SHORT)**Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR. |
| 030-040 | **NET POSITIONS (LONG AND SHORT)**Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR. |
| 050 | POSITIONS SUBJECT TO CAPITAL CHARGEThose net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. |
| 060 | OWN FUNDS REQUIREMENTSThe capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR. |
| 070 | TOTAL RISK EXPOSURE AMOUNTArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. |
| Rows | |
|---|---|
| 010-350 | TRADED DEBT INSTRUMENTS IN TRADING BOOKPositions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used. |
| 011 | GENERAL RISK |
| 012 | DerivativesDerivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable. |
| 013 | Other assets and liabilitiesInstruments other than derivatives included in the calculation of interest rate risk of trading book positions. |
| 020-200 | MATURITY BASED APPROACHPositions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of CRR and the correspondent own funds requirements set up in Article 339(9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments. |
| 210-240 | GENERAL RISK. DURATION BASED APPROACHPositions in traded debt instruments subject to the duration-based approach according to Article 340(1) to (6) of CRR and the correspondent own funds requirements set up in Article 340(7) of CRR. The position shall be split by zones 1, 2 and 3. |
| 250 | SPECIFIC RISKSum of amounts reported in rows 251, 325 and 330.Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92(3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327(1) of CRR. |
| 251-321 | Own funds requirement for non-securitisation debt instrumentsSum of the amounts reported in rows 260 to 321.The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332(1) point (e) para 1 and 2 CRR — ‘look-through’). N-th-to-default credit derivatives which are rated externally (Article 332(1) point (e) para 3 CRR) shall be reported separately in line 321.Reporting of positions subject to Article 336(3) CRR:There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129(3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity.If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied. |
| 325 | Own funds requirement for securitisation instrumentsTotal own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI. |
| 330 | Own funds requirement for the correlation trading portfolioTotal own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI. |
| 340 | PARTICULAR APPROACH FOR POSITION RISK IN CIUsArticles 348 to 350 of CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 of CRR. It includes, if it is the case, the effects of applicable caps in the own funds requirements.If the particular approach according to Article 348 sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure. |
| 350-390 | **ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)**Article 329(3) of CRR.The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. |
5.2.C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
5.2.1.General Remarks
This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the standardised approach.
The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
Positions which receive a risk weight of 1250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.2.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010-020 | **ALL POSITIONS (LONG AND SHORT)**Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR. |
| 030-040 | **(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)**Article 258 of CRR. |
| 050-060 | **NET POSITIONS (LONG AND SHORT)**Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR. |
| 070-520 | BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTSArticles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions. |
| 230-240 and 460-470 | **1250 %**Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. |
| 250-260 and 480-490 | SUPERVISORY FORMULA METHODArticle 337(2) of CRR in connection with Article 262 of CRR.These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche. |
| 270 and 500 | LOOK THROUGHSA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR. |
| 280-290/510-520 | INTERNAL ASSESSMENT APPROACHArticle 109(1) sentence 2 and Article 259(3) and (4) of CRR.These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI's methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception. |
| 530-540 | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONSArticle 337(3) of CRR in connection with Article 407 of CRR. Article 14(2) of CRR |
| 550-570 | BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONSArticle 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss. |
| 580-600 | AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONSArticle 337 of CRR taking into account the discretion of Article 335 of CRR. |
| 610 | TOTAL OWN FUNDS REQUIREMENTSAccording to Article 337(4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (column 580) and its weighted net short positions (column 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337(4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (column 600), in order to calculate the own funds requirements. |
| Rows | |
|---|---|
| 010 | TOTAL EXPOSURESTotal amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor. |
| 040,070 and 100 | SECURITISATIONSArticle 4(61) and (62) of CRR. |
| 020,050, 080 and110 | RE-SECURITISATIONSArticle 4(63) of CRR. |
| 030-050 | ORIGINATORArticle 4(13) of CRR |
| 060-080 | INVESTORCredit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor |
| 090-110 | SPONSORArticle 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets |
| 120-210 | BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPESArticle 337(4), last sentence of CRR.The breakdown of the underlying assets follows the classification used in the SEC Details template (Column ‘Type’):—1residential mortgages;—2commercial mortgages;—3credit card receivables;—4leasing;—5loans to corporates or SMEs (treated as corporates);—6consumer loans;—7trade receivables;—8other assets;—9covered bonds;—10other liabilities.For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type. |
5.3.C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
5.3.1.General Remarks
This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338(3)) and the corresponding own funds requirements under the standardised approach.
The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The ‘other CTP-positions’ are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338(3) CRR), but they are explicitly ‘linked’ (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading ‘securitisation’ or ‘n-th to default credit derivative’.
Positions which receive a risk weight of 1250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.3.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010-020 | **ALL POSITIONS (LONG AND SHORT)**Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338(2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR. |
| 030-040 | **(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)**Article 258 of CRR. |
| 050-060 | **NET POSITIONS (LONG AND SHORT)**Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR. |
| 070-400 | **BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB)**Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. |
| 160 and 330 | OTHEROther risk weights not explicitly mentioned in the previous columns.For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or — if they are incorporated into the CTP — shall be assigned to the column of the respective risk weight. |
| 170 -180 and 360-370 | **1250 %**Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. |
| 190 -200 and 340-350 | SUPERVISORY FORMULA METHODArticle 337(2) of CRR in connection with Article 262 of CRR. |
| 210/380 | LOOK THROUGHSA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR. |
| 220-230 and 390-400 | INTERNAL ASSESSMENT APPROACHArticle 259(3) and (4) of CRR. |
| 410-420 | BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONSArticle 338 without taking into account the discretion of Article 335 of CRR. |
| 430-440 | AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONSArticle 338 taking into account the discretion of Article 335 of CRR. |
| 450 | TOTAL OWN FUNDS REQUIREMENTSThe own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440). |
| Rows | |
|---|---|
| 010 | TOTAL EXPOSURESTotal amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor. |
| 020-040 | ORIGINATORArticle 4(13) of CRR |
| 050-070 | INVESTORCredit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor |
| 080-100 | SPONSORArticle 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets |
| 030, 060 and 090 | SECURITISATIONSThe correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338(2) and (3) of CRR.Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘Other CTP positions’. |
| 110 | N-TH-TO-DEFAULT CREDIT DERIVATIVESN-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.. |
| 040, 070, 100 and 120 | OTHER CTP POSITIONSThe positions in:Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘Other CTP positions’;CTP positions hedged by credit derivatives according to Article 346 CRR;Other positions that satisfy Article 338(3) of CRR;are included. |
5.4.C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.4.1.General Remarks
This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the standardised approach.
The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement the term ‘market’ shall be read as ‘country’.
5.4.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010-020 | **ALL POSITIONS (LONG AND SHORT)**Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). |
| 030-040 | **NET POSITIONS (LONG AND SHORT)**Articles 327, 329, 332, 341 and 345 of CRR. |
| 050 | POSITIONS SUBJECT TO CAPITAL CHARGEThose net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately. |
| 060 | OWN FUNDS REQUIREMENTSThe capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR. |
| 070 | TOTAL RISK EXPOSURE AMOUNTArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. |
| Rows | |
|---|---|
| 010-130 | EQUITIES IN TRADING BOOKOwn funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR. |
| 020-040 | GENERAL RISKPositions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR.Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements. |
| 021 | DerivativesDerivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable. |
| 022 | Other assets and liabilitiesInstruments other than derivatives included in the calculation of equity risk of trading book positions. |
| 030 | Exchange traded stock-index futures broadly diversified and subject to a particular approachExchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344(1) and (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050). |
| 040 | Other equities than exchange traded stock-index futures broadly diversifiedOther positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR. |
| 050 | SPECIFIC RISKPositions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR. |
| 080 | PARTICULAR APPROACH FOR POSITION RISK IN CIUsThe CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. For reporting purposes, those positions shall be reported in the MKR SA EQU template.Positions in CIUs if capital requirements are calculated according to Article 348(1) CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 (reference to the ‘Use of internal models to calculate own funds requirements’) of CRR.If the particular approach according to Article 348(1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.If the specific methods of Article 350 CRR are applicable, the reporting of those positions shall follow the underlying investments. As a consequence, those positions would be reported in the relevant rows of either the MKR SA TDI or the MKR SA EQU template. |
| 090-130 | **ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)**Article 329(2) and (3) of CRR.The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. |
5.5.C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
5.5.1.General Remarks
Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs. Rows 100 to 470 of this template shall be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of CRR.
The memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
5.5.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 020-030 | **ALL POSITIONS (LONG AND SHORT)**Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) and positions related to items that are already deducted in the calculation of own funds shall not be reported. |
| 040-050 | **NET POSITIONS (LONG AND SHORT)**Articles 352(3) and (4), first and second sentences, and 353 of CRR.The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions. |
| 060-080 | POSITIONS SUBJECT TO CAPITAL CHARGEArticles 352(4), third sentence, 353 and 354 of CRR. |
| 060-070 | **POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)**The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions.Long net positions for each operation in a currency are added to obtain the long net position in that currency.Short net positions for each operation in a currency are added to obtain the short net position in that currency.Unmatched positions are added to positions subject to capital charges for other currencies (row 030) in column (060) or (070) depending on their short or long arrangement. |
| 080 | **POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)**Matched positions for closely correlated currencies |
| **RISK CAPITAL CHARGE (%)**As defined in Articles 351 and 354, the risk capital charges in percentage. | |
| 090 | OWN FUNDS REQUIREMENTSThe capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR. |
| 100 | TOTAL RISK EXPOSURE AMOUNTArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. |
| Rows | |
|---|---|
| 010 | TOTAL POSITIONS IN NON REPORTING CURRENCIESPositions in non-reporting currencies and their correspondent own funds requirements according to Article 92(3) point (c) (i) and Article 352(2) and (4) of CRR (for conversion into the reporting currency). |
| 020 | CURRENCIES CLOSELY CORRELATEDPositions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR. |
| 030 | **ALL OTHER CURRENCIES (including CIU's treated as different currencies)**Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.Reporting of CIU's treated as separate currencies according to Article 353 CRR:There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements:1.The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position)2.If the direction of the CIU's investment is available, those CIU's shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU)The reporting of those CIU's follows the calculation of the capital requirements accordingly. |
| 040 | GOLDPositions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR. |
| 050-090 | **ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)**Article 352(5) and (6) of CRR.The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. |
| 100-120 | Breakdown of total positions (reporting currency included) by exposure typesTotal positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items. |
| 100 | Other assets and liabilities other than off-balance sheet items and derivativesPositions not included in row 110 or 120 shall be included here. |
| 110 | Off-balance sheet itemsItems included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting. |
| 120 | DerivativesPositions valued according to Articles 352 CRR. |
| 130-480 | MEMORANDUM ITEMS: CURRENCY POSITIONSThe memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies. |
5.6.C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
5.6.1.General Remarks
- This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.
5.6.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 010-020 | **All POSITIONS (LONG AND SHORT)**Gross long/short positions considered positions in the same commodity according to Article 357(1) and (4) of CRR (see also Article 359(1) of CRR). |
| 030-040 | **NET POSITIONS (LONG AND SHORT)**As defined in Article 357(3) of CRR. |
| 050 | POSITIONS SUBJECT TO CAPITAL CHARGEThose net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge. |
| 060 | OWN FUNDS REQUIREMENTSThe capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR. |
| 070 | TOTAL RISK EXPOSURE AMOUNTArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5. |
| Rows | |
|---|---|
| 010 | TOTAL POSITIONS IN COMMODITIESPositions in commodities and their correspondent own funds requirements for market risk according to Article 92(3) point (c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR. |
| 020-060 | POSITIONS BY CATEGORY OF COMMODITYFor reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR. |
| 070 | MATURITY LADDER APPROACHPositions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR. |
| 080 | EXTENDED MATURITY LADDER APPROACHPositions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR |
| 090 | SIMPLIFIED APPROACHPositions in commodities subject to the Simplified approach as referred to in Article 360 of CRR. |
| 100-140 | **ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)**Article 358(4) of CRR.The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation |
5.7.C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)
5.7.1.General Remarks
This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.
Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR/Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.
5.7.2.Instructions concerning specific positions
| Columns | |
|---|---|
| 030-040 | VaRIt means the maximum potential loss that would result from a price change with a given probability over a specified time horizon. |
| 030 | **Multiplication factor (mc) × Average of previous 60 working days VaR (VaRavg)**Articles 364(1) point (a) (ii) and 365 (1) of CRR. |
| 040 | **Previous day VaR (VaRt-1)**Articles 364(1) point (a) (i) and 365 (1) of CRR. |
| 050-060 | Stressed VaRIt means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution's portfolio. |
| 050 | **Multiplication factor (ms) × Average of previous 60 working days (SVaRavg)**Articles 364(1) point (b) (ii) and 365 (1) of CRR. |
| 060 | **Latest available (SVaRt-1)**Articles 364(1) point (b) (i) and 365 (1) of CRR. |
| 070-080 | INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGEIt means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364(2) point (b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR. |
| 070 | 12 weeks average measureArticle 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR. |
| 080 | Last MeasureArticle 364(2) point (b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR. |
| 090-110 | ALL PRICE RISKS CAPITAL CHARGE FOR CTP |
| 090 | FLOORArticle 364(3) point (c) of CRR.= 8 % of the capital charge that would be calculated in accordance with Article 338(1) of CRR for all positions in the ‘all price risks’ capital charge. |
| 100-110 | 12 WEEKS AVERAGE MEASURE AND LAST MEASUREArticle 364(3) point (b). |
| 110 | LAST MEASUREArticle 364(3) point (a) |
| 120 | OWN FUNDS REQUIREMENTSReferred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364(2) of CRR. |
| 130 | TOTAL RISK EXPOSURE AMOUNTArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5. |
| 140 | **Number of overshootings (during previous 250 working days)**Referred to in Article 366 of CRR. |
| 150-160 | **VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)**As referred to in Article 366 of CRR. |
| 170-180 | ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAPThe amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364(3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss. |
| Rows | |
|---|---|
| 010 | TOTAL POSITIONSCorresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of CRR linked to the risk factors specified in Article 367(2) of CRR.Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items. |
| 020 | TRADED DEBT INSTRUMENTSCorresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367(2) of CRR. |
| 030 | TDI — GENERAL RISKGeneral risk defined in Article 362 of CRR. |
| 040 | TDI — SPECIFIC RISKSpecific risk defined in Article 362 of CRR. |
| 050 | EQUITIESCorresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367(2) of CRR. |
| 060 | EQUITIES — GENERAL RISKGeneral risk defined in Article 362 of CRR. |
| 070 | EQUITIES — SPECIFIC RISKSpecific risk defined in Article 362 of CRR. |
| 080 | FOREIGN EXCHANGE RISKArticles 363(1) and 367 (2) of CRR. |
| 090 | COMMODITY RISKArticles 363(1) and 367 (2) of CRR. |
| 100 | TOTAL AMOUNT FOR GENERAL RISKMarket risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable). |
| 110 | TOTAL AMOUNT FOR SPECIFIC RISKSpecific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable). |
5.8.C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)
5.8.1.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | Exposure valueArticle 271 of CRR in accordance with article 382 of CRRTotal EAD from all transactions subject to CVA charge |
| 020 | Of which: OTC derivativesArticle 271 of CRR in accordance with Article 382(1) of CRRThe part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set |
| 030 | Of which: SFTArticle 271 of CRR in accordance with Article 382(2) of CRRThe part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set |
| 040 | **MULTIPLICATION FACTOR (mc) × AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)**Article 383 of CRR in accordance with Article 363(1)(d) of CRRVaR calculation based on internal models for market risk |
| 050 | **PREVIOUS DAY (VaRt-1)**See instructions referring to column 040 |
| 060 | **MULTIPLICATION FACTOR (ms) × AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)**See instructions referring to column 040 |
| 070 | **LATEST AVAILABLE (SVaRt-1)**See instructions referring to column 040 |
| 080 | OWN FUNDS REQUIREMENTSArticle 92(3) d) of CRROwn funds requirements for CVA Risk calculated via the chosen method |
| 090 | TOTAL RISK EXPOSURE AMOUNTArticle 92(4) b) of CRROwn funds requirements multiplied by 12,5. |
| Memorandum items | |
| 100 | Number of counterpartiesArticle 382 of CRRNumber of counterparties included in calculation of own funds for CVA riskCounterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party. |
| 110 | Of which: proxy was used to determine credit spreadnumber of counterparties where the credit spread was determined using a proxy instead of directly observed market data |
| 120 | INCURRED CVAAccounting provisions due to decreased credit worthiness of derivatives counterparties |
| 130 | SINGLE NAME CDSArticle 386(1) lit. a of CRRTotal notional amounts of single name CDS used as hedge for CVA risk |
| 140 | INDEX CDSArticle 386(1) lit. b) of CRRTotal notional amounts of index CDS used as hedge for CVA risk |
| Rows | |
|---|---|
| 010 | CVA risk totalSum of rows 020-040 as applicable |
| 020 | According to Advanced methodAdvanced CVA risk method as prescribed by Article 383 of CRR |
| 030 | According to Standardised methodStandardised CVA risk method as prescribed by Article 384 of CRR |
| 040 | Based on OEMAmounts subject to the application of Article 385 of CRR |
REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
| FINREP TEMPLATES FOR IFRS | ||
|---|---|---|
| TEMPLATE NUMBER | TEMPLATE CODE | NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATES |
| PART 1 [QUARTERLY FREQUENCY] | ||
| 1.1 | F 01.01 | Balance Sheet Statement: assets |
| 1.2 | F 01.02 | Balance Sheet Statement: liabilities |
| 1.3 | F 01.03 | Balance Sheet Statement: equity |
| 2 | F 02.00 | Statement of profit or loss |
| 3 | F 03.00 | Statement of comprehensive income |
| 4.1 | F 04.01 | Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading |
| 4.2 | F 04.02 | Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss |
| 4.3 | F 04.03 | Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets |
| 4.4 | F 04.04 | Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments |
| 4.5 | F 04.05 | Subordinated financial assets |
| 5 | F 05.00 | Breakdown of loans and advances by product |
| 6 | F 06.00 | Breakdown of loans and advances to non-financial corporations by NACE codes |
| 7 | F 07.00 | Financial assets subject to impairment that are past due or impaired |
| 8.1 | F 08.01 | Breakdown of financial liabilities by product and by counterparty sector |
| 8.2 | F 08.02 | Subordinated financial liabilities |
| 9.1 | F 09.01 | Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given |
| 9.2 | F 09.02 | Loan commitments, financial guarantees and other commitments received |
| 10 | F 10.00 | Derivatives - Trading |
| 11.1 | F 11.01 | Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge |
| 12 | F 12.00 | Movements in allowances for credit losses and impairment of equity instruments |
| 13.1 | F 13.01 | Breakdown of loans and advances by collateral and guarantees |
| 13.2 | F 13.02 | Collateral obtained by taking possession during the period [held at the reporting date] |
| 13.3 | F 13.03 | Collateral obtained by taking possession [tangible assets] accumulated |
| 14 | F 14.00 | Fair value hierarchy: financial instruments at fair value |
| 15 | F 15.00 | Derecognition and financial liabilities associated with transferred financial assets |
| 16.1 | F 16.01 | Interest income and expenses by instrument and counterparty sector |
| 16.2 | F 16.02 | Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument |
| 16.3 | F 16.03 | Gains or losses on financial assets and liabilities held for trading by instrument |
| 16.4 | F 16.04 | Gains or losses on financial assets and liabilities held for trading by risk |
| 16.5 | F 16.05 | Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument |
| 16.6 | F 16.06 | Gains or losses from hedge accounting |
| 16.7 | F 16.07 | Impairment on financial and non-financial assets |
| 17.1 | F 17.01 | Reconciliation between accounting and CRR scope of consolidation: Assets |
| 17.2 | F 17.02 | Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given |
| 17.3 | F 17.03 | Reconciliation between accounting and CRR scope of consolidation: Liabilities |
| 18 | F 18.00 | Performing and non-performing exposures |
| 19 | F 19.00 | Forborne exposures |
| PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] | ||
| 20.1 | F 20.01 | Geographical breakdown of assets by location of the activities |
| 21 | F 21.00 | Tangible and intangible assets: assets subject to operating lease |
| 22.1 | F 22.01 | Fee and commission income and expenses by activity |
| 22.2 | F 22.02 | Assets involved in the services provided |
| PART 3 [SEMI-ANNUAL] | ||
| 30.1 | F 30.01 | Interests in unconsolidated structured entities |
| 30.2 | F 30.02 | Breakdown of interests in unconsolidated structured entities by nature of the activities |
| 31.1 | F 31.01 | Related parties: amounts payable to and amounts receivable from |
| 31.2 | F 31.02 | Related parties: expenses and income generated by transactions with |
| PART 4 [ANNUAL] | ||
| 40.1 | F 40.01 | Group structure: "entity-by-entity" |
| 40.2 | F 40.02 | Group structure: "instrument-by-instrument" |
| 41.1 | F 41.01 | Fair value hierarchy: financial instruments at amortised cost |
| 41.2 | F 41.02 | Use of the Fair Value Option |
| 41.3 | F 41.03 | Hybrid financial instruments not designated at fair value through profit or loss |
| 42 | F 42.00 | Tangible and intangible assets: carrying amount by measurement method |
| 43 | F 43.00 | Provisions |
| 44.1 | F 44.01 | Components of net defined benefit plan assets and liabilities |
| 44.2 | F 44.02 | Movements in defined benefit plan obligations |
| 44.3 | F 44.03 | Memo items [related to staff expenses] |
| 45.1 | F 45.01 | Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio |
| 45.2 | F 45.02 | Gains or losses on derecognition of non-financial assets other than held for sale |
| 45.3 | F 45.03 | Other operating income and expenses |
| 46 | F 46.00 | Statement of changes in equity |
1.Balance Sheet Statement [Statement of Financial Position]
1.1Assets
| References | Breakdown in table | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Cash, cash balances at central banks and other demand deposits | IAS 1.54 (i) | ||
| 020 | Cash on hand | Annex V.Part 2.1 | ||
| 030 | Cash balances at central banks | Annex V.Part 2.2 | ||
| 040 | Other demand deposits | Annex V.Part 2.3 | 5 | |
| 050 | Financial assets held for trading | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | ||
| 060 | Derivatives | IAS 39.9 | 10 | |
| 070 | Equity instruments | IAS 32.11 | 4 | |
| 080 | Debt securities | Annex V.Part 1.24, 26 | 4 | |
| 090 | Loans and advances | Annex V.Part 1.24, 27 | 4 | |
| 100 | Financial assets designated at fair value through profit or loss | IFRS 7.8(a)(i); IAS 39.9 | 4 | |
| 110 | Equity instruments | IAS 32.11 | 4 | |
| 120 | Debt securities | Annex V.Part 1.24, 26 | 4 | |
| 130 | Loans and advances | Annex V.Part 1.24, 27 | 4 | |
| 140 | Available-for-sale financial assets | IFRS 7.8(d); IAS 39.9 | 4 | |
| 150 | Equity instruments | IAS 32.11 | 4 | |
| 160 | Debt securities | Annex V.Part 1.24, 26 | 4 | |
| 170 | Loans and advances | Annex V.Part 1.24, 27 | 4 | |
| 180 | Loans and receivables | IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 | 4 | |
| 190 | Debt securities | Annex V.Part 1.24, 26 | 4 | |
| 200 | Loans and advances | Annex V.Part 1.24, 27 | 4 | |
| 210 | Held-to-maturity investments | IFRS 7.8(b); IAS 39.9, AG16, AG26 | 4 | |
| 220 | Debt securities | Annex V.Part 1.24, 26 | 4 | |
| 230 | Loans and advances | Annex V.Part 1.24, 27 | 4 | |
| 240 | Derivatives – Hedge accounting | IFRS 7.22(b); IAS 39.9 | 11 | |
| 250 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | IAS 39.89A(a) | ||
| 260 | Investments in subsidaries, joint ventures and associates | IAS 1.54(e); Annex V.Part 2.4 | 4, 40 | |
| 270 | Tangible assets | |||
| 280 | Property, Plant and Equipment | IAS 16.6; IAS 1.54(a) | 21, 42 | |
| 290 | Investment property | IAS 40.5; IAS 1.54(b) | 21, 42 | |
| 300 | Intangible assets | IAS 1.54(c); CRR art 4(1)(115) | ||
| 310 | Goodwill | IFRS 3.B67(d); CRR art 4(1)(113) | ||
| 320 | Other intangible assets | IAS 38.8,118 | 21, 42 | |
| 330 | Tax assets | IAS 1.54(n-o) | ||
| 340 | Current tax assets | IAS 1.54(n); IAS 12.5 | ||
| 350 | Deferred tax assets | IAS 1.54(o); IAS 12.5; CRR art 4(106) | ||
| 360 | Other assets | Annex V.Part 2.5 | ||
| 370 | Non-current assets and disposal groups classified as held for sale | IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 | ||
| 380 | TOTAL ASSETS | IAS 1.9(a), IG 6 |
1.2Liabilities
| References | Breakdown in table | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Financial liabilities held for trading | IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 | 8 | |
| 020 | Derivatives | IAS 39.9, AG 15(a) | 10 | |
| 030 | Short positions | IAS 39.AG 15(b) | 8 | |
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 | 8 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | 8 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | 8 | |
| 070 | Financial liabilities designated at fair value through profit or loss | IFRS 7.8 (e)(i); IAS 39.9 | 8 | |
| 080 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | 8 | |
| 090 | Debt securities issued | Annex V.Part 1.31 | 8 | |
| 100 | Other financial liabilities | Annex V.Part 1.32-34 | 8 | |
| 110 | Financial liabilities measured at amortised cost | IFRS 7.8(f); IAS 39.47 | 8 | |
| 120 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | 8 | |
| 130 | Debt securities issued | Annex V.Part 1.31 | 8 | |
| 140 | Other financial liabilities | Annex V.Part 1.32-34 | 8 | |
| 150 | Derivatives – Hedge accounting | IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 | 8 | |
| 160 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | IAS 39.89A(b) | ||
| 170 | Provisions | IAS 37.10; IAS 1.54(l) | 43 | |
| 180 | Pensions and other post employment defined benefit obligations | IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 | 43 | |
| 190 | Other long term employee benefits | IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 | 43 | |
| 200 | Restructuring | IAS 37.71, 84(a) | 43 | |
| 210 | Pending legal issues and tax litigation | IAS 37.Appendix C. Examples 6 and 10 | 43 | |
| 220 | Commitments and guarantees given | IAS 37.Appendix C.9 | 43 | |
| 230 | Other provisions | 43 | ||
| 240 | Tax liabilities | IAS 1.54(n-o) | ||
| 250 | Current tax liabilities | IAS 1.54(n); IAS 12.5 | ||
| 260 | Deferred tax liabilities | IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) | ||
| 270 | Share capital repayable on demand | IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 | ||
| 280 | Other liabilities | Annex V.Part 2.10 | ||
| 290 | Liabilities included in disposal groups classified as held for sale | IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 | ||
| 300 | TOTAL LIABILITIES | IAS 1.9(b);IG 6 |
1.3Equity
| References | Breakdown in table | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Capital | IAS 1.54(r), BAD art 22 | 46 | |
| 020 | Paid up capital | IAS 1.78(e) | ||
| 030 | Unpaid capital which has been called up | IAS 1.78(e); Annex V.Part 2.14 | ||
| 040 | Share premium | IAS 1.78(e); CRR art 4(1)(124) | 46 | |
| 050 | Equity instruments issued other than capital | Annex V.Part 2.15-16 | 46 | |
| 060 | Equity component of compound financial instruments | IAS 32.28-29; Annex V.Part 2.15 | ||
| 070 | Other equity instruments issued | Annex V.Part 2.16 | ||
| 080 | Other equity | IFRS 2.10; Annex V.Part 2.17 | ||
| 090 | Accumulated other comprehensive income | CRR art 4(1)(100) | 46 | |
| 095 | Items that will not be reclassified to profit or loss | IAS 1.82A(a) | ||
| 100 | Tangible assets | IAS 16.39-41 | ||
| 110 | Intangible assets | IAS 38.85-87 | ||
| 120 | Actuarial gains or (-) losses on defined benefit pension plans | IAS 1.7 | ||
| 122 | Non-current assets and disposal groups classified as held for sale | IFRS 5.38, IG Example 12 | ||
| 124 | Share of other recognised income and expense of investments in subsidaries, joint ventures and associates | IAS 1.82(h); IAS 28.11 | ||
| 128 | Items that may be reclassified to profit or loss | IAS 1.82A(a) | ||
| 130 | Hedge of net investments in foreign operations [effective portion] | IAS 39.102(a) | ||
| 140 | Foreign currency translation | IAS 21.52(b); IAS 21.32, 38-49 | ||
| 150 | Hedging derivatives. Cash flow hedges [effective portion] | IFRS 7.23(c); IAS 39.95-101 | ||
| 160 | Available-for-sale financial assets | IFRS 7.20(a)(ii); IAS 39.55(b) | ||
| 170 | Non-current assets and disposal groups classified as held for sale | IFRS 5.38, IG Example 12 | ||
| 180 | Share of other recognised income and expense of investments in subsidaries, joint ventures and associates | IAS 1.82(h); IAS 28.11 | ||
| 190 | Retained earnings | CRR art 4(1)(123) | ||
| 200 | Revaluation reserves | IFRS 1.30, D5-D8; Annex V.Part 2.18 | ||
| 210 | Other reserves | IAS 1.54; IAS 1.78(e) | ||
| 220 | Reserves or accumulated losses of investments in subsidaries, joint ventures and associates | IAS 28.11; Annex V.Part 2.19 | ||
| 230 | Other | Annex V.Part 2.19 | ||
| 240 | (-) Treasury shares | IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 | 46 | |
| 250 | Profit or loss attributable to owners of the parent | IAS 27.28; IAS 1.81B (b)(ii) | 2 | |
| 260 | (-) Interim dividends | IAS 32.35 | ||
| 270 | Minority interests [Non-controlling interests] | IAS 27.4; IAS 1.54(q); IAS 27.27 | ||
| 280 | Accumulated Other Comprehensive Income | IAS 27.27-28; CRR art 4(1)(100) | 46 | |
| 290 | Other items | IAS 27.27-28 | 46 | |
| 300 | TOTAL EQUITY | IAS 1.9(c), IG 6 | 46 | |
| 310 | TOTAL EQUITY AND TOTAL LIABILITIES | IAS 1.IG6 |
2.Statement of profit or loss
| References | Breakdown in table | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Interest income | IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 | 16 | |
| 020 | Financial assets held for trading | IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 | ||
| 030 | Financial assets designated at fair value through profit or loss | IFRS 7.20(a)(i), B5(e) | ||
| 040 | Available-for-sale financial assets | IFRS 7.20(b); IAS 39.55(b); IAS 39.9 | ||
| 050 | Loans and receivables | IFRS 7.20(b); IAS 39.9, 39.46(a) | ||
| 060 | Held-to-maturity investments | IFRS 7.20(b); IAS 39.9, 39.46(b) | ||
| 070 | Derivatives - Hedge accounting, interest rate risk | IAS 39.9; Annex V.Part 2.23 | ||
| 080 | Other assets | Annex V.Part 2.25 | ||
| 090 | (Interest expenses) | IAS 1.97; Annex V.Part 2.21 | 16 | |
| 100 | (Financial liabilities held for trading | IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 | ||
| 110 | (Financial liabilities designated at fair value through profit or loss | IFRS 7.20(a)(i), B5(e) | ||
| 120 | (Financial liabilities measured at amortised cost) | IFRS 7.20(b); IAS 39.47 | ||
| 130 | (Derivatives - Hedge accounting, interest rate risk) | IAS 39.9; Annex V.Part 2.23 | ||
| 140 | (Other liabilities) | Annex V.Part 2.26 | ||
| 150 | (Expenses on share capital repayable on demand) | IFRIC 2.11 | ||
| 160 | Dividend income | IAS 18.35(b)(v); Annex V.Part 2.28 | ||
| 170 | Financial assets held for trading | IFRS 7.20(a)(i), B5(e) | ||
| 180 | Financial assets designated at fair value through profit or loss | IFRS 7.20(a)(i), B5(e); IAS 39.9 | ||
| 190 | Available-for-sale financial assets | IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) | ||
| 200 | Fee and commission income | IFRS 7.20(c) | 22 | |
| 210 | (Fee and commission expenses) | IFRS 7.20(c) | 22 | |
| 220 | Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net | IFRS 7.20(a) (ii-v); Annex V.Part 2.97 | 16 | |
| 230 | Available-for-sale financial assets | IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) | ||
| 240 | Loans and receivables | IFRS 7.20(a)(iv); IAS 39.9, 39.56 | ||
| 250 | Held-to-maturity investments | IFRS 7.20(a)(iii); IAS 39.9, 39.56 | ||
| 260 | Financial liabilities measured at amortised cost | IFRS 7.20(a)(v); IAS 39.56 | ||
| 270 | Other | |||
| 280 | Gains or (-) losses on financial assets and liabilities held for trading, net | IFRS 7.20(a)(i); IAS 39.55(a) | 16 | |
| 290 | Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net | IFRS 7.20(a)(i); IAS 39.55(a) | 16, 45 | |
| 300 | Gains or (-) losses from hedge accounting, net | IFRS 7.24; Annex V.Part 2.30 | 16 | |
| 310 | Exchange differences [gain or (-) loss], net | IAS 21.28, 52 (a) | ||
| 330 | Gains or (-) losses on derecognition of non financial assets, net | IAS 1.34 | 45 | |
| 340 | Other operating income | Annex V.Part 2.141-143 | 45 | |
| 350 | (Other operating expenses) | Annex V.Part 2.141-143 | 45 | |
| 355 | TOTAL OPERATING INCOME, NET | |||
| 360 | (Administrative expenses) | |||
| 370 | (Staff expenses) | IAS 19.7; IAS 1.102, IG 6 | 44 | |
| 380 | (Other administrative expenses) | |||
| 390 | (Depreciation) | IAS 1.102, 104 | ||
| 400 | (Property, Plant and Equipment) | IAS 1.104; IAS 16.73(e)(vii) | ||
| 410 | (Investment Properties) | IAS 1.104; IAS 40.79(d)(iv) | ||
| 420 | (Other intangible assets) | IAS 1.104; IAS 38.118(e)(vi) | ||
| 430 | (Provisions or (-) reversal of provisions) | IAS 37.59, 84; IAS 1.98(b)(f)(g) | 43 | |
| 440 | (Commitments and guarantees given) | |||
| 450 | (Other provisions) | |||
| 460 | (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) | IFRS 7.20(e) | 16 | |
| 470 | (Financial assets measured at cost) | IFRS 7.20(e); IAS 39.66 | ||
| 480 | (Available- for-sale financial assets) | IFRS 7.20(e); IAS 39.67 | ||
| 490 | (Loans and receivables | IFRS 7.20(e); IAS 39.63 | ||
| 500 | (Held to maturity investments) | IFRS 7.20(e); IAS 39.63 | ||
| 510 | (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) | IAS 28.40-43 | 16 | |
| 520 | (Impairment or (-) reversal of impairment on non-financial assets) | IAS 36.126(a)(b) | 16 | |
| 530 | (Property, plant and equipment) | IAS 16.73(e)(v-vi) | ||
| 540 | (Investment properties) | IAS 40.79(d)(v) | ||
| 550 | (Goodwill) | IFRS 3.Appendix B67(d)(v); IAS 36.124 | ||
| 560 | (Other intangible assets) | IAS 38.118 (e)(iv)(v) | ||
| 570 | (Other) | IAS 36.126 (a)(b) | ||
| 580 | Negative goodwill recognised in profit or loss | IFRS 3.Appendix B64(n)(i) | ||
| 590 | Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates | IAS 1.82(c) | ||
| 600 | Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations | IFRS 5.37; Annex V.Part 2.27 | ||
| 610 | PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS | IAS 1.102, IG 6; IFRS 5.33 A | ||
| 620 | (Tax expense or (-) income related to profit or loss from continuing operations) | IAS 1.82(d); IAS 12.77 | ||
| 630 | PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS | IAS 1, IG 6 | ||
| 640 | Profit or (-) loss after tax from discontinued operations | IAS 1.82(e); IFRS 5.33(a), 5.33 A | ||
| 650 | Profit or (-) loss before tax from discontinued operations | IFRS 5.33(b)(i) | ||
| 660 | (Tax expense or (-) income related to discontinued operations) | IFRS 5.33 (b)(ii),(iv) | ||
| 670 | PROFIT OR (-) LOSS FOR THE YEAR | IAS 1.81A(a) | ||
| 680 | Attributable to minority interest [non-controlling interests] | IAS 1.83(a)(i) | ||
| 690 | Attributable to owners of the parent | IAS 1.81B (b)(ii) |
3.Statement of comprehensive income
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Profit or (-) loss for the year | IAS 1.7, 81(b), 83(a), IG6 | |
| 020 | Other comprehensive income | IAS 1.7, 81(b), IG6 | |
| 030 | Items that will not be reclassified to profit or loss | IAS 1.82A(a) | |
| 040 | Tangible assets | IAS 1.7, IG6; IAS 16.39-40 | |
| 050 | Intangible assets | IAS 1.7; IAS 38.85-86 | |
| 060 | Actuarial gains or (-) losses on defined benefit pension plans | IAS 1.7, IG6; IAS 19.93A | |
| 070 | Non-current assets and disposal groups held for sale | IFRS 5.38 | |
| 080 | Share of other recognised income and expense of entities accounted for using the equity method | IAS 1.82(h), IG6; IAS 28.11 | |
| 090 | Income tax relating to items that will not be reclassified | IAS 1.91(b); Annex V.Part 2.31 | |
| 100 | Items that may be reclassified to profit or loss | IAS 1.82A(b) | |
| 110 | Hedge of net investments in foreign operations [effective portion] | IAS 39.102(a) | |
| 120 | Valuation gains or (-) losses taken to equity | IAS 39.102(a) | |
| 130 | Transferred to profit or loss | IAS 1.7, 92-95; IAS 39.102(a) | |
| 140 | Other reclassifications | ||
| 150 | Foreign currency translation | IAS 1.7, IG6; IAS 21.52(b) | |
| 160 | Translation gains or (-) losses taken to equity | IAS 21.32, 38-47 | |
| 170 | Transferred to profit or loss | IAS 1.7, 92-95; IAS 21.48-49 | |
| 180 | Other reclassifications | ||
| 190 | Cash flow hedges [effective portion] | IAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96 | |
| 200 | Valuation gains or (-) losses taken to equity | IAS 1.IG6; IAS 39.95(a)-96 | |
| 210 | Transferred to profit or loss | IAS 1.7, 92-95, IG6; IAS 39.97-101 | |
| 220 | Transferred to initial carrying amount of hedged items | IAS 1.IG6; IAS 39.97-101 | |
| 230 | Other reclassifications | ||
| 240 | Available-for-sale financial assets | IAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) | |
| 250 | Valuation gains or (-) losses taken to equity | IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) | |
| 260 | Transferred to profit or loss | IFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b) | |
| 270 | Other reclassifications | IFRS 5.IG Example 12 | |
| 280 | Non-current assets and disposal groups held for sale | IFRS 5.38 | |
| 290 | Valuation gains or (-) losses taken to equity | IFRS 5.38 | |
| 300 | Transferred to profit or loss | IAS 1.7, 92-95; IFRS 5.38 | |
| 310 | Other reclassifications | IFRS 5.IG Example 12 | |
| 320 | Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates | IAS 1.82(h), IG6; IAS 28.11 | |
| 330 | Income tax relating to items that may be reclassified to profit or (-) loss | IAS 1.91(b), IG6; Annex V.Part 2.31 | |
| 340 | Total comprehensive income for the year | IAS 1.7, 81A(a), IG6 | |
| 350 | Attributable to minority interest [Non-controlling interest] | IAS 1.83(b)(i), IG6 | |
| 360 | Attributable to owners of the parent | IAS 1.83(b)(ii), IG6 |
4.Breakdown of financial assets by instrument and by counterparty sector
4.1Financial assets held for trading
| References | Carrying amount | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|
| Annex V.Part 2.46 | ||||
| 010 | 020 | |||
| 010 | Equity instruments | IAS 32.11 | ||
| 020 | of which: at cost | IAS 39.46(c) | ||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | ||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | ||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | ||
| 060 | Debt securities | Annex V.Part 1.24, 26 | ||
| 070 | Central banks | Annex V.Part 1.35(a) | ||
| 080 | General governments | Annex V.Part 1.35(b) | ||
| 090 | Credit institutions | Annex V.Part 1.35(c) | ||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 130 | Central banks | Annex V.Part 1.35(a) | ||
| 140 | General governments | Annex V.Part 1.35(b) | ||
| 150 | Credit institutions | Annex V.Part 1.35(c) | ||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 180 | Households | Annex V.Part 1.35(f) |
4.2Financial assets designated at fair value through profit or loss
| References | Carrying amount | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|
| IFRS 7.9 (c); Annex V.Part 2.46 | ||||
| 010 | 020 | |||
| 010 | Equity instruments | IAS 32.11 | ||
| 020 | of which: at cost | IAS 39.46(c) | ||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | ||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | ||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | ||
| 060 | Debt securities | Annex V.Part 1.24, 26 | ||
| 070 | Central banks | Annex V.Part 1.35(a) | ||
| 080 | General governments | Annex V.Part 1.35(b) | ||
| 090 | Credit institutions | Annex V.Part 1.35(c) | ||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 130 | Central banks | Annex V.Part 1.35(a) | ||
| 140 | General governments | Annex V.Part 1.35(b) | ||
| 150 | Credit institutions | Annex V.Part 1.35(c) | ||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 180 | Households | Annex V.Part 1.35(f) | ||
| 190 | FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS | IFRS 7.8(a)(i); IAS 39.9 |
4.3Available-for-sale financial assets
| References | Carrying amount of unimpaired assets | Carrying amount of impaired assets | Carrying amount | Accumulated impairment | ||
|---|---|---|---|---|---|---|
| IAS 39.58-62 | Annex V.Part 2.34 | Annex V.Part 2.46 | ||||
| 010 | 020 | 030 | 040 | |||
| 010 | Equity instruments | IAS 32.11 | ||||
| 020 | of which: at cost | IAS 39.46(c) | ||||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | ||||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | ||||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | ||||
| 060 | Debt securities | Annex V.Part 1.24, 26 | ||||
| 070 | Central banks | Annex V.Part 1.35(a) | ||||
| 080 | General governments | Annex V.Part 1.35(b) | ||||
| 090 | Credit institutions | Annex V.Part 1.35(c) | ||||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | ||||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | ||||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | ||||
| 130 | Central banks | Annex V.Part 1.35(a) | ||||
| 140 | General governments | Annex V.Part 1.35(b) | ||||
| 150 | Credit institutions | Annex V.Part 1.35(c) | ||||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | ||||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | ||||
| 180 | Households | Annex V.Part 1.35(f) | ||||
| 190 | AVAILABLE-FOR-SALE FINANCIAL ASSETS | IFRS 7.8(d); IAS 39.9 |
4.4Loans and receivables and held-to-maturity investments
| References | Unimpaired assets [gross carrying amount] | Impaired assets [gross carrying amount] | Specific allowances for financial assets, individually estimated | Specific allowances for financial assets, collectively estimated | Collective allowances for incurrred but not reported losses | Carrying amount | ||
|---|---|---|---|---|---|---|---|---|
| IFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59 | IAS 39.AG 84-92; Annex V.Part 2.36 | IAS 39.AG 84-92; Annex V.Part 2.37 | IAS 39.AG 84-92; Annex V.Part 2.38 | Annex V.Part 2.39 | ||||
| 010 | 020 | 030 | 040 | 050 | 060 | |||
| 010 | Debt securities | Annex V.Part 1.24, 26 | ||||||
| 020 | Central banks | Annex V.Part 1.35(a) | ||||||
| 030 | General governments | Annex V.Part 1.35(b) | ||||||
| 040 | Credit institutions | Annex V.Part 1.35(c) | ||||||
| 050 | Other financial corporations | Annex V.Part 1.35(d) | ||||||
| 060 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||
| 070 | Loans and advances | Annex V.Part 1.24, 27 | ||||||
| 080 | Central banks | Annex V.Part 1.35(a) | ||||||
| 090 | General governments | Annex V.Part 1.35(b) | ||||||
| 100 | Credit institutions | Annex V.Part 1.35(c) | ||||||
| 110 | Other financial corporations | Annex V.Part 1.35(d) | ||||||
| 120 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||
| 130 | Households | Annex V.Part 1.35(f) | ||||||
| 140 | LOANS AND RECEIVABLES | IAS 39,9 AG 16, AG26; Annex V.Part 1.16 | ||||||
| 150 | Debt securities | Annex V.Part 1.24, 26 | ||||||
| 160 | Central banks | Annex V.Part 1.35(a) | ||||||
| 170 | General governments | Annex V.Part 1.35(b) | ||||||
| 180 | Credit institutions | Annex V.Part 1.35(c) | ||||||
| 190 | Other financial corporations | Annex V.Part 1.35(d) | ||||||
| 200 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||
| 210 | Loans and advances | Annex V.Part 1.24, 27 | ||||||
| 220 | Central banks | Annex V.Part 1.35(a) | ||||||
| 230 | General governments | Annex V.Part 1.35(b) | ||||||
| 240 | Credit institutions | Annex V.Part 1.35(c) | ||||||
| 250 | Other financial corporations | Annex V.Part 1.35(d) | ||||||
| 260 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||
| 270 | Households | Annex V.Part 1.35(f) | ||||||
| 280 | HELD-TO-MATURITY | IFRS 7.8(c); IAS 39.9, AG16, AG26 |
4.5Subordinated financial assets
| References | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Loans and advances | Annex V.Part 1.24, 27 | |
| 020 | Debt securities | Annex V.Part 1.24, 26 | |
| 030 | SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS | Annex V.Part 2.40, 54 |
5.Breakdown of Loan and advances by product
| References | Central banks | General governments | Credit institutions | Other financial corporations | Non-financial corporations | Households | |||
|---|---|---|---|---|---|---|---|---|---|
| Annex V.Part 1.35(a) | Annex V.Part 1.35(b) | Annex V.Part 1.35(c) | Annex V.Part 1.35(d) | Annex V.Part 1.35(e) | Annex V.Part 1.35(f) | ||||
| 010 | 020 | 030 | 040 | 050 | 060 | ||||
| By product | 010 | On demand [call] and short notice [current account] | Annex V.Part 2.41(a) | ||||||
| 020 | Credit card debt | Annex V.Part 2.41(b) | |||||||
| 030 | Trade receivables | Annex V.Part 2.41(c) | |||||||
| 040 | Finance leases | Annex V.Part 2.41(d) | |||||||
| 050 | Reverse repurchase loans | Annex V.Part 2.41(e) | |||||||
| 060 | Other term loans | Annex V.Part 2.41(f) | |||||||
| 070 | Advances that are not loans | Annex V.Part 2.41(g) | |||||||
| 080 | LOANS AND ADVANCES | Annex V.Part 1.24, 27 | |||||||
| By collateral | 090 | of which: mortgage loans [Loans collateralized by immovable property] | Annex V.Part 2.41(h) | ||||||
| 100 | of which: other collateralized loans | Annex V.Part 2.41(i) | |||||||
| By purpose | 110 | of which: credit for consumption | Annex V.Part 2.41(j) | ||||||
| 120 | of which: lending for house purchase | Annex V.Part 2.41(k) | |||||||
| By subordination | 130 | of which: project finance loans | Annex V.Part 2.41(l) |
6.Breakdown of loans and advances to non-financial corporations by NACE codes
| References | Non-financial corporations | ||||
|---|---|---|---|---|---|
| Gross carrying amount | Of which: non-performing | Accumulated impairment or Accumulated changes in fair value due to credit risk | |||
| Annex V.Part 2.45 | Annex V.Part 2. 145-162 | Annex V.Part 2.46 | |||
| 010 | 012 | 020 | |||
| 010 | A****Agriculture, forestry and fishing | NACE Regulation | |||
| 020 | B****Mining and quarrying | NACE Regulation | |||
| 030 | C****Manufacturing | NACE Regulation | |||
| 040 | D****Electricity, gas, steam and air conditioning supply | NACE Regulation | |||
| 050 | E****Water supply | NACE Regulation | |||
| 060 | F****Construction | NACE Regulation | |||
| 070 | G****Wholesale and retail trade | NACE Regulation | |||
| 080 | H****Transport and storage | NACE Regulation | |||
| 090 | I****Accommodation and food service activities | NACE Regulation | |||
| 100 | J****Information and communication | NACE Regulation | |||
| 110 | L****Real estate activities | NACE Regulation | |||
| 120 | M****Professional, scientific and technical activities | NACE Regulation | |||
| 130 | N****Administrative and support service activities | NACE Regulation | |||
| 140 | O****Public administration and defence, compulsory social security | NACE Regulation | |||
| 150 | P****Education | NACE Regulation | |||
| 160 | Q****Human health services and social work activities | NACE Regulation | |||
| 170 | R****Arts, entertainment and recreation | NACE Regulation | |||
| 180 | S****Other services | NACE Regulation | |||
| 190 | LOANS AND ADVANCES | Annex V.Part 1.24, 27, 42, 43 |
7.Financial assets subject to impairment that are past due or impaired
| References | Past due but not impaired | Carrying amount of the impaired assets | Specific allowances for financial assets, individually estimated | Specific allowances for financial assets, collectively estimated | Collective allowances for incurrred but not reported losses | Accumulated write-offs | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ≤ 30 days | > 30 days ≤ 60 days | > 60 days ≤ 90 days | > 90 days ≤ 180days | > 180 days ≤ 1year | > 1year | ||||||||
| IFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48 | IAS 39.58-70 | IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36 | IAS 39 AG 84-92; Annex V.Part 2.37 | IAS 39 AG 84-92; Annex V.Part 2.38 | IAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50 | ||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | |||
| 010 | Equity instruments | IAS 32.11 | |||||||||||
| 020 | of which: at cost | IAS 39.46(c) | |||||||||||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | |||||||||||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | |||||||||||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | |||||||||||
| 060 | Debt securities | Annex V.Part 1.24, 26 | |||||||||||
| 070 | Central banks | Annex V.Part 1.35(a) | |||||||||||
| 080 | General governments | Annex V.Part 1.35(b) | |||||||||||
| 090 | Credit institutions | Annex V.Part 1.35(c) | |||||||||||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | |||||||||||
| 130 | Central banks | Annex V.Part 1.35(a) | |||||||||||
| 140 | General governments | Annex V.Part 1.35(b) | |||||||||||
| 150 | Credit institutions | Annex V.Part 1.35(c) | |||||||||||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||||
| 180 | Households | Annex V.Part 1.35(f) | |||||||||||
| 190 | TOTAL | ||||||||||||
| Loans and advances by product, by collateral and by subordination | |||||||||||||
| 200 | On demand [call] and short notice [current account] | Annex V.Part 2.41(a) | |||||||||||
| 210 | Credit card debt | Annex V.Part 2.41(b) | |||||||||||
| 220 | Trade receivables | Annex V.Part 2.41(c) | |||||||||||
| 230 | Finance leases | Annex V.Part 2.41(d) | |||||||||||
| 240 | Reverse repurchase loans | Annex V.Part 2.41(e) | |||||||||||
| 250 | Other term loans | Annex V.Part 2.41(f) | |||||||||||
| 260 | Advances that are not loans | Annex V.Part 2.41(g) | |||||||||||
| 270 | of which: mortgage loans [Loans collateralized by inmovable property] | Annex V.Part 2.41(h) | |||||||||||
| 280 | of which: other collateralized loans | Annex V.Part 2.41(i) | |||||||||||
| 290 | of which: credit for consumption | Annex V.Part 2.41(j) | |||||||||||
| 300 | of which: lending for house purchase | Annex V.Part 2.41(k) | |||||||||||
| 310 | of which: project finance loans | Annex V.Part 2.41(l) |
8.Breakdown of financial liabilities
8.1Breakdown of financial liabilities by product and by counterparty sector
| References | Carrying amount | Amount of cumulative change in fair values attributable to changes in credit risk | Amount contractually required to pay at maturity | |||||
|---|---|---|---|---|---|---|---|---|
| Held for trading | Designated at fair value through profit or loss | Amortised cost | Hedge accounting | |||||
| IFRS 7.8(e)(ii); IAS 39.9, AG 14-15 | IFRS 7.8(e)(i); IAS 39.9 | IFRS 7.8(f); IAS 39.47 | IFRS 7.22(b); IAS 39.9 | CRR art 30(b), art 424(1)(d)(i) | ||||
| 010 | 020 | 030 | 037 | 040 | 050 | |||
| 010 | Derivatives | IAS 39.9, AG 15(a) | ||||||
| 020 | Short positions | IAS 39 AG 15(b) | ||||||
| 030 | Equity instruments | IAS 32.11 | ||||||
| 040 | Debt securities | Annex V.Part 1.24, 26 | ||||||
| 050 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||||||
| 060 | Central banks | Annex V.Part 1.35(a) | ||||||
| 070 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||
| 080 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||
| 090 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||
| 100 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||
| 110 | General governments | Annex V.Part 1.35(b) | ||||||
| 120 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||
| 130 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||
| 140 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||
| 150 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||
| 160 | Credit institutions | Annex V.Part 1.35(c) | ||||||
| 170 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||
| 180 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||
| 190 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||
| 200 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||
| 210 | Other financial corporations | Annex V.Part 1.35(d) | ||||||
| 220 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||
| 230 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||
| 240 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||
| 250 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||
| 260 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||
| 270 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||
| 280 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||
| 290 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||
| 300 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||
| 310 | Households | Annex V.Part 1.35(f) | ||||||
| 320 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||
| 330 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||
| 340 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||
| 350 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||
| 360 | Debt securities issued | Annex V.Part 1.31; Annex V.Part 2.52 | ||||||
| 370 | Certificates of deposits | Annex V.Part 2.52(a) | ||||||
| 380 | Asset-backed securities | CRR art 4(1)(61) | ||||||
| 390 | Covered bonds | CRR art 129(1) | ||||||
| 400 | Hybrid contracts | IAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d) | ||||||
| 410 | Other debt securities issued | Annex V.Part 2.52(e) | ||||||
| 420 | Convertible compound financial instruments | IAS 32.AG 31 | ||||||
| 430 | Non-convertible | |||||||
| 440 | Other financial liabilities | Annex V.Part 1.32-34 | ||||||
| 450 | FINANCIAL LIABILITIES |
8.2.Subordinated financial liabilities
| Carriyng amount | ||||
|---|---|---|---|---|
| References | Designated at fair value through profit or loss | At amortized cost | ||
| IFRS 7.8(e)(i); IAS 39.9 | IFRS 7.8(f); IAS 39.47 | |||
| 010 | 020 | |||
| 010 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||
| 020 | Debt securities issued | Annex V.Part 1.31 | ||
| 030 | SUBORDINATED FINANCIAL LIABILITIES | Annex V.Part 2.53-54 |
9.Loan commitments, financial guarantees and other commitments
9.1Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
| References | Nominal amount | ||
|---|---|---|---|
| IFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62 | |||
| 010 | |||
| 010 | Loan commitments given | IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 | |
| 021 | of which: non-performing | Annex V.Part 2. 145-162 | |
| 030 | Central banks | Annex V.Part 1.35(a) | |
| 040 | General governments | Annex V.Part 1.35(b) | |
| 050 | Credit institutions | Annex V.Part 1.35(c) | |
| 060 | Other financial corporations | Annex V.Part 1.35(d) | |
| 070 | Non-financial corporations | Annex V.Part 1.35(e) | |
| 080 | Households | Annex V.Part 1.35(f) | |
| 090 | Financial guarantees given | IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58 | |
| 101 | of which: non-performing | Annex V.Part 2. 145-162 | |
| 110 | Central banks | Annex V.Part 1.35(a) | |
| 120 | General governments | Annex V.Part 1.35(b) | |
| 130 | Credit institutions | Annex V.Part 1.35(c) | |
| 140 | Other financial corporations | Annex V.Part 1.35(d) | |
| 150 | Non-financial corporations | Annex V.Part 1.35(e) | |
| 160 | Households | Annex V.Part 1.35(f) | |
| 170 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | |
| 181 | of which: non-performing | Annex V.Part 2. 145-162 | |
| 190 | Central banks | Annex V.Part 1.35(a) | |
| 200 | General governments | Annex V.Part 1.35(b) | |
| 210 | Credit institutions | Annex V.Part 1.35(c) | |
| 220 | Other financial corporations | Annex V.Part 1.35(d) | |
| 230 | Non-financial corporations | Annex V.Part 1.35(e) | |
| 240 | Households | Annex V.Part 1.35(f) |
9.2Loan commitments, financial guarantees and other commitments received
| References | Maximum amount of the guarantee that can be considered | Nominal amount | ||
|---|---|---|---|---|
| IFRS 7.36 (b); Annex V.Part 2.63 | Annex V.Part 2.63 | |||
| 010 | 020 | |||
| 010 | Loan commitments received | IAS 39.2(h), 4(a)(c), BC 15; Annex V.Part 2.56-57 | ||
| 020 | Central banks | Annex V.Part 1.35(a) | ||
| 030 | General governments | Annex V.Part 1.35(b) | ||
| 040 | Credit institutions | Annex V.Part 1.35(c) | ||
| 050 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 060 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 070 | Households | Annex V.Part 1.35(f) | ||
| 080 | Financial guarantees received | IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; Annex V.Part 2.56, 58 | ||
| 090 | Central banks | Annex V.Part 1.35(a) | ||
| 100 | General governments | Annex V.Part 1.35(b) | ||
| 110 | Credit institutions | Annex V.Part 1.35(c) | ||
| 120 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 130 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 140 | Households | Annex V.Part 1.35(f) | ||
| 150 | Other Commitments received | Annex V.Part 2.56, 59 | ||
| 160 | Central banks | Annex V.Part 1.35(a) | ||
| 170 | General governments | Annex V.Part 1.35(b) | ||
| 180 | Credit institutions | Annex V.Part 1.35(c) | ||
| 190 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 200 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 210 | Households | Annex V.Part 1.35(f) |
10.Derivatives — Trading
| By type of risk / By product or by type of market | References | Carrying amount | Notional amount | |||
|---|---|---|---|---|---|---|
| Financial assets held for trading | Financial liabilities held for trading | Total Trading | of which: sold | |||
| Annex V.Part 2.69 | Annex V.Part 2.69 | Annex V.Part 2.70-71 | Annex V.Part 2.72 | |||
| 010 | 020 | 030 | 040 | |||
| 010 | Interest rate | Annex V.Part 2.67(a) | ||||
| 020 | of which: economic hedges | Annex V.Part 2.74 | ||||
| 030 | OTC options | |||||
| 040 | OTC other | |||||
| 050 | Organized market options | |||||
| 060 | Organized market other | |||||
| 070 | Equity | Annex V.Part 2.67(b) | ||||
| 080 | of which: economic hedges | Annex V.Part 2.74 | ||||
| 090 | OTC options | |||||
| 100 | OTC other | |||||
| 110 | Organized market options | |||||
| 120 | Organized market other | |||||
| 130 | Foreign exchange and gold | Annex V.Part 2.67(c) | ||||
| 140 | of which: economic hedges | Annex V.Part 2.74 | ||||
| 150 | OTC options | |||||
| 160 | OTC other | |||||
| 170 | Organized market options | |||||
| 180 | Organized market other | |||||
| 190 | Credit | Annex V.Part 2.67(d) | ||||
| 200 | of which: economic hedges | Annex V.Part 2.74 | ||||
| 210 | Credit default swap | |||||
| 220 | Credit spread option | |||||
| 230 | Total return swap | |||||
| 240 | Other | |||||
| 250 | Commodity | Annex V.Part 2.67(e) | ||||
| 260 | of which: economic hedges | Annex V.Part 2.74 | ||||
| 270 | Other | Annex V.Part 2.67(f) | ||||
| 280 | of which: economic hedges | Annex V.Part 2.74 | ||||
| 290 | DERIVATIVES | IAS 39.9 | ||||
| 300 | of which: OTC - credit institutions | Annex V.Part 1.35(c), 2.75(a) | ||||
| 310 | of which: OTC - other financial corporations | Annex V.Part 1.35(d), 2.75(b) | ||||
| 320 | of which: OTC - rest | Annex V.Part 2.75(c) |
11.Derivatives — Hedge accounting
11.1Derivatives — Hedge accounting: Breakdown by type of risk and type of hedge
| By product or by type of market | References | Carrying amount | Notional amount | |||
|---|---|---|---|---|---|---|
| Assets | Liabilities | Total Hedging | of which: sold | |||
| Annex V.Part 2.69 | Annex V.Part 2.69 | Annex V.Part 2.70, 71 | Annex V.Part 2.72 | |||
| 010 | 020 | 030 | 040 | |||
| 010 | Interest rate | Annex V.Part 2.67(a) | ||||
| 020 | OTC options | |||||
| 030 | OTC other | |||||
| 040 | Organized market options | |||||
| 050 | Organized market other | |||||
| 060 | Equity | Annex V.Part 2.67(b) | ||||
| 070 | OTC options | |||||
| 080 | OTC other | |||||
| 090 | Organized market options | |||||
| 100 | Organized market other | |||||
| 110 | Foreign exchange and gold | Annex V.Part 2.67(c) | ||||
| 120 | OTC options | |||||
| 130 | OTC other | |||||
| 140 | Organized market options | |||||
| 150 | Organized market other | |||||
| 160 | Credit | Annex V.Part 2.67(d) | ||||
| 170 | Credit default swap | |||||
| 180 | Credit spread option | |||||
| 190 | Total return swap | |||||
| 200 | Other | |||||
| 210 | Commodity | Annex V.Part 2.67(e) | ||||
| 220 | Other | Annex V.Part 2.67(f) | ||||
| 230 | FAIR VALUE HEDGES | IFRS 7.22(b); IAS 39.86(a) | ||||
| 240 | Interest rate | Annex V.Part 2.67(a) | ||||
| 250 | OTC options | |||||
| 260 | OTC other | |||||
| 270 | Organized market options | |||||
| 280 | Organized market other | |||||
| 290 | Equity | Annex V.Part 2.67(b) | ||||
| 300 | OTC options | |||||
| 310 | OTC other | |||||
| 320 | Organized market options | |||||
| 330 | Organized market other | |||||
| 340 | Foreign exchange and gold | Annex V.Part 2.67(c) | ||||
| 350 | OTC options | |||||
| 360 | OTC other | |||||
| 370 | Organized market options | |||||
| 380 | Organized market other | |||||
| 390 | Credit | Annex V.Part 2.67(d) | ||||
| 400 | Credit default swap | |||||
| 410 | Credit spread option | |||||
| 420 | Total return swap | |||||
| 430 | Other | |||||
| 440 | Commodity | Annex V.Part 2.67(e) | ||||
| 450 | Other | Annex V.Part 2.67(f) | ||||
| 460 | CASH FLOW HEDGES | IFRS 7.22(b); IAS 39.86(b) | ||||
| 470 | HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | IFRS 7.22(b); IAS 39.86(c) | ||||
| 480 | PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | IAS 39.89A, IE 1-31 | ||||
| 490 | PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | IAS 39 IG F6 1-3 | ||||
| 500 | DERIVATIVES-HEDGE ACCOUNTING | IFRS 7.22(b); IAS 39.9 | ||||
| 510 | of which: OTC - credit institutions | Annex V.Part 1.35(c), 2.75(a) | ||||
| 520 | of which: OTC - other financial corporations | Annex V.Part 1.35(d), 2.75(b) | ||||
| 530 | of which: OTC - rest | Annex V.Part 2.75(c) |
12.Movements in allowances for credit losses and impairment of equity instruments
| References | Opening balance | Increases due toamounts set aside for estimated loan losses during the period | Decreases due toamounts reversed for estimated loan losses during the period | Decreases due toamounts taken against allowances | Transfers between allowances | Other adjustments | Closing balance | Recoveries recorded directly to the statement of profit or loss | Value adjustments recorded directly to the statement of profit or loss | ||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Annex V.Part 2.77 | Annex V.Part 2.77 | Annex V.Part 2.78 | Annex V.Part 2.78 | ||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | |||
| 010 | Equity instruments | ||||||||||
| 020 | Specific allowances for financial assets, individually estimated | IAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36 | |||||||||
| 030 | Debt securities | Annex V.Part 1.26 | |||||||||
| 040 | Central banks | Annex V.Part 1.35(a) | |||||||||
| 050 | General governments | Annex V.Part 1.35(b) | |||||||||
| 060 | Credit institutions | Annex V.Part 1.35(c) | |||||||||
| 070 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||
| 080 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||
| 090 | Loans and advances | Annex V.Part 1.27 | |||||||||
| 100 | Central banks | Annex V.Part 1.35(a) | |||||||||
| 110 | General governments | Annex V.Part 1.35(b) | |||||||||
| 120 | Credit institutions | Annex V.Part 1.35(c) | |||||||||
| 130 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||
| 140 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||
| 150 | Households | Annex V.Part 1.35(f) | |||||||||
| 160 | Specific allowances for financial assets, collectively estimated | IAS 39.59, 64; Annex V.Part 2.37 | |||||||||
| 170 | Debt securities | Annex V.Part 1.26 | |||||||||
| 180 | Central banks | Annex V.Part 1.35(a) | |||||||||
| 190 | General governments | Annex V.Part 1.35(b) | |||||||||
| 200 | Credit institutions | Annex V.Part 1.35(c) | |||||||||
| 210 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||
| 220 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||
| 230 | Loans and advances | Annex V.Part 1.27 | |||||||||
| 240 | Central banks | Annex V.Part 1.35(a) | |||||||||
| 250 | General governments | Annex V.Part 1.35(b) | |||||||||
| 260 | Credit institutions | Annex V.Part 1.35(c) | |||||||||
| 270 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||
| 280 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||
| 290 | Households | Annex V.Part 1.35(f) | |||||||||
| 300 | Collective allowances for incurred but not reported losses on financial assets | IAS 39.59, 64; Annex V.Part 2.38 | |||||||||
| 310 | Debt securities | Annex V.Part 1.26 | |||||||||
| 320 | Loans and advances | Annex V.Part 1.27 | |||||||||
| 530 | Total |
13.Collateral and guarantees received
13.1Breakdown of loans and advances by collateral and guarantees
| Maximum amount of the collateral or guarantee that can be considered | |||||||
|---|---|---|---|---|---|---|---|
| Guarantees and collateral | References | Mortgage loans [Loans collateralized by immovable property] | Other collateralized loans | Financial guarantees received | |||
| Residential | Commercial | Cash [Debt instruments issued] | Rest | ||||
| IFRS 7.36(b) | Annex V.Part 2.81(a) | Annex V.Part 2.81(a) | Annex V.Part 2.81(b) | Annex V.Part 2.81(b) | Annex V.Part 2.81(c) | ||
| 010 | 020 | 030 | 040 | 050 | |||
| 010 | Loans and advances | Annex V.Part 2.81 | |||||
| 020 | of which: Other financial corporations | Annex V.Part 1.35(d) | |||||
| 030 | of which: Non-financial corporations | Annex V.Part 1.35(e) | |||||
| 040 | of which: Households | Annex V.Part 1.35(f) |
13.2Collateral obtained by taking possession during the period [held at the reporting date]
| References | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Non-current assets held-for-sale | IFRS 7.38(a) | |
| 020 | Property, plant and equipment | IFRS 7.38(a) | |
| 030 | Investment property | IFRS 7.38(a) | |
| 040 | Equity and debt instruments | IFRS 7.38(a) | |
| 050 | Other | IFRS 7.38(a) | |
| 060 | Total |
13.3Collateral obtained by taking possession [tangible assets] accumulated
| References | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Foreclosure [tangible assets] | IFRS 7.38(a); Annex V.Part 2.84 |
14.Fair value hierachy: financial instruments at fair value
| References | Fair value hierarchyIFRS 13.93 (b) | Change in fair value for the periodITS V.Part 2.86 | Accumulated change in fair value before taxesITS V.Part 2.87 | |||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Level 1 | Level 2 | Level 3 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3 | |||
| IFRS 13.76 | IFRS 13.81 | IFRS 13.86 | IFRS 13.81 | IFRS 13.86, 93(f) | IFRS 13.76 | IFRS 13.81 | IFRS 13.86 | |||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | |||
| ASSETS | ||||||||||
| 010 | Financial assets held for trading | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | ||||||||
| 020 | Derivatives | IAS 39.9 | ||||||||
| 030 | Equity instruments | IAS 32.11 | ||||||||
| 040 | Debt securities | Annex V.Part 1.24, 26 | ||||||||
| 050 | Loans and advances | Annex V.Part 1.24, 27 | ||||||||
| 060 | Financial assets designated at fair value through profit or loss | IFRS 7.8(a)(i); IAS 39.9 | ||||||||
| 070 | Equity instruments | IAS 32.11 | ||||||||
| 080 | Debt securities | Annex V.Part 1.24, 26 | ||||||||
| 090 | Loans and advances | Annex V.Part 1.24, 27 | ||||||||
| 100 | Available-for-sale financial assets | IFRS 7.8 (h)(d); IAS 39.9 | ||||||||
| 110 | Equity instruments | IAS 32.11 | ||||||||
| 120 | Debt securities | Annex V.Part 1.24, 26 | ||||||||
| 130 | Loans and advances | Annex V.Part 1.24, 27 | ||||||||
| 140 | Derivatives – Hedge accounting | IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 | ||||||||
| LIABILITIES | ||||||||||
| 150 | Financial liabilities held for trading | IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 | ||||||||
| 160 | Derivatives | IAS 39.9, AG 15(a) | ||||||||
| 170 | Short positions | IAS 39 AG 15(b) | ||||||||
| 180 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||||||||
| 190 | Debt securities issued | Annex V.Part 1.31 | ||||||||
| 200 | Other financial liabilities | Annex V.Part 1.32-34 | ||||||||
| 210 | Financial liabilities designated at fair value through profit or loss | IFRS 7.8 (e) (i); IAS 39.9 | ||||||||
| 220 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||||||||
| 230 | Debt securities issued | Annex V.Part 1.31 | ||||||||
| 240 | Other financial liabilities | Annex V.Part 1.32-34 | ||||||||
| 250 | Derivatives – Hedge accounting | IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 |
15.Derecognition and financial liabilities associated with transferred financial assets
| References | Transferred financial assets entirely recognized | Transferred financial assets recognized to the extent of the instution's continuing involvement | Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights | Amounts derecognised for capital purposes | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transferred assets | Associated liabilitiesITS V.Part 2.89 | Principal amount outstanding of the original assets | Carrying amount of assets still recognised [continuing involvement] | Carrying amount of associated liabilites | |||||||||
| Carrying amount | Of which: securitizations | Of which: repurchase agreements | Carrying amount | Of which: securitizations | Of which: repurchase agreements | ||||||||
| IFRS 7.42D.(e) | IFRS 7.42D(e); CRR art 4(1)(61) | IFRS 7.42D(e); Annex V.Part 2.91, 92 | IFRS 7.42D(e) | IFRS 7.42D.(e) | IFRS 7.42D(e); Annex V.Part 2.91, 92 | IFRS 7.42D(f) | IFRS 7.42D(f); Annex V.Part 2.89 | CRR art 109; Annex V.Part 2.90 | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | |||
| 010 | Financial assets held for trading | IFRS 7.8 (a)(ii); IAS 39.9, AG 14 | |||||||||||
| 020 | Equity instruments | IAS 32.11 | |||||||||||
| 030 | Debt securities | Annex V.Part 1.24, 26 | |||||||||||
| 040 | Loans and advances | Annex V.Part 1.24, 27 | |||||||||||
| 050 | Financial assets designated at fair value through profit or loss | IFRS 7.8(a)(i); IAS 39.9 | |||||||||||
| 060 | Equity instruments | IAS 32.11 | |||||||||||
| 070 | Debt securities | Annex V.Part 1.24, 26 | |||||||||||
| 080 | Loans and advances | Annex V.Part 1.24, 27 | |||||||||||
| 090 | Available-for-sale financial assets | IFRS 7.8(d); IAS 39.9 | |||||||||||
| 100 | Equity instruments | IAS 32.11 | |||||||||||
| 110 | Debt securities | Annex V.Part 1.24, 26 | |||||||||||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | |||||||||||
| 130 | Loans and receivables | IFRS 7.8 (c); IAS 39.9, AG16, AG26 | |||||||||||
| 140 | Debt securities | Annex V.Part 1.24, 26 | |||||||||||
| 150 | Loans and advances | Annex V.Part 1.24, 27 | |||||||||||
| 160 | Held-to-maturity investments | IFRS 7.8(b); IAS 39.9, AG16, AG26 | |||||||||||
| 170 | Debt securities | Annex V.Part 1.24, 26 | |||||||||||
| 180 | Loans and advances | Annex V.Part 1.24, 27 | |||||||||||
| 190 | Total |
16.Breakdown of selected statement of profit or loss items
16.1Interest income and expenses by instrument and counterparty sector
| Current period | ||||
|---|---|---|---|---|
| References | Income | Expenses | ||
| Annex V.Part 2.95 | Annex V.Part 2.95 | |||
| 010 | 020 | |||
| 010 | Derivatives -Trading | IAS 39.9; Annex V.Part 2.96 | ||
| 020 | Debt securities | Annex V.Part 1.26 | ||
| 030 | Central banks | Annex V.Part 1.35(a) | ||
| 040 | General governments | Annex V.Part 1.35(b) | ||
| 050 | Credit institutions | Annex V.Part 1.35(c) | ||
| 060 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 070 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 080 | Loans and advances | Annex V.Part 1.27 | ||
| 090 | Central banks | Annex V.Part 1.35(a) | ||
| 100 | General governments | Annex V.Part 1.35(b) | ||
| 110 | Credit institutions | Annex V.Part 1.35(c) | ||
| 120 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 130 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 140 | Households | Annex V.Part 1.35(f) | ||
| 150 | Other assets | Annex V.Part 1.51 | ||
| 160 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ||
| 170 | Central banks | Annex V.Part 1.35(a) | ||
| 180 | General governments | Annex V.Part 1.35(b) | ||
| 190 | Credit institutions | Annex V.Part 1.35(c) | ||
| 200 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 210 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 220 | Households | Annex V.Part 1.35(f) | ||
| 230 | Debt securities issued | Annex V.Part 1.31 | ||
| 240 | Other financial liabilities | Annex V.Part 1.32-34 | ||
| 250 | Derivatives — Hedge accounting, interest rate risk | Annex V.Part 2.95 | ||
| 260 | Other Liabilities | Annex V.Part 2.10 | ||
| 270 | INTEREST | IAS 18.35(b); IAS 1.97 |
16.2Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Equity instruments | IAS 32.11 | |
| 020 | Debt securities | Annex V.Part 1.26 | |
| 030 | Loans and advances | Annex V.Part 1.27 | |
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | |
| 070 | GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | IFRS 7.20(a)(v-vii); IAS 39.55(a) |
16.3Gains or losses on financial assets and liabilities held for trading by instrument
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Derivatives | IAS 39.9 | |
| 020 | Equity instruments | IAS 32.11 | |
| 030 | Debt securities | Annex V.Part 1.26 | |
| 040 | Loans and advances | Annex V.Part 1.27 | |
| 050 | Short positions | IAS 39 AG 15(b) | |
| 060 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | |
| 070 | Debt securities issued | Annex V.Part 1.31 | |
| 080 | Other financial liabilities | Annex V.Part 1.32-34 | |
| 090 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | IFRS 7.20(a)(i) |
16.4.Gains or losses on financial assets and liabilities held for trading by risk
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Interest rate instruments and related derivatives | Annex V.Part 2.99(a) | |
| 020 | Equity instruments and related derivatives | Annex V.Part 2.99(b) | |
| 030 | Foreign exchange trading and derivatives related with foreign exchange and gold | Annex V.Part 2.99(c) | |
| 040 | Credit risk instruments and related derivatives | Annex V.Part 2.99(d) | |
| 050 | Derivatives related with commodities | Annex V.Part 2.99(e) | |
| 060 | Other | Annex V.Part 2.99(f) | |
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | IFRS 7.20(a)(i) |
16.5Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
| References | Current period | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|
| Annex V.Part 2.100 | ||||
| 010 | 020 | |||
| 010 | Equity instruments | IAS 32.11 | ||
| 020 | Debt securities | Annex V.Part 1.26 | ||
| 030 | Loans and advances | Annex V.Part 1.27 | ||
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ||
| 050 | Debt securities issued | Annex V.Part 1.31 | ||
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | ||
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | IFRS 7.20(a)(i) |
16.6Gains or losses from hedge accounting
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Fair value changes of the hedging instrument [including discontinuation] | IFRS 7.24(a)(i) | |
| 020 | Fair value changes of the hedged item attributable to the hedged risk | IFRS 7.24(a)(ii) | |
| 030 | Ineffectiveness in profit or loss from cash flow hedges | IFRS 7.24(b) | |
| 040 | Ineffectiveness in profit or loss from hedges of net investments in foreign operations | IFRS 7.24(c) | |
| 050 | GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET | IFRS 7.24 |
16.7Impairment on financial and non-financial assets
| Current period | ||||||
|---|---|---|---|---|---|---|
| References | AdditionsAnnex V.Part 2.102 | ReversalsAnnex V.Part 2.102 | Total | Accumulated impairment | ||
| 010 | 020 | 030 | 040 | |||
| 010 | Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss | IFRS 7.20(e) | ||||
| 020 | Financial assets measured at cost | IFRS 7.20(e); IAS 39.66 | ||||
| 030 | Available-for-sale financial assets | IFRS 7.20(e); IAS 39.67-70 | ||||
| 040 | Loans and receivables | IFRS 7.20(e); IAS 39.63-65 | ||||
| 050 | Held-to-maturity investments | IFRS 7.20(e); IAS 39.63-65 | ||||
| 060 | Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates | IAS 28.40-43 | ||||
| 070 | Subsidiaries | IFRS 10 Appendix A | ||||
| 080 | Joint ventures | IAS 28.3 | ||||
| 090 | Associates | IAS 28.3 | ||||
| 100 | Impairment or (-) reversal of impairment on non-financial assets | IAS 36.126(a),(b) | ||||
| 110 | Property, plant and equipment | IAS 16.73(e)(v-vi) | ||||
| 120 | Investment properties | IAS 40.79(d)(v) | ||||
| 130 | Goodwill | IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) | ||||
| 140 | Other intangible assets | IAS 38.118(e)(iv)(v) | ||||
| 145 | Other | IAS 36.126(a),(b) | ||||
| 150 | TOTAL | |||||
| 160 | Interest income on impaired financial assets accrued | IFRS 7.20(d); IAS 39.AG 93 |
17.Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
17.1Assets
| References | Accounting scope of consolidation [Carrying amount] | ||
|---|---|---|---|
| 010 | |||
| 010 | Cash, cash balances at central banks and other demand deposits | IAS 1.54 (i) | |
| 020 | Cash on hand | Annex V.Part 2.1 | |
| 030 | Cash balances at central banks | Annex V.Part 2.2 | |
| 040 | Other demand deposits | Annex V.Part 2.3 | |
| 050 | Financial assets held for trading | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | |
| 060 | Derivatives | IAS 39.9 | |
| 070 | Equity instruments | IAS 32.11 | |
| 080 | Debt securities | Annex V.Part 1.24, 26 | |
| 090 | Loans and advances | Annex V.Part 1.24, 27 | |
| 100 | Financial assets designated at fair value through profit or loss | IFRS 7.8(a)(i); IAS 39.9 | |
| 110 | Equity instruments | IAS 32.11 | |
| 120 | Debt securities | Annex V.Part 1.24, 26 | |
| 130 | Loans and advances | Annex V.Part 1.24, 27 | |
| 140 | Available-for-sale financial assets | IFRS 7.8(d); IAS 39.9 | |
| 150 | Equity instruments | IAS 32.11 | |
| 160 | Debt securities | Annex V.Part 1.24, 26 | |
| 170 | Loans and advances | Annex V.Part 1.24, 27 | |
| 180 | Loans and receivables | IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 | |
| 190 | Debt securities | Annex V.Part 1.24, 26 | |
| 200 | Loans and advances | Annex V.Part 1.24, 27 | |
| 210 | Held-to-maturity investments | IFRS 7.8(b); IAS 39.9, AG16, AG26 | |
| 220 | Debt securities | Annex V.Part 1.24, 26 | |
| 230 | Loans and advances | Annex V.Part 1.24, 27 | |
| 240 | Derivatives – Hedge accounting | IFRS 7.22(b); IAS 39.9 | |
| 250 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | IAS 39.89A(a) | |
| 260 | Investments in subsidaries, joint ventures and associates | IAS 1.54(e); Annex V.Part 2.4 | |
| 270 | Assets under reinsurance and insurance contracts | IFRS 4.IG20.(b)-(c); Annex V.Part 2.105 | |
| 280 | Tangible assets | ||
| 290 | Intangible assets | IAS 1.54(c); CRR art 4(1)(115) | |
| 300 | Goodwill | IFRS 3.B67(d); CRR art 4(1)(113) | |
| 310 | Other intangible assets | IAS 38.8,118 | |
| 320 | Tax assets | IAS 1.54(n-o) | |
| 330 | Current tax assets | IAS 1.54(n); IAS 12.5 | |
| 340 | Deferred tax assets | IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) | |
| 350 | Other assets | Annex V.Part 2.5 | |
| 360 | Non-current assets and disposal groups classified as held for sale | IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 | |
| 370 | TOTAL ASSETS | IAS 1.9(a), IG 6 |
17.2Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
| References | Accounting scope of consolidation [Nominal amount] | ||
|---|---|---|---|
| 010 | |||
| 010 | Loan commitments given | IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 | |
| 020 | Financial guarantees given | IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 | |
| 030 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | |
| 040 | OFF-BALANCE SHEET EXPOSURES |
17.3Liabilities and equity
| References | Accounting scope of consolidation [Carrying amount] | ||
|---|---|---|---|
| 010 | |||
| 010 | Financial liabilities held for trading | IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 | |
| 020 | Derivatives | IAS 39.9, AG 15(a) | |
| 030 | Short positions | IAS 39.AG 15(b) | |
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | |
| 070 | Financial liabilities designated at fair value through profit or loss | IFRS 7.8 (e)(i); IAS 39.9 | |
| 080 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |
| 090 | Debt securities issued | Annex V.Part 1.31 | |
| 100 | Other financial liabilities | Annex V.Part 1.32-34 | |
| 110 | Financial liabilities measured at amortised cost | IFRS 7.8(f); IAS 39.47 | |
| 120 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |
| 130 | Debt securities issued | Annex V.Part 1.31 | |
| 140 | Other financial liabilities | Annex V.Part 1.32-34 | |
| 150 | Derivatives – Hedge accounting | IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 | |
| 160 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | IAS 39.89A(b) | |
| 170 | Liabilities under insurance and reinsurance contracts | IFRS 4.IG20(a); Annex V.Part 2.106 | |
| 180 | Provisions | IAS 37.10; IAS 1.54(l) | |
| 190 | Tax liabilities | IAS 1.54(n-o) | |
| 200 | Current tax liabilities | IAS 1.54(n); IAS 12.5 | |
| 210 | Deferred tax liabilities | IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) | |
| 220 | Share capital repayable on demand | IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 | |
| 230 | Other liabilities | Annex V.Part 2.10 | |
| 240 | Liabilities included in disposal groups classified as held for sale | IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 | |
| 250 | LIABILITIES | IAS 1.9(b);IG 6 | |
| 260 | Capital | IAS 1.54(r), BAD art 22 | |
| 270 | Share premium | IAS 1.78(e); CRR art 4(1)(124) | |
| 280 | Equity instruments issued other than capital | Annex V.Part 2.15-16 | |
| 290 | Other equity | IFRS 2.10; Annex V.Part 2.17 | |
| 300 | Accumulated other comprehensive income | CRR art 4(1)(100) | |
| 310 | Retained earnings | CRR art 4(1)(123) | |
| 320 | Revaluation reserves | IFRS 1.30, D5-D8 | |
| 330 | Other reserves | IAS 1.54; IAS 1.78 (e) | |
| 340 | (-) Treasury shares | IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 | |
| 350 | Profit or loss attributable to owners of the parent | IAS 27.28; IAS 1.83(a)(ii) | |
| 360 | (-) Interim dividends | IAS 32.35 | |
| 370 | Minority interests [Non-controlling interests] | IAS 27.4; IAS 1.54(q); IAS 27.27 | |
| 380 | TOTAL EQUITY | IAS 1.9(c), IG 6 | |
| 390 | TOTAL EQUITY AND TOTAL LIABILITIES | IAS 1.IG6 |
18.Information on performing and non-performing exposures
| References | Gross carrying amount | Accumulated impairment, accumulated changes in fair value due to credit risk and provisions | Collateral received and financial guarantees received | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Performing | Non-performing | on performing exposures | on non-performing exposures | ||||||||||||||||||||
| Not past due or Past due <= 30 days | Past due> 30 days <= 60 days | Past due> 60 days <= 90 days | Unlikely to pay that are not past-due or past-due <= 90 days | Past due > 90 days <= 180 days | Past due > 180 days <= 1 year | Past due > 1 year | Of which: defaulted | Of which: impaired | Unlikely to pay that are not past-due or past-due <= 90 days | Past due > 90 days <= 180 days | Past due > 180 days <= 1 year | Past due > 1 year | Collateral received on non-performing exposues | Financialguarantees received on non-performing exposures | |||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | |||
| Annex V. Part 2. 45, 109, 145-162 | Annex V. Part 2. 145-162 | Annex V. Part 2. 158 | Annex V. Part 2. 158 | Annex V. Part 2. 158 | Annex V. Part 2. 145-162 | Annex V. Part 2. 159 | Annex V. Part 2. 159 | Annex V. Part 2. 159 | Annex V. Part 2. 159 | CRR art 178; Annex V. Part 2.61 | IAS 39. 58-70 | Annex V. Part 2. 46 | Annex V. Part 2. 161 | Annex V. Part 2. 161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 162 | Annex V. Part 2. 162 | |||
| 010 | Debt securities | Annex V.Part 1.24, 26 | |||||||||||||||||||||
| 020 | Central banks | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 030 | General governments | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 040 | Credit institutions | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 050 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 060 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 070 | Loans and advances | Annex V.Part 1.24, 27 | |||||||||||||||||||||
| 080 | Central banks | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 090 | General governments | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 100 | Credit institutions | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 110 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 120 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 130 | Of which: Small and Medium-sized Enterprises | SME Art 1 2(a) | |||||||||||||||||||||
| 140 | Of which: Commercial real estate | ||||||||||||||||||||||
| 150 | Households | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 160 | Of which: Residential mortgage loans | ||||||||||||||||||||||
| 170 | Of which: Credit for consumption | ||||||||||||||||||||||
| 180 | DEBT INSTRUMENTS AT AMORTISED COST | Annex V. Part I. 13 (d)(e) | |||||||||||||||||||||
| 190 | Debt securities | Annex V.Part 1.24, 26 | |||||||||||||||||||||
| 200 | Central banks | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 210 | General governments | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 220 | Credit institutions | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 230 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 240 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 250 | Loans and advances | Annex V.Part 1.24, 27 | |||||||||||||||||||||
| 260 | Central banks | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 270 | General governments | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 280 | Credit institutions | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 290 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 300 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 310 | Households | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 320 | DEBT INSTRUMENTS AT FAIR VALUE other than HFT | Annex V. Part I. 13 (b)(c) | |||||||||||||||||||||
| 330 | DEBT INSTRUMENTS other than HFT | Annex V. Part I. 13 (b)(c)(d)(e) | |||||||||||||||||||||
| 340 | Loan commitments given | IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 | |||||||||||||||||||||
| 350 | Central banks | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 360 | General governments | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 370 | Credit institutions | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 380 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 390 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 400 | Households | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 410 | Financial guarantees given | IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 | |||||||||||||||||||||
| 420 | Central banks | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 430 | General governments | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 440 | Credit institutions | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 450 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 460 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 470 | Households | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 480 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | |||||||||||||||||||||
| 490 | Central banks | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 500 | General governments | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 510 | Credit institutions | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 520 | Other financial corporations | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 530 | Non-financial corporations | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 540 | Households | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 550 | OFF-BALANCE SHEET EXPOSURES | Annex V.Part 2.55 |
19.Information forborne exposures
| References | Gross carrying amount of exposures with forbearance measures | Accumulated impairment, accumulated changes in fair value due to credit risk and provisions | Collateral received and financial guarantees received | |||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Performing exposures with forbearance measures | Non-performing exposures with forbearance measures | on perfoming exposures with forbearance measures | on non-performing exposures with forbearance measures | |||||||||||||||||
| Instruments with modifications in their terms and conditions | Refinancing | of which: Performing forborne exposures under probation | Instruments with modifications in their terms and conditions | Refinancing | of which: Defaulted | of which: Impaired | of which: Forbearance of non-performing exposures | Instruments with modifications in their terms and conditions | Refinancing | Collateral received on exposures with forbearance measures | Financial guarantees received on exposures with forbearance measures | |||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | |||
| Annex V. Part 2. 45, 109, 163-182 | Annex V. Part 2. 145-162 | Annex V. Part 2. 164 (a), 177, 178, 182 | Annex V. Part 2. 164 (b), 177, 178, 181, 182 | Annex V. Part 2. 176(b), 177, 180 | Annex V. Part 2. 145-162 | Annex V. Part 2. 164 (a), 179-180,182 | Annex V. Part 2. 164 (b), 179-182 | CRR art 178; Annex V. Part 2.61 | IAS 39. 58-70 | Annex V. Part 2. 172(a), 157 | Annex V. Part 2. 46, 183 | Annex V. Part 2. 145-183 | Annex V. Part 2. 145-183 | Annex V. Part 2. 164 (a), 179-180,182,183 | Annex V. Part 2. 164 (b), 179-183 | Annex V. Part 2. 162 | Annex V. Part 2. 162 | |||
| 010 | Debt securities | Annex V.Part 1.24, 26 | ||||||||||||||||||
| 020 | Central banks | Annex V.Part 1.35(a) | ||||||||||||||||||
| 030 | General governments | Annex V.Part 1.35(b) | ||||||||||||||||||
| 040 | Credit institutions | Annex V.Part 1.35(c) | ||||||||||||||||||
| 050 | Other financial corporations | Annex V.Part 1.35(d) | ||||||||||||||||||
| 060 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||||||||||||||
| 070 | Loans and advances | Annex V.Part 1.24, 27 | ||||||||||||||||||
| 080 | Central banks | Annex V.Part 1.35(a) | ||||||||||||||||||
| 090 | General governments | Annex V.Part 1.35(b) | ||||||||||||||||||
| 100 | Credit institutions | Annex V.Part 1.35(c) | ||||||||||||||||||
| 110 | Other financial corporations | Annex V.Part 1.35(d) | ||||||||||||||||||
| 120 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||||||||||||||
| 130 | Of which: Small and Medium-sized Enterprises | SME Art 1 2(a) | ||||||||||||||||||
| 140 | Of which: Commercial real estate | |||||||||||||||||||
| 150 | Households | Annex V.Part 1.35(f) | ||||||||||||||||||
| 160 | Of which: Residential mortgage loans | |||||||||||||||||||
| 170 | Of which: Credit for consumption | |||||||||||||||||||
| 180 | DEBT INSTRUMENTS AT AMORTISED COST | Annex V. Part I. 13 (d)(e) | ||||||||||||||||||
| 190 | Debt securities | Annex V.Part 1.24, 26 | ||||||||||||||||||
| 200 | Central banks | Annex V.Part 1.35(a) | ||||||||||||||||||
| 210 | General governments | Annex V.Part 1.35(b) | ||||||||||||||||||
| 220 | Credit institutions | Annex V.Part 1.35(c) | ||||||||||||||||||
| 230 | Other financial corporations | Annex V.Part 1.35(d) | ||||||||||||||||||
| 240 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||||||||||||||
| 250 | Loans and advances | Annex V.Part 1.24, 27 | ||||||||||||||||||
| 260 | Central banks | Annex V.Part 1.35(a) | ||||||||||||||||||
| 270 | General governments | Annex V.Part 1.35(b) | ||||||||||||||||||
| 280 | Credit institutions | Annex V.Part 1.35(c) | ||||||||||||||||||
| 290 | Other financial corporations | Annex V.Part 1.35(d) | ||||||||||||||||||
| 300 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||||||||||||||
| 310 | Households | Annex V.Part 1.35(f) | ||||||||||||||||||
| 320 | DEBT INSTRUMENTS AT FAIR VALUE other than HFT | Annex V. Part I. 13 (b)(c) | ||||||||||||||||||
| 330 | DEBT INSTRUMENTS other than HFT | Annex V. Part I. 13 (b)(c)(d)(e) | ||||||||||||||||||
| 340 | Loan commitments given | IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 |
20.Geographical breakdown
20.1Geographical breakdown of assets by location of the activities
| References | Carrying amount | |||
|---|---|---|---|---|
| Domestic activities | Non-domestic activities | |||
| Annex V.Part 2.107 | Annex V.Part 2.107 | |||
| 010 | 020 | |||
| 010 | Cash, cash balances at central banks and other demand deposits | IAS 1.54 (i) | ||
| 020 | Cash on hand | Annex V.Part 2.1 | ||
| 030 | Cash balances at central banks | Annex V.Part 2.2 | ||
| 040 | Other demand deposits | Annex V.Part 2.3 | ||
| 050 | Financial assets held for trading | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | ||
| 060 | Derivatives | IAS 39.9 | ||
| 070 | Equity instruments | IAS 32.11 | ||
| 080 | Debt securities | Annex V.Part 1.24, 26 | ||
| 090 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 100 | Financial assets designated at fair value through profit or loss | IFRS 7.8(a)(i); IAS 39.9 | ||
| 110 | Equity instruments | IAS 32.11 | ||
| 120 | Debt securities | Annex V.Part 1.24, 26 | ||
| 130 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 140 | Available-for-sale financial assets | IFRS 7.8(d); IAS 39.9 | ||
| 150 | Equity instruments | IAS 32.11 | ||
| 160 | Debt securities | Annex V.Part 1.24, 26 | ||
| 170 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 180 | Loans and receivables | IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 | ||
| 190 | Debt securities | Annex V.Part 1.24, 26 | ||
| 200 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 210 | Held-to-maturity investments | IFRS 7.8(b); IAS 39.9, AG16, AG26 | ||
| 220 | Debt securities | Annex V.Part 1.24, 26 | ||
| 230 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 240 | Derivatives — Hedge accounting | IFRS 7.22(b); IAS 39.9 | ||
| 250 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | IAS 39.89A(a) | ||
| 260 | Tangible assets | |||
| 270 | Intangible assets | IAS 1.54(c); CRR art 4(1)(115) | ||
| 280 | Investments in subsidaries, joint ventures and associates | IAS 1.54(e); Annex V.Part 2.4 | ||
| 290 | Tax assets | IAS 1.54(n-o) | ||
| 300 | Other assets | Annex V.Part 2.5 | ||
| 310 | Non-current assets and disposal groups classified as held for sale | IAS 1.54(j); IFRS 5.38 | ||
| 320 | ASSETS | IAS 1.9(a), IG 6 |
21.Tangible and intangible assets: assets subject to operating lease
| References | Carrying amount | ||
|---|---|---|---|
| Annex V.Part 2.110-111 | |||
| 010 | |||
| 010 | Property plant and equipment | IAS 16.6; IAS 1.54(a) | |
| 020 | Revaluation model | IAS 17.49; IAS 16.31, 73(a)(d) | |
| 030 | Cost model | IAS 17.49; IAS 16.30, 73(a)(d) | |
| 040 | Investment property | IAS 40.IN5; IAS 1.54(b) | |
| 050 | Fair value model | IAS 17.49; IAS 40.33-55, 76 | |
| 060 | Cost model | IAS 17.49; IAS 40.56,79(c) | |
| 070 | Other intangible assets | IAS 38.8, 118 | |
| 080 | Revaluation model | IAS 17.49; IAS 38.75-87, 124(a)(ii) | |
| 090 | Cost model | IAS 17.49; IAS 38.74 |
22.Asset management, custody and other service functions
22.1Fee and commission income and expenses by activity
| ReferencesIFRS 7.20(c) | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Fee and commission income | Annex V.Part 2.113-115 | |
| 020 | Securities | ||
| 030 | Issuances | Annex V.Part 2.116(a) | |
| 040 | Transfer orders | Annex V.Part 2.116(b) | |
| 050 | Other | Annex V.Part 2.116(c) | |
| 060 | Clearing and settlement | Annex V.Part 2.116(d) | |
| 070 | Asset management | Annex V.Part 2.116(e); Annex V.Part 2.117(a) | |
| 080 | Custody [by type of customer] | Annex V.Part 2.116(e); Annex V.Part 2.117(b) | |
| 090 | Collective investment | ||
| 100 | Other | ||
| 110 | Central administrative services for collective investment | Annex V.Part 2.116(e); Annex V.Part 2.117(c) | |
| 120 | Fiduciary transactions | Annex V.Part 2.116(e); Annex V.Part 2.117(d) | |
| 130 | Payment services | Annex V.Part 2.116(e); Annex V.Part 2.117(e) | |
| 140 | Customer resources distributed but not managed [by type of product] | Annex V.Part 2.117(f) | |
| 150 | Collective investment | ||
| 160 | Insurance products | ||
| 170 | Other | ||
| 180 | Structured Finance | Annex V.Part 2.116(f) | |
| 190 | Servicing of securitization activities | Annex V.Part 2.116(g) | |
| 200 | Loan commitments given | IAS 39.47(d)(ii); Annex V.Part 2.116(h) | |
| 210 | Financial guarantees given | IAS 39.47(c)(ii); Annex V.Part 2.116(h) | |
| 220 | Other | Annex V.Part 2.116(j) | |
| 230 | (Fee and commission expenses) | Annex V.Part 2.113-115 | |
| 240 | (Clearing and settlement) | Annex V.Part 2.116(d) | |
| 250 | (Custody) | Annex V.Part 2.117(b) | |
| 260 | (Servicing of securitization activities) | Annex V.Part 2.116(g) | |
| 270 | (Loan commitments received) | Annex V.Part 2.116(i) | |
| 280 | (Financial guarantees received) | Annex V.Part 2.116(i) | |
| 290 | (Other) | Annex V.Part 2.116(j) |
22.2Assets involved in the services provided
| References | Amount of the assets involved in the services provided | ||
|---|---|---|---|
| Annex V.Part 2.117(g) | |||
| 010 | |||
| 010 | Asset management [by type of customer] | Annex V.Part 2.117(a) | |
| 020 | Collective investment | ||
| 030 | Pension funds | ||
| 040 | Customer portfolios managed on a discretionary basis | ||
| 050 | Other investment vehicles | ||
| 060 | Custody assets [by type of customer] | Annex V.Part 2.117(b) | |
| 070 | Collective investment | ||
| 080 | Other | ||
| 090 | Of which: entrusted to other entities | ||
| 100 | Central administrative services for collective investment | Annex V.Part 2.117(c) | |
| 110 | Fiduciary transactions | Annex V.Part 2.117(d) | |
| 120 | Payment services | Annex V.Part 2.117(e) | |
| 130 | Customer resources distributed but not managed [by type of product] | Annex V.Part 2.117(f) | |
| 140 | Collective investment | ||
| 150 | Insurance products | ||
| 160 | Other |
30.Off-balance sheet activities: Interests in unconsolidated structured entities
30.1Interests in unconsolidated structured entities
| References | Carrying amount of financial assets recognised in the balance sheet | Of which: liquidity support drawn | Fair value of liquidity support drawn | Carrying amount of financial liabilities recognised in the balance sheet | Nominal amount of off-balance sheet items given by the reporting institution | Of which: Nominal amount of loan commitments given | Losses incurred by the reporting institution in the current period | ||
|---|---|---|---|---|---|---|---|---|---|
| IFRS 12.29(a) | IFRS 12.29(a); Annex V.Part 2.118 | IFRS 12.29(a) | IFRS 12.B26(e) | IFRS 12 B26(b) | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | |||
| 010 | Total |
30.2Breakdown of interests in unconsolidated structured entities by nature of the activities
| By nature of the activities | References | Securitisation Special Purpose Entities | Asset management | Other activities | |
|---|---|---|---|---|---|
| CRR art 4(1)(66) | Annex V.Part 2.117(a) | ||||
| Carrying amount | |||||
| IFRS 12.28, B6.(a) | 010 | 020 | 030 | ||
| 010 | Selected financial assets recognised in the reporting institution's balance sheet | IFRS 12.29(a),(b) | |||
| 021 | of which: non-performing | Annex V.Part 2. 145-162 | |||
| 030 | Derivatives | IAS 39.9 | |||
| 040 | Equity instruments | IAS 32.11 | |||
| 050 | Debt securities | Annex V.Part 1.24, 26 | |||
| 060 | Loans and advances | Annex V.Part 1.24, 27 | |||
| 070 | Selected equity and financial liabilites recognised in the reporting institution's balance sheet | IFRS 12.29(a),(b) | |||
| 080 | Equity instruments issued | IAS 32.4 | |||
| 090 | Derivatives | IAS 39.9, AG 15 (a) | |||
| 100 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |||
| 110 | Debt securities issued | Annex V.Part 1.31 | |||
| Nominal amount | |||||
| 120 | Off-balance sheet items given by the reporting institution | IFRS 12.B26.(e) | |||
| 131 | of which: non-performing | Annex V.Part 2. 145-162 |
31.Related parties
31.1Related parties: amounts payable to and amounts receivable from
| References | Outstanding balances | ||||||
|---|---|---|---|---|---|---|---|
| Parent and entities with joint control or significant influence | Subsidiaries and other entities of the same group | Associates and joint ventures | Key management of the institution or its parent | Other related parties | |||
| IAS 24.19(a),(b) | IAS 24.19(c); Annex V.Part 2.120 | IAS 24.19(d),(e); Annex V.Part 2.120 | IAS 24.19(f) | IAS 24.19(g) | |||
| Annex V.Part 2.120 | 010 | 020 | 030 | 040 | 050 | ||
| 010 | Selected financial assets | IAS 24.18(b) | |||||
| 020 | Equity instruments | IAS 32.11 | |||||
| 030 | Debt securities | Annex V.Part 1.24, 26 | |||||
| 040 | Loans and advances | Annex V.Part 1.24, 27 | |||||
| 050 | of which: Impaired financial assets | ||||||
| 060 | Selected financial liabilities | IAS 24.18(b) | |||||
| 070 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |||||
| 080 | Debt securities issued | Annex V.Part 1.31 | |||||
| 090 | Nominal amount of loan commitments, financial guarantees and other commitments given | IAS 24.18(b); Annex V.Part 2.62 | |||||
| 100 | of which: defaulted | IAS 24.18(b); Annex V.Part 2.61 | |||||
| 110 | Loan commitments, financial guarantees and other commitments received | IAS 24.18(b); Annex V.Part 2.63, 121 | |||||
| 120 | Notional amount of derivatives | Annex V.Part 2.70-71 | |||||
| 130 | Allowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments*[To be replaced by "Accumulated impairment, accumulated changes in fair value due to credit risk and provisions on non-performing exposures" when reporting of non-performing exposures would be final]* | IAS 24.18(c) |
31.2Related parties: expenses and income generated by transactions with
| References | Current period | ||||||
|---|---|---|---|---|---|---|---|
| Parent and entities with joint control or significant influence | Subsidiaries and other entities of the same group | Associates and joint ventures | Key management of the institution or its parent | Other related parties | |||
| IAS 24.19(a),(b) | IAS 24.19(c) | IAS 24.19(d),(e) | IAS 24.19(f) | IAS 24.19(g) | |||
| Annex V.Part 2.120 | 010 | 020 | 030 | 040 | 050 | ||
| 010 | Interest income | IAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21 | |||||
| 020 | Interest expenses | IAS 24.18(a); IAS 1.97; Annex V.Part 2.21 | |||||
| 030 | Dividend income | IAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28 | |||||
| 040 | Fee and commission income | IAS 24.18(a); IFRS 7.20(c) | |||||
| 050 | Fee and commission expenses | IAS 24.18(a); IFRS 7.20(c) | |||||
| 060 | Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss | IAS 24.18(a) | |||||
| 070 | Gains or (-) losses on derecognition of non-financial assets | IAS 24.18(a); Annex V.Part 2.122 | |||||
| 080 | Increase or (-) decrease during the period in impairment and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments | IAS 24.18(d) |
40.Group structure
40.1Group structure: "entity-by-entity"
| LEI code | Entity code | Entity name | Entry date | Share capital | Equity of investee | Total assets of investee | Profit or (-) loss of investee | Residence of investee | Sector of investee | NACE Code | Accumulated equity interest [%] | Voting rights [%] | Group structure [relationship] | Accounting treatment [Accounting Group] | Accounting treatment [CRR Group] | Carrying amount | Acquisition cost | Goodwill link to Investee | Fair value of investments for which there are published price quotations |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annex V.Part 2.123, 124(a) | Annex V.Part 2.123, 124(b) | IFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c) | Annex V.Part 2.123, 124(d) | Annex V.Part 2.123, 124(e) | IFRS 12.B12(b); Annex V.Part 2.123, 124(f) | IFRS 12.B12(b); Annex V.Part 2.123, 124(f) | IFRS 12.B12(b); Annex V.Part 2.123, 124(f) | IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g) | Annex V.Part 2.123, 124(h) | Annex V.Part 2.123, 124(i) | IFRS 12.21(iv); Annex V.Part 2.123, 124(j) | IFRS 12.21(iv); Annex V.Part 2.123, 124(k) | IFRS 12.10(a)(i); Annex V.Part 2.123, 124(l) | IFRS 12.21(b); Annex V.Part 2.123, 124(m) | CRR art 18; Annex V.Part 2.123, 124(n) | Annex V.Part 2.123, 124(0) | Annex V.Part 2.123, 124(p) | Annex V.Part 2.123, 124(q) | IFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r) |
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 095 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 |
40.2Group structure: "instrument-by-instrument"
| Security code | Entity code | Holding company LEI code | Holding company code | Holding company name | Accumulated equity interest (%) | Carrying amount | Acquisition cost |
|---|---|---|---|---|---|---|---|
| Annex V.Part 2.125(a) | Annex V.Part 2.124(b), 125(c) | Annex V.Part 2.125(b) | Annex V.Part 2.124(j), 125(c) | Annex V.Part 2.124(o), 125(c) | Annex V.Part 2.124(p), 125(c) | ||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 |
41.Fair value
41.1Fair value hierarchy: financial instruments at amortised cost
| ASSETS | References | Fair value | Fair value hierarchyIFRS 13.93(b), BC216 | |||
|---|---|---|---|---|---|---|
| IFRS 7.25-26 | Level 1IFRS 13.76 | Level 2IFRS 13.81 | Level 3IFRS 13.86 | |||
| 010 | 020 | 030 | 040 | |||
| 010 | Loans and receivables | IFRS 7.8 (c); IAS 39.9, AG16, AG26 | ||||
| 020 | Debt securities | Annex V.Part 1.24, 26 | ||||
| 030 | Loans and advances | Annex V.Part 1.24, 27 | ||||
| 040 | Held-to-maturity investments | IFRS 7.8(b); IAS 39.9, AG16, AG26 | ||||
| 050 | Debt securities | Annex V.Part 1.24, 26 | ||||
| 060 | Loans and advances | Annex V.Part 1.24, 27 | ||||
| LIABILITIES | ||||||
| 070 | Financial liabilities measured at amortised cost | IFRS 7.8(f); IAS 39.47 | ||||
| 080 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||||
| 090 | Debt securities issued | Annex V.Part 1.31 | ||||
| 100 | Other financial liabilities | Annex V.Part 1.32-34 |
41.2Use of the Fair Value Option
| Financial instruments designated at fair value through profit or loss | References | Carrying amount | |||
|---|---|---|---|---|---|
| Accounting mismatch | Evaluation on a fair value basis | Hybrid contracts | |||
| IFRS 7.B5(a) | IAS 39.9b(i) | IAS 39.9b(ii) | IAS 39.11A-12 | ||
| ASSETS | 010 | 020 | 030 | ||
| 010 | Financial assets designated at fair value through profit or loss | IFRS 7.8(a)(i); IAS 39.9 | |||
| 020 | Equity Instruments | IAS 32.11 | |||
| 030 | Debt securities | Annex V.Part 1.24, 26 | |||
| 040 | Loans and advances | Annex V.Part 1.24, 27 | |||
| LIABILITIES | |||||
| 050 | Financial liabilities designated at fair value through profit or loss | IFRS 7.8(e)(i); IAS 39.9 | |||
| 060 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |||
| 070 | Debt securities issued | Annex V.Part 1.31 | |||
| 080 | Other financial liabilities | Annex V.Part 1.32-34 |
41.3Hybrid financial instruments not designated at fair value through profit or loss
| Rest of separable hybrid contracts [not designated at fair value through profit or loss] | References | Carrying amount | |
|---|---|---|---|
| FINANCIAL ASSETS | 010 | ||
| 010 | Financial assets held for trading | IAS 39.9; Annex V.Part 2.129 | |
| 020 | Available-for-sale [Host contracts] | IAS 39.11; Annex V.Part 2.130 | |
| 030 | Loans and receivables [Host contracts] | IAS 39.11; Annex V.Part 2.130 | |
| 040 | Held-to-maturity investments [Host contracts] | IAS 39.11; Annex V.Part 2.130 | |
| FINANCIAL LIABILITES | |||
| 050 | Financial liabilities held for trading | IAS 39.9; Annex V.Part 2.129 | |
| 060 | Financial liabilities measured at amortized cost [Host contracts] | IAS 39.11; Annex V.Part 2.130 |
42.Tangible and intangible assets: carrying amount by measurement method
| References | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Property plant and equipment | IAS 16.6; IAS 16.29; IAS 1.54(a) | |
| 020 | Revaluation model | IAS 16.31, 73(a),(d) | |
| 030 | Cost model | IAS 16.30, 73(a),(d) | |
| 040 | Investment property | IAS 40.5, 30; IAS 1.54(b) | |
| 050 | Fair value model | IAS 40,33-55, 76 | |
| 060 | Cost model | IAS 40.56, 79(c) | |
| 070 | Other intangible assets | IAS 38.8, 118, 122; Annex V.Part 2.132 | |
| 080 | Revaluation model | IAS 38.75-87, 124(a)(ii) | |
| 090 | Cost model | IAS 38.74 |
43.Provisions
| References | Carrying amount | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Pensions and other post employment defined benefit obligations | Other long term employee benefits | Restructuring | Pending legal issues and tax litigation | Commitments and guarantees given | Other provisions | Total | |||
| IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 | IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 | IAS 37.70-83 | IAS 37.App C.6-10 | IAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4 | IAS 37.14 | ||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | |||
| 010 | Opening balance [carrying amount at the beginning of the period] | IAS 37.84 (a) | |||||||
| 020 | Additions, including increases in existing provisions | IAS 37.84 (b) | |||||||
| 030 | (-) Amounts used | IAS 37.84 (c) | |||||||
| 040 | (-) Unused amounts reversed during the period | IAS 37.84 (d) | |||||||
| 050 | Increase in the discounted amount [passage of time] and effect of any change in the discount rate | IAS 37.84 (e) | |||||||
| 060 | Other movements | ||||||||
| 070 | Closing balance [carrying amount at the end of the period] | IAS 37.84 (a) |
44.Defined benefit plans and employee benefits
44.1Components of net defined benefit plan assets and liabilities
| References | Amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Fair value of defined benefit plan assets | IAS 19.140(a)(i), 142 | |
| 020 | Of which: Financial instruments issued by the institution | IAS 19.143 | |
| 030 | Equity instruments | IAS 19.142(b) | |
| 040 | Debt instruments | IAS 19.142(c) | |
| 050 | Real estate | IAS 19.142(d) | |
| 060 | Other defined benefit plan assets | ||
| 070 | Present value of defined benefit obligations | IAS 19.140(a)(ii) | |
| 080 | Effect of the asset ceiling | IAS 19.140(a)(iii) | |
| 090 | Net defined benefit assets [Carrying amount] | IAS 19.63; Annex V.Part 2.136 | |
| 100 | Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] | IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 | |
| 110 | Memo item: Fair value of any right to reimbursement recognised as an asset | IAS 19.140(b) |
44.2Movements in defined benefit obligations
| References | Defined benefit obligations | ||
|---|---|---|---|
| 010 | |||
| 010 | Opening balance [present value] | IAS 19.140(a)(ii) | |
| 020 | Current service cost | IAS 19.141(a) | |
| 030 | Interest cost | IAS 19.141(b) | |
| 040 | Contributions paid | IAS 19.141(f) | |
| 050 | Actuarial (-) gains or losses from changes in demographic assumptions | IAS 19.141(c)(ii) | |
| 060 | Actuarial (-) gains or losses from changes in financial assumptions | IAS 19.141(c)(iii) | |
| 070 | Foreign currency exchange increase or (-) decrease | IAS 19.141(e) | |
| 080 | Benefits paid | IAS 19.141(g) | |
| 090 | Past service cost, including gains and losses arising from settlements | IAS 19.141(d) | |
| 100 | Increase or (-) decrease through business combinations and disposals | IAS 19.141(h) | |
| 110 | Other increases or (-) decreases | ||
| 120 | Closing balance [present value] | IAS 19.140(a)(ii); Annex V.Part 2.138 |
44.3Memo items [related to staff expenses]
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Pension and similar expenses | Annex V.Part 2.139(a) | |
| 020 | Share based payments | IFRS 2.44; Annex V.Part 2.139(b) |
45.Breakdown of selected items of statement of profit or loss
45.1Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
| References | Current period | Changes in fair value due to credit risk | ||
|---|---|---|---|---|
| 010 | 020 | |||
| 010 | Financial assets designated at fair value through profit or loss | IFRS 7.20(a)(i); IAS 39.55(a) | ||
| 020 | Financial liabilities designated at fair value through profit or loss | IFRS 7.20(a)(i); IAS 39.55(a) | ||
| 030 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS | IFRS 7.20(a)(i) |
45.2Gains or losses on derecognition of non-financial assets other than held for sale
| References | Current period | ||
|---|---|---|---|
| 010 | |||
| 020 | Investment property | IAS 40.69; IAS 1.34(a), 98(d) | |
| 030 | Intangible assets | IAS 38.113-115A; IAS 1.34(a) | |
| 040 | Other assets | IAS 1.34 (a) | |
| 050 | GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS | IAS 1.34 |
45.3Other operating income and expenses
| References | Income | Expenses | ||
|---|---|---|---|---|
| 010 | 020 | |||
| 010 | Changes in fair value in tangible assets measured using the fair value model | IAS 40.76(d); Annex V.Part 2.141 | ||
| 020 | Investment property | IAS 40.75(f); Annex V.Part 2.141 | ||
| 030 | Operating leases other than investment property | IAS 17.50, 51, 56(b); Annex V.Part 2.142 | ||
| 040 | Other | Annex V.Part 2.143 | ||
| 050 | OTHER OPERATING INCOME OR EXPENSES | Annex V.Part 2.141-142 |
46.Statement of changes in equity
| Sources of equity changes | References | Capital | Share premium | Equity instruments issued other than Capital | Other equity | Accumulated other comprehensive income | Retained earnings | Revaluation reserves | |
|---|---|---|---|---|---|---|---|---|---|
| IAS 1.106, 54(r) | IAS 1.106, 78(e) | IAS 1.106, Annex V.Part 2.15-16 | IAS 1.106; Annex V.Part 2.17 | IAS 1.106 | CRR art 4(1)(123) | IFRS 1.30 D5-D8 | |||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | |||
| 010 | Opening balance [before restatement] | ||||||||
| 020 | Effects of corrections of errors | IAS 1.106.(b); IAS 8.42 | |||||||
| 030 | Effects of changes in accounting policies | IAS 1.106.(b); IAS 1.IG6; IAS 8.22 | |||||||
| 040 | Opening balance [current period] | ||||||||
| 050 | Issuance of ordinary shares | IAS 1.106.(d).(iii) | |||||||
| 060 | Issuance of preference shares | IAS 1.106.(d).(iii) | |||||||
| 070 | Issuance of other equity instruments | IAS 1.106.(d).(iii) | |||||||
| 080 | Exercise or expiration of other equity instruments issued | IAS 1.106.(d).(iii) | |||||||
| 090 | Conversion of debt to equity | IAS 1.106.(d).(iii) | |||||||
| 100 | Capital reduction | IAS 1.106.(d).(iii) | |||||||
| 110 | Dividends | IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 | |||||||
| 120 | Purchase of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||
| 130 | Sale or cancellation of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||
| 140 | Reclassification of financial instruments from equity to liability | IAS 1.106.(d).(iii) | |||||||
| 150 | Reclassification of financial instruments from liability to equity | IAS 1.106.(d).(iii) | |||||||
| 160 | Transfers among components of equity | IAS 1.106.(d).(iii) | |||||||
| 170 | Equity increase or (-) decrease resulting from business combinations | IAS 1.106.(d).(iii) | |||||||
| 180 | Share based payments | IAS 1.106.(d).(iii); IFRS 2.10 | |||||||
| 190 | Other increase or (-) decrease in equity | IAS 1.106.(d) | |||||||
| 200 | Total comprehensive income for the year | IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 | |||||||
| 210 | Closing balance [current period] |
| Sources of equity changes | References | Other reserves | (-) Treasury shares | Profit or (-) loss atributable to owners of the parent | (-) Interim dividends | Minority interests | Total | ||
|---|---|---|---|---|---|---|---|---|---|
| Accumulated Other Comprehensive Income | Other items | ||||||||
| IAS 1.106, 54(c) | IAS 1.106; IAS 32.34, 33; Annex V.Part 2.20 | IAS 1.106(a), 83 (a)(ii) | IAS 1.106; IAS 32.35 | IAS 1.54(q), 106(a); IAS 27.27-28 | IAS 1.54(q), 106(a); IAS 27.27-28 | IAS 1.9(c), IG6 | |||
| 080 | 090 | 100 | 110 | 120 | 130 | 140 | |||
| 010 | Opening balance [before restatement] | ||||||||
| 020 | Effects of corrections of errors | IAS 1.106.(b); IAS 8.42 | |||||||
| 030 | Effects of changes in accounting policies | IAS 1.106.(b); IAS 1.IG6; IAS 8.22 | |||||||
| 040 | Opening balance [current period] | ||||||||
| 050 | Issuance of ordinary shares | IAS 1.106.(d).(iii) | |||||||
| 060 | Issuance of preference shares | IAS 1.106.(d).(iii) | |||||||
| 070 | Issuance of other equity instruments | IAS 1.106.(d).(iii) | |||||||
| 080 | Exercise or expiration of other equity instruments issued | IAS 1.106.(d).(iii) | |||||||
| 090 | Conversion of debt to equity | IAS 1.106.(d).(iii) | |||||||
| 100 | Capital reduction | IAS 1.106.(d).(iii) | |||||||
| 110 | Dividends | IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 | |||||||
| 120 | Purchase of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||
| 130 | Sale or cancellation of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||
| 140 | Reclassification of financial instruments from equity to liability | IAS 1.106.(d).(iii) | |||||||
| 150 | Reclassification of financial instruments from liability to equity | IAS 1.106.(d).(iii) | |||||||
| 160 | Transfers among components of equity | IAS 1.106.(d).(iii) | |||||||
| 170 | Equity increase or (-) decrease resulting from business combinations | IAS 1.106.(d).(iii) | |||||||
| 180 | Share based payments | IAS 1.106.(d).(iii); IFRS 2.10 | |||||||
| 190 | Other increase or (-) decrease in equity | IAS 1.106.(d) | |||||||
| 200 | Total comprehensive income for the year | IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 | |||||||
| 210 | Closing balance [current period] |
REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
| Parts for National GAAP reporters | ||
|---|---|---|
| Cell not to be submitted for reporting institutions subject to the relevant accounting framework | ||
| FINREP TEMPLATES FOR GAAP | ||
| TEMPLATE NUMBER | TEMPLATE CODE | NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE |
| PART 1 [QUARTERLY FREQUENCY] | ||
| 1.1 | F 01.01 | Balance Sheet Statement: assets |
| 1.2 | F 01.02 | Balance Sheet Statement: liabilities |
| 1.3 | F 01.03 | Balance Sheet Statement: equity |
| 2 | F 02.00 | Statement of profit or loss |
| 3 | F 03.00 | Statement of comprehensive income |
| 4.1 | F 04.01 | Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading |
| 4.2 | F 04.02 | Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss |
| 4.3 | F 04.03 | Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets |
| 4.4 | F 04.04 | Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments |
| 4.5 | F 04.05 | Subordinated financial assets |
| 4.6 | F 04.06 | Breakdown of financial assets by instrument and by counterparty sector: trading financial assets |
| 4.7 | F 04.07 | Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss |
| 4.8 | F 04.08 | Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity |
| 4.9 | F 04.09 | Breakdown of financial assets by instrument and by counterparty sector: non-trading debt instruments measured at a cost-based method |
| 4.10 | F 04.10 | Breakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets |
| 5 | F 05.00 | Breakdown of loans and advances by product |
| 6 | F 06.00 | Breakdown of loans and advances to non-financial corporations by NACE codes |
| 7 | F 07.00 | Financial assets subject to impairment that are past due or impaired |
| 8.1 | F 08.01 | Breakdown of financial liabilities by product and by counterparty sector |
| 8.2 | F 08.02 | Subordinated financial liabilities |
| 9.1 | F 09.01 | Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given |
| 9.2 | F 09.02 | Loan commitments, financial guarantees and other commitments received |
| 10 | F 10.00 | Derivatives - Trading |
| 11.1 | F 11.01 | Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge |
| 11.2 | F 11.02 | Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk |
| 12 | F 12.00 | Movements in allowances for credit losses and impairment of equity instruments |
| 13.1 | F 13.01 | Breakdown of loans and advances by collateral and guarantees |
| 13.2 | F 13.02 | Collateral obtained by taking possession during the period [held at the reporting date] |
| 13.3 | F 13.03 | Collateral obtained by taking possession [tangible assets] accumulated |
| 14 | F 14.00 | Fair value hierarchy: financial instruments at fair value |
| 15 | F 15.00 | Derecognition and financial liabilities associated with transferred financial assets |
| 16.1 | F 16.01 | Interest income and expenses by instrument and counterparty sector |
| 16.2 | F 16.02 | Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument |
| 16.3 | F 16.03 | Gains or losses on financial assets and liabilities held for trading by instrument |
| 16.4 | F 16.04 | Gains or losses on financial assets and liabilities held for trading by risk |
| 16.5 | F 16.05 | Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument |
| 16.6 | F 16.06 | Gains or losses from hedge accounting |
| 16.7 | F 16.07 | Impairment on financial and non-financial assets |
| 17.1 | F 17.01 | Reconciliation between accounting and CRR scope of consolidation: Assets |
| 17.2 | F 17.02 | Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given |
| 17.3 | F 17.03 | Reconciliation between accounting and CRR scope of consolidation: Liabilities |
| 18 | F 18.00 | Performing and non-performing exposures |
| 19 | F 19.00 | Forborne exposures |
| PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] | ||
| 20.1 | F 20.01 | Geographical breakdown of assets by location of the activities |
| 21 | F 21.00 | Tangible and intangible assets: assets subject to operating lease |
| 22.1 | F 22.01 | Fee and commission income and expenses by activity |
| 22.2 | F 22.02 | Assets involved in the services provided |
| PART 3 [SEMI-ANNUAL] | ||
| 30.1 | F 30.01 | Interests in unconsolidated structured entities |
| 30.2 | F 30.02 | Breakdown of interests in unconsolidated structured entities by nature of the activities |
| 31.1 | F 31.01 | Related parties: amounts payable to and amounts receivable from |
| 31.2 | F 31.02 | Related parties: expenses and income generated by transactions with |
| PART 4 [ANNUAL] | ||
| 40.1 | F 40.1 | Group structure: "entity-by-entity" |
| 40.2 | F 40.02 | Group structure: "instrument-by-instrument" |
| 41.1 | F 41.01 | Fair value hierarchy: financial instruments at amortised cost |
| 41.2 | F 41.02 | Use of the Fair Value Option |
| 41.3 | F 41.03 | Hybrid financial instruments not designated at fair value through profit or loss |
| 42 | F 42.00 | Tangible and intangible assets: carrying amount by measurement method |
| 43 | F 43.00 | Provisions |
| 44.1 | F 44.01 | Components of net defined benefit plan assets and liabilities |
| 44.2 | F 44.02 | Movements in defined benefit plan obligations |
| 44.3 | F 44.03 | Memo items [related to staff expenses] |
| 45.1 | F 45.01 | Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio |
| 45.2 | F 45.02 | Gains or losses on derecognition of non-financial assets other than held for sale |
| 45.3 | F 45.03 | Other operating income and expenses |
| 46 | F 46.00 | Statement of changes in equity |
1.Balance Sheet Statement [Statement of Financial Position]
1.1Assets
| References National GAAP based on BAD | References National GAAP compatible IFRS | Breakdown in table | Carrying amount | ||
|---|---|---|---|---|---|
| 010 | |||||
| 010 | Cash, cash balances at central banks and other demand deposits | BAD art 4.Assets(1) | IAS 1.54 (i) | ||
| 020 | Cash on hand | Annex V.Part 2.1 | Annex V.Part 2.1 | ||
| 030 | Cash balances at central banks | BAD art 13(2); Annex V.Part 2.2 | Annex V.Part 2.2 | ||
| 040 | Other demand deposits | Annex V.Part 2.3 | 5 | ||
| 050 | Financial assets held for trading | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | ||
| 060 | Derivatives | CRR Annex II | IAS 39.9 | 10 | |
| 070 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | 4 | |
| 080 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | 4 | |
| 090 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | 4 | |
| 091 | Trading financial assets | Annex V.Part 1.15 | |||
| 092 | Derivatives | CRR Annex II; Annex V.Part 1.15 | |||
| 093 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | 4 | ||
| 094 | Debt securities | Annex V.Part 1.24, 26 | 4 | ||
| 095 | Loans and advances | Annex V.Part 1.24, 27 | 4 | ||
| 100 | Financial assets designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(i); IAS 39.9 | 4 | |
| 110 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | 4 | |
| 120 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | 4 | |
| 130 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | 4 | |
| 140 | Available-for-sale financial assets | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(d); IAS 39.9 | 4 | |
| 150 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | 4 | |
| 160 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | 4 | |
| 170 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | 4 | |
| 171 | Non-trading non-derivative financial assets measured at fair value through profit or loss | 4th Directive art 42a(1), (4) | 4 | ||
| 172 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | 4 | ||
| 173 | Debt securities | Annex V.Part 1.24, 26 | 4 | ||
| 174 | Loan and advances | 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 | 4 | ||
| 175 | Non-trading non-derivative financial assets measured at fair value to equity | 4th Directive art 42a(1); art 42c (2) | 4 | ||
| 176 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | 4 | ||
| 177 | Debt securities | Annex V.Part 1.24, 26 | 4 | ||
| 178 | Loan and advances | 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 | 4 | ||
| 180 | Loans and receivables | 4th Directive art 42a(4)(b),(5a); IAS 39.9 | IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 | 4 | |
| 190 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | 4 | |
| 200 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | 4 | |
| 210 | Held-to-maturity investments | 4th Directive art 42a(4)(a),(5a); IAS 39.9 | IFRS 7.8(b); IAS 39.9, AG16, AG26 | 4 | |
| 220 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | 4 | |
| 230 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | 4 | |
| 231 | Non-trading debt instruments measured at a cost-based method | BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 | 4 | ||
| 232 | Debt securities | Annex V.Part 1.24, 26 | 4 | ||
| 233 | Loans and advances | Annex V.Part 1.24, 27 | 4 | ||
| 234 | Other non-trading non-derivative financial assets | BAD art 35-37; Annex V.Part 1.17 | 4 | ||
| 235 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | 4 | ||
| 236 | Debt securities | Annex V.Part 1.24, 26 | 4 | ||
| 237 | Loans and advances | Annex V.Part 1.24, 27 | 4 | ||
| 240 | Derivatives – Hedge accounting | 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 | IFRS 7.22(b); IAS 39.9 | 11 | |
| 250 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | 4th Directive art 42a(5), (5a); IAS 39.89A (a) | IAS 39.89A(a) | ||
| 260 | Investments in subsidaries, joint ventures and associates | BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 | IAS 1.54(e); Annex V.Part 2.4 | 4, 40 | |
| 270 | Tangible assets | BAD art 4.Assets(10) | |||
| 280 | Property, Plant and Equipment | IAS 16.6; IAS 1.54(a) | 21, 42 | ||
| 290 | Investment property | IAS 40.5; IAS 1.54(b) | 21, 42 | ||
| 300 | Intangible assets | BAD art 4.Assets(9); CRR art 4(115) | IAS 1.54(c); CRR art 4(115) | ||
| 310 | Goodwill | BAD art 4.Assets(9); CRR art 4(113) | IFRS 3.B67(d); CRR art 4(113) | ||
| 320 | Other intangible assets | BAD art 4.Assets(9) | IAS 38.8,118 | 21, 42 | |
| 330 | Tax assets | IAS 1.54(n-o) | |||
| 340 | Current tax assets | IAS 1.54(n); IAS 12.5 | |||
| 350 | Deferred tax assets | 4th Directive art 43(1)(11); CRR art 4(106) | IAS 1.54(o); IAS 12.5; CRR art 4(106) | ||
| 360 | Other assets | Annex V.Part 2.5 | Annex V.Part 2.5 | ||
| 370 | Non-current assets and disposal groups classified as held for sale | IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 | |||
| 380 | TOTAL ASSETS | BAD art 4 Assets | IAS 1.9(a), IG 6 |
1.2Liabilities
| References National GAAP based on BAD | References National GAAP compatible IFRS | Breakdown in table | Carrying amount | ||
|---|---|---|---|---|---|
| 010 | |||||
| 010 | Financial liabilities held for trading | 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 | IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 | 8 | |
| 020 | Derivatives | CRR Annex II | IAS 39.9, AG 15(a) | 10 | |
| 030 | Short positions | IAS 39.AG 15(b) | 8 | ||
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 | 8 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | 8 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | 8 | |
| 061 | Trading financial liabilities | 4th Directive art 42a(3) | 8 | ||
| 062 | Derivatives | CRR Annex II; Annex V.Part 1.15 | 8 | ||
| 063 | Short positions | 8 | |||
| 064 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | 8 | ||
| 065 | Debt securities issued | Annex V.Part 1.31 | 8 | ||
| 066 | Other financial liabilities | Annex V.Part 1.32-34 | 8 | ||
| 070 | Financial liabilities designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8 (e)(i); IAS 39.9 | 8 | |
| 080 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | 8 | |
| 090 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | 8 | |
| 100 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | 8 | |
| 110 | Financial liabilities measured at amortised cost | 4th Directive art 42a(3), (5a); IAS 39.47 | IFRS 7.8(f); IAS 39.47 | 8 | |
| 120 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | 8 | |
| 130 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | 8 | |
| 140 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | 8 | |
| 141 | Non-trading non-derivative financial liabilities measured at a cost-based method | 4th Directive art 42a(3) | 8 | ||
| 142 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | 8 | ||
| 143 | Debt securities issued | Annex V.Part 1.31 | 8 | ||
| 144 | Other financial liabilities | Annex V.Part 1.32-34 | 8 | ||
| 150 | Derivatives – Hedge accounting | 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23 | IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 | 11 | |
| 160 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | 4th Directive art 42a(5), (5a); IAS 39.89A(b) | IAS 39.89A(b) | ||
| 170 | Provisions | BAD art 4.Liabilities(6) | IAS 37.10; IAS 1.54(l) | 43 | |
| 175 | Funds for general banking risks [if presented within liabilities] | BAD art 38.1; CRR art 4(112); Annex V.Part 2.12 | |||
| 180 | Pensions and other post employment defined benefit obligations | Annex V.Part 2.7 | IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 | 43 | |
| 190 | Other long term employee benefits | Annex V.Part 2.8 | IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 | 43 | |
| 200 | Restructuring | IAS 37.71, 84(a) | 43 | ||
| 210 | Pending legal issues and tax litigation | IAS 37.Appendix C. Examples 6 and 10 | 43 | ||
| 220 | Commitments and guarantees given | BAD art 24-25, 33(1) | IAS 37.Appendix C.9 | 43 | |
| 230 | Other provisions | 43 | |||
| 240 | Tax liabilities | IAS 1.54(n-o) | |||
| 250 | Current tax liabilities | IAS 1.54(n); IAS 12.5 | |||
| 260 | Deferred tax liabilities | 4th Directive art 43(1)(11); CRR art 4(108) | IAS 1.54(o); IAS 12.5; CRR art 4(108) | ||
| 270 | Share capital repayable on demand | IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 | |||
| 280 | Other liabilities | Annex V.Part 2.10 | Annex V.Part 2.10 | ||
| 290 | Liabilities included in disposal groups classified as held for sale | IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 | |||
| 300 | TOTAL LIABILITIES | IAS 1.9(b);IG 6 |
1.3Equity
| References National GAAP based on BAD | References National GAAP compatible IFRS | Breakdown in table | Carrying amount | ||
|---|---|---|---|---|---|
| 010 | |||||
| 010 | Capital | BAD art 4.Liabilities(9), BAD art 22 | IAS 1.54(r), BAD art 22 | 46 | |
| 020 | Paid up capital | BAD art 4.Liabilities(9) | IAS 1.78(e) | ||
| 030 | Unpaid capital which has been called up | BAD art 4.Liabilities(9) | IAS 1.78(e); Annex V.Part 2.14 | ||
| 040 | Share premium | BAD art 4.Liabilities(10); CRR art 4(124) | IAS 1.78(e); CRR art 4(124) | 46 | |
| 050 | Equity instruments issued other than capital | Annex V.Part 2.15-16 | Annex V.Part 2.15-16 | 46 | |
| 060 | Equity component of compound financial instruments | 4th Directive art 42a(5a); Annex V.Part 2.15 | IAS 32.28-29; Annex V.Part 2.15 | ||
| 070 | Other equity instruments issued | Annex V.Part 2.16 | Annex V.Part 2.16 | ||
| 080 | Other equity | Annex V.Part 2.17 | IFRS 2.10; Annex V.Part 2.17 | ||
| 090 | Accumulated other comprehensive income | CRR art 4(100) | CRR art 4(100) | 46 | |
| 095 | Items that will not be reclassified to profit or loss | IAS 1.82A(a) | |||
| 100 | Tangible assets | IAS 16.39-41 | |||
| 110 | Intangible assets | IAS 38.85-87 | |||
| 120 | Actuarial gains or (-) losses on defined benefit pension plans | IAS 1.7 | |||
| 122 | Non-current assets and disposal groups classified as held for sale | IFRS 5.38, IG Example 12 | |||
| 124 | Share of other recognised income and expense of investments in subsidaries, joint ventures and associates | IAS 1.82(h); IAS 28.11 | |||
| 128 | Items that may be reclassified to profit or loss | IAS 1.82A(b) | |||
| 130 | Hedge of net investments in foreign operations [effective portion] | 4th Directive art 42a(1), (5a) | IAS 39.102(a) | ||
| 140 | Foreign currency translation | BAD art 39(6) | IAS 21.52(b); IAS 21.32, 38-49 | ||
| 150 | Hedging derivatives. Cash flow hedges [effective portion] | 4th Directive art 42a(1), (5a) | IFRS 7.23(c); IAS 39.95-101 | ||
| 160 | Available-for-sale financial assets | 4th Directive art 42a(1), (5a) | IFRS 7.20(a)(ii); IAS 39.55(b) | ||
| 170 | Non-current assets and disposal groups classified as held for sale | IFRS 5.38, IG Example 12 | |||
| 180 | Share of other recognised income and expense of investments in subsidaries, joint ventures and associates | IAS 1.82(h); IAS 28.11 | |||
| 190 | Retained earnings | BAD art 4.Liabilities(13); CRR art 4(123) | CRR art 4(123) | ||
| 200 | Revaluation reserves | BAD art 4.Liabilities(12) | IFRS 1.30, D5-D8; Annex V.Part 2.18 | ||
| 201 | Tangible assets | 4th Directive art 33(1)(c) | |||
| 202 | Equity instruments | 4th Directive art 33(1)(c) | |||
| 203 | Debt securities | 4th Directive art 33(1)(c) | |||
| 204 | Other | 4th Directive art 33(1)(c) | |||
| 205 | Fair value reserves | 4th Directive art 42a(1) | |||
| 206 | Hedge of net investments in foreign operations | 4th Directive art 42a(1); art 42c(1)(b) | |||
| 207 | Hedging derivatives.Cash flow hedges | 4th Directive art 42a(1); art 42c(1)(a); CRR article 30(a) | |||
| 208 | Hedging derivatives. Other hedges | 4th Directive art 42a(1); art 42c(1)(a) | |||
| 209 | Non-trading non-derivative financial assets measured at fair value to equity | 4th Directive art 42a(1); art 42c (2) | |||
| 210 | Other reserves | BAD art 4 Liabilities(11)-(13) | IAS 1.54; IAS 1.78(e) | ||
| 215 | Funds for general banking risks [if presented within equity] | BAD art 38.1; CRR art 4(112); Annex V.Part 1.38 | |||
| 220 | Reserves or accumulated losses of investments in subsidaries, joint ventures and associates | 4th Directive art 59.4;Annex V.Part 2.19 | IAS 28.11; Annex V.Part 2.19 | ||
| 230 | Other | Annex V.Part 2.19 | Annex V.Part 2.19 | ||
| 235 | First consolidation differences | 7th Directive 19(1)(c) | |||
| 240 | (-) Treasury shares | 4th Directive.Assets C (III)(7), D (III)(2); Annex V.Part 2.20 | IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 | 46 | |
| 250 | Profit or loss attributable to owners of the parent | BAD art 4.Liabilities(14) | IAS 27.28; IAS 1.81B (b)(ii) | 2 | |
| 260 | (-) Interim dividends | CRR Article 26(2b) | IAS 32.35 | ||
| 270 | Minority interests [Non-controlling interests] | 7th Directive art 21 | IAS 27.4; IAS 1.54(q); IAS 27.27 | ||
| 280 | Accumulated Other Comprehensive Income | CRR art 4(100) | IAS 27.27-28; CRR art 4(100) | 46 | |
| 290 | Other items | IAS 27.27-28 | 46 | ||
| 300 | TOTAL EQUITY | IAS 1.9(c), IG 6 | 46 | ||
| 310 | TOTAL EQUITY AND TOTAL LIABILITIES | BAD art 4.Liabilities | IAS 1.IG6 |
2.Statement of profit or loss
| References National GAAP based on BAD | References National GAAP compatible IFRS | Breakdown in table | Current period | ||
|---|---|---|---|---|---|
| 010 | |||||
| 010 | Interest income | BAD art 27.Vertical layout(1); Annex V.Part 2.21 | IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 | 16 | |
| 020 | Financial assets held for trading | IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 | |||
| 030 | Financial assets designated at fair value through profit or loss | IFRS 7.20(a)(i), B5(e) | |||
| 040 | Available-for-sale financial assets | IFRS 7.20(b); IAS 39.55(b); IAS 39.9 | |||
| 050 | Loans and receivables | IFRS 7.20(b); IAS 39.9, 39.46(a) | |||
| 060 | Held-to-maturity investments | IFRS 7.20(b); IAS 39.9, 39.46(b) | |||
| 070 | Derivatives - Hedge accounting, interest rate risk | IAS 39.9; Annex V.Part 2.23 | |||
| 080 | Other assets | Annex V.Part 2.25 | |||
| 090 | (Interest expenses) | BAD art 27.Vertical layout(2); Annex V.Part 2.21 | IAS 1.97; Annex V.Part 2.21 | 16 | |
| 100 | (Financial liabilities held for trading | IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 | |||
| 110 | (Financial liabilities designated at fair value through profit or loss | IFRS 7.20(a)(i), B5(e) | |||
| 120 | (Financial liabilities measured at amortised cost) | IFRS 7.20(b); IAS 39.47 | |||
| 130 | (Derivatives - Hedge accounting, interest rate risk) | IAS 39.9; Annex V.Part 2.23 | |||
| 140 | (Other liabilities) | Annex V.Part 2.26 | |||
| 150 | (Expenses on share capital repayable on demand) | IFRIC 2.11 | |||
| 160 | Dividend income | BAD art 27.Vertical layout(3); Annex V.Part 2.28 | IAS 18.35(b)(v); Annex V.Part 2.28 | ||
| 170 | Financial assets held for trading | IFRS 7.20(a)(i), B5(e) | |||
| 180 | Financial assets designated at fair value through profit or loss | IFRS 7.20(a)(i), B5(e); IAS 39.9 | |||
| 190 | Available-for-sale financial assets | IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) | |||
| 200 | Fee and commission income | BAD art 27.Vertical layout(4) | IFRS 7.20(c) | 22 | |
| 210 | (Fee and commission expenses) | BAD art 27.Vertical layout(5) | IFRS 7.20(c) | 22 | |
| 220 | Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net | BAD art 27.Vertical layout(6) | IFRS 7.20(a) (ii-v); Annex V.Part 2.97 | 16 | |
| 230 | Available-for-sale financial assets | IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) | |||
| 240 | Loans and receivables | IFRS 7.20(a)(iv); IAS 39.9, 39.56 | |||
| 250 | Held-to-maturity investments | IFRS 7.20(a)(iii); IAS 39.9, 39.56 | |||
| 260 | Financial liabilities measured at amortised cost | IFRS 7.20(a)(v); IAS 39.56 | |||
| 270 | Other | ||||
| 280 | Gains or (-) losses on financial assets and liabilities held for trading, net | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i); IAS 39.55(a) | 16 | |
| 285 | Gains or (-) losses on trading financial assets and liabilities, net | BAD art 27.Vertical layout(6) | 16 | ||
| 290 | Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i); IAS 39.55(a) | 16, 45 | |
| 295 | Gains or (-) losses on non-trading financial assets and liabilities, net | BAD art 27.Vertical layout(6) | 16 | ||
| 300 | Gains or (-) losses from hedge accounting, net | 4th Directive art 42a(1), (5a), art 42c(1)(a) | IFRS 7.24; Annex V.Part 2.30 | 16 | |
| 310 | Exchange differences [gain or (-) loss], net | BAD art 39 | IAS 21.28, 52 (a) | ||
| 320 | Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net | BAD art 27.Vertical layout(13)-(14) | |||
| 330 | Gains or (-) losses on derecognition of non financial assets, net | IAS 1.34 | 45 | ||
| 340 | Other operating income | BAD art 27.Vertical layout(7); Annex V.Part 2.141-143 | Annex V.Part 2.141-143 | 45 | |
| 350 | (Other operating expenses) | BAD art 27.Vertical layout(10); Annex V.Part 2.141-143 | Annex V.Part 2.141-143 | 45 | |
| 355 | TOTAL OPERATING INCOME, NET | ||||
| 360 | (Administrative expenses) | BAD art 27.Vertical layout(8) | |||
| 370 | (Staff expenses) | BAD art 27.Vertical layout(8)(a) | IAS 19.7; IAS 1.102, IG 6 | 44 | |
| 380 | (Other administrative expenses) | BAD art 27.Vertical layout(8)(b); | |||
| 390 | (Depreciation) | IAS 1.102, 104 | |||
| 400 | (Property, Plant and Equipment) | BAD art 27.Vertical layout(9) | IAS 1.104; IAS 16.73(e)(vii) | ||
| 410 | (Investment Properties) | BAD art 27.Vertical layout(9) | IAS 1.104; IAS 40.79(d)(iv) | ||
| 415 | (Goodwill) | BAD art 27.Vertical layout(9) | |||
| 420 | (Other intangible assets) | BAD art 27.Vertical layout(9) | IAS 1.104; IAS 38.118(e)(vi) | ||
| 430 | (Provisions or (-) reversal of provisions) | IAS 37.59, 84; IAS 1.98(b)(f)(g) | 43 | ||
| 440 | (Commitments and guarantees given) | BAD art 27.Vertical layout(11)-(12) | |||
| 450 | (Other provisions) | ||||
| 455 | (Increases or (-) decreases of the fund for general banking risks, net) | BAD art 38.2 | |||
| 460 | (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) | BAD art 35-37 | IFRS 7.20(e) | 16 | |
| 470 | (Financial assets measured at cost) | IFRS 7.20(e); IAS 39.66 | |||
| 480 | (Available- for-sale financial assets) | IFRS 7.20(e); IAS 39.67 | |||
| 490 | (Loans and receivables | IFRS 7.20(e); IAS 39.63 | |||
| 500 | (Held to maturity investments) | IFRS 7.20(e); IAS 39.63 | |||
| 510 | (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) | BAD art 27.Vertical layout(13)-(14) | IAS 28.40-43 | 16 | |
| 520 | (Impairment or (-) reversal of impairment on non-financial assets) | IAS 36.126(a)(b) | 16 | ||
| 530 | (Property, plant and equipment) | BAD art 27.Vertical layout(9) | IAS 16.73(e)(v-vi) | ||
| 540 | (Investment properties) | BAD art 27.Vertical layout(9) | IAS 40.79(d)(v) | ||
| 550 | (Goodwill) | BAD art 27.Vertical layout(9) | IFRS 3.Appendix B67(d)(v); IAS 36.124 | ||
| 560 | (Other intangible assets) | BAD art 27.Vertical layout(9) | IAS 38.118 (e)(iv)(v) | ||
| 570 | (Other) | IAS 36.126 (a)(b) | |||
| 580 | Negative goodwill recognised in profit or loss | 7th Directive art 31 | IFRS 3.Appendix B64(n)(i) | ||
| 590 | Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates | BAD art 27.Vertical layout(13)-(14) | IAS 1.82(c) | ||
| 600 | Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations | IFRS 5.37; Annex V.Part 2.27 | |||
| 610 | PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS | IAS 1.102, IG 6; IFRS 5.33 A | |||
| 620 | (Tax expense or (-) income related to profit or loss from continuing operations) | BAD art 27.Vertical layout(15) | IAS 1.82(d); IAS 12.77 | ||
| 630 | PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS | BAD art 27.Vertical layout(16) | IAS 1, IG 6 | ||
| 632 | Extraordinary profit or (-) loss after tax | BAD art 27.Vertical layout(21) | |||
| 633 | Extraordinary profit or loss before tax | BAD art 27.Vertical layout(19) | |||
| 634 | (Tax expense or (-) income related to extraordinary profit or loss) | BAD art 27.Vertical layout(20) | |||
| 640 | Profit or (-) loss after tax from discontinued operations | IAS 1.82(e); IFRS 5.33(a), 5.33 A | |||
| 650 | Profit or (-) loss before tax from discontinued operations | IFRS 5.33(b)(i) | |||
| 660 | (Tax expense or (-) income related to discontinued operations) | IFRS 5.33 (b)(ii),(iv) | |||
| 670 | PROFIT OR (-) LOSS FOR THE YEAR | BAD art 27.Vertical layout(23) | IAS 1.81A(a) | ||
| 680 | Attributable to minority interest [non-controlling interests] | IAS 1.83(a)(i) | |||
| 690 | Attributable to owners of the parent | IAS 1.81B (b)(ii) |
3.Statement of comprehensive income
| References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|
| 010 | |||
| 010 | Profit or (-) loss for the year | IAS 1.7, 81(b), 83(a), IG6 | |
| 020 | Other comprehensive income | IAS 1.7, 81(b), IG6 | |
| 030 | Items that will not be reclassified to profit or loss | IAS 1.82A(a) | |
| 040 | Tangible assets | IAS 1.7, IG6; IAS 16.39-40 | |
| 050 | Intangible assets | IAS 1.7; IAS 38.85-86 | |
| 060 | Actuarial gains or (-) losses on defined benefit pension plans | IAS 1.7, IG6; IAS 19.93A | |
| 070 | Non-current assets and disposal groups held for sale | IFRS 5.38 | |
| 080 | Share of other recognised income and expense of entities accounted for using the equity method | IAS 1.82(h), IG6; IAS 28.11 | |
| 090 | Income tax relating to items that will not be reclassified | IAS 1.91(b); Annex V.Part 2.31 | |
| 100 | Items that may be reclassified to profit or loss | IAS 1.82A(b) | |
| 110 | Hedge of net investments in foreign operations [effective portion] | IAS 39.102(a) | |
| 120 | Valuation gains or (-) losses taken to equity | IAS 39.102(a) | |
| 130 | Transferred to profit or loss | IAS 1.7, 92-95; IAS 39.102(a) | |
| 140 | Other reclassifications | ||
| 150 | Foreign currency translation | IAS 1.7, IG6; IAS 21.52(b) | |
| 160 | Translation gains or (-) losses taken to equity | IAS 21.32, 38-47 | |
| 170 | Transferred to profit or loss | IAS 1.7, 92-95; IAS 21.48-49 | |
| 180 | Other reclassifications | ||
| 190 | Cash flow hedges [effective portion] | IAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96 | |
| 200 | Valuation gains or (-) losses taken to equity | IAS 1.IG6; IAS 39.95(a)-96 | |
| 210 | Transferred to profit or loss | IAS 1.7, 92-95, IG6; IAS 39.97-101 | |
| 220 | Transferred to initial carrying amount of hedged items | IAS 1.IG6; IAS 39.97-101 | |
| 230 | Other reclassifications | ||
| 240 | Available-for-sale financial assets | IAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) | |
| 250 | Valuation gains or (-) losses taken to equity | IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) | |
| 260 | Transferred to profit or loss | IFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b) | |
| 270 | Other reclassifications | IFRS 5.IG Example 12 | |
| 280 | Non-current assets and disposal groups held for sale | IFRS 5.38 | |
| 290 | Valuation gains or (-) losses taken to equity | IFRS 5.38 | |
| 300 | Transferred to profit or loss | IAS 1.7, 92-95; IFRS 5.38 | |
| 310 | Other reclassifications | IFRS 5.IG Example 12 | |
| 320 | Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates | IAS 1.82(h), IG6; IAS 28.11 | |
| 330 | Income tax relating to items that may be reclassified to profit or (-) loss | IAS 1.91(b), IG6; Annex V.Part 2.31 | |
| 340 | Total comprehensive income for the year | IAS 1.7, 81A(a), IG6 | |
| 350 | Attributable to minority interest [Non-controlling interest] | IAS 1.83(b)(i), IG6 | |
| 360 | Attributable to owners of the parent | IAS 1.83(b)(ii), IG6 |
4.Breakdown of financial assets by instrument and by counterparty sector
4.1Financial assets held for trading
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|---|
| Annex V.Part 2.46 | |||||
| 010 | 020 | ||||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 020 | of which: at cost | IAS 39.46(c) | |||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 060 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 070 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 080 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 090 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 130 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 140 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 150 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 180 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) |
4.2Financial assets designated at fair value through profit or loss
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|---|
| IFRS 7.9 (c); Annex V.Part 2.46 | |||||
| 010 | 020 | ||||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 020 | of which: at cost | IAS 39.46(c) | |||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 060 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 070 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 080 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 090 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 130 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 140 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 150 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 180 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||
| 190 | FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(i); IAS 39.9 |
4.3Available-for-sale financial assets
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount of unimpaired assets | Carrying amount of impaired assets | Carrying amount | Accumulated impairment | ||
|---|---|---|---|---|---|---|---|
| IAS 39.58-62 | Annex V.Part 2.34 | Annex V.Part 2.46 | |||||
| 010 | 020 | 030 | 040 | ||||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||||
| 020 | of which: at cost | IAS 39.46(c) | |||||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||
| 060 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||
| 070 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||
| 080 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||
| 090 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||
| 130 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||
| 140 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||
| 150 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||
| 180 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||||
| 190 | AVAILABLE-FOR-SALE FINANCIAL ASSETS | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(d); IAS 39.9 |
4.4Loans and receivables and held-to-maturity investments
| Unimpaired assets [gross carrying amount] | Impaired assets [gross carrying amount] | Specific allowances for financial assets, individually estimated | Specific allowances for financial assets, collectively estimated | Collective allowances for incurrred but not reported losses | Carrying amount | ||||
|---|---|---|---|---|---|---|---|---|---|
| References National GAAP compatible IFRS | IFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59 | IAS 39.AG 84-92; Annex V.Part 2.36 | IAS 39.AG 84-92; Annex V.Part 2.37 | IAS 39.AG 84-92; Annex V.Part 2.38 | Annex V.Part 2.39 | ||||
| References National GAAP based on BAD | Annex V.Part 2.36 | Annex V.Part 2.37 | Annex V.Part 2.38 | Annex V.Part 2.39 | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | ||||
| 010 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||||
| 020 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||
| 030 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||
| 040 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||
| 050 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||
| 060 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||
| 070 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||||
| 080 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||
| 090 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||
| 100 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||
| 110 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||
| 120 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||
| 130 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||||||
| 140 | LOANS AND RECEIVABLES | 4th Directive art 42a(4)(b),(5a); IAS 39.9 | IAS 39,9 AG 16, AG26; Annex V.Part 1.16 | ||||||
| 150 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||||
| 160 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||
| 170 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||
| 180 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||
| 190 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||
| 200 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||
| 210 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||||
| 220 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||
| 230 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||
| 240 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||
| 250 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||
| 260 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||
| 270 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||||||
| 280 | HELD-TO-MATURITY | 4th Directive art 42a(4)(a),(5a); IAS 39.9 | IFRS 7.8(c); IAS 39.9, AG16, AG26 |
4.5Subordinated financial assets
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |
| 020 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |
| 030 | SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS | Annex V.Part 2.40, 54 | Annex V.Part 2.40, 54 |
4.6Trading Financial assets
| References National GAAP based on BAD | Carrying amount | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|
| Annex V.Part 2.46 | ||||
| 010 | 020 | |||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||
| 020 | of which: unquoted | |||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | ||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | ||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | ||
| 060 | Debt securities | Annex V.Part 1.24, 26 | ||
| 070 | Central banks | Annex V.Part 1.35(a) | ||
| 080 | General governments | Annex V.Part 1.35(b) | ||
| 090 | Credit institutions | Annex V.Part 1.35(c) | ||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 130 | Central banks | Annex V.Part 1.35(a) | ||
| 140 | General governments | Annex V.Part 1.35(b) | ||
| 150 | Credit institutions | Annex V.Part 1.35(c) | ||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 180 | Households | Annex V.Part 1.35(f) |
4.7Non-trading non-derivative financial assets measured at fair value through profit or loss
| References National GAAP based on BAD | Carrying amount | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|
| Annex V.Part 2.46 | ||||
| 010 | 020 | |||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||
| 020 | of which: unquoted | |||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | ||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | ||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | ||
| 060 | Debt securities | Annex V.Part 1.24, 26 | ||
| 070 | Central banks | Annex V.Part 1.35(a) | ||
| 080 | General governments | Annex V.Part 1.35(b) | ||
| 090 | Credit institutions | Annex V.Part 1.35(c) | ||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 130 | Central banks | Annex V.Part 1.35(a) | ||
| 140 | General governments | Annex V.Part 1.35(b) | ||
| 150 | Credit institutions | Annex V.Part 1.35(c) | ||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 180 | Households | Annex V.Part 1.35(f) | ||
| 190 | NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS | 4th Directive art 42a(1), (4) |
4.8Non-trading non-derivative financial assets measured at fair value to equity
| References National GAAP based on BAD | Carrying amount | Accumulated changes in fair value due to credit risk | ||
|---|---|---|---|---|
| Annex V.Part 2.46 | ||||
| 010 | 020 | |||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||
| 020 | of which: unquoted | |||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | ||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | ||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | ||
| 060 | Debt securities | Annex V.Part 1.24, 26 | ||
| 070 | Central banks | Annex V.Part 1.35(a) | ||
| 080 | General governments | Annex V.Part 1.35(b) | ||
| 090 | Credit institutions | Annex V.Part 1.35(c) | ||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 130 | Central banks | Annex V.Part 1.35(a) | ||
| 140 | General governments | Annex V.Part 1.35(b) | ||
| 150 | Credit institutions | Annex V.Part 1.35(c) | ||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | ||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | ||
| 180 | Households | Annex V.Part 1.35(f) | ||
| 190 | NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY | 4th Directive art 42a(1); art 42c (2) |
4.9Non-trading debt instruments measured at a cost-based method
| References National GAAP based on BAD | Unimpaired assets | Impaired assets [gross carrying amount] | Specific allowances for credit risk | General allowances for credit risk | Carrying amount | ||
|---|---|---|---|---|---|---|---|
| CRR art 4(95) | CRR art 4(95) | CRR art 4(95) | Annex V.Part 2.39 | ||||
| 010 | 020 | 030 | 040 | 050 | |||
| 010 | Debt securities | Annex V.Part 1.24, 26 | |||||
| 020 | Central banks | Annex V.Part 1.35(a) | |||||
| 030 | General governments | Annex V.Part 1.35(b) | |||||
| 040 | Credit institutions | Annex V.Part 1.35(c) | |||||
| 050 | Other financial corporations | Annex V.Part 1.35(d) | |||||
| 060 | Non-financial corporations | Annex V.Part 1.35(e) | |||||
| 070 | Loans and advances | Annex V.Part 1.24, 27 | |||||
| 080 | Central banks | Annex V.Part 1.35(a) | |||||
| 090 | General governments | Annex V.Part 1.35(b) | |||||
| 100 | Credit institutions | Annex V.Part 1.35(c) | |||||
| 110 | Other financial corporations | Annex V.Part 1.35(d) | |||||
| 120 | Non-financial corporations | Annex V.Part 1.35(e) | |||||
| 130 | Households | Annex V.Part 1.35(f) | |||||
| 140 | NON-TRADING DEBT INSTRUMENTS MEASURED AT A COST-BASED METHOD | BAD art 37.1; art 42a(4)(b) |
4.10Other non-trading non-derivative financial assets
| References National GAAP based on BAD | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |
| 020 | of which: unquoted | ||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | |
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | |
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | |
| 060 | Debt securities | Annex V.Part 1.24, 26 | |
| 070 | Central banks | Annex V.Part 1.35(a) | |
| 080 | General governments | Annex V.Part 1.35(b) | |
| 090 | Credit institutions | Annex V.Part 1.35(c) | |
| 100 | Other financial corporations | Annex V.Part 1.35(d) | |
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | |
| 120 | Loans and advances | Annex V.Part 1.24, 27 | |
| 130 | Central banks | Annex V.Part 1.35(a) | |
| 140 | General governments | Annex V.Part 1.35(b) | |
| 150 | Credit institutions | Annex V.Part 1.35(c) | |
| 160 | Other financial corporations | Annex V.Part 1.35(d) | |
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | |
| 180 | Households | Annex V.Part 1.35(f) | |
| 190 | OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS | 4th Directive art 42a(1); art 42c(2) |
5.Breakdown of Loan and advances by product
| Central banks | General governments | Credit institutions | Other financial corporations | Non-financial corporations | Households | ||||
|---|---|---|---|---|---|---|---|---|---|
| References National GAAP compatible IFRS | Annex V.Part 1.35(a) | Annex V.Part 1.35(b) | Annex V.Part 1.35(c) | Annex V.Part 1.35(d) | Annex V.Part 1.35(e) | Annex V.Part 1.35(f) | |||
| References National GAAP based on BAD | Annex V.Part 1.35(a) | Annex V.Part 1.35(b) | Annex V.Part 1.35(c) | Annex V.Part 1.35(d) | Annex V.Part 1.35(e) | Annex V.Part 1.35(f) | |||
| 010 | 020 | 030 | 040 | 050 | 060 | ||||
| By product | 010 | On demand [call] and short notice [current account] | Annex V.Part 2.41(a) | ||||||
| 020 | Credit card debt | Annex V.Part 2.41(b) | |||||||
| 030 | Trade receivables | Annex V.Part 2.41(c) | |||||||
| 040 | Finance leases | Annex V.Part 2.41(d) | |||||||
| 050 | Reverse repurchase loans | Annex V.Part 2.41(e) | |||||||
| 060 | Other term loans | Annex V.Part 2.41(f) | |||||||
| 070 | Advances that are not loans | Annex V.Part 2.41(g) | |||||||
| 080 | LOANS AND ADVANCES | Annex V.Part 1.24, 27 | |||||||
| By collateral | 090 | of which: mortgage loans [Loans collateralized by immovable property] | Annex V.Part 2.41(h) | ||||||
| 100 | of which: other collateralized loans | Annex V.Part 2.41(i) | |||||||
| By purpose | 110 | of which: credit for consumption | Annex V.Part 2.41(j) | ||||||
| 120 | of which: lending for house purchase | Annex V.Part 2.41(k) | |||||||
| By subordination | 130 | of which: project finance loans | Annex V.Part 2.41(l) |
6.Breakdown of loans and advances to non-financial corporations
| Non-financial corporations | |||||
|---|---|---|---|---|---|
| Gross carrying amount | Of which: non-performing | Accumulated impairment or Accumulated changes in fair value due to credit risk | |||
| References National GAAP compatible IFRS | Annex V.Part 2.45 | Annex V.Part 2. 145-162 | Annex V.Part 2.46 | ||
| References National GAAP based on BAD | Annex V.Part 2.45 | Annex V.Part 2. 145-162 | Annex V.Part 2.46 | ||
| 010 | 012 | 020 | |||
| 010 | A****Agriculture, forestry and fishing | NACE Regulation | |||
| 020 | B****Mining and quarrying | NACE Regulation | |||
| 030 | C****Manufacturing | NACE Regulation | |||
| 040 | D****Electricity, gas, steam and air conditioning supply | NACE Regulation | |||
| 050 | E****Water supply | NACE Regulation | |||
| 060 | F****Construction | NACE Regulation | |||
| 070 | G****Wholesale and retail trade | NACE Regulation | |||
| 080 | H****Transport and storage | NACE Regulation | |||
| 090 | I****Accommodation and food service activities | NACE Regulation | |||
| 100 | J****Information and communication | NACE Regulation | |||
| 110 | L****Real estate activities | NACE Regulation | |||
| 120 | M****Professional, scientific and technical activities | NACE Regulation | |||
| 130 | N****Administrative and support service activities | NACE Regulation | |||
| 140 | O****Public administration and defence, compulsory social security | NACE Regulation | |||
| 150 | P****Education | NACE Regulation | |||
| 160 | Q****Human health services and social work activities | NACE Regulation | |||
| 170 | R****Arts, entertainment and recreation | NACE Regulation | |||
| 180 | S****Other services | NACE Regulation | |||
| 190 | LOANS AND ADVANCES | Annex V.Part 1.24, 27, 2.42-43 |
7.Financial assets subject to impairment that are past due or impaired
| References National GAAP based on BAD | References National GAAP compatible IFRS | Past due but not impaired | Carrying amount of the impaired assets | Specific allowances for financial assets, individually estimated | Specific allowances for financial assets, collectively estimated | Collective allowances for incurrred but not reported losses | Specific alowances for credit risk | General allowances for credit risk | General allowance for banking risks | Accumulated write-offs | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ≤ 30 days | > 30 days ≤ 60 days | > 60 days ≤ 90 days | > 90 days ≤ 180days | > 180 days ≤ 1year | > 1year | ||||||||||||
| IFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48 | IAS 39.58-70 | IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36 | IAS 39 AG 84-92; Annex V.Part 2.37 | IAS 39 AG 84-92; Annex V.Part 2.38 | IAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50 | ||||||||||||
| CRR art 4(95); Annex V.Part 2.47-48 | CRR art 4(95) | CRR art 4(95); Annex V.Part 2.36 | CRR art 4(95); Annex V.Part 2.37 | CRR art 4(95); Annex V.Part 2.38 | CRR art 4(95) | CRR art 4(95) | BAD art 37.2; CRR art 4(95) | CRR art 4(95); Annex V.Part 2.49-50 | |||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 102 | 103 | 104 | 110 | ||||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||||||||||||||
| 020 | of which: at cost | IAS 39.46(c) | |||||||||||||||
| 030 | of which: credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||||||||||
| 040 | of which: other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||||||||||
| 050 | of which: non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||||||||||
| 060 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||||||||||||
| 070 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||||||||||
| 080 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||||||||||
| 090 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||||||||||
| 100 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||||||||||
| 110 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||||||||||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||||||||||||
| 130 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||||||||||
| 140 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||||||||||
| 150 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||||||||||
| 160 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||||||||||
| 170 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||||||||||
| 180 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||||||||||||||
| 190 | TOTAL | ||||||||||||||||
| Loans and advances by product, by collateral and by subordination | |||||||||||||||||
| 200 | On demand [call] and short notice [current account] | Annex V.Part 2.41(a) | Annex V.Part 2.41(a) | ||||||||||||||
| 210 | Credit card debt | Annex V.Part 2.41(b) | Annex V.Part 2.41(b) | ||||||||||||||
| 220 | Trade receivables | Annex V.Part 2.41(c) | Annex V.Part 2.41(c) | ||||||||||||||
| 230 | Finance leases | Annex V.Part 2.41(d) | Annex V.Part 2.41(d) | ||||||||||||||
| 240 | Reverse repurchase loans | Annex V.Part 2.41(e) | Annex V.Part 2.41(e) | ||||||||||||||
| 250 | Other term loans | Annex V.Part 2.41(f) | Annex V.Part 2.41(f) | ||||||||||||||
| 260 | Advances that are not loans | Annex V.Part 2.41(g) | Annex V.Part 2.41(g) | ||||||||||||||
| 270 | of which: mortgage loans [Loans collateralized by inmovable property] | Annex V.Part 2.41(h) | Annex V.Part 2.41(h) | ||||||||||||||
| 280 | of which: other collateralized loans | Annex V.Part 2.41(i) | Annex V.Part 2.41(i) | ||||||||||||||
| 290 | of which: credit for consumption | Annex V.Part 2.41(j) | Annex V.Part 2.41(j) | ||||||||||||||
| 300 | of which: lending for house purchase | Annex V.Part 2.41(k) | Annex V.Part 2.41(k) | ||||||||||||||
| 310 | of which: project finance loans | Annex V.Part 2.41(l) | Annex V.Part 2.41(l) |
8.Breakdown of financial liabilities
8.1Breakdown of financial liabilities by product and by counterparty sector
| Carrying amount | Accumulated changes in fair value due to credit risk | Amount contractually required to pay at maturity | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Held for trading | Designated at fair value through profit or loss | Amortised cost | Trading | At a cost-based method | Hedge accounting | ||||||
| References National GAAP compatible IFRS | IFRS 7.8(e)(ii); IAS 39.9, AG 14-15 | IFRS 7.8(e)(i); IAS 39.9 | IFRS 7.8(f); IAS 39.47 | IFRS 7.22(b); IAS 39.9 | CRR art 33(1)(b), art 33(1)(c) | ||||||
| References National GAAP based on BAD | 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 | 4th Directive art 42a(1), (5a); IAS 39.9 | 4th Directive art 42a(3), (5a); IAS 39.47 | 4th Directive art 42a(3); Annex V.Part 1.15 | 4th Directive art 42a(3) | 4th Directive art 42a(1), (5a), art 42c(1)(a) | CRR art 33(1)(b), art 33(1)(c) | ECB/2008/32 art 7(2) | |||
| 010 | 020 | 030 | 034 | 035 | 037 | 040 | 050 | ||||
| 010 | Derivatives | CRR Annex II | IAS 39.9, AG 15(a) | ||||||||
| 020 | Short positions | IAS 39 AG 15(b) | |||||||||
| 030 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||||||||
| 040 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||||||
| 050 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||||||||
| 060 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||||
| 070 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||||
| 080 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||||
| 090 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 1.51 | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||||
| 100 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||||
| 110 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||||
| 120 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||||
| 130 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||||
| 140 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||||
| 150 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||||
| 160 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||||
| 170 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||||
| 180 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||||
| 190 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||||
| 200 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||||
| 210 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||||
| 220 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||||
| 230 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||||
| 240 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||||
| 250 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||||
| 260 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||||
| 270 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||||
| 280 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||||
| 290 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||||
| 300 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||||
| 310 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||||||||
| 320 | Current accounts / overnight deposits | ECB/2008/32 Annex 2.Part 2.9.1 | ECB/2008/32 Annex 2.Part 2.9.1 | ||||||||
| 330 | Deposits with agreed maturity | ECB/2008/32 Annex 2.Part 2.9.2 | ECB/2008/32 Annex 2.Part 2.9.2 | ||||||||
| 340 | Deposits redeemable at notice | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 | ||||||||
| 350 | Repurchase agreements | ECB/2008/32 Annex 2.Part 2.9.4 | ECB/2008/32 Annex 2.Part 2.9.4 | ||||||||
| 360 | Debt securities issued | Annex V.Part 1.31; Annex V.Part 2.52 | Annex V.Part 1.31; Annex V.Part 2.52 | ||||||||
| 370 | Certificates of deposits | Annex V.Part 2.52(a) | Annex V.Part 2.52(a) | ||||||||
| 380 | Asset-backed securities | CRR art 4(61) | CRR art 4(61) | ||||||||
| 390 | Covered bonds | CRR art 129(1) | CRR art 129(1) | ||||||||
| 400 | Hybrid contracts | Annex V.Part 2.52(d) | IAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d) | ||||||||
| 410 | Other debt securities issued | Annex V.Part 2.52(e) | Annex V.Part 2.52(e) | ||||||||
| 420 | Convertible compound financial instruments | IAS 32.AG 31 | |||||||||
| 430 | Non-convertible | ||||||||||
| 440 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | ||||||||
| 450 | FINANCIAL LIABILITIES |
8.2Subordinated financial liabilities
| Carriyng amount | ||||||
|---|---|---|---|---|---|---|
| Designated at fair value through profit or loss | At amortized cost | At a cost-based method | ||||
| References National GAAP compatible IFRS | IFRS 7.8(e)(i); IAS 39.9 | IFRS 7.8(f); IAS 39.47 | ||||
| References National GAAP | 4th Directive art 42a(1), (5a); IAS 39.9 | 4th Directive art 42a(3), (5a); IAS 39.47 | 4th Directive art 42a(3) | |||
| 010 | 020 | 030 | ||||
| 010 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |||
| 020 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |||
| 030 | SUBORDINATED FINANCIAL LIABILITIES | Annex V.Part 2.53-54 | Annex V.Part 2.53-54 |
9.Loan commitments, financial guarantees and other commitments
9.1Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
| References National GAAP | References National GAAP compatible IFRS | Nominal amount | ||
|---|---|---|---|---|
| IFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62 | ||||
| CRR Annex I; Annex V.Part 2.62 | ||||
| 010 | ||||
| 010 | Loan commitments given | CRR Annex I; Annex V.Part 2.56-57 | IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 | |
| 021 | of which: non-performing | Annex V.Part 2. 145-162 | Annex V.Part 2. 145-162 | |
| 030 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |
| 040 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |
| 050 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |
| 060 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |
| 070 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |
| 080 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | |
| 090 | Financial guarantees given | CRR Annex I; Annex V.Part 2.56,58 | IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58 | |
| 101 | of which: non-performing | Annex V.Part 2. 145-162 | Annex V.Part 2. 145-162 | |
| 110 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |
| 120 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |
| 130 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |
| 140 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |
| 150 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |
| 160 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | |
| 170 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | CRR Annex I; Annex V.Part 2.56, 59 | |
| 181 | of which: non-performing | Annex V.Part 2. 145-162 | Annex V.Part 2. 145-162 | |
| 190 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |
| 200 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |
| 210 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |
| 220 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |
| 230 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |
| 240 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) |
9.2Loan commitments, financial guarantees and other commitments received
| References National GAAP | References National GAAP compatible IFRS | Maximum amount of the guarantee that can be considered | Nominal amount | ||
|---|---|---|---|---|---|
| IFRS 7.36 (b); Annex V.Part 2.63 | Annex V.Part 2.63 | ||||
| Annex V.Part 2.63 | Annex V.Part 2.63 | ||||
| 010 | 020 | ||||
| 010 | Loan commitments received | Annex V.Part 2.56-57 | IAS 39.2(h), 4(a)(c), BC 15; Annex V.Part 2.56-57 | ||
| 020 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 030 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 040 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 050 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 060 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 070 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||
| 080 | Financial guarantees received | Annex V.Part 2.56, 58 | IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58 | ||
| 090 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 100 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 110 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 120 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 130 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 140 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||
| 150 | Other Commitments received | Annex V.Part 2.56, 59 | Annex V.Part 2.56, 59 | ||
| 160 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 170 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 180 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 190 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 200 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 210 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) |
10.Derivatives — Trading
| By type of risk / By product or by type of market | References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | Mark-to-market [Mark-to-Model] value | Notional amount | ||||
|---|---|---|---|---|---|---|---|---|---|
| Financial assets held for trading | Financial liabilities held for trading | Positive value. Trading | Negative value. Trading | Total Trading | of which: sold | ||||
| Annex V.Part 2.69 | Annex V.Part 2.69 | Annex V.Part 2.70-71 | Annex V.Part 2.72 | ||||||
| CRR art 105 | CRR art 105 | Annex V.Part 2.70-71 | Annex V.Part 2.72 | ||||||
| 010 | 020 | 022 | 025 | 030 | 040 | ||||
| 010 | Interest rate | Annex V.Part 2.67(a) | Annex V.Part 2.67(a) | ||||||
| 020 | of which: economic hedges | Annex V.Part 2.74 | Annex V.Part 2.74 | ||||||
| 030 | OTC options | ||||||||
| 040 | OTC other | ||||||||
| 050 | Organized market options | ||||||||
| 060 | Organized market other | ||||||||
| 070 | Equity | Annex V.Part 2.67(b) | Annex V.Part 2.67(b) | ||||||
| 080 | of which: economic hedges | Annex V.Part 2.74 | Annex V.Part 2.74 | ||||||
| 090 | OTC options | ||||||||
| 100 | OTC other | ||||||||
| 110 | Organized market options | ||||||||
| 120 | Organized market other | ||||||||
| 130 | Foreign exchange and gold | Annex V.Part 2.67(c) | Annex V.Part 2.67(c) | ||||||
| 140 | of which: economic hedges | Annex V.Part 2.74 | Annex V.Part 2.74 | ||||||
| 150 | OTC options | ||||||||
| 160 | OTC other | ||||||||
| 170 | Organized market options | ||||||||
| 180 | Organized market other | ||||||||
| 190 | Credit | Annex V.Part 2.67(d) | Annex V.Part 2.67(d) | ||||||
| 200 | of which: economic hedges | Annex V.Part 2.74 | Annex V.Part 2.74 | ||||||
| 210 | Credit default swap | ||||||||
| 220 | Credit spread option | ||||||||
| 230 | Total return swap | ||||||||
| 240 | Other | ||||||||
| 250 | Commodity | Annex V.Part 2.67(e) | Annex V.Part 2.67(e) | ||||||
| 260 | of which: economic hedges | Annex V.Part 2.74 | Annex V.Part 2.74 | ||||||
| 270 | Other | Annex V.Part 2.67(f) | Annex V.Part 2.67(f) | ||||||
| 280 | of which: economic hedges | Annex V.Part 2.74 | Annex V.Part 2.74 | ||||||
| 290 | DERIVATIVES | CRR Annex II; Annex V.Part 1.15 | IAS 39.9 | ||||||
| 300 | of which: OTC - credit institutions | Annex V.Part 1.35(c), 2.75(a) | Annex V.Part 1.35(c), 2.75(a) | ||||||
| 310 | of which: OTC - other financial corporations | Annex V.Part 1.35(d), 2.75(b) | Annex V.Part 1.35(d), 2.75(b) | ||||||
| 320 | of which: OTC - rest | Annex V.Part 2.75(c) | Annex V.Part 2.75(c) |
11.Derivatives — Hedge accounting
11.1Derivatives — Hedge accounting: Breakdown by type of risk and type of hedge
| By product or by type of market | References National GAAP compatible IFRS | Carrying amount | Notional amount | |||
|---|---|---|---|---|---|---|
| Assets | Liabilities | Total Hedging | of which: sold | |||
| Annex V.Part 2.69 | Annex V.Part 2.69 | Annex V.Part 2.70, 71 | Annex V.Part 2.72 | |||
| 010 | 020 | 030 | 040 | |||
| 010 | Interest rate | Annex V.Part 2.67(a) | ||||
| 020 | OTC options | |||||
| 030 | OTC other | |||||
| 040 | Organized market options | |||||
| 050 | Organized market other | |||||
| 060 | Equity | Annex V.Part 2.67(b) | ||||
| 070 | OTC options | |||||
| 080 | OTC other | |||||
| 090 | Organized market options | |||||
| 100 | Organized market other | |||||
| 110 | Foreign exchange and gold | Annex V.Part 2.67(c) | ||||
| 120 | OTC options | |||||
| 130 | OTC other | |||||
| 140 | Organized market options | |||||
| 150 | Organized market other | |||||
| 160 | Credit | Annex V.Part 2.67(d) | ||||
| 170 | Credit default swap | |||||
| 180 | Credit spread option | |||||
| 190 | Total return swap | |||||
| 200 | Other | |||||
| 210 | Commodity | Annex V.Part 2.67(e) | ||||
| 220 | Other | Annex V.Part 2.67(f) | ||||
| 230 | FAIR VALUE HEDGES | IFRS 7.22(b); IAS 39.86(a) | ||||
| 240 | Interest rate | Annex V.Part 2.67(a) | ||||
| 250 | OTC options | |||||
| 260 | OTC other | |||||
| 270 | Organized market options | |||||
| 280 | Organized market other | |||||
| 290 | Equity | Annex V.Part 2.67(b) | ||||
| 300 | OTC options | |||||
| 310 | OTC other | |||||
| 320 | Organized market options | |||||
| 330 | Organized market other | |||||
| 340 | Foreign exchange and gold | Annex V.Part 2.67(c) | ||||
| 350 | OTC options | |||||
| 360 | OTC other | |||||
| 370 | Organized market options | |||||
| 380 | Organized market other | |||||
| 390 | Credit | Annex V.Part 2.67(d) | ||||
| 400 | Credit default swap | |||||
| 410 | Credit spread option | |||||
| 420 | Total return swap | |||||
| 430 | Other | |||||
| 440 | Commodity | Annex V.Part 2.67(e) | ||||
| 450 | Other | Annex V.Part 2.67(f) | ||||
| 460 | CASH FLOW HEDGES | IFRS 7.22(b); IAS 39.86(b) | ||||
| 470 | HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | IFRS 7.22(b); IAS 39.86(c) | ||||
| 480 | PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | IAS 39.89A, IE 1-31 | ||||
| 490 | PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | IAS 39 IG F6 1-3 | ||||
| 500 | DERIVATIVES-HEDGE ACCOUNTING | IFRS 7.22(b); IAS 39.9 | ||||
| 510 | of which: OTC - credit institutions | Annex V.Part 1.35(c), 2.75(a) | ||||
| 520 | of which: OTC - other financial corporations | Annex V.Part 1.35(d), 2.75(b) | ||||
| 530 | of which: OTC - rest | Annex V.Part 2.75(c) |
11.2Derivatives — Hedge accounting under National GAAP: Breakdown by type of risk
| By product or by type of market | References National GAAP based on BAD | Notional amount | ||
|---|---|---|---|---|
| Total Hedging | of which: sold | |||
| Annex V.Part 2.70, 71 | Annex V.Part 2.72 | |||
| 010 | 020 | |||
| 010 | Interest rate | Annex V.Part 2.67(a) | ||
| 020 | OTC options | |||
| 030 | OTC other | |||
| 040 | Organized market options | |||
| 050 | Organized market other | |||
| 060 | Equity | Annex V.Part 2.67(b) | ||
| 070 | OTC options | |||
| 080 | OTC other | |||
| 090 | Organized market options | |||
| 100 | Organized market other | |||
| 110 | Foreign exchange and gold | Annex V.Part 2.67(c) | ||
| 120 | OTC options | |||
| 130 | OTC other | |||
| 140 | Organized market options | |||
| 150 | Organized market other | |||
| 160 | Credit | Annex V.Part 2.67(d) | ||
| 170 | Credit default swap | |||
| 180 | Credit spread option | |||
| 190 | Total return swap | |||
| 200 | Other | |||
| 210 | Commodity | Annex V.Part 2.67(e) | ||
| 220 | Other | Annex V.Part 2.67(f) | ||
| 230 | DERIVATIVES-HEDGE ACCOUNTING | |||
| 240 | of which: OTC - credit institutions | Annex V.Part 1.35(c), 2.75(a) | ||
| 250 | of which: OTC - other financial corporations | Annex V.Part 1.35(d), 2.75(b) | ||
| 260 | of which: OTC - rest | Annex V.Part 2.75(c) |
12.Movements in allowances for credit losses and impairment of equity instruments
| References National GAAPCRR article 428(i) | References National GAAP compatible IFRSIFRS 7.16, B5 (d); CRR article 428(i) | Opening balance | Increases due toamounts set aside for estimated loan losses during the period | Decreases due toamounts reversed for estimated loan losses during the period | Decreases due toamounts taken against allowances | Transfers between allowances | Other adjustments | Closing balance | Recoveries recorded directly to the statement of profit or loss | Value adjustments recorded directly to the statement of profit or loss | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annex V.Part 2.77 | Annex V.Part 2.77 | Annex V.Part 2.78 | Annex V.Part 2.78 | |||||||||
| Annex V.Part 2.77 | Annex V.Part 2.77 | Annex V.Part 2.78 | Annex V.Part 2.78 | |||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | ||||
| 010 | Equity instruments | |||||||||||
| 020 | Specific allowances for financial assets, individually estimated | CRR art 4(95); Annex V.Part 2.36 | IAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36 | |||||||||
| 030 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | |||||||||
| 040 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||
| 050 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||
| 060 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||
| 070 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||
| 080 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||
| 090 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | |||||||||
| 100 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||
| 110 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||
| 120 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||
| 130 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||
| 140 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||
| 150 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | |||||||||
| 160 | Specific allowances for financial assets, collectively estimated | CRR art 4(95); Annex V.Part 2.37 | IAS 39.59, 64; Annex V.Part 2.37 | |||||||||
| 170 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | |||||||||
| 180 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||
| 190 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||
| 200 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||
| 210 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||
| 220 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||
| 230 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | |||||||||
| 240 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||
| 250 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||
| 260 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||
| 270 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||
| 280 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||
| 290 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | |||||||||
| 300 | Collective allowances for incurred but not reported losses on financial assets | CRR art 4(95); Annex V.Part 2.38 | IAS 39.59, 64; Annex V.Part 2.38 | |||||||||
| 310 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | |||||||||
| 320 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | |||||||||
| 330 | Specific allowances for credit risk | CRR art 428 (g)(ii) | ||||||||||
| 340 | Debt securities | Annex V.Part 1.26 | ||||||||||
| 350 | Central banks | Annex V.Part 1.35(a) | ||||||||||
| 360 | General governments | Annex V.Part 1.35(b) | ||||||||||
| 370 | Credit institutions | Annex V.Part 1.35(c) | ||||||||||
| 380 | Other financial corporations | Annex V.Part 1.35(d) | ||||||||||
| 390 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||||||
| 400 | Loans and advances | Annex V.Part 1.17 | ||||||||||
| 410 | Central banks | Annex V.Part 1.35(a) | ||||||||||
| 420 | General governments | Annex V.Part 1.35(b) | ||||||||||
| 430 | Credit institutions | Annex V.Part 1.35(c) | ||||||||||
| 440 | Other financial corporations | Annex V.Part 1.35(d) | ||||||||||
| 450 | Non-financial corporations | Annex V.Part 1.35(e) | ||||||||||
| 460 | Households | Annex V.Part 1.35(f) | ||||||||||
| 470 | General alowances for credit risk | CRR art 4(95) | ||||||||||
| 480 | Debt securities | Annex V.Part 1.26 | ||||||||||
| 490 | Loans and advances | Annex V.Part 1.27 | ||||||||||
| 500 | General allowance for banking risks | BAD art 37.2; CRR art 4(95) | ||||||||||
| 510 | Debt securities | Annex V.Part 1.26 | ||||||||||
| 520 | Loans and advances | Annex V.Part 1.27 | ||||||||||
| 530 | Total |
13.Collateral and guarantees received
13.1Breakdown of loans and advances by collateral and guarantees
| Guarantees and collateral | References National GAAP based on BAD | Maximum amount of the collateral or guarantee that can be considered | ||||||
|---|---|---|---|---|---|---|---|---|
| References National GAAP compatible IFRS | Mortgage loans**[Loans collateralized by immovable property]** | Other collateralized loans | Financial guarantees received | |||||
| Residential | Commercial | Cash [Debt instruments issued] | Rest | |||||
| IFRS 7.36(b) | Annex V.Part 2.81(a) | Annex V.Part 2.81(a) | Annex V.Part 2.81(b) | Annex V.Part 2.81(b) | Annex V.Part 2.81(c) | |||
| 010 | 020 | 030 | 040 | 050 | ||||
| 010 | Loans and advances | Annex V.Part 2.80 | Annex V.Part 2.81 | |||||
| 020 | of which: Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||
| 030 | of which: Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||
| 040 | of which: Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) |
13.2Collateral obtained by taking possession during the period [held at the reporting date]
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Non-current assets held-for-sale | IFRS 7.38(a) | ||
| 020 | Property, plant and equipment | IFRS 7.38(a) | ||
| 030 | Investment property | IFRS 7.38(a) | ||
| 040 | Equity and debt instruments | IFRS 7.38(a) | ||
| 050 | Other | IFRS 7.38(a) | ||
| 060 | Total |
13.3Collateral obtained by taking possession [tangible assets] accumulated
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Foreclosure [tangible assets] | Annex V.Part 2.84 | IFRS 7.38(a); Annex V.Part 2.84 |
14.Fair value hierachy: financial instruments at fair value
| References National GAAP based on BAD | References National GAAP compatible IFRS | Fair value hierarchyIFRS 13.93 (b) | Change in fair value for the period Annex V.Part 2.86 | Accumulated change in fair value before taxes Annex V.Part 2.87 | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Level 1 | Level 2 | Level 3 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3 | ||||
| IFRS 13.76 | IFRS 13.81 | IFRS 13.86 | IFRS 13.81 | IFRS 13.86, 93(f) | IFRS 13.76 | IFRS 13.81 | IFRS 13.86 | ||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | ||||
| ASSETS | |||||||||||
| 010 | Financial assets held for trading | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | ||||||||
| 020 | Derivatives | CRR Annex II | IAS 39.9 | ||||||||
| 030 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||||||||
| 040 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||||||
| 050 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||||||
| 060 | Financial assets designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(i); IAS 39.9 | ||||||||
| 070 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||||||||
| 080 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||||||
| 090 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||||||
| 100 | Available-for-sale financial assets | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8 (h)(d); IAS 39.9 | ||||||||
| 110 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||||||||
| 120 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||||||
| 130 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||||||
| 140 | Derivatives – Hedge accounting | 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 | IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 | ||||||||
| LIABILITIES | |||||||||||
| 150 | Financial liabilities held for trading | 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 | IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 | ||||||||
| 160 | Derivatives | CRR Annex II | IAS 39.9, AG 15(a) | ||||||||
| 170 | Short positions | IAS 39 AG 15(b) | |||||||||
| 180 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||||||||
| 190 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | ||||||||
| 200 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | ||||||||
| 210 | Financial liabilities designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8 (e) (i); IAS 39.9 | ||||||||
| 220 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||||||||
| 230 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | ||||||||
| 240 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | ||||||||
| 250 | Derivatives – Hedge accounting | 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.19 | IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 |
15.Derecognition and financial liabilities associated with transferred financial assets
| References National GAAP based on BAD | References National GAAP compatible IFRS | Transferred financial assets entirely recognized | Transferred financial assets recognized to the extent of the instution's continuing involvement | Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights | Amounts derecognised for capital purposes | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transferred assets | Associated liabilitiesAnnex V.Part 2.89 | Principal amount outstanding of the original assets | Carrying amount of assets still recognised [continuing involvement] | Carrying amount of associated liabilites | ||||||||||
| Carrying amount | Of which: securitizations | Of which: repurchase agreements | Carrying amount | Of which: securitizations | Of which: repurchase agreements | |||||||||
| IFRS 7.42D.(e) | IFRS 7.42D(e); CRR art 4(61) | IFRS 7.42D(e); Annex V.Part 2.91, 92 | IFRS 7.42D(e) | IFRS 7.42D.(e) | IFRS 7.42D(e); Annex V.Part 2.91, 92 | IFRS 7.42D(f) | IFRS 7.42D(f); Annex V.Part 2.89 | CRR art 109; Annex V.Part 2.90 | ||||||
| CRR art 4(61) | Annex V.Part 2.91, 92 | CRR art 4(61) | Annex V.Part 2.91, 92 | CRR art 109; Annex V.Part 2.90 | ||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | ||||
| 010 | Financial assets held for trading | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8 (a)(ii); IAS 39.9, AG 14 | |||||||||||
| 020 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |||||||||||
| 030 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||||||||||
| 040 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||||||||||
| 041 | Trading financial assets | Annex V.Part 1.15 | ||||||||||||
| 042 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||||||||||||
| 043 | Debt securities | Annex V.Part 1.24, 26 | ||||||||||||
| 044 | Loans and advances | Annex V.Part 1.24, 27 | ||||||||||||
| 050 | Financial assets designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(i); IAS 39.9 | |||||||||||
| 060 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |||||||||||
| 070 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||||||||||
| 080 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||||||||||
| 090 | Available-for-sale financial assets | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(d); IAS 39.9 | |||||||||||
| 100 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |||||||||||
| 110 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||||||||||
| 120 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||||||||||
| 121 | Non-trading non-derivative financial assets measured at fair value through profit or loss | 4th Directive art 42a(1), (4) | ||||||||||||
| 122 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||||||||||||
| 123 | Debt securities | Annex V.Part 1.24, 26 | ||||||||||||
| 124 | Loan and advances | 4th Directive art 42a(1), (4)(b); part 1.14, part 3.35 | ||||||||||||
| 125 | Non-trading non-derivative financial assets measured at fair value to equity | 4th Directive art 42a(1); art 42c (2) | ||||||||||||
| 126 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||||||||||||
| 127 | Debt securities | Annex V.Part 1.24, 26 | ||||||||||||
| 128 | Loan and advances | 4th Directive art 42a(1), (4)(b);part 1.14, part 3.35 | ||||||||||||
| 130 | Loans and receivables | 4th Directive art 42a(4)(b),(5a); IAS 39.9 | IFRS 7.8 (c); IAS 39.9, AG16, AG26 | |||||||||||
| 140 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||||||||||
| 150 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||||||||||
| 160 | Held-to-maturity investments | 4th Directive art 42a(4)(a),(5a); IAS 39.9 | IFRS 7.8(b); IAS 39.9, AG16, AG26 | |||||||||||
| 170 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||||||||||
| 180 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||||||||||
| 181 | Non-trading debt instruments measured at a cost-based method | BAD art 37.1; art 42a(4)(b); Annex V.Part 1.16 | ||||||||||||
| 182 | Debt securities | Annex V.Part 1.24, 26 | ||||||||||||
| 183 | Loans and advances | Annex V.Part 1.24, 27 | ||||||||||||
| 184 | Other non-trading non-derivative financial assets | BAD art 35-37 | ||||||||||||
| 185 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||||||||||||
| 186 | Debt securities | Annex V.Part 1.24, 26 | ||||||||||||
| 187 | Loans and advances | Annex V.Part 1.24, 27 | ||||||||||||
| 190 | Total |
16.Breakdown of selected statement of profit or loss items
16.1Interest income and expenses by instrument and counterparty sector
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | |||
|---|---|---|---|---|---|
| Income | Expenses | ||||
| Annex V.Part 2.95 | Annex V.Part 2.95 | ||||
| 010 | 020 | ||||
| 010 | Derivatives -Trading | CRR Annex II; Annex V.Part 2.96 | IAS 39.9; Annex V.Part 2.96 | ||
| 020 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | ||
| 030 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 040 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 050 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 060 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 070 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 080 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | ||
| 090 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 100 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 110 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 120 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 130 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 140 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||
| 150 | Other assets | Annex V.Part 1.51 | Annex V.Part 1.51 | ||
| 160 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ECB/2008/32 Annex 2.Part 2.9 | ||
| 170 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||
| 180 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||
| 190 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||
| 200 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||
| 210 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||
| 220 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||
| 230 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | ||
| 240 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | ||
| 250 | Derivatives — Hedge accounting, interest rate risk | Annex V.Part 2.95 | Annex V.Part 2.95 | ||
| 260 | Other Liabilities | Annex V.Part 2.10 | Annex V.Part 2.10 | ||
| 270 | INTEREST | BAD art 27.Vertical layout(1), (2) | IAS 18.35(b); IAS 1.97 |
16.2Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |
| 020 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | |
| 030 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | |
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ECB/2008/32 Annex 2.Part 2.9 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | |
| 070 | GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(v-vii); IAS 39.55(a) |
16.3Gains or losses on financial assets and liabilities held for trading by instrument
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Derivatives | CRR Annex II | IAS 39.9 | |
| 020 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |
| 030 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | |
| 040 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | |
| 050 | Short positions | IAS 39 AG 15(b) | ||
| 060 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ECB/2008/32 Annex 2.Part 2.9 | |
| 070 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |
| 080 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | |
| 090 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i) | |
| 100 | Derivatives | CRR Annex II | ||
| 110 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||
| 120 | Debt securities | Annex V.Part 1.26 | ||
| 130 | Loans and advances | Annex V.Part 1.27 | ||
| 140 | Short positions | |||
| 150 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ||
| 160 | Debt securities issued | Annex V.Part 1.31 | ||
| 170 | Other financial liabilities | Annex V.Part 1.32-34 | ||
| 180 | GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET | BAD art 27.Vertical layout(6) |
16.4Gains or losses on financial assets and liabilities held for trading by risk
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Interest rate instruments and related derivatives | Annex V.Part 2.99(a) | Annex V.Part 2.99(a) | |
| 020 | Equity instruments and related derivatives | Annex V.Part 2.99(b) | Annex V.Part 2.99(b) | |
| 030 | Foreign exchange trading and derivatives related with foreign exchange and gold | Annex V.Part 2.99(c) | Annex V.Part 2.99(c) | |
| 040 | Credit risk instruments and related derivatives | Annex V.Part 2.99(d) | Annex V.Part 2.99(d) | |
| 050 | Derivatives related with commodities | Annex V.Part 2.99(e) | Annex V.Part 2.99(e) | |
| 060 | Other | Annex V.Part 2.99(f) | Annex V.Part 2.99(f) | |
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i) | |
| 080 | Interest rate instruments and related derivatives | Annex V.Part 2.99(a) | ||
| 090 | Equity instruments and related derivatives | Annex V.Part 2.99(b) | ||
| 100 | Foreign exchange trading and derivatives related with foreign exchange and gold | Annex V.Part 2.99(c) | ||
| 110 | Credit risk instruments and related derivatives | Annex V.Part 2.99(d) | ||
| 120 | Derivatives related with commodities | Annex V.Part 2.99(e) | ||
| 130 | Other | Annex V.Part 2.99(f) | ||
| 140 | GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET | BAD art 27.Vertical layout(6) |
16.5Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | Changes in fair value due to credit risk | ||
|---|---|---|---|---|---|
| Annex V.Part 2.100 | |||||
| 010 | 020 | ||||
| 010 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 020 | Debt securities | Annex V.Part 1.26 | Annex V.Part 1.26 | ||
| 030 | Loans and advances | Annex V.Part 1.27 | Annex V.Part 1.27 | ||
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | ECB/2008/32 Annex 2.Part 2.9 | ||
| 050 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | ||
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | ||
| 070 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i) | ||
| 080 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 090 | Debt securities | Annex V.Part 1.26 | |||
| 100 | Loans and advances | Annex V.Part 1.27 | |||
| 110 | Deposits | ECB/2008/32 Annex 2.Part 2.9 | |||
| 120 | Debt securities issued | Annex V.Part 1.31 | |||
| 130 | Other financial liabilities | Annex V.Part 1.32-34 | |||
| 140 | GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NET | BAD art 27.Vertical layout(6) |
16.6Gains or losses from hedge accounting
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Fair value changes of the hedging instrument [including discontinuation] | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(a)(i) | |
| 020 | Fair value changes of the hedged item attributable to the hedged risk | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(a)(ii) | |
| 030 | Ineffectiveness in profit or loss from cash flow hedges | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(b) | |
| 040 | Ineffectiveness in profit or loss from hedges of net investments in foreign operations | 4th Directive art 42a(1), (5a); art 42c(1)(a) | IFRS 7.24(c) | |
| 050 | GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET | 4th Directive art 42a(1), (5a), art 42c(1)(a) | IFRS 7.24 |
16.7Impairment on financial and non-financial assets
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | |||||
|---|---|---|---|---|---|---|---|
| AdditionsAnnex V.Part 2.102 | ReversalsAnnex V.Part 2.102 | Total | Accumulated impairment | ||||
| 010 | 020 | 030 | 040 | ||||
| 010 | Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss | BAD art 35-37 | IFRS 7.20(e) | ||||
| 020 | Financial assets measured at cost | IFRS 7.20(e); IAS 39.66 | |||||
| 030 | Available-for-sale financial assets | IFRS 7.20(e); IAS 39.67-70 | |||||
| 040 | Loans and receivables | IFRS 7.20(e); IAS 39.63-65 | |||||
| 050 | Held-to-maturity investments | IFRS 7.20(e); IAS 39.63-65 | |||||
| 060 | Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates | BAD art 27.Vertical layout(13)-(14) | IAS 28.40-43 | ||||
| 070 | Subsidiaries | IFRS 10 Appendix A | |||||
| 080 | Joint ventures | IAS 28.3 | |||||
| 090 | Associates | 4th Directive art 17 | IAS 28.3 | ||||
| 100 | Impairment or (-) reversal of impairment on non-financial assets | IAS 36.126(a),(b) | |||||
| 110 | Property, plant and equipment | BAD art 27.Vertical layout(9) | IAS 16.73(e)(v-vi) | ||||
| 120 | Investment properties | BAD art 27.Vertical layout(9) | IAS 40.79(d)(v) | ||||
| 130 | Goodwill | BAD art 27.Vertical layout(9) | IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) | ||||
| 140 | Other intangible assets | BAD art 27.Vertical layout(9) | IAS 38.118(e)(iv)(v) | ||||
| 145 | Other | IAS 36.126(a),(b) | |||||
| 150 | TOTAL | ||||||
| 160 | Interest income on impaired financial assets accrued | IFRS 7.20(d); IAS 39.AG 93 |
17.Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
17.1Assets
| References National GAAP based on BAD | References National GAAP compatible IFRS | Accounting scope of consolidation [Carrying amount] | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Cash, cash balances at central banks and other demand deposits | BAD art 4.Assets(1) | IAS 1.54 (i) | |
| 020 | Cash on hand | Annex V.Part 2.1 | Annex V.Part 2.1 | |
| 030 | Cash balances at central banks | BAD art 13(2); Annex V.Part 2.2 | Annex V.Part 2.2 | |
| 040 | Other demand deposits | Annex V.Part 2.3 | ||
| 050 | Financial assets held for trading | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | |
| 060 | Derivatives | CRR Annex II | IAS 39.9 | |
| 070 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |
| 080 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |
| 090 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |
| 091 | Trading financial assets | Annex V.Part 1.15 | ||
| 092 | Derivatives | CRR Annex II; Annex V.Part 1.15 | ||
| 093 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||
| 094 | Debt securities | Annex V.Part 1.24, 26 | ||
| 095 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 100 | Financial assets designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(i); IAS 39.9 | |
| 110 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |
| 120 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |
| 130 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |
| 140 | Available-for-sale financial assets | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(d); IAS 39.9 | |
| 150 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |
| 160 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |
| 170 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |
| 171 | Non-trading non-derivative financial assets measured at fair value through profit or loss | 4th Directive art 42a(1), (4) | ||
| 172 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||
| 173 | Debt securities | Annex V.Part 1.24, 26 | ||
| 174 | Loan and advances | 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 | ||
| 175 | Non-trading non-derivative financial assets measured at fair value to equity | 4th Directive art 42a(1); art 42c (2) | ||
| 176 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||
| 177 | Debt securities | Annex V.Part 1.24, 26 | ||
| 178 | Loan and advances | 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 | ||
| 180 | Loans and receivables | 4th Directive art 42a(4)(b),(5a); IAS 39.9 | IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 | |
| 190 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |
| 200 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |
| 210 | Held-to-maturity investments | 4th Directive art 42a(4)(a),(5a); IAS 39.9 | IFRS 7.8(b); IAS 39.9, AG16, AG26 | |
| 220 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |
| 230 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |
| 231 | Non-trading debt instruments measured at a cost-based method | BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 | ||
| 232 | Debt securities | Annex V.Part 1.24, 26 | ||
| 233 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 234 | Other non-trading non-derivative financial assets | BAD art 35-37; Annex V.Part 1.17 | ||
| 235 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | ||
| 236 | Debt securities | Annex V.Part 1.24, 26 | ||
| 237 | Loans and advances | Annex V.Part 1.24, 27 | ||
| 240 | Derivatives – Hedge accounting | 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 | IFRS 7.22(b); IAS 39.9 | |
| 250 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | 4th Directive art 42a(5), (5a); IAS 39.89A (a) | IAS 39.89A(a) | |
| 260 | Investments in subsidaries, joint ventures and associates | BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 | IAS 1.54(e); Annex V.Part 2.4 | |
| 270 | Assets under reinsurance and insurance contracts | IFRS 4.IG20.(b)-(c); Annex V.Part 2.105 | ||
| 280 | Tangible assets | BAD art 4.Assets(10) | ||
| 290 | Intangible assets | BAD art 4.Assets(9); CRR art 4(115) | IAS 1.54(c); CRR art 4(115) | |
| 300 | Goodwill | BAD art 4.Assets(9); CRR art 4(113) | IFRS 3.B67(d); CRR art 4(113) | |
| 310 | Other intangible assets | BAD art 4.Assets(9) | IAS 38.8,118 | |
| 320 | Tax assets | IAS 1.54(n-o) | ||
| 330 | Current tax assets | IAS 1.54(n); IAS 12.5 | ||
| 340 | Deferred tax assets | 4th Directive art 43(1)(11); CRR art 4(106) | IAS 1.54(o); IAS 12.5; CRR art 4(106) | |
| 350 | Other assets | Annex V.Part 2.5 | Annex V.Part 2.5 | |
| 360 | Non-current assets and disposal groups classified as held for sale | IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 | ||
| 370 | TOTAL ASSETS | BAD art 4 Assets | IAS 1.9(a), IG 6 |
17.2Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
| References National GAAP based on BAD | References National GAAP compatible IFRS | Accounting scope of consolidation [Nominal amount] | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Loan commitments given | CRR Annex I; Annex V.Part 2.56, 57 | IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 | |
| 020 | Financial guarantees given | CRR Annex I; Annex V.Part 2.56, 58 | IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 | |
| 030 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | CRR Annex I; Annex V.Part 2.56, 59 | |
| 040 | OFF-BALANCE SHEET EXPOSURES |
17.3Liabilities and equity
| References National GAAP based on BAD | References National GAAP compatible IFRS | Accounting scope of consolidation [Carrying amount] | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Financial liabilities held for trading | 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 | IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 | |
| 020 | Derivatives | CRR Annex II | IAS 39.9, AG 15(a) | |
| 030 | Short positions | IAS 39.AG 15(b) | ||
| 040 | Deposits | ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 | |
| 050 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |
| 060 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | |
| 061 | Trading financial liabilities | 4th Directive art 42a(3) | ||
| 062 | Derivatives | CRR Annex II; Annex V.Part 1.15 | ||
| 063 | Short positions | |||
| 064 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||
| 065 | Debt securities issued | Annex V.Part 1.31 | ||
| 066 | Other financial liabilities | Annex V.Part 1.32-34 | ||
| 070 | Financial liabilities designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8 (e)(i); IAS 39.9 | |
| 080 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |
| 090 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |
| 100 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | |
| 110 | Financial liabilities measured at amortised cost | 4th Directive art 42a(3), (5a); IAS 39.47 | IFRS 7.8(f); IAS 39.47 | |
| 120 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |
| 130 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |
| 140 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 | |
| 141 | Non-trading non-derivative financial liabilities measured at a cost-based method | 4th Directive art 42a(3) | ||
| 142 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||
| 143 | Debt securities issued | Annex V.Part 1.31 | ||
| 144 | Other financial liabilities | Annex V.Part 1.32-34 | ||
| 150 | Derivatives – Hedge accounting | 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23 | IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 | |
| 160 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | 4th Directive art 42a(5), (5a); IAS 39.89A(b) | IAS 39.89A(b) | |
| 170 | Liabilities under insurance and reinsurance contracts | IFRS 4.IG20(a); Annex V.Part 2.106 | ||
| 180 | Provisions | BAD art 4.Liabilities(6) | IAS 37.10; IAS 1.54(l) | |
| 190 | Tax liabilities | IAS 1.54(n-o) | ||
| 200 | Current tax liabilities | IAS 1.54(n); IAS 12.5 | ||
| 210 | Deferred tax liabilities | 4th Directive art 43(1)(11); CRR art 4(108) | IAS 1.54(o); IAS 12.5; CRR art 4(108) | |
| 220 | Share capital repayable on demand | IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 | ||
| 230 | Other liabilities | Annex V.Part 2.10 | Annex V.Part 2.10 | |
| 240 | Liabilities included in disposal groups classified as held for sale | IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 | ||
| 250 | LIABILITIES | IAS 1.9(b);IG 6 | ||
| 260 | Capital | BAD art 4.Liabilities(9), BAD art 22 | IAS 1.54(r), BAD art 22 | |
| 270 | Share premium | BAD art 4.Liabilities(10); CRR art 4(124) | IAS 1.78(e); CRR art 4(124) | |
| 280 | Equity instruments issued other than capital | Annex V.Part 2.15-16 | Annex V.Part 2.15-16 | |
| 290 | Other equity | Annex V.Part 2.17 | IFRS 2.10; Annex V.Part 2.17 | |
| 300 | Accumulated other comprehensive income | CRR art 4(100) | CRR art 4(100) | |
| 310 | Retained earnings | CRR art 4(123) | CRR art 4(123) | |
| 320 | Revaluation reserves | BAD art 4.Liabilities(12) | IFRS 1.30, D5-D8 | |
| 325 | Fair value reserves | 4th Directive art 42a(1) | ||
| 330 | Other reserves | BAD art 4.Liabilities (11)-(13) | IAS 1.54; IAS 1.78 (e) | |
| 335 | First consolidation differences | 7th Directive 19(1)(c) | ||
| 340 | (-) Treasury shares | 4th Directive. Assets C (III)(7), D (III)(2); Annex V.Part 2.20 | IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 | |
| 350 | Profit or loss attributable to owners of the parent | BAD art 4.Liabilities(14) | IAS 27.28; IAS 1.83(a)(ii) | |
| 360 | (-) Interim dividends | CRR Article 26 (2) | IAS 32.35 | |
| 370 | Minority interests [Non-controlling interests] | 7th Directive art 21 | IAS 27.4; IAS 1.54(q); IAS 27.27 | |
| 380 | TOTAL EQUITY | IAS 1.9(c), IG 6 | ||
| 390 | TOTAL EQUITY AND TOTAL LIABILITIES | BAD art 4.Liabilities | IAS 1.IG6 |
18.Information on performing and non-performing exposures
| References National GAAP based on BAD | References National GAAP compatible IFRS | Gross carrying amount | Accumulated impairment, accumulated changes in fair value due to credit risk and provisions | Collateral received and financial guarantees received | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Performing | Non-performing | on performing exposures | on non-performing exposures | |||||||||||||||||||||
| Not past due or Past due <= 30 days | Past due > 30 days <= 60 days | Past due > 60 days <= 90 days | Unlikely to pay that are not past-due or past-due < = 90 days | Past due > 90 days <= 180 days | Past due > 180 days <= 1 year | Past due > 1 year | Of which: defaulted | Of which: impaired | Unlikely to pay that are not past-due or past-due < = 90 days | Past due > 90 days <= 180 days | Past due > 180 days <= 1 year | Past due > 1 year | Collateral received on non-performing exposues | Financial guarantees received on non-performing exposures | ||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | ||||
| Annex V. Part 2. 45, 109, 145-162 | Annex V. Part 2. 145-162 | Annex V. Part 2. 158 | Annex V. Part 2. 158 | Annex V. Part 2. 158 | Annex V. Part 2. 145-162 | Annex V. Part 2. 159 | Annex V. Part 2. 159 | Annex V. Part 2. 159 | Annex V. Part 2. 159 | CRR art 178; Annex V. Part 2.61 | IAS 39. 58-70 | Annex V. Part 2. 46 | Annex V. Part 2. 161 | Annex V. Part 2. 161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 162 | Annex V. Part 2. 162 | ||||
| Annex V. Part 2. 45, 109, 145-162 | Annex V. Part 2. 145-162 | Annex V. Part 2. 158 | Annex V. Part 2. 158 | Annex V. Part 2. 158 | Annex V. Part 2. 145-162 | Annex V. Part 2. 159 | Annex V. Part 2. 159 | Annex V. Part 2. 159 | Annex V. Part 2. 159 | CRR art 178; Annex V. Part 2.61 | CRR art 4(95) | Annex V. Part 2. 46 | Annex V. Part 2. 161 | Annex V. Part 2. 161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 159,161 | Annex V. Part 2. 162 | Annex V. Part 2. 162 | ||||
| 010 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||||||||||||||||||||
| 020 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 030 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 040 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 050 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 060 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 070 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||||||||||||||||||||
| 080 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 090 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 100 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 110 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 120 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 130 | Of which: Small and Medium-sized Enterprises | SME Art 1 2(a) | SME Art 1 2(a) | |||||||||||||||||||||
| 140 | Of which: Commercial real estate | |||||||||||||||||||||||
| 150 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 160 | Of which: Residential mortgage loans | |||||||||||||||||||||||
| 170 | Of which: Credit for consumption | |||||||||||||||||||||||
| 180 | DEBT INSTRUMENTS AT AMORTISED COST | Annex V. Part I. 13 (d)(e); 14 (d)(e) | Annex V. Part I. 13 (d)(e) | |||||||||||||||||||||
| 190 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||||||||||||||||||||
| 200 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 210 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 220 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 230 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 240 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 250 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||||||||||||||||||||
| 260 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 270 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 280 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 290 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 300 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 310 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 320 | DEBT INSTRUMENTS AT FAIR VALUE other than HFT | Annex V. Part I. 13 (b)(c); 14 (b)(c) | Annex V. Part I. 13 (b)(c) | |||||||||||||||||||||
| 330 | DEBT INSTRUMENTS other than HFT | Annex V. Part I. 13 (b)(c)(d)(e); 14 (b)(c)(d)(e) | Annex V. Part I. 13 (b)(c)(d)(e) | |||||||||||||||||||||
| 340 | Loan commitments given | CRR Annex I; Annex V.Part 2.56-57 | IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 | |||||||||||||||||||||
| 350 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 360 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 370 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 380 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 390 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 400 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 410 | Financial guarantees given | CRR Annex I; Annex V.Part 2.56,58 | IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 | |||||||||||||||||||||
| 420 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 430 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 440 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 450 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 460 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 470 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 480 | Other Commitments given | CRR Annex I; Annex V.Part 2.56, 59 | CRR Annex I; Annex V.Part 2.56, 59 | |||||||||||||||||||||
| 490 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | |||||||||||||||||||||
| 500 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | |||||||||||||||||||||
| 510 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | |||||||||||||||||||||
| 520 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | |||||||||||||||||||||
| 530 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | |||||||||||||||||||||
| 540 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | |||||||||||||||||||||
| 550 | OFF-BALANCE SHEET EXPOSURES | Annex V.Part 2.55 | Annex V.Part 2.55 |
19.Information forborne exposures
| References National GAAP based on BAD | References National GAAP compatible IFRS | Gross carrying amount of exposures with forbearance measures | Accumulated impairment, accumulated changes in fair value due to credit risk and provisions | Collateral received and financial guarantees received | |||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Performing exposures with forbearance measures | Non-performing exposures with forbearance measures | on perfoming exposures with forbearance measures | on non-performing exposures with forbearance measures | ||||||||||||||||||
| Instruments with modifications in their terms and conditions | Refinancing | of which: Performing forborne exposures under probation | Instruments with modifications in their terms and conditions | Refinancing | of which: Defaulted | of which: Impaired | of which: Forbearance of non-performing exposures | Instruments with modifications in their terms and conditions | Refinancing | Collateral received on exposures with forbearance measures | Financial guarantees received on exposures with forbearance measures | ||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | ||||
| Annex V. Part 2. 45, 109, 163-182 | Annex V. Part 2. 145-162 | Annex V. Part 2. 164 (a), 177, 178, 182 | Annex V. Part 2. 164 (b), 177, 178, 181, 182 | Annex V. Part 2. 176(b),177, 180 | Annex V. Part 2. 145-162 | Annex V. Part 2. 164 (a), 179-180, 182 | Annex V. Part 2. 164 (b), 179-182 | CRR art 178; Annex V. Part 2.61 | IAS 39. 58-70 | Annex V. Part 2. 172(a), 157 | Annex V. Part 2. 46, 183 | Annex V. Part 2. 145-183 | Annex V. Part 2. 145-183 | Annex V. Part 2. 164 (a), 179-180,182,183 | Annex V. Part 2. 164 (b), 179-183 | Annex V. Part 2. 162 | Annex V. Part 2. 162 | ||||
| Annex V. Part 2. 45, 109, 163-182 | Annex V. Part 2. 145-162 | Annex V. Part 2. 164 (a), 177, 178, 182 | Annex V. Part 2. 164 (b), 177, 178, 181, 182 | Annex V. Part 2. 176(b), 177, 180 | Annex V. Part 2. 145-162 | Annex V. Part 2. 164 (a), 179-180,182 | Annex V. Part 2. 164 (b), 179-182 | CRR art 178; Annex V. Part 2.61 | CRR art 4(95) | Annex V. Part 2. 172(a), 157 | Annex V. Part 2. 46, 183 | Annex V. Part 2. 145-183 | Annex V. Part 2. 145-183 | Annex V. Part 2. 164 (a), 179-180,182,183 | Annex V. Part 2. 164 (b), 179-183 | Annex V. Part 2. 162 | Annex V. Part 2. 162 | ||||
| 010 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||||||||||||||||
| 020 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||||||||||||||
| 030 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||||||||||||||
| 040 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||||||||||||||
| 050 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||||||||||||||
| 060 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||||||||||||||
| 070 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||||||||||||||||
| 080 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||||||||||||||
| 090 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||||||||||||||
| 100 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||||||||||||||
| 110 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||||||||||||||
| 120 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||||||||||||||
| 130 | Of which: Small and Medium-sized Enterprises | SME Art 1 2(a) | SME Art 1 2(a) | ||||||||||||||||||
| 140 | Of which: Commercial real estate | ||||||||||||||||||||
| 150 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||||||||||||||||||
| 160 | Of which: Residential mortgage loans | ||||||||||||||||||||
| 170 | Of which: Credit for consumption | ||||||||||||||||||||
| 180 | DEBT INSTRUMENTS AT AMORTISED COST | Annex V. Part I. 13 (d)(e); 14 (d)(e) | Annex V. Part I. 13 (d)(e) | ||||||||||||||||||
| 190 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||||||||||||||||
| 200 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||||||||||||||
| 210 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||||||||||||||
| 220 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||||||||||||||
| 230 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||||||||||||||
| 240 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||||||||||||||
| 250 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||||||||||||||||
| 260 | Central banks | Annex V.Part 1.35(a) | Annex V.Part 1.35(a) | ||||||||||||||||||
| 270 | General governments | Annex V.Part 1.35(b) | Annex V.Part 1.35(b) | ||||||||||||||||||
| 280 | Credit institutions | Annex V.Part 1.35(c) | Annex V.Part 1.35(c) | ||||||||||||||||||
| 290 | Other financial corporations | Annex V.Part 1.35(d) | Annex V.Part 1.35(d) | ||||||||||||||||||
| 300 | Non-financial corporations | Annex V.Part 1.35(e) | Annex V.Part 1.35(e) | ||||||||||||||||||
| 310 | Households | Annex V.Part 1.35(f) | Annex V.Part 1.35(f) | ||||||||||||||||||
| 320 | DEBT INSTRUMENTS AT FAIR VALUE other than HFT | Annex V. Part I. 13 (b)(c); 14 (b)(c) | Annex V. Part I. 13 (b)(c) | ||||||||||||||||||
| 330 | DEBT INSTRUMENTS other than HFT | Annex V. Part I. 13 (b)(c)(d)(e); 14 (b)(c)(d)(e) | Annex V. Part I. 13 (b)(c)(d)(e) | ||||||||||||||||||
| 340 | Loan commitments given | CRR Annex I; Annex V.Part 2.56-57 | IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 |
20.Geographical breakdown
20.1Geographical breakdown of assets by location of the activities
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | |||
|---|---|---|---|---|---|
| Domestic activitivies | Non-domestic activities | ||||
| Annex V.Part 2.107 | Annex V.Part 2.107 | ||||
| 010 | 020 | ||||
| 010 | Cash, cash balances at central banks and other demand deposits | BAD art 4.Assets(1) | IAS 1.54 (i) | ||
| 020 | Cash on hand | Annex V.Part 2.1 | Annex V.Part 2.1 | ||
| 030 | Cash balances at central banks | BAD art 13(2); Annex V.Part 2.2 | Annex V.Part 2.2 | ||
| 040 | Other demand deposits | Annex V.Part 2.3 | |||
| 050 | Financial assets held for trading | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(ii); IAS 39.9, AG 14 | ||
| 060 | Derivatives | CRR Annex II | IAS 39.9 | ||
| 070 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 080 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 090 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 091 | Trading financial assets | Annex V.Part 1.15 | |||
| 092 | Derivatives | CRR Annex II; Annex V.Part 1.15 | |||
| 093 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 094 | Debt securities | Annex V.Part 1.24, 26 | |||
| 095 | Loans and advances | Annex V.Part 1.24, 27 | |||
| 100 | Financial assets designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(i); IAS 39.9 | ||
| 110 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 120 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 130 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 140 | Available-for-sale financial assets | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(d); IAS 39.9 | ||
| 150 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | ||
| 160 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 170 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 171 | Non-trading non-derivative financial assets measured at fair value through profit or loss | 4th Directive art 42a(1), (4) | |||
| 172 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 173 | Debt securities | Annex V.Part 1.24, 26 | |||
| 174 | Loan and advances | 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 | |||
| 175 | Non-trading non-derivative financial assets measured at fair value to equity | 4th Directive art 42a(1); art 42c (2) | |||
| 176 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 177 | Debt securities | Annex V.Part 1.24, 26 | |||
| 178 | Loan and advances | 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 | |||
| 180 | Loans and receivables | 4th Directive art 42a(4)(b),(5a); IAS 39.9 | IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 | ||
| 190 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 200 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 210 | Held-to-maturity investments | 4th Directive art 42a(4)(a),(5a); IAS 39.9 | IFRS 7.8(b); IAS 39.9, AG16, AG26 | ||
| 220 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||
| 230 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||
| 231 | Non-trading debt instruments measured at a cost-based method | BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 | |||
| 232 | Debt securities | Annex V.Part 1.24, 26 | |||
| 233 | Loans and advances | Annex V.Part 1.24, 27 | |||
| 234 | Other non-trading non-derivative financial assets | BAD art 35-37; Annex V.Part 1.17 | |||
| 235 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | |||
| 236 | Debt securities | Annex V.Part 1.24, 26 | |||
| 237 | Loans and advances | Annex V.Part 1.24, 27 | |||
| 240 | Derivatives — Hedge accounting | 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 | IFRS 7.22(b); IAS 39.9 | ||
| 250 | Fair value changes of the hedged items in portfolio hedge of interest rate risk | 4th Directive art 42a(5), (5a); IAS 39.89A (a) | IAS 39.89A(a) | ||
| 260 | Tangible assets | BAD art 4.Assets(10) | |||
| 270 | Intangible assets | BAD art 4.Assets(9); CRR art 4(115) | IAS 1.54(c); CRR art 4(115) | ||
| 280 | Investments in subsidaries, joint ventures and associates | BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 | IAS 1.54(e); Annex V.Part 2.4 | ||
| 290 | Tax assets | IAS 1.54(n-o) | |||
| 300 | Other assets | Annex V.Part 2.5 | Annex V.Part 2.5 | ||
| 310 | Non-current assets and disposal groups classified as held for sale | IAS 1.54(j); IFRS 5.38 | |||
| 320 | ASSETS | BAD art 4 Assets | IAS 1.9(a), IG 6 |
21.Tangible and intangible assets: assets subject to operating lease
| References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | ||
|---|---|---|---|---|
| Annex V.Part 2. 110-111 | ||||
| 010 | ||||
| 010 | Property plant and equipment | IAS 16.6; IAS 1.54(a) | ||
| 020 | Revaluation model | IAS 17.49; IAS 16.31, 73(a)(d) | ||
| 030 | Cost model | IAS 17.49; IAS 16.30, 73(a)(d) | ||
| 040 | Investment property | IAS 40.IN5; IAS 1.54(b) | ||
| 050 | Fair value model | IAS 17.49; IAS 40.33-55, 76 | ||
| 060 | Cost model | IAS 17.49; IAS 40.56,79(c) | ||
| 070 | Other intangible assets | BAD art 4.Assets(9) | IAS 38.8, 118 | |
| 080 | Revaluation model | IAS 17.49; IAS 38.75-87, 124(a)(ii) | ||
| 090 | Cost model | IAS 17.49; IAS 38.74 |
22.Asset management, custody and other service functions
22.1Fee and commission income and expenses by activity
| References National GAAP based on BADBAD art 27.Vertical layout(4), (5) | References National GAAP compatible IFRSIFRS 7.20(c) | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Fee and commission income | ITS 2.Part 2.10-12 | ||
| 020 | Securities | |||
| 030 | Issuances | Annex V.Part 2.116(a) | Annex V.Part 2.116(a) | |
| 040 | Transfer orders | Annex V.Part 2.116(b) | Annex V.Part 2.116(b) | |
| 050 | Other | Annex V.Part 2.116(c) | Annex V.Part 2.116(c) | |
| 060 | Clearing and settlement | Annex V.Part 2.116(d) | Annex V.Part 2.116(d) | |
| 070 | Asset management | Annex V.Part 2.116(e); Annex V.Part 2.117(a) | Annex V.Part 2.116(e); Annex V.Part 2.117(a) | |
| 080 | Custody [by type of customer] | Annex V.Part 2.116(e); Annex V.Part 2.117(b) | Annex V.Part 2.116(e); Annex V.Part 2.117(b) | |
| 090 | Collective investment | |||
| 100 | Other | |||
| 110 | Central administrative services for collective investment | Annex V.Part 2.116(e); Annex V.Part 2.117(c) | Annex V.Part 2.116(e); Annex V.Part 2.117(c) | |
| 120 | Fiduciary transactions | Annex V.Part 2.116(e); Annex V.Part 2.117(d) | Annex V.Part 2.116(e); Annex V.Part 2.117(d) | |
| 130 | Payment services | Annex V.Part 2.116(e); Annex V.Part 2.117(e) | Annex V.Part 2.116(e); Annex V.Part 2.117(e) | |
| 140 | Customer resources distributed but not managed [by type of product] | Annex V.Part 2.117(f) | Annex V.Part 2.117(f) | |
| 150 | Collective investment | |||
| 160 | Insurance products | |||
| 170 | Other | |||
| 180 | Structured Finance | Annex V.Part 2.116(f) | Annex V.Part 2.116(f) | |
| 190 | Servicing of securitization activities | Annex V.Part 2.116(g) | Annex V.Part 2.116(g) | |
| 200 | Loan commitments given | Annex V.Part 2.116(h) | IAS 39.47(d)(ii); Annex V.Part 2.116(h) | |
| 210 | Financial guarantees given | Annex V.Part 2.116(h) | IAS 39.47(c)(ii); Annex V.Part 2.116(h) | |
| 220 | Other | Annex V.Part 2.116(j) | Annex V.Part 2.116(j) | |
| 230 | (Fee and commission expenses) | ITS 2.Part 2.10-12 | ||
| 240 | (Clearing and settlement) | Annex V.Part 2.116(d) | Annex V.Part 2.116(d) | |
| 250 | (Custody) | Annex V.Part 2.117(b) | Annex V.Part 2.117(b) | |
| 260 | (Servicing of securitization activities) | Annex V.Part 2.116(g) | Annex V.Part 2.116(g) | |
| 270 | (Loan commitments received) | Annex V.Part 2.116(i) | Annex V.Part 2.116(i) | |
| 280 | (Financial guarantees received) | Annex V.Part 2.116(i) | Annex V.Part 2.116(i) | |
| 290 | (Other) | Annex V.Part 2.116(j) | Annex V.Part 2.116(j) |
22.2Assets involved in the services provided
| References National GAAP based on BAD | References National GAAP compatible IFRS | Amount of the assets involved in the services provided | ||
|---|---|---|---|---|
| Annex V.Part 2.117(g) | ||||
| 010 | ||||
| 010 | Asset management [by type of customer] | Annex V.Part 2.117(a) | Annex V.Part 2.117(a) | |
| 020 | Collective investment | |||
| 030 | Pension funds | |||
| 040 | Customer portfolios managed on a discretionary basis | |||
| 050 | Other investment vehicles | |||
| 060 | Custody assets [by type of customer] | Annex V.Part 2.117(b) | Annex V.Part 2.117(b) | |
| 070 | Collective investment | |||
| 080 | Other | |||
| 090 | Of which: entrusted to other entities | |||
| 100 | Central administrative services for collective investment | Annex V.Part 2.117(c) | Annex V.Part 2.117(c) | |
| 110 | Fiduciary transactions | Annex V.Part 2.117(d) | Annex V.Part 2.117(d) | |
| 120 | Payment services | Annex V.Part 2.117(e) | Annex V.Part 2.117(e) | |
| 130 | Customer resources distributed but not managed [by type of product] | Annex V.Part 2.117(f) | Annex V.Part 2.117(f) | |
| 140 | Collective investment | |||
| 150 | Insurance products | |||
| 160 | Other |
30.Off-balance sheet activities: Interests in unconsolidated structured entities
30.1Interests in unconsolidated structured entities
| References National GAAP compatible IFRS | Carrying amount of financial assets recognised in the balance sheet | Of which: liquidity support drawn | Fair value of liquidity support drawn | Carrying amount of financial liabilities recognised in the balance sheet | Nominal amount of off-balance sheet items given by the reporting institution | Of which: Nominal amount of loan commitments given | Losses incurred by the reporting institution in the current period | |||
|---|---|---|---|---|---|---|---|---|---|---|
| IFRS 12.29(a) | IFRS 12.29(a); Annex V.Part 2.118 | IFRS 12.29(a) | IFRS 12.B26(e) | IFRS 12 B26(b) | ||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | ||||
| 010 | Total |
30.2Breakdown of interests in unconsolidated structured entities by nature of the activities
| By nature of the activities | References National GAAP based on BAD | References National GAAP compatible IFRS | Securitisation Special Purpose Entities | Asset management | Other activities | |
|---|---|---|---|---|---|---|
| CRR art 4 (66) | Annex V.Part 2.117(a) | |||||
| Carrying amount | ||||||
| IFRS 12.28, B6.(a) | 010 | 020 | 030 | |||
| 010 | Selected financial assets recognised in the reporting institution's balance sheet | IFRS 12.29(a),(b) | ||||
| 021 | of which: non-performing | Annex V.Part 2. 145-162 | Annex V.Part 2. 145-163 | |||
| 030 | Derivatives | CRR Annex II; Annex V.Part 1.6 | IAS 39.9 | |||
| 040 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |||
| 050 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||
| 060 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||
| 070 | Selected equity and financial liabilites recognised in the reporting institution's balance sheet | IFRS 12.29(a),(b) | ||||
| 080 | Equity instruments issued | IAS 32.4 | ||||
| 090 | Derivatives | CRR Annex II | IAS 39.9, AG 15 (a) | |||
| 100 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |||
| 110 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |||
| Nominal amount | ||||||
| 120 | Off-balance sheet items given by the reporting institution | IFRS 12.B26.(e) | ||||
| 131 | of which: non-performing | Annex V.Part 2. 145-162 | Annex V.Part 2. 145-162 |
31.Related parties
31.1Related parties: amounts payable to and amounts receivable from
| Outstanding balances | ||||||||
|---|---|---|---|---|---|---|---|---|
| Parent and entities with joint control or significant influence | Subsidiaries and other entities of the same group | Associates and joint ventures | Key management of the institution or its parent | Other related parties | ||||
| References National GAAP compatible IFRS | IAS 24.19(a),(b) | IAS 24.19(c); Annex V.Part 2.120 | IAS 24.19(d),(e); Annex V.Part 2.120 | IAS 24.19(f) | IAS 24.19(g) | |||
| References National GAAP based on BAD | 4th Directive art 43(7a) | 4th Directive art 43(7a) | 4th Directive art 43(7a) | 4th Directive art 43(7a) | 4th Directive art 43(7a) | |||
| Annex V.Part 2.120 | Annex V.Part 2.120 | 010 | 020 | 030 | 040 | 050 | ||
| 010 | Selected financial assets | IAS 24.18(b) | ||||||
| 020 | Equity instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |||||
| 030 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||||
| 040 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||||
| 050 | of which: Impaired financial assets | |||||||
| 060 | Selected financial liabilities | IAS 24.18(b) | ||||||
| 070 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |||||
| 080 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |||||
| 090 | Nominal amount of loan commitments, financial guarantees and other commitments given | Annex V.Part 2.62 | IAS 24.18(b); Annex V.Part 2.62 | |||||
| 100 | of which: defaulted | Annex V.Part 2.61 | IAS 24.18(b); Annex V.Part 2.61 | |||||
| 110 | Loan commitments, financial guarantees and other commitments received | Annex V.Part 2.63, 121 | IAS 24.18(b); Annex V.Part 2.63, 121 | |||||
| 120 | Notional amount of derivatives | Annex V.Part 2.70-71 | Annex V.Part 2.70-71 | |||||
| 130 | Allowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments | IAS 24.18(c) |
31.2Related parties: expenses and income generated by transactions with
| Current period | ||||||||
|---|---|---|---|---|---|---|---|---|
| Parent and entities with joint control or significant influence | Subsidiaries and other entities of the same group | Associates and joint ventures | Key management of the institution or its parent | Other related parties | ||||
| References National GAAP compatible IFRS | IAS 24.19(a),(b) | IAS 24.19(c) | IAS 24.19(d),(e) | IAS 24.19(f) | IAS 24.19(g) | |||
| References National GAAP based on BAD | ||||||||
| Annex V.Part 2.120 | Annex V.Part 2.120 | 010 | 020 | 030 | 040 | 050 | ||
| 010 | Interest income | BAD art 27.Vertical layout(1); Annex V.Part 2.21 | IAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21 | |||||
| 020 | Interest expenses | BAD art 27.Vertical layout(2); Annex V.Part 2.21 | IAS 24.18(a); IAS 1.97; Annex V.Part 2.21 | |||||
| 030 | Dividend income | BAD art 27.Vertical layout(3); Annex V.Part 2.28 | IAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28 | |||||
| 040 | Fee and commission income | BAD art 27.Vertical layout(4) | IAS 24.18(a); IFRS 7.20(c) | |||||
| 050 | Fee and commission expenses | BAD art 27.Vertical layout(5) | IAS 24.18(a); IFRS 7.20(c) | |||||
| 060 | Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss | BAD art 27.Vertical layout(6) | IAS 24.18(a) | |||||
| 070 | Gains or (-) losses on derecognition of non-financial assets | Annex V.Part 2.122 | IAS 24.18(a); Annex V.Part 2.122 | |||||
| 080 | Increase or (-) decrease during the period in impairment and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments | IAS 24.18(d) |
40.Group structure
40.1Group structure: "entity-by-entity"
| LEI code | Entity code | Entity name | Entry date | Share capital | Equity of investee | Total assets of investee | Profit or (-) loss of investee | Residence of investee | Sector of investee | NACE Code | Accumulated equity interest [%] | Voting rights [%] | Group structure [relationship] | Accounting treatment [Accounting Group] | Accounting treatment [CRR Group] | Carrying amount | Acquisition cost | Goodwill link to Investee | Fair value of investments for which there are published price quotations |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annex V.Part 2.123, 124(a) | Annex V.Part 2.123, 124(b) | IFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c) | Annex V.Part 2.123, 124(d) | Annex V.Part 2.123, 124(e) | IFRS 12.B12(b); Annex V.Part 2.123, 124(f) | IFRS 12.B12(b); Annex V.Part 2.123, 124(f) | IFRS 12.B12(b); Annex V.Part 2.123, 124(f) | IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g) | Annex V.Part 2.123, 124(h) | Annex V.Part 2.123, 124(i) | IFRS 12.21(iv); Annex V.Part 2.123, 124(j) | IFRS 12.21(iv); Annex V.Part 2.123, 124(k) | IFRS 12.10(a)(i); Annex V.Part 2.123, 124(l) | IFRS 12.21(b); Annex V.Part 2.123, 124(m) | CRR art 423(b); Annex V.Part 2.123, 124(n) | Annex V.Part 2.123, 124(0) | Annex V.Part 2.123, 124(p) | Annex V.Part 2.123, 124(q) | IFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r) |
| Annex V.Part 2.123, 124(a) | Annex V.Part 2.123, 124(b) | Annex V.Part 2.123, 124(c) | Annex V.Part 2.123, 124(d) | Annex V.Part 2.123, 124(e) | Annex V.Part 2.123, 124(f) | Annex V.Part 2.123, 124(f) | Annex V.Part 2.123, 124(f) | Annex V.Part 2.123, 124(q) | Annex V.Part 2.123, 124(h) | Annex V.Part 2.123, 124(i) | Annex V.Part 2.123, 124(j) | Annex V.Part 2.123, 124(k) | Annex V.Part 2.123, 124(l) | Annex V.Part 2.123, 124(m) | CRR art 423(b); Annex V.Part 2.123, 124(n) | Annex V.Part 2.123, 124(0) | Annex V.Part 2.123, 124(p) | Annex V.Part 2.123, 124(q) | Annex V.Part 2.123, 124(r) |
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 095 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 |
40.2.Group structure: "instrument-by-instrument"
| Security code | Entity code | Holding company LEI code | Holding company code | Holding company name | Accumulated equity interest (%) | Carrying amount | Acquisition cost |
|---|---|---|---|---|---|---|---|
| Annex V.Part 2.125(a) | Annex V.Part 2.124(b), 125(c) | Annex V.Part 2.125(b) | Annex V.Part 2.124(j), 125(c) | Annex V.Part 2.124(o), 125(c) | Annex V.Part 2.124(p), 125(c) | ||
| Annex V.Part 2.125(a) | Annex V.Part 2.124(b), 125(c) | Annex V.Part 2.125(b) | Annex V.Part 2.124(j), 125(c) | Annex V.Part 2.124(o), 125(c) | Annex V.Part 2.124(p), 125(c) | ||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 |
41.Fair value
41.1Fair value hierarchy: financial instruments at amortised cost
| ASSETS | References National GAAP based on BAD | References National GAAP compatible IFRS | Fair value | Fair value hierarchyIFRS 13.93(b), BC216 | |||
|---|---|---|---|---|---|---|---|
| IFRS 7.25-26 | Level 1IFRS 13.76 | Level 2IFRS 13.81 | Level 3IFRS 13.86 | ||||
| 010 | 020 | 030 | 040 | ||||
| 010 | Loans and receivables | 4th Directive art 42a(4)(b),(5a); IAS 39.9 | IFRS 7.8 (c); IAS 39.9, AG16, AG26 | ||||
| 020 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||
| 030 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||
| 040 | Held-to-maturity investments | 4th Directive art 42a(4)(a),(5a); IAS 39.9 | IFRS 7.8(b); IAS 39.9, AG16, AG26 | ||||
| 050 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | ||||
| 060 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | ||||
| LIABILITIES | |||||||
| 070 | Financial liabilities measured at amortised cost | 4th Directive art 42a(3), (5a); IAS 39.47 | IFRS 7.8(f); IAS 39.47 | ||||
| 080 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ||||
| 090 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | ||||
| 100 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 |
41.2Use of the Fair Value Option
| Carrying amount | ||||||
|---|---|---|---|---|---|---|
| Financial instruments designated at fair value through profit or loss | References National GAAP based on BAD | References National GAAP compatible IFRS | Accounting mismatch | Evaluation on a fair value basis | Hybrid contracts | |
| IFRS 7.B5(a) | IAS 39.9b(i) | IAS 39.9b(ii) | IAS 39. 11A-12; Annex V.Part 2.127 | |||
| ASSETS | 010 | 020 | 030 | |||
| 010 | Financial assets designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(a)(i); IAS 39.9 | |||
| 020 | Equity Instruments | ECB/2008/32 Annex 2.Part 2.4-5 | IAS 32.11 | |||
| 030 | Debt securities | Annex V.Part 1.24, 26 | Annex V.Part 1.24, 26 | |||
| 040 | Loans and advances | Annex V.Part 1.24, 27 | Annex V.Part 1.24, 27 | |||
| LIABILITIES | ||||||
| 050 | Financial liabilities designated at fair value through profit or loss | 4th Directive art 42a(1), (5a); IAS 39.9 | IFRS 7.8(e)(i); IAS 39.9 | |||
| 060 | Deposits | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 | |||
| 070 | Debt securities issued | Annex V.Part 1.31 | Annex V.Part 1.31 | |||
| 080 | Other financial liabilities | Annex V.Part 1.32-34 | Annex V.Part 1.32-34 |
41.3Hybrid financial instruments not designated at fair value through profit or loss
| Rest of separable hybrid contracts [not designated at fair value through profit or loss] | References National GAAP based on BAD | References National GAAP compatible IFRS | Carrying amount | |
|---|---|---|---|---|
| FINANCIAL ASSETS | 010 | |||
| 010 | Financial assets held for trading | 4th Directive art 42a(4)(b),(5a); IAS 39.9; Annex V.Part 2.129 | IAS 39.9; Annex V.Part 2.129 | |
| 020 | Available-for-sale [Host contracts] | 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 | IAS 39.11; Annex V.Part 2.130 | |
| 030 | Loans and receivables [Host contracts] | 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 | IAS 39.11; Annex V.Part 2.130 | |
| 040 | Held-to-maturity investments [Host contracts] | 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 | IAS 39.11; Annex V.Part 2.130 | |
| FINANCIAL LIABILITES | ||||
| 050 | Financial liabilities held for trading | 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.129 | IAS 39.9; Annex V.Part 2.129 | |
| 060 | Financial liabilities measured at amortized cost [Host contracts] | 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.130 | IAS 39.11; Annex V.Part 2.130 |
42.Tangible and intangible assets: carrying amount by measurement method
| References National GAAP compatible IFRS | Carrying amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Property plant and equipment | IAS 16.6; IAS 16.29; IAS 1.54(a) | |
| 020 | Revaluation model | IAS 16.31, 73(a),(d) | |
| 030 | Cost model | IAS 16.30, 73(a),(d) | |
| 040 | Investment property | IAS 40.5, 30; IAS 1.54(b) | |
| 050 | Fair value model | IAS 40,33-55, 76 | |
| 060 | Cost model | IAS 40.56, 79(c) | |
| 070 | Other intangible assets | IAS 38.8, 118, 122; Annex V.Part 2.132 | |
| 080 | Revaluation model | IAS 38.75-87, 124(a)(ii) | |
| 090 | Cost model | IAS 38.74 |
43.Provisions
| Carrying amount | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Pensions and other employment defined benefit obligations | Other long term employee benefits | Restructuring | Pending legal issues and tax litigation | Commitments and guarantees given | Other provisions | Total | ||||
| References National GAAP compatible IFRS | IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 | IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 | IAS 37.70-83 | IAS 37.App C.6-10 | IAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4 | IAS 37.14 | ||||
| References National GAAP based on BAD | Annex V.Part 2.7 | Annex V.Part 2.8 | BAD art 24-25, 33(1) | |||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | ||||
| 010 | Opening balance [carrying amount at the beginning of the period] | IAS 37.84 (a) | ||||||||
| 020 | Additions, including increases in existing provisions | IAS 37.84 (b) | ||||||||
| 030 | (-) Amounts used | IAS 37.84 (c) | ||||||||
| 040 | (-) Unused amounts reversed during the period | IAS 37.84 (d) | ||||||||
| 050 | Increase in the discounted amount [passage of time] and effect of any change in the discount rate | IAS 37.84 (e) | ||||||||
| 060 | Other movements | |||||||||
| 070 | Closing balance [carrying amount at the end of the period] | IAS 37.84 (a) |
44Defined benefit plans and employee benefits
44.1Components of net defined benefit plan assets and liabilities
| References National GAAP compatible IFRS | Amount | ||
|---|---|---|---|
| 010 | |||
| 010 | Fair value of defined benefit plan assets | IAS 19.140(a)(i), 142 | |
| 020 | Of which: Financial instruments issued by the institution | IAS 19.143 | |
| 030 | Equity instruments | IAS 19.142(b) | |
| 040 | Debt instruments | IAS 19.142(c) | |
| 050 | Real estate | IAS 19.142(d) | |
| 060 | Other defined benefit plan assets | ||
| 070 | Present value of defined benefit obligations | IAS 19.140(a)(ii) | |
| 080 | Effect of the asset ceiling | IAS 19.140(a)(iii) | |
| 090 | Net defined benefit assets [Carrying amount] | IAS 19.63; Annex V.Part 2.136 | |
| 100 | Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] | IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 | |
| 110 | Memo item: Fair value of any right to reimbursement recognised as an asset | IAS 19.140(b) |
44.2Movements in defined benefit obligations
| References National GAAP compatible IFRS | Defined benefit obligations | ||
|---|---|---|---|
| 010 | |||
| 010 | Opening balance [present value] | IAS 19.140(a)(ii) | |
| 020 | Current service cost | IAS 19.141(a) | |
| 030 | Interest cost | IAS 19.141(b) | |
| 040 | Contributions paid | IAS 19.141(f) | |
| 050 | Actuarial (-) gains or losses from changes in demographic assumptions | IAS 19.141(c)(ii) | |
| 060 | Actuarial (-) gains or losses from changes in financial assumptions | IAS 19.141(c)(iii) | |
| 070 | Foreign currency exchange increase or (-) decrease | IAS 19.141(e) | |
| 080 | Benefits paid | IAS 19.141(g) | |
| 090 | Past service cost, including gains and losses arising from settlements | IAS 19.141(d) | |
| 100 | Increase or (-) decrease through business combinations and disposals | IAS 19.141(h) | |
| 110 | Other increases or (-) decreases | ||
| 120 | Closing balance [present value] | IAS 19.140(a)(ii); Annex V.Part 2.138 |
44.3Memo items [related to staff expenses]
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 010 | Pension and similar expenses | Annex V.Part 2.139(a) | Annex V.Part 2.139(a) | |
| 020 | Share based payments | Annex V.Part 2.139b) | IFRS 2.44; Annex V.Part 2.139(b) |
45Breakdown of selected items of statement of profit or loss
45.1Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | Changes in fair value due to credit risk | ||
|---|---|---|---|---|---|
| 010 | 020 | ||||
| 010 | Financial assets designated at fair value through profit or loss | 4th Directive art 42a(1),(5a); IAS 39.9 | IFRS 7.20(a)(i); IAS 39.55(a) | ||
| 020 | Financial liabilities designated at fair value through profit or loss | 4th Directive art 42a(1),(5a); IAS 39.9 | IFRS 7.20(a)(i); IAS 39.55(a) | ||
| 030 | GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS | BAD art 27.Vertical layout(6) | IFRS 7.20(a)(i) |
45.2Gains or losses on derecognition of non-financial assets other than held for sale
| References National GAAP based on BAD | References National GAAP compatible IFRS | Current period | ||
|---|---|---|---|---|
| 010 | ||||
| 020 | Investment property | IAS 40.69; IAS 1.34(a), 98(d) | ||
| 030 | Intangible assets | IAS 38.113-115A; IAS 1.34(a) | ||
| 040 | Other assets | IAS 1.34 (a) | ||
| 050 | GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS | IAS 1.34 |
45.3Other operating income and expenses
| References National GAAP based on BAD | References National GAAP compatible IFRS | Income | Expenses | ||
|---|---|---|---|---|---|
| 010 | 020 | ||||
| 010 | Changes in fair value in tangible assets measured using the fair value model | Annex V.Part 2.141 | IAS 40.76(d); Annex V.Part 2.141 | ||
| 020 | Investment property | Annex V.Part 2.141 | IAS 40.75(f); Annex V.Part 2.141 | ||
| 030 | Operating leases other than investment property | Annex V.Part 2.142 | IAS 17.50, 51, 56(b); Annex V.Part 2.142 | ||
| 040 | Other | Annex V.Part 2.143 | Annex V.Part 2.143 | ||
| 050 | OTHER OPERATING INCOME OR EXPENSES | Annex V.Part 2.141-142 | Annex V.Part 2.141-142 |
46.Statement of changes in equity
| Sources of equity changes | Capital | Share premium | Equity instruments issued other than Capital | Other equity | Accumulated other comprehensive income | Retained earnings | Revaluation reserves | Fair value reserves | |||
|---|---|---|---|---|---|---|---|---|---|---|---|
| References National GAAP compatible IFRS | IAS 1.106, 54(r) | IAS 1.106, 78(e) | IAS 1.106, Annex V.Part 2.15-16 | IAS 1.106; Annex V.Part 2.17 | IAS 1.106 | CRR art 4(123) | IFRS 1.30 D5-D8 | ||||
| References National GAAP based on BAD | BAD art 4.Liabilities(9), BAD art 22 | BAD art 4.Liabilities(10); CRR art 4(124) | Annex V.Part 2.15-17 | Annex V.Part 2.17 | 4th Directive art 42a(1), (5a) | BAD art 4 Liabilities (13); CRR art 4(123) | BAD art 4.Liabilities(12) | ||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 075 | ||||
| 010 | Opening balance [before restatement] | ||||||||||
| 020 | Effects of corrections of errors | IAS 1.106.(b); IAS 8.42 | |||||||||
| 030 | Effects of changes in accounting policies | IAS 1.106.(b); IAS 1.IG6; IAS 8.22 | |||||||||
| 040 | Opening balance [current period] | ||||||||||
| 050 | Issuance of ordinary shares | IAS 1.106.(d).(iii) | |||||||||
| 060 | Issuance of preference shares | IAS 1.106.(d).(iii) | |||||||||
| 070 | Issuance of other equity instruments | IAS 1.106.(d).(iii) | |||||||||
| 080 | Exercise or expiration of other equity instruments issued | IAS 1.106.(d).(iii) | |||||||||
| 090 | Conversion of debt to equity | IAS 1.106.(d).(iii) | |||||||||
| 100 | Capital reduction | IAS 1.106.(d).(iii) | |||||||||
| 110 | Dividends | IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 | |||||||||
| 120 | Purchase of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||||
| 130 | Sale or cancellation of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||||
| 140 | Reclassification of financial instruments from equity to liability | IAS 1.106.(d).(iii) | |||||||||
| 150 | Reclassification of financial instruments from liability to equity | IAS 1.106.(d).(iii) | |||||||||
| 160 | Transfers among components of equity | IAS 1.106.(d).(iii) | |||||||||
| 170 | Equity increase or (-) decrease resulting from business combinations | IAS 1.106.(d).(iii) | |||||||||
| 180 | Share based payments | IAS 1.106.(d).(iii); IFRS 2.10 | |||||||||
| 190 | Other increase or (-) decrease in equity | IAS 1.106.(d) | |||||||||
| 200 | Total comprehensive income for the year | IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 | |||||||||
| 210 | Closing balance [current period] |
| Sources of equity changes | Other reserves | First consolidation differences | (-) Treasury shares | Profit or (-) loss atributable to owners of the parent | (-) Interim dividends | Minority interests | Total | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Accumulated Other Comprehensive Income | Other items | ||||||||||
| References National GAAP compatible IFRS | IAS 1.106, 54(c) | IAS 1.106; IAS 32.34, 33; Annex V.Part 2.20 | IAS 1.106(a), 83 (a)(ii) | IAS 1.106; IAS 32.35 | IAS 1.54(q), 106(a); IAS 27.27-28 | IAS 1.54(q), 106(a); IAS 27.27-28 | IAS 1.9(c), IG6 | ||||
| References National GAAP based on BAD | 7th Directive 19(1)(c) | 4th Directive.Assets C (III)(7), D (III)(2); Annex V.Part 2.20 | BAD art 4.Liabilities(14) | CRR Article 26(2b) | 7th Directive art 21 | 7th Directive art 21 | |||||
| 080 | 085 | 090 | 100 | 110 | 120 | 130 | 140 | ||||
| 010 | Opening balance [before restatement] | ||||||||||
| 020 | Effects of corrections of errors | IAS 1.106.(b); IAS 8.42 | |||||||||
| 030 | Effects of changes in accounting policies | IAS 1.106.(b); IAS 1.IG6; IAS 8.22 | |||||||||
| 040 | Opening balance [current period] | ||||||||||
| 050 | Issuance of ordinary shares | IAS 1.106.(d).(iii) | |||||||||
| 060 | Issuance of preference shares | IAS 1.106.(d).(iii) | |||||||||
| 070 | Issuance of other equity instruments | IAS 1.106.(d).(iii) | |||||||||
| 080 | Exercise or expiration of other equity instruments issued | IAS 1.106.(d).(iii) | |||||||||
| 090 | Conversion of debt to equity | IAS 1.106.(d).(iii) | |||||||||
| 100 | Capital reduction | IAS 1.106.(d).(iii) | |||||||||
| 110 | Dividends | IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 | |||||||||
| 120 | Purchase of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||||
| 130 | Sale or cancellation of treasury shares | IAS 1.106.(d).(iii); IAS 32.33 | |||||||||
| 140 | Reclassification of financial instruments from equity to liability | IAS 1.106.(d).(iii) | |||||||||
| 150 | Reclassification of financial instruments from liability to equity | IAS 1.106.(d).(iii) | |||||||||
| 160 | Transfers among components of equity | IAS 1.106.(d).(iii) | |||||||||
| 170 | Equity increase or (-) decrease resulting from business combinations | IAS 1.106.(d).(iii) | |||||||||
| 180 | Share based payments | IAS 1.106.(d).(iii); IFRS 2.10 | |||||||||
| 190 | Other increase or (-) decrease in equity | IAS 1.106.(d) | |||||||||
| 200 | Total comprehensive income for the year | IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 | |||||||||
| 210 | Closing balance [current period] |
Table of contentsGENERAL INSTRUCTIONS1.References2.Convention3.Consolidation4.Accounting portfolios4.1.Assets4.2.Liabilities5.Financial instruments5.1.Financial assets5.2.Financial liabilities6.Counterparty breakdownTEMPLATE RELATED INSTRUCTIONS1.Balance sheet1.1.Assets (1.1)1.2.Liabilities (1.2)1.3.Equity (1.3)2.Statement of profit or loss (2)3.Statement of comprehensive income (3)4.Breakdown of financial assets by instrument and by counterparty sector (4)5.Breakdown of loans and advances by product (5)6.Breakdown of loans and advances to non-financial corporations by NACE codes (6)7.Financial assets subject to impairment that are past due or impaired (7)8.Breakdown of financial liabilities (8)9.Loan commitments, financial guarantees and other commitments (9)10.Derivatives (10 and 11)10.1.Classification of derivatives by type of risk10.2.Amounts to be reported for derivatives10.3.Derivatives classified as ‘economic hedges’10.4.Breakdown of derivatives by counterparty sector11.Movements in allowances for credit losses and impairment of equity instruments (12)12.Collateral and guarantees received (13)12.1.Breakdown of loans and advances by collateral and guarantees (13.1)12.2.Collateral obtained by taking possession during the period [held at the reporting date] (13.2)12.3.Collateral obtained by taking possession [tangible assets] accumulated (13.3)13.Fair value hierarchy: Financial instruments at fair value (14)14.Derecognition and financial liabilities associated with transferred financial assets (15)15.Breakdown of selected statement of profit or loss items (16)15.1.Interest income and expenses by instrument and counterparty sector (16.1)15.2.Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)15.3.Gains or losses on financial assets and liabilities held for trading by instrument (16.3)15.4.Gains or losses on financial assets and liabilities held for trading by risk (16.4)15.5.Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)15.6.Gains or losses from hedge accounting (16.6)15.7.Impairment on financial and non-financial assets (16.7)16.Reconciliation between accounting and CRR scope of consolidation (17)17.Geographical breakdown (20)18.Tangible and intangible assets: assets subject to operating lease (21)19.Asset management, custody and other service functions (22)19.1.Fee and commission income and expenses by activity (22.1)19.2.Assets involved in the services provided (22.2)20.Interests in unconsolidated structured entities (30)21.Related parties (31)21.1.Related parties: amounts payable to and amounts receivable from (31.1)21.2.Related parties: expenses and income generated by transactions with (31.2)22.Group structure (40)22.1.Group structure: ‘entity-by-entity’ (40.1)22.2.Group structure: ‘instrument-by-instrument’ (40.2)23.Fair value (41)23.1.Fair value hierarchy: financial instruments at amortised cost (41.1)23.2.Use of fair value option (41.2)23.3.Hybrid financial instruments not designated at fair value through profit or loss (41.3)24.Tangible and intangible assets: carrying amount by measurement method (42)25.Provisions (43)26.Defined benefit plans and employee benefits (44)26.1.Components of net defined benefit plan assets and liabilities (44.1)26.2.Movements in defined benefit obligations (44.2)26.3.Memo items [related to staff expenses] (44.3)27.Breakdown of selected items of statement of profit or loss (45)27.1.Gains or losses on de-recognition of non-financial assets other than held-for-sale (45.2)27.2.Other operating income and expenses (45.3)28.Statement of changes in equity (46)29.Non-performing exposures (18)30.Forborne exposures (19)MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
REPORTING ON FINANCIAL INFORMATION
PART 1GENERAL INSTRUCTIONS
1.REFERENCES
This Annex contains additional instructions for the financial information templates (‘FINREP’) in Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of references in the templates in Annexes III and IV.
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 Regulation (EU) No 575/2013 (‘CRR’).
Institutions shall only submit those parts of the templates related to: (a) assets, liabilities, equity, income and expenses that are recognised by the institution; (b) off-balance sheet exposures and activities in which the institution is involved; (c) transactions performed by the institution; (d) valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.
For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply: (a)‘IAS regulation’Regulation (EC) No 1606/2002;(b)‘IAS’ or ‘IFRS’‘International Accounting Standards’, as defined in Article 2 of the IAS regulation that has been adopted by the Commission;(c)‘ECB BSI Regulation’ or ‘ECB/2008/32’Regulation (EC) No 25/2009 of the European Central Bank;(d)‘NACE Regulation’Regulation (EC) No 1893/2006 of the European Parliament and of the Council;(e)‘BAD’Council Directive 86/635/EEC;(f)‘4th Directive’Fourth Council Directive 78/660/EEC;(g)‘National GAAP’national generally accepted accounting principles developed under BAD;(h)‘SME’micro, small and medium-sized enterprises defined in Commission Recommendation C(2003)1422;(i)‘ISIN code’the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;(j)‘LEI code’the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction.
2.CONVENTION
For the purposes of Annexes III and 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.
Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.
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.
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’.
In the ‘Data Point Model’ (‘DPM’) for financial information reporting templates of Annexes 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.
Schematically, this convention works as in Table 1. Table 1Credit/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
- 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 CRR. Institutions shall account for their subsidiaries and joint ventures using the same methods as for prudential consolidation: (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 CRR; (b) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR; (c) institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) of CRR.
4.ACCOUNTING PORTFOLIOS
4.1.Assets
‘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, cash balances at central banks and other demand deposits’ 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’.
The following accounting portfolios based on IFRS shall be used for financial assets: (a) ‘Financial assets held for trading’; (b) ‘Financial assets designated at fair value through profit or loss’; (c) ‘Available-for-sale financial assets’; (d) ‘Loans and Receivables’; (e) ‘Held-to-maturity investments’.
The following accounting portfolios based on National GAAP shall be used for financial assets: (a) ‘Trading financial assets’; (b) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’; (c) ‘Non-trading non-derivative financial assets measured at fair value to equity’; (d) ‘Non-trading debt instruments measured at a cost-based method’; and (e) ‘Other non-trading non-derivative financial assets’.
‘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.
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.
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’).
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.
‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.
4.2.Liabilities
The following accounting portfolios based on IFRS shall be used for financial liabilities: (a) ‘Financial liabilities held for trading’; (b) ‘Financial liabilities designated at fair value through profit or loss’; (c) ‘Financial liabilities measured at amortised cost’.
The following accounting portfolios based on National GAAP shall be used for financial liabilities: (a) ‘Trading financial liabilities’; and (b) ‘Non-trading non-derivative financial liabilities measured at a cost-based method’.
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.
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
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.
Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’, ‘Debt securities’, and ‘Loan and advances’.
‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.
‘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 Part 1 of this Annex. Consequently, ‘debt instruments’ shall include ‘loans and advances’ and ‘debt securities’.
5.2.Financial liabilities
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.
Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’.
‘Deposits’ are defined in the same way as in the ECB BSI Regulation.
‘Debt securities issued’ are debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation.
‘Other financial liabilities’ include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.
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’ where 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’.
‘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
Where a breakdown by counterparty is required the following counterparty sectors shall be used: (a) central banks; (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; (c) credit institutions: any institution covered by the definition in Article 4(1)(1) of CRR (‘undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account’) and multilateral development banks; (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; (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; (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.
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.
PART 2TEMPLATE RELATED INSTRUCTIONS
1.BALANCE SHEET
1.1.Assets (1.1)
‘Cash on hand’ includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
‘Cash balances at central banks’ include balances receivable on demand at central banks.
‘Other demand deposits’ include balances receivable on demand with credit institutions.
‘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.
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.
‘Non-current assets and disposal groups classified as held for sale’ has the same meaning as under IFRS 5.
1.2.Liabilities (1.2)
Provisions for ‘Pensions and other post employment defined benefit obligations’ include the amount of net defined benefit liabilities.
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’.
‘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.
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’.
‘Liabilities included in disposal groups classified as held for sale’ has the same meaning as under IFRS 5.
‘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)
Under IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the scope of IAS 32.
‘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.
‘Equity component of compound financial instruments’ includes the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an 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).
‘Other equity instruments issued’ includes equity instruments that are financial instruments other than ‘Capital’ and ‘Equity component of compound financial instruments’.
‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10].
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.
‘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.
‘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)
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’ (‘clean price’) or as part of gains or losses from these categories of instruments (‘dirty price’).
Institutions shall report the following items broken down by accounting portfolios: (a) ‘Interest income’; (b) ‘Interest expense’; (c) ‘Dividend income’; (d) ‘Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss, net’; (e) ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss’.
‘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.
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’.
‘Interest income — other assets’ includes amounts of interest income not included in the other items. This item may include interest income related to cash, cash balances at central banks and other demand deposits and to non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset.
‘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.
‘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.
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’ and, according to IAS 28.10, the carrying amount of the investment shall be reduced for those accounted for under the equity method. Under IFRS, the gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates shall be reported within ‘Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates’.
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.
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)
- 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)
Financial assets shall be broken down by instrument and — where required — by counterparty.
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.
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.
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 financial assets, individually estimated’, ‘Specific allowances for financial assets, collectively estimated’ 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.
‘Specific allowances for financial assets, individually estimated’ shall include cumulative amount of impairment related to financial assets which have been assessed individually.
‘Specific allowances for financial assets, collectively estimated’ 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 financial assets, individually estimated.
‘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.
The sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount.
Template 4.5 includes the carrying amount of ‘Loans and advances’ and ‘Debt securities’ that fall within the definition of ‘subordinated debt’ in paragraph 54 of this Part.
5.BREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5)
- 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, cash balances at central banks and other demand deposits’ shall also be reported in this template independently of the ‘accounting portfolio’ in which they are included shall be allocated to the following products: (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; (b) ‘Credit card debt’ includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation]; (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); (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; (e) ‘Reverse repurchase loans’ include finance granted in exchange for securities bought under repurchase agreements or borrowed under securities lending agreements; (f) ‘Other term loans’ include debit balances with contractually fixed maturities or terms that are not included in other items; (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); (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’); (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; (j) ‘Credit for consumption’ includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation]; (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]; (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 (6)
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.
The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36 of Part 1.
Reporting of NACE codes shall be done with the first level of disaggregation (by ‘section’).
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’.
‘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 financial assets, individually and collectively estimated as defined in paragraphs 36 and 37 as 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.
7.FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR IMPAIRED (7)
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’.
Assets qualify as past due when counterparties have failed to make a payment when contractually due. The whole amounts of such assets shall be reported and broken down according to the number of days of the oldest past due instalment. 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.
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.
‘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)
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.
‘Debt securities issued’ shall be disaggregated into the following type of products: (a) ‘Certificates of deposits’ are securities that enable the holders to withdraw funds from an account; (b) ‘Asset backed securities’ according to Article 4(1)(61) of CRR; (c) ‘Covered Bonds’ according to Article 129(1) of CRR; (d) ‘Hybrid contracts’ comprise contracts with embedded derivatives; (e) ‘Other debt securities issued’ includes debt securities not recorded in the previous lines and distinguishes convertible and non-convertible instruments.
‘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’.
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)
Off-balance sheet exposures include the off-balance sheet items listed in Annex I of CRR. Off-balance sheet exposures shall be broken down in loan commitments given, financial guarantees given, and other commitments given.
Information on loan commitments, financial guarantees, and other commitments given and received include both revocable and irrevocable commitments.
‘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 CRR shall be classified as ‘Loan commitments’: (a) ‘Forward deposits’. (b) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ under pre-specified terms and conditions.
‘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 CRR shall be classified as ‘financial guarantees’: (a) ‘Guarantees having the character of credit substitute’; (b) ‘Credit derivatives’ that meet the definition of financial guarantee; (c) ‘Irrevocable standby letters of credit having the character of credit substitutes’;
‘Other commitments’ includes the following items of Annex I of CRR: (a) ‘Unpaid portion of partly-paid shares and securities’; (b) ‘Documentary credits issued or confirmed’; (c) Trade finance Off-balance sheet items; (d) ‘Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions’; (e) ‘Warranties and indemnities’ (including tender and performance bonds) and ‘guarantees not having the character of credit substitutes’; (f) ‘Shipping guarantees, customs and tax bonds’; (g) Note issuance facilities (NIFs) and revolving underwritings facilities (RUFs); (h) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ when the terms and conditions are not pre-specified; (i) ‘Undrawn credit facilities’ which comprise agreements to ‘purchase securities’ or ‘provide guarantees’; (j) ‘Undrawn credit facilities for tender and performance guarantees’; (k) ‘Other off-balance sheet items’ in Annex I of CRR.
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: (a) ‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IAS 39; (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; (c) ‘Endorsements on bills’ that do not meet the criteria for de-recognition under IAS 39; (d) ‘Transactions with recourse’ that do not meet the criteria for de-recognition under IAS 39; (e) ‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IAS 39; (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.
‘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 CRR.
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.
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)
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.
Institutions shall report the derivatives held for hedge accounting broken down by type of hedge.
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).
10.1.Classification of derivatives by type of risk
All derivatives shall be classified into the following risk categories: (a)Interest rateInterest 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.(b)EquityEquity 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.(c)Foreign exchange and goldThese 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.(d)CreditCredit 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.(e)CommodityThese 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.(f)OtherThese 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.
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: (a)CommoditiesAll 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.(b)EquitiesWith 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.(c)Foreign exchange and goldThis 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
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’).
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: (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; (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; (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; (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; (e) Credit derivatives: The contract amount to be reported for credit derivatives is the nominal value of the relevant reference credit; (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.
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.
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
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.
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 CRR. This item does not include derivatives for proprietary trading.
10.4.Breakdown of derivatives by counterparty sector
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: (a) ‘credit institutions’, (b) ‘other financial corporations’, and (c) ‘rest’ comprising all other counterparties.
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)
‘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.
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)
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.
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.
For reporting loans and advances according to the type of pledge the following definitions shall be used: (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 CRR; (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. The term institution must be understood here as referring to the institution providing the debt security to be used as collateral (which issues it actually) and receiving the loan and advance; not to the reporting institution, which is the one which receives the collateral and grants the loan and advance; (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.
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)
- 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)
- ‘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)
Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by in IFRS 13.72.
‘Change in fair value for the period’ shall include gains or losses from re-measurements in the period of the instruments that continue to exist at the reporting date. These gains and losses are reported as for inclusion in the statement of profit or loss; thus, the amounts reported are before taxes.
‘Accumulated change in fair value before taxes’ shall include the amount of gains or losses from re-measurements of the instruments accumulated from the initial recognition to the reference date.
14.DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)
Template 15 includes information on transferred financial assets of which part or all do not qualify for de-recognition, and financial assets entirely derecognised for which the institution retains servicing rights.
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.
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 CRR since significant credit risk has been transferred according to the articles 243 and 244 of CRR.
‘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. Transactions involving the temporary transfer of gold against cash collateral shall also be considered ‘Repurchase agreements’ (‘repos’). 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: (a) Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral; (b) Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) involve cash received or loaned out by the institution.
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 de-recognition.
15.BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)
- For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.
15.1.Interest income and expenses by instrument and counterparty sector (16.1)
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. For the purpose of template 16.1, short positions shall be considered within 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.
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 de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)
- Gains and losses on de-recognition 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)
- 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)
- 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: (a) Interest rate instruments: including trading of loans and advances, deposits and debt securities (held or issued); (b) Equity instruments: including trading of shares, quotas of UCITS and other equity instruments; (c) Foreign exchange trading: including exclusively trading on foreign exchanges; (d) Credit risk instruments: including trading of credit link notes; (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’. (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)
- 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)
- 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)
- ‘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)
‘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.
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
‘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.
Liabilities under insurance and reinsurance contracts' shall include liabilities under insurance and reinsurance contracts issued.
17.GEOGRAPHICAL BREAKDOWN (20)
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.
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. Exposures or liabilities with supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’.
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: Non-performing’ loans and advances shall be reported as defined in paragraphs 145 to 157 of this Annex. Debt forbearance comprises all ‘debt’ contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 163 to 179 of this Annex, are extended. 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)
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.
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)
- 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’.
19.1.Fee and commission income and expenses by activity (22.1)
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: (a) amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and (b) amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].
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].
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.
Institutions shall report fee and commission income and expenses according to the following criteria: (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; (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; (c) ‘Securities. Other’ includes fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution; (d) ‘Clearing and settlement’ includes fee and commission income (expenses) generated by (charged to) the institution when participating in counterparty, clearing and settlement facilities; (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; (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; (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; (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’; (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; (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)
- Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions: (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; (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; (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; (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; (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; (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; (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)
- ‘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)
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.
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 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.
21.1.Related parties: amounts payable to and amounts receivable from (31.1)
- 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)
- ‘Gains or losses on de-recognition of non-financial assets’ shall include all the gains and losses on de-recognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on de-recognition 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’: (a) ‘Gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates’; (b) ‘Gains or losses on de-recognition of non-financial assets other than held for sale’; (c) ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’, and; (d) ‘Profit or loss after tax from discontinued operations’.
22.GROUP STRUCTURE (40)
- 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. Securities classified as ‘Financial assets held for trading’, ‘Financial assets designated at fair value through profit or loss’, ‘Available-for-sale financial assets’ and Treasury shares, that is to say, own shares of reporting institution owned by it, shall be excluded from the scope of this template.
22.1.Group structure: entity-by-entity (40.1)
- The following information shall be reported on a ‘entity-by-entity’ basis: (a) ‘LEI code’ includes the LEI code of the investee; (b) ‘Entity code’ includes the identification code of the investee. The entity code is a row identifier and shall be unique for each row in template 40.1. (c) ‘Entity name’ includes the name of the investee; (d) ‘Entry date’ means the date in which the investee entered within the ‘scope of the group’; (e) ‘Share capital’ means the total amount of capital issued by the investee as at the reference date; (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; (g) ‘Residence of investee’ means the country of residence of the investee. (h) ‘Sector of investee’ means the sector of counterparty as defined in paragraph 35 of Part 1; (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’); (j) ‘Accumulated equity interest (%)’ is the percentage of ownership instruments held by the institution as of the reference date; (k) ‘Voting rights (%)’ means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date. (l) ‘Group structure [relationship]’ shall indicate the relationship between the parent and the investee (subsidiary, joint venture or associate); (m) ‘Accounting treatment [Accounting Group]’ shall indicate the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other); (n) ‘Accounting treatment [CRR Group]’ shall indicate the accounting treatment with the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other); (o) ‘Carrying amount’ means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated; (p) ‘Acquisition cost’ means the amount paid by the investors; (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’; (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)
- The following information shall be reported on an ‘instrument-by-instrument’ basis: (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. ‘Security code’ and ‘Holding company code’ are a composite row identifier, and together shall be unique for each row in template 40.2; (b) ‘Holding company code’ is the identification code of the entity within the group that holds the investment; (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)
- Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 7.27 A shall be reported in this template.
23.2.Use of fair value option (41.2)
- 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)
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.
‘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.
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)
‘Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement.
‘Other intangible assets’ include all other intangible assets than goodwill.
25.PROVISIONS (43)
- 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)
- 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.
26.1.Components of net defined benefit plan assets and liabilities (44.1)
‘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)].
‘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)
‘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.
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)
- For reporting of memorandum items related to staff expenses, the following definitions shall be used: (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. (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 de-recognition of non-financial assets other than held-for-sale (45.2)
- Gains and losses on de-recognition 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)
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.
‘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’.
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)
- 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.
29.NON-PERFORMING EXPOSURES (18)
For the purpose of template 18, non-performing exposures are those that satisfy any of the following criteria: (a) material exposures which are more than 90 days past due; (b) the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past due amount or of the number of days past due.
That categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 of CRR or as impaired for accounting purposes in accordance with the applicable accounting framework.
Exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures. Exposures with ‘collective allowances for incurred but not reported losses’ referred to in paragraph 38 of this Annex shall not be considered as non-performing exposures unless they meet the criteria to be considered as non-performing exposures.
Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. Materiality shall be assessed in accordance with Article 178 of CRR.
For the purpose of template 18, ‘exposures’ includes all debt instruments (loans and advances which include also cash balances at central banks and other demand deposits and debt securities) and off-balance sheet exposures, except those held for trading exposures. Off-balance sheet exposures comprise the following revocable and irrevocable items: (a) loan commitments given; (b) financial guarantees given; (c) other commitments given. Exposures include non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.
For the purpose of template 18, an exposure is ‘past-due’ when any amount of principal, interest or fee has not been paid at the date it was due.
For the purpose of template 18, ‘debtor’ means an obligor within the meaning of Article 178 of CRR.
A commitment shall be considered as a non-performing exposure for its nominal amount where, when drawn down or otherwise used, it would lead to exposures that present a risk of not being paid back in full without realisation of collateral.
Financial guarantees given shall be considered as non-performing exposures for their nominal amount where the financial guarantee is at risk of being called by the counterparty (‘guaranteed party’), including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 145. Where the guaranteed party is past-due on the amount due under the financial guarantee contract, the reporting institution shall assess whether the resulting receivable meets the non-performing criteria.
Exposures classified as non-performing in accordance with paragraph 145 shall be categorised as either non-performing on an individual basis (‘transaction based’) or as non-performing for the overall exposure to a given debtor (‘debtor based’). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures: (a) for non-performing exposures classified as defaulted in accordance with Article 178 of CRR, the categorisation approach of Article 178 shall be applied; (b) for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied; (c) for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 of CRR for defaulted exposures shall be applied.
Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days and the gross carrying amount of the past due exposures represents more than 20 % of the gross carrying amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that debtor shall be considered as non-performing. When a debtor belongs to a group, the need to also consider exposures to other entities of the group as non-performing shall be assessed, where they are not already considered as impaired or defaulted in accordance with Article 178 of CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.
Exposures shall be considered to have ceased being non-performing when all of the following conditions are met: (a) the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification; (b) the situation of the debtor has improved to the extent that full repayment, according to the original or when applicable the modified conditions, is likely to be made; (c) the debtor does not have any amount past-due by more than 90 days. An exposure shall remain classified as non-performing while those conditions are not met, even though the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification according to the applicable accounting framework and Article 178 of CRR respectively. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 does not discontinue their classification as non-performing exposure, as non-current assets held for sale are included in the scope of definition of non-performing exposures.
In case of non-performing exposures with forbearance measures, those exposures shall be considered to have ceased being non-performing where all the following conditions are met: (a) exposures are not considered to be impaired or defaulted; (b) one year has passed since the forbearance measures were applied; (c) there is not, following the forbearance measures, any past-due amount or concern regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns shall be determined after an analysis of the debtor's financial situation by the institution. Concerns may be considered as no longer existing where the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (where there were past-due amounts) or that has been written-off (where there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions. Those specific exit conditions shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures according to the applicable accounting framework and Article 178 of CRR respectively.
Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount. Performing exposures past due by less than 90 days shall be reported separately for their entire amount.
Non-performing exposures shall be reported broken down by past due time bands. Exposures that are not past due or are past due by 90 days or less but nevertheless are identified as non-performing due to the likelihood of non-full repayment shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due. Cash balances at central banks and other demand deposits shall be reported in row 070 as well as in rows 080 and 100 of template 18. Non-performing exposures classified as held for sale in accordance with IFRS 5 shall not be reported in template 18.
The following exposures shall be identified in separate columns: (a) exposures which are considered to be impaired in accordance with the applicable accounting framework, except where they are exposures with incurred but not reported losses; (b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.
‘Accumulated impairment’ and ‘accumulated changes in fair value due to credit risk’ figures shall be reported in accordance with paragraph 46. ‘Accumulated impairment’ means the reduction in the carrying amount of the exposure either directly or through the use of an allowance account. Accumulated impairment reported on non-performing exposures shall not include incurred but not reported losses. Incurred but not reported losses shall be reported in accumulated impairment on performing exposures. ‘Accumulated changes in fair value due to credit risk’ shall be reported for exposures designated at fair value through profit and loss in accordance with the applicable accounting framework.
Information on collateral held and financial guarantee received on non-performing exposures shall be reported separately. Amounts reported for collateral received and financial guarantees received shall be calculated in accordance with paragraphs 79 to 82. Therefore, the sum of the amounts reported for both collateral and financial guarantees shall be capped at the carrying amount of the related exposure.
30.FORBORNE EXPOSURES (19)
For the purpose of template 19, forborne exposures are debt contracts in respect of which forbearance measures have been applied. Forbearance measures consist of concessions towards a debtor that is experiencing or about to experience difficulties in meeting its financial commitments (‘financial difficulties’).
For the purpose of template 19, a concession refers to either of the following actions: (a) a modification of the previous terms and conditions of a contract that the debtor is considered unable to comply with due to its financial difficulties (‘troubled debt’) resulting in insufficient debt service ability and that would not have been granted had the debtor not been experiencing financial difficulties; (b) a total or partial refinancing of a troubled debt contract, that would not have been granted had the debtor not been experiencing financial difficulties. A concession may entail a loss for the lender.
Evidence of a concession includes the following: (a) a difference in favour of the debtor between the modified terms of the contract and the previous terms of the contract; (b) inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at that time.
The exercise of clauses which, when used at the discretion of the debtor, enable the debtor to change the terms of the contract (‘embedded forbearance clauses’) shall be treated as a concession when the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.
‘Refinancing’ means the use of debt contracts to ensure the total or partial payment of other debt contracts the current terms of which the debtor is unable to comply with.
For the purpose of template 19, ‘debtor’ includes all the natural and legal entities in the debtor's group which are within the accounting scope of consolidation.
For the purpose of template 19, ‘debt’ includes loans and advances (which include also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, but excludes exposures held for trading. ‘Debt’ includes non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.
For the purpose of template 19, ‘exposure’ has the same meaning as given for ‘debt’ in paragraph 169.
For the purpose of template 19, ‘institution’ means the institution which applied the forbearance measures.
Exposures shall be regarded as forborne where a concession has been made, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 of CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Nevertheless the following shall be treated as forbearance measures: (a) a modified contract that has been classified as non-performing before the modification or would in the absence of modification be classified as non-performing; (b) the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt; (c) the institution approves the use of embedded forbearance clauses for a debtor who is non-performing or who would be considered as non-performing without the use of those clauses; (d) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing.
A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession.
There is a rebuttable presumption that forbearance has taken place in the following circumstances: (a) the modified contract was totally or partially past due by more than 30 days (without being non-performing) at least once during the three months prior to its modification or would be more than 30 days past due, totally or partially, without modification; (b) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was totally or partially past due by 30 days at least once during the three months prior to its refinancing; (c) the institution approves the use of embedded forbearance clauses for 30 days past due debtors or debtors who would be 30 days past due without the exercise of those clauses.
Financial difficulties shall be assessed at debtor level as referred to in paragraph 168. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures.
Forborne exposures shall be included within the non-performing exposures category or the performing exposures category in accordance with paragraphs 145 to 162 and 177 to 179. The classification as forborne exposure shall be discontinued when all of the following conditions are met: (a) the forborne exposure is considered to be performing, including where it has been reclassified from the non-performing exposures category after an analysis of the financial condition of the debtor showed that it no longer met the conditions to be considered as non-performing; (b) a minimum two year probation period has passed from the date the forborne exposure was considered to be performing; (c) regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period; (d) none of the exposures to the debtor is more than 30 days past due at the end of the probation period.
Where the conditions referred to in paragraph 176 are not met at the end of the probation period, the exposure shall continue to be identified as performing forborne under probation until all the conditions are met. The conditions shall be assessed on at least a quarterly basis. Forborne exposures which are classified as non-current assets held for sale in accordance with IFRS 5 continue to be classified as forborne exposures, as non-current assets held for sale are included in the scope of the definition of forborne exposures.
A forborne exposure may be considered as performing from the date the forbearance measures were applied where either of the following conditions is met: (a) that extension has not led the exposure to be classified as non-performing; (b) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.
Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of the non-performing category or it becomes more than 30 days past due, it shall be classified as non-performing.
‘Performing exposures with forbearance measures’ (performing forborne exposures) comprise forborne exposures that do not meet the criteria to be considered as non-performing and are included in the performing exposures category. Performing forborne exposures are under probation according to paragraph 176, including when paragraph 178 applies. Forborne exposures under probation that have been reclassified out of the non-performing exposures category shall be reported separately within the performing exposures with forbearance measures in the column ‘of which: Performing forborne exposures under probation’. ‘Non-performing exposures with forbearance measures’ (non-performing forborne exposures) comprise forborne exposures that meet the criteria to be considered as non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures include the following: (a) exposures which have become non-performing due to the application of forbearance measures; (b) exposures which were non-performing prior to the extension of forbearance measures; (c) forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 179. Where forbearance measures are extended to non-performing exposures, the amount of those forborne exposures shall be separately identified in the column ‘of which: forbearance of non-performing exposures’. Forborne exposures classified as cash balances at central banks and other demand deposits shall be reported in row 070 as well as in rows 080 and 100 of template 19. Forborne exposures classified as held for sale in accordance with IFRS 5 shall not be reported in template 19.
The column ‘Refinancing’ comprises the gross carrying amount of the new contract (‘refinancing debt’) granted as part of a refinancing transaction which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding.
Forborne exposures combining modifications and refinancing shall be allocated to the column ‘Instruments with modifications of the terms and conditions’ or the column ‘Refinancing’ according to the measure that has the most impact on cash-flows. Refinancing by a pool of banks shall be reported in the column ‘Refinancing’ for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash-flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to its de-recognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt.
Accumulated impairment and accumulated changes in fair value due to credit risk shall be reported in accordance with paragraph 46. ‘Accumulated impairment’ means the reduction in the carrying amount of the exposure either directly or through the use of an allowance account. The amount of ‘accumulated impairment’ to be reported in the column ‘on non-performing exposures with forbearance measures’ for non-performing exposures shall not include incurred but not reported losses. Incurred but not reported losses shall be reported in the column ‘on performing exposures with forbearance measures’. ‘Accumulated changes in fair value due to credit risk’ are reported for exposures designated at fair value through profit and loss in accordance with the applicable accounting framework.
PART 3MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
- The following tables map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables. Table 2Standardised Approach Table 3Internal Ratings Based Approach
| SA exposure classes (CRR Article 112) | FINREP counterparty sectors | Comments |
|---|---|---|
| (a)Central governments or central banks | (1)Central banks(2)General governments | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
| (b)Regional governments or local authorities | (2)General governments | |
| (c)Public sector entities | (2)General governments | |
| (d)Multilateral development banks | (3)Credit institutions | |
| (e)International organisations | (2)General governments | |
| (f)Institutions (i.e. credit institutions and investment firms) | (3)Credit institutions(4)Other financial corporations | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
| (g)Corporates | (2)General governments(4)Other financial corporations(5)Non financial corporations.(6)Households | |
| (h)Retail | (4)Other financial corporations(5)Non financial corporations(6)Households | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
| (i)Secured by mortgages on immovable property | (2)General governments(3)Credit institutions(4)Other financial corporations(5)Non-financial corporations(6)Households | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
| (j)In default | (1)Central banks(2)General governments(3)Credit institutions(4)Other financial corporations(5)Non-financial corporations(6)Households | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
| (ja)Items associated with particularly high risk | (1)Central banks(2)General governments(3)Credit institutions(4)Other financial corporations(5)Non-financial corporations(6)Households | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
| (k)Covered bonds | (3)Credit institutions(4)Other financial corporations(5)Non-financial corporations | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
| (l)Securitisation positions | (2)General governments(3)Credit institutions(4)Other financial corporations(5)Non-financial corporations(6)Households | 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. |
| (m)Institutions and corporates with a short-term credit assessment | (3)Credit institutions(4)Other financial corporations(5)Non-financial corporations | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. |
| (n)Collective investment undertakings | Equity instruments | Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through. |
| (o)Equity | Equity instruments | In FINREP, equities are separated as instruments under different categories of financial assets |
| (p)Other items | Various items of the balance sheet | In FINREP, other items may be included under different asset categories. |
| IRBA exposure classes (CRR Article 147) | FINREP counterparty sectors | Comments |
|---|---|---|
| (a)Central governments and central banks | (1)Central banks(2)General governments(3)Credit institutions | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
| (b)Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks) | (2)General governments(3)Credit institutions(4)Other financial corporations | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
| (c)Corporates | (4)Other financial corporations(5)Non-financial corporations(6)Households | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
| (d)Retail | (4)Other financial corporations(5)Non financial corporations(6)Households | These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty |
| (e)Equity | Equity instruments | In FINREP, equities are separated as instruments under different categories of financial assets |
| (f)Securitisation positions | (2)General governments(3)Credit institutions(4)Other financial corporations(5)Non-financial corporations(6)Households | 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 |
| (g)Other non credit obligations | Various items of the balance sheet | In FINREP, other items may be included under different asset categories. |
| IP LOSSES TEMPLATES | |||
|---|---|---|---|
| Template number | Template code | Name of the template /group of templates | Short name |
| IP LOSSES | LE | ||
| 15 | C 15.00 | Exposures and losses from lending collateralised by immovable property | CR IP LOSSES |
C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES)Country:
| Losses | Exposures | |||||
|---|---|---|---|---|---|---|
| Sum of losses stemming from lending up to the reference percentages | Sum of overall losses | Sum of the exposures | ||||
| of which: immovable property valued with mortgage lending value | of which: immovable property valued with mortgage lending value | |||||
| Row | column | 010 | 020 | 030 | 040 | 050 |
| collateralised by: | ||||||
| 010 | Residential property | |||||
| 020 | Commercial immovable property |
INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
This Annex contains additional instructions in relation to the tables included in Annex VI of this Regulation. This Annex complements the instructions in format of references included in the tables in Annex VI.
All the general instructions in Part I of Annex II shall also apply.
1.Reporting scope
Data specified in Article 101(1) of CRR is subject to reporting by all institutions using immovable property for the purposes of Part Three, Title II, of CRR.
The template covers all national markets an institution/group of institutions is exposed to (see Article 101(1) of CRR). According to the third sentence of Article 101(2), the data should be reported for each property market within the Union separately.
2.Definitions and general instructions
‘Loss’ means ‘economic loss’ as defined in Article 5(2) of CRR. The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc.) shall not be recognised when calculating losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery of another position.
For exposures secured by residential and commercial property, the calculation of economic loss should start from outstanding exposure value at reporting date and should include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and workouts costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the workout unit). All components need to be discounted to the reporting reference date.
The exposure value follows the rules laid down in Part Three, Title II, of CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach).
The property value follows the rules laid down in Part Three, Title II, of CRR
The reporting currency shall be used with the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in a different currency.
3.Geographical breakdown
- In accordance with the reporting scope, the reporting of exposures and losses from lending collateralised by immovable property (‘CR IP Losses’) shall consist of the following templates: (a) one total template; (b) one template for each national market in the Union where the institution is exposed to; and (c) one template aggregating the data for all national markets outside the Union where the institution is exposed to.
4.Reporting of exposures and losses
Exposures: all exposures that are treated according to Part Three, Title II, of CRR and where the collateral is used to reduce own funds requirements, are reported in CR IP Losses. This also means that in case the risk mitigation effect of immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four of CRR), the exposures and losses concerned must not be reported.
Losses: the institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be reported as soon as provisions are to be booked according to accounting rules. Estimated losses should also be reported. Loss data shall be collected on a loan-by-loan basis, i.e. aggregation of individual loss data stemming from exposures collateralised by immovable property.
Reference date: the exposure value from the date of default shall be used for reporting of losses. (a) Losses should be reported for all defaults on loans secured by real estate property that occur during the respective reporting period (i.e. irrespective of whether the work out is completed during the period or not). Since there may be a long time lag between default and loss realisation, loss estimates (which includes incomplete workout process) shall be reported in cases where the workout has not been completed within the reporting period. (b) For all defaults observed within the reporting period, there are three scenarios: (i) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii) realization of all collateral is completed (completed workout, actual loss known); or (iii) incomplete workout (loss estimates to be used). Loss reporting shall include only losses stemming from point (ii), realisation of collateral (observed losses) and point (iii) incomplete workout (estimates of losses). (c) As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data. This means that proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.
Role of the valuation of the property: the latest valuation of the property before the default date of the exposure is needed as reference date for reporting the part of exposure secured by mortgages on immovable property. After default, the property might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. However, the new value of the property shall be considered in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the property before the default date shall be used to determine which part of the loss is to be reported in cell 010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation of a possible workout from collateral) in cells 010 and 030.
Treatment of loan sales during the reporting period: the institution which has the exposure by the end of the reporting period shall report losses, but only if a default for that exposure has been identified.
5.Instructions concerning specific positions
| Columns | |
|---|---|
| 010 | Sum of losses stemming from lending up to the reference percentagesArticle 101(1)(a) and (d) of CRR, respectively.Market value and mortgage lending value according to Article 4(74) and (76) of CRR.This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully and completely secured according to Article 124(1) of CRR. |
| 020 | Of which: immovable property valued with mortgage lending valueReporting of those losses, where the value of the collateral has been calculated as mortgage lending value. |
| 030 | Sum of overall lossesArticle 101(1)(b) and (e) of CRR, respectively.Market value and mortgage lending value according to Article 4(74) and (76) of CRR.This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully secured according to Article 124(1) of CRR. |
| 040 | Of which: immovable property valued with mortgage lending valueReporting of those losses, where the value of the collateral has been calculated as mortgage lending value. |
| 050 | Sum of the exposuresArticle 101(1)(c) and (f) of CRR, respectively.The value to be reported is only that part of the exposure value which is treated as fully secured by immovable property, i.e. the part that is treated as unsecured is not relevant for the loss reporting. |
| Rows | |
|---|---|
| 010 | Residential property |
| 020 | Commercial immovable property |
LARGE EXPOSURES TEMPLATES
| Template number | Template code | Name of the template/group of templates | Short name |
|---|---|---|---|
| LARGE EXPOSURES | LE | ||
| 26 | C 26.00 | Large Exposures limits | LE LIMITS |
| 27 | C 27.00 | Identification of the counterparty | LE 1 |
| 28 | C 28.00 | Exposures in the non-trading and trading book | LE 2 |
| 29 | C 29.00 | Detail of the exposures to individual clients within groups of connected clients | LE 3 |
| 30 | C 30.00 | Maturity buckets of the exposures in the non-trading and trading book | LE 4 |
| 31 | C 31.00 | Maturity buckets of exposures to individual clients within groups of connected clients | LE 5 |
C 26.00 — Large Exposures limits (LE Limits)
| Applicable limit | ||
|---|---|---|
| column | ||
| 010 | ||
| row | ||
| 010 | Non institutions | |
| 020 | Institutions | |
| 030 | Institutions in % |
C 27.00 — Identification of the counterparty (LE 1)
| COUNTERPARTY IDENTIFICATION | ||||||
|---|---|---|---|---|---|---|
| Code | Name | LEI code | Residence of the counterparty | Sector of the counterparty | NACE code | Type of counterparty |
| 010 | 020 | 030 | 040 | 050 | 060 | 070 |
C 28.00 — Exposures in the non-trading and trading book (LE 2)
| COUNTERPARTY | ORIGINAL EXPOSURES | (-) Value adjustments and provisions | (-) Exposures deducted from own funds | Exposure value before application of exemptions and CRM | ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES | (-) Amounts exempted | Exposure value after application of exemptions and CRM | |||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Code | Group or individual | Transactions where there is an exposure to underlying assets | (-) Substitution effect of eligible credit risk mitigation techniques | (-) Funded credit protection other than substitution effect | (-) Real estate | |||||||||||||||||||||||||||||
| Direct exposures | Indirect exposures | Additional exposures arising from transactions where there is an exposure to underlying assets | ||||||||||||||||||||||||||||||||
| Total original exposure | Of which: defaulted | Debt instruments | Equity instruments | Derivatives | Off balance sheet items | Debt instruments | Equity instruments | Derivatives | Off balance sheet items | Total | Of which: Non-trading book | % of eligible capital | (-) Debt instruments | (-) Equity instruments | (-) Derivatives | (-) Off balance sheet items | Total | Of which: Non-trading book | % of eligible capital | |||||||||||||||
| Loan commitments | Financial guarantees | Other commitments | Loan commitments | Financial guarantees | Other commitments | (-) Loan commitments | (-) Financial guarantees | (-) Other commitments | ||||||||||||||||||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 |
C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3)
| COUNTERPARTY | ORIGINAL EXPOSURES | (-) Value adjustments and provisions | (-) Exposures deducted from own funds | Exposure value before application of exemptions and CRM | ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES | (-) Amounts exempted | Exposure value after application of exemptions and CRM | ||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Code | Group code | Transactions where there is an exposure to underlying assets | Type of connection | (-) Substitution effect of eligible credit risk mitigation techniques | (-) Funded credit protection other than substitution effect | (-) Real estate | |||||||||||||||||||||||||||||
| Direct exposures | Indirect exposures | Additional exposures arising from transactions where there is an exposure to underlying assets | |||||||||||||||||||||||||||||||||
| Total original exposure | Of which: defaulted | Debt instruments | Equity instruments | Derivatives | Off balance sheet items | Debt instruments | Equity instruments | Derivatives | Off balance sheet items | Total | Of which: Non-trading book | % of eligible capital | (-) Debt instruments | (-) Equity instruments | (-) Derivatives | (-) Off balance sheet items | Total | Of which: Non-trading book | % of eligible capital | ||||||||||||||||
| Loan commitments | Financial guarantees | Other commitments | Loan commitments | Financial guarantees | Other commitments | (-) Loan commitments | (-) Financial guarantees | (-) Other commitments | |||||||||||||||||||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 |
C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4)
| COUNTER PARTY | MATURITY BUCKETS OF THE EXPOSURE | MATURITY BUCKETS OF THE EXPOSURE | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Code | Up to 1 Month | Greater than 1 month up to 2 Months | Greater than 2 months up to 3 Months | Greater than 3 months up to 4 Months | Greater than 4 months up to 5 Months | Greater than 5 months up to 6 Months | Greater than 6 months up to 7 Months | Greater than 7 months up to 8 Months | Greater than 8 months up to 9 Months | Greater than 9 months up to 10 Months | Greater than 10 months up to 11 Months | Greater than 11 months up to 12 Months | Greater than 12 months up to 15 Months | Greater than 15 months up to 18 Months | Greater than 18 months up to 21 Months | Greater than 21 months up to 24 Months | Greater than 24 months up to 27 Months | Greater than 27 months up to 30 Months | Greater than 30 months up to 33 Months | Greater than 33 months up to 36 Months | Greater than 3 years up to 5 years | Greater than 5 years up to 10 years | Greater than 10 years | Undefined maturity |
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 |
C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5)
| COUNTERPARTY | MATURITY BUCKETS OF THE EXPOSURE | MATURITY BUCKETS OF THE EXPOSURE | |||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Code | Group code | Up to 1 Month | Greater than 1 month up to 2 Months | Greater than 2 months up to 3 Months | Greater than 3 months up to 4 Months | Greater than 4 months up to 5 Months | Greater than 5 months up to 6 Months | Greater than 6 months up to 7 Months | Greater than 7 months up to 8 Months | Greater than 8 months up to 9 Months | Greater than 9 months up to 10 Months | Greater than 10 months up to 11 Months | Greater than 11 months up to 12 Months | Greater than 12 months up to 15 Months | Greater than 15 months up to 18 Months | Greater than 18 months up to 21 Months | Greater than 21 months up to 24 Months | Greater than 24 months up to 27 Months | Greater than 27 months up to 30 Months | Greater than 30 months up to 33 Months | Greater than 33 months up to 36 Months | Greater than 3 years up to 5 years | Greater than 5 years up to 10 years | Greater than 10 years | Undefined maturity |
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 |
Table of ContentsPART I: GENERAL INSTRUCTIONS1.Structure and conventions****PART II: TEMPLATE RELATED INSTRUCTIONS1.Scope and level of the LE reporting2.Structure of the LE template3.Definitions for the purposes of the LE reporting4.C 26.00 — LE Limits template4.1.Instructions concerning specific rows5.**C 27.00 — Identification of the counterparty (LE1)**5.1.Instructions concerning specific columns6.**C 28.00 — Exposures in the non-trading and trading book (LE2)**6.1.Instructions concerning specific columns7.**C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3)**7.1.Instructions concerning specific columns8.**C 30.00 — Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial sector entities (LE 4)**8.1.Instructions concerning specific columns9.**C 31.00 — Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (LE5)**9.1.Instructions concerning specific columns
INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
PART I: GENERAL INSTRUCTIONS
1.Structure and conventions
The reporting framework on large exposures (‘LE’) shall consist of six templates which include the following information: (a) large exposures limits; (b) identification of the counterparty (template LE1); (c) exposures in the non-trading and trading book (template LE2); (d) detail of the exposures to individual clients within groups of connected clients (template LE3); (e) maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE4); (f) maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5).
The instructions include legal references as well as detailed information regarding the data that shall be reported in each template.
The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates.
The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported.
In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}.
ABS(Value): the absolute value without sign. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure shall be reported for that item.
In this Annex, instructions relating to the reporting of Large Exposures shall also apply to the reporting of significant exposures required by Articles 9 and 11, in accordance with the scope defined in those Articles.
PART II: TEMPLATE RELATED INSTRUCTIONS
1.Scope and level of the LE reporting
In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 (‘CRR’) on a solo basis, institutions shall use the templates LE1, LE2 and LE3.
In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3.
Every large exposure defined in accordance with Article 392 of CRR shall be reported, including the large exposures that shall not be considered for the compliance with the large exposure limit laid down in Article 395 of CRR.
In order to report information on the 20 largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of CRR on a consolidated basis, the parent institutions in a Member State which are subject to Part Three, Title II, Chapter 3, of CRR shall use templates LE1, LE2 and LE3. The exposure value resulting from subtracting the amount in column 320 (‘Amounts exempted’) of template LE2 from the amount in column 210 (‘Total’) of that same template is the amount that shall be used for determining these 20 largest exposures.
In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial sector entities according to points (a) to (d) of Article 394(2) of CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. For the reporting of the maturity structure of these exposures according to Article 394(2)(e) of CRR, the parent institutions in a Member State shall use templates LE4 and LE5. The exposure value calculated in column 210 (‘Total’) of template LE2 is the amount that shall be used for determining these 20 largest exposures.
The data on the large exposures and the relevant largest exposures to groups of connected clients and individual clients not belonging to a group of connected clients shall be reported in the template LE2 (in which a group of connected clients shall be reported as one single exposure.
Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an individual client in the LE2 template shall not be duplicated in the LE3 template.
2.Structure of the LE template
The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure.
The columns of the templates LE2 and LE3 shall present the following blocks of information: (a) the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets; (b) the effect of the exemptions and of the credit risk mitigation techniques; (c) the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of CRR.
The columns of the templates LE4 and LE5 shall present the information regarding the maturity buckets to which the expected maturing amounts of the ten largest exposures to institutions as well as the ten largest exposures to unregulated financial sector entities shall be allocated.
3.Definitions and general instructions for the purposes of the LE reporting
‘Group of connected clients’ is defined in Article 4(1)(39) of CRR.
‘Unregulated financial sector entities’ are defined in Article 142(1)(5) of CRR.
‘Institutions’ is defined in Article 4(1)(3) of CRR
Exposures to ‘civil-law associations’ shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them.
Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance to Article 389 of CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items.
‘Exposures’ are defined in Article 389 of CRR. (a) any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of CRR, but excluding items which fall under effect of points (a) to (d) of Article 390(6) of CRR. (b) ‘indirect exposures’ are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 of CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act.] The exposures to groups of connected clients shall be calculated in accordance with Article 390(5).
The ‘netting agreements’ shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in Article 390(1), (2) and (3) of CRR. The exposure value of a derivative instrument listed in Annex II of CRR shall be determined in accordance with Part Three, Title II, Chapter 6, of CRR with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6, of CRR. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 4 or Chapter 6, of CRR. In accordance with Article 296 of CRR, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as ‘other commitments’ in the LE templates.
The ‘value of an exposure’ shall be calculated according to Article 390 of CRR.
The effect of the full or partial application of exemptions and eligible credit risk mitigation (CRM) techniques for the purposes of calculating of exposures for the purpose of Article 395(1) CRR is described in Articles 399 to 403 of CRR.
Reverse repurchase agreements which fall under the reporting for large exposures shall be reported according to Article 402(3) of CRR. Provided that the criteria in Article 402(3) of CRR are met the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.
4.C 26.00 — LE Limits template
4.1.Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 010 | Non institutionsArticles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR.The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of the eligible capital, which is reported in row 226 of template 4 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR. |
| 020 | InstitutionsArticles 395(1), 458(2)(d)(ii), 458(10) and 459(b) of CRR.The amount of the applicable limit for counterparties which are institutions shall be reported. According to Article 395(1) of CRR, this amount shall be the following:if the 25 % of the eligible capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR, 25 % of the eligible capital shall be reported;if EUR 150 million (or a lower limit set out by the competent authority in accordance with the third paragraph of Article 395(1) of CRR is greater than 25 % of the institution's eligible capital, EUR 150 million (or the lower limit if set out by the competent authority) shall be reported. If the institution has determined a lower limit in terms of its eligible capital, required by the second subparagraph of Article 395(1) of CRR, that limit shall be reported.These limits may be stricter in case of application of national measures in accordance with Article 395(6) or Article 458 of CRR or the delegated acts adopted in accordance with Article 459(b) of CRR. |
| 030 | **Institutions in %**Articles 395(1) and 459(a) of CRR.The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the eligible capital. |
5.C 27.00 — Identification of the counterparty (LE1)
5.1.Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 010-070 | **Counterparty Identification:**Institutions shall report the identification of any counterparty for which information is being submitted in any of the templates C 28.00 to C 31.00. The identification of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients.According to Article 394(1)(a) of CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 of CRR.According to Article 394(2)(a) of CRR, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or an unregulated financial sector entity). |
| 010 | CodeThe code is a row identifier, and must be unique for each row in the table.The code shall be used to identify the individual counterparty. However, the purpose of this column is to link counterparty details in C 27.00 with exposures reported in C 28.00 — C 31.00. The code of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. The codes shall be used in a consistent way across time.The composition of the code depends on the national reporting system, unless a uniform codification is available in the Union. |
| 020 | NameThe name shall correspond to the name of the group whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual counterparty.For a group of connected clients, the name that shall be reported shall be the name of the parent company or, when the group of connected clients does not have a parent, it shall be the group's commercial name. |
| 030 | LEI CodeThe legal entity identifier code of the counterparty. |
| 040 | Residence of the counterpartyThe ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's ‘Balance of Payments Vademecum’)For groups of connected clients, no residence shall be reported. |
| 050 | Sector of the counterpartyOne sector shall be allocated to every counterparty on the basis of FINREP economic sector classes:(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) households.For groups of connected clients, no sector shall be reported. |
| 060 | NACE codeFor the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans l'Union européenne = Statistical Classification of Economic Activities in the European Union) shall be used.This column shall apply only for the counterparties ‘Other financial corporations’ and ‘Non-financial corporations’. NACE codes shall be used for ‘Non-financial corporations’ with one level detail (e.g. ‘F — Construction’) and for ‘Other financial corporations’ with a two level detail, which provides separate information on insurance activities (e.g. ‘K65 — Insurance, reinsurance and pension funding, except compulsory social security’).The ‘Other financial corporations’ and ‘Non-financial corporations’ economic sectors shall be classified on the basis of FINREP counterparty breakdown.For groups of connected clients, no NACE code shall be reported. |
| 070 | Type of counterpartyArticle 394(2) of CRRThe type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities shall be specified by using ‘I’ for institutions or ‘U’ for unregulated financial sector entities. |
6.C 28.00 — Exposures in the non-trading and trading book (LE2)
6.1.Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 010 | CodeFor a group of connected clients, if a unique code is available at national level, this code shall be reported as the code of the group of connected clients. Where there is no unique code at the national level, the code that shall be reported shall be the code of the parent company in C 27.00.In the cases where the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. In any other case, the code shall correspond to the individual counterparty.The codes shall be used in a consistent way across time.The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU. |
| 020 | Group or individualThe institution shall report ‘1’ for the reporting of exposures to individual clients or ‘2’ for the reporting of exposures to groups of connected clients. |
| 030 | Transactions where there is an exposure to underlying assetsArticle 390(7) of CRRIn accordance with further technical specifications by the national competent authorities, when the institution has exposures to the reported counterparty through a transaction where there is an exposure to underlying assets, the equivalent to ‘Yes’ shall be reported; otherwise the equivalent to ‘No’ shall be reported. |
| 040-180 | Original exposuresArticles 24, 389, 390 and 392 of CRR.The institution shall report in this block of columns the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets.According to Article 389 of CRR, assets and off balance sheet items shall be used without risk weights or degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items.These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210.The definition and calculation of the exposure value is set out in Articles 389 and 390 of CRR. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 of CRR.Exposures deducted from own funds, which are not exposures according to Article 390(6)(e), shall be included in these columns. These exposures shall be deducted in column 200.Exposures referred to in points (a) to (d) of Article 390(6)of CRR shall not be included in these columns.Original exposures shall include any asset and off-balance sheet items according to Article 400 of CRR. The exemptions shall be deducted for the purpose of Article 395(1) of CRR in column 320.Exposures from both non-trading and trading book shall be included.For the breakdown of the exposures in financial instruments, where different exposures arising from netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument corresponding to the principal asset included in the netting agreement (in addition, see the introductory section). |
| 040 | Total original exposureThe institution shall report the sum of direct exposures and indirect exposures as well as the additional exposures that arise from the exposure to transactions where there is an exposure to underlying assets. |
| 050 | Of which: defaultedArticle 178 of CRR.The institution shall report the part of the total original exposure corresponding to defaulted exposures. |
| 060-110 | Direct exposuresDirect exposures shall mean the exposures on ‘immediate borrower’ basis. |
| 060 | Debt instrumentsRegulation (EC) No 25/2009 (‘ECB/2008/32’) Annex II, Part 2, table, categories 2 and 3.Debt instruments shall include debt securities, and loans and advances.The instruments included in this column shall be those qualified as ‘loans of up to and including one year/over one year and up to and including five years/of over five years' original maturity’, or as ‘securities other than shares’, according to ECB/2008/32.Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column. |
| 070 | Equity instrumentsECB/2008/32 Annex II, Part 2, table, categories 4 and 5.The instruments included in this column shall be those qualified as ‘Shares and other equities’ or as ‘MMF shares/units’ according to ECB/2008/32. |
| 080 | DerivativesArticle 272(2) and Annex II of CRR.The instruments that shall be reported in this column shall include derivatives listed in Annex II of CRR and long settlement transactions, as defined in Article 272(2) of CRR.Credit derivatives that are subject to counterparty credit risk shall be included in this column. |
| 090-110 | Off balance sheet itemsAnnex I of CRR.The value that shall be reported in these columns shall be the nominal value before any reduction of specific credit risk adjustments and without application of conversion factors. |
| 090 | Loan commitmentsAnnex I, points 1(c) and (h), 2(b)(ii), 3(b)(i) and 4(a) of CRR.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. |
| 100 | Financial guaranteesAnnex I, points 1(a),(b) and (f), of CRR.Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder for 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. Credit derivatives that are not included in the column ‘derivatives’ shall be reported in this column. |
| 110 | Other commitmentsOther commitments are the items in Annex I to CRR that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column. |
| 120-180 | Indirect exposuresArticle 403 of CRR.According to Article 403 of CRR, a credit institution may use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party.The institution shall report in this block of columns the amounts of the direct exposures that are re-assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the third party under Part Three, Title II, Chapter 2 of CRR. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of ‘Eligible credit risk mitigation techniques’. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients.The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of ‘Indirect exposure’ assigned to the guarantor shall be reported under the column ‘Debt instruments’.Exposures arising from credit-linked notes shall also be reported in this block of columns, according to Article 399 of CRR. |
| 120 | Debt instrumentsSee column 060. |
| 130 | Equity instrumentsSee column 070. |
| 140 | DerivativesSee column 080. |
| 150-170 | Off balance sheet itemsThe value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied. |
| 150 | Loan commitmentsSee column 090. |
| 160 | Financial guaranteesSee column 100. |
| 170 | Other commitmentsSee column 110. |
| 180 | Additional exposures arising from transactions where there is an exposure to underlying assetsArticle 390(7) of CRR.Additional exposures that arise from transactions where there is an exposure to underlying assets. |
| 190 | (-) Value adjustments and provisionsArticles 34, 24, 110 and 111 of CRR.Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation (EC) No 1606/2002) that affect the valuation of exposures according to Articles 24 and 110 of CRR.Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column. |
| 200 | (-) Exposures deducted from own fundsArticle 390(6)(e) of CRR.Exposures deducted from own funds, which shall be included in the different columns of Total original exposure, shall be reported. |
| 210-230 | Exposure value before application of exemptions and CRMArticle 394(1)(b) of CRR.Institutions shall report the exposure value before taking into account the effect of the credit risk mitigation, where applicable. |
| 210 | TotalThe exposure value to be reported in this column shall be the amount used for determining whether an exposure is a large exposure according to the definition in Article 392 of CRR.This shall include the original exposure after subtracting value adjustments and provisions and the amount of the exposures deducted from own funds. |
| 220 | Of which: Non-trading bookThe amount of the non-trading book from the total exposure before exemptions and CRM. |
| 230 | % of eligible capitalArticles 4(1)(71)(b) and 395 of CRR.The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR. |
| 240-310 | (-) Eligible credit risk mitigation (CRM) techniquesArticles 399 and 401 to 403 of CRR.CRM techniques as defined in Article 4(1)(57) of CRR.For the purposes of this reporting, the CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, of CRR shall be used in accordance with Articles 401 to 403 of CRR.CRM techniques may have three different effects in the LE regime: substitution effect; funded credit protection other than substitution effect; and real estate treatment. |
| 240-290 | (-) Substitution effect of eligible credit risk mitigation techniquesArticle 403 of CRR.The amount of funded and unfunded credit protection that shall be reported in these columns shall correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third party, where the institution decides to treat the exposure as incurred with the guarantor or the issuer of collateral. |
| 240 | (-) Debt instrumentsSee column 060. |
| 250 | (-) Equity instrumentsSee column 070. |
| 260 | (-) DerivativesSee column 080. |
| 270-290 | (-) Off balance sheet itemsThe value of these columns shall be without application of conversion factors. |
| 270 | (-) Loan commitmentsSee column 090. |
| 280 | (-) Financial guaranteesSee column 100. |
| 290 | (-) Other commitmentsSee column 110. |
| 300 | (-) Funded credit protection other than substitution effectArticle 401 of CRR.The institution shall report the amounts of funded credit protection, as defined in Article 4(1)(58) of CRR, that are deducted from the exposure value due to the application of Article 401 of CRR. |
| 310 | (-) Real estateArticle 402 of CRR.The institution shall report the amounts deducted from the exposure value due to the application of Article 402 of CRR. |
| 320 | (-) Amounts exemptedArticle 400 of CRR.The institution shall report the amounts exempted from the LE regime. |
| 330-350 | Exposure value after application of exemptions and CRMArticle 394(1)(d) of CRR.The institution shall report the exposure value after taking into account the effect of the exemptions and credit risk mitigation calculated for the purpose of Article 395(1) of CRR. |
| 330 | TotalThis column shall include the amount to be taken into account in order to comply with the large exposures limit set out in Article 395 of CRR. |
| 340 | Of which: Non-trading bookThe institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book. |
| 350 | % of eligible capitalThe institution shall report the percentage of the exposure value after application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(1)(71)(b) of CRR. |
7.C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3)
7.1.Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 010-360 | The institution shall report in template LE3 the data of the individual clients belonging to the groups of connected clients included in the rows of template LE2. |
| 010 | CodeColumns 010 and 020 are a composite row identifier, and together must be unique for each row in the table.The code of the individual counterparty belonging to the groups of connected clients shall be reported. |
| 020 | Group codeColumns 010 and 020 are a composite row identifier, and together must be unique for each row in the table.If a unique code for a group of connected clients is available at national level, this code shall be reported. Where there is no unique code at the national level, the code that shall be reported shall be the code used for reporting exposures to the Group of Connected clients in C 28.00 (LE2).Where a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients. |
| 030 | Transactions where there is an exposure to underlying assetsSee column 030 of template LE2. |
| 040 | Type of connectionThe type of connection between the individual entity and the group of connected clients shall be specified by using either:‘a’ within the meaning of Article 4(1)(39)(a) of CRR (control); or‘b’ within the meaning of Article 4(1)(39)(b) of CRR (interconnectedness). |
| 050-360 | When financial instruments in template LE2 are provided to the whole group of connected clients they shall be allocated to the individual counterparties in template LE3 in accordance with the business criteria of the institution.The remaining instructions are the same as for template LE2. |
8.C 30.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE 4)
8.1.Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 010 | CodeThe code is a row identifier and must be unique for each row in the table.See column 010 of template LE1. |
| 020-250 | Maturity buckets of the exposureArticle 394(2)(e) of CRRThe institution shall report this information for the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities.The maturity buckets are defined with a monthly interval up to one year, with a quarterly interval from one year up to three years and with larger intervals from three years onwards.Each exposure value before application of exemptions and CRM (column 210 of LE2 template) shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. In case of several separate relationships constituting an exposure to a client, each of these parts of the exposure shall be reported with the whole outstanding amount in the respective maturity bucket of its expected residual maturity. Instruments which do not have a fixed maturity, like equity, shall be included in the column ‘undefined maturity’.The expected maturity of the exposure shall be reported for both direct and indirect exposures.For direct exposures, when allocating expected amounts of equity instruments, debt instruments and derivatives into the different maturity buckets of this template, the instructions of the maturity ladder template of the additional metrics on liquidity shall be used (see consultation paper CP18 published on 23.5.2013).In the case of off-balance sheet items, the maturity of the underlying risk shall be used in the allocation of expected amounts to maturity buckets. More specifically, for forward deposits that means the maturity structure of the deposit; for financial guarantees, the maturity structure of the underlying financial asset; for undrawn facilities of loan commitments, the maturity structure of the loan; and for other commitments, the maturing structure of the commitment.In the case of indirect exposures, the allocation into maturity buckets shall be based on the maturity of the guaranteed operations which generate the direct exposure. |
9.C 31.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5)
9.1.Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 010-260 | The institution shall report in template LE5 the data of the individual counterparties belonging to the groups of connected clients included in the rows of template LE4. |
| 010 | CodeColumns 010 and 020 are a composite row identifier and together must be unique for each row in the table.See column 010 of template LE3. |
| 020 | Group codeColumns 010 and 020 are a composite row identifier and together must be unique for each row in the table.See column 020 of template LE3. |
| 030-260 | Maturity buckets of the exposuresSee columns 020-250 of template LE4. |
| LEVERAGE RATIO REPORTING TEMPLATES | |||
|---|---|---|---|
| Template code | Template code | Name of the template | Short name |
| 45 | C 45.00 | Leverage ratio calculation | LRCalc |
| 40 | C 40.00 | Alternative treatment of the exposure measure | LR1 |
| 41 | C 41.00 | On- and Off-Balance Sheet items - Additional breakdown of exposures | LR2 |
| 42 | C 42.00 | Alternative definition of capital | LR3 |
| 43 | C 43.00 | Breakdown of leverage ratio exposure measure components | LR4 |
| 44 | C 44.00 | General information | LR5 |
| 46 | C 46.00 | Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation | LR6 |
C 40.00 - ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)
| Row | Column | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | ||
| Accounting balance sheet value | Accounting value assuming no netting or other CRM | Value with netting rules (Derivatives) taking into account cash collateral | Add-on amount SFT | Add-on Mark-to market method (assuming no netting or CRM) (Derivatives) | Add-on Mark-to market method (alternative) (Derivatives) | Notional amount/ nominal value | Notional amount (same reference name) | Notional amount (same reference name and counterparty or CCP) | Notional amount (same reference name and bought protection from CCP) | Notional amount (same reference name and same or higher maturity) | ||
| 010 | Derivatives | |||||||||||
| 020 | Credit derivatives (protection sold) | |||||||||||
| 030 | Credit derivatives (protection sold), which are subject to close out clause | |||||||||||
| 040 | Credit derivatives (protection sold), which are not subject to close out clause | |||||||||||
| 050 | Credit derivatives (protection bought) | |||||||||||
| 060 | Financial derivatives | |||||||||||
| 070 | SFT covered by a master netting agreement | |||||||||||
| 080 | SFT not covered by a master netting agreement | |||||||||||
| 090 | Other assets | |||||||||||
| 100 | Low-risk off-balance sheet items under the RSA; of which: | |||||||||||
| 110 | Revolving retail exposures; of which | |||||||||||
| 120 | Unconditionally cancellable credit cards commitments | |||||||||||
| 130 | Non revolving unconditionally cancellable commitments | |||||||||||
| 140 | Medium/low risk off-balance sheet items under the RSA | |||||||||||
| 150 | Medium risk off-balance sheet items under the RSA | |||||||||||
| 160 | Full risk off-balance sheet items under the RSA | |||||||||||
| 170 | (memo item) Drawn amount of revolving retail exposures | |||||||||||
| 180 | (memo item) Drawn amounts on unconditionally cancellable credit cards commitments | |||||||||||
| 190 | (memo item) Drawn amounts on non revolving unconditionally cancellable commitments | |||||||||||
| 200 | (memo item) Derecognised fiduciary items according to Article 429(11) of the CRR | |||||||||||
| 210 | Cash collateral received in derivatives transactions | |||||||||||
| 220 | Receivables for cash collateral posted in derivatives transactions | |||||||||||
| 230 | Securities received in a SFT that are recognised as an asset | |||||||||||
| 240 | SFT cash conduit lending (cash receivables) |
C 41.00 - ON- AND OFF-BALANCE SHEET ITEMS - ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)
| Row | Column | |||
|---|---|---|---|---|
| 010 | 020 | 030 | ||
| On- and off- balance sheet exposures (SA exposures) | On- and off- balance sheet exposures (IRB exposures) | Nominal value | ||
| 010 | Total on- and off-balance sheet exposures belonging to the banking book (breakdown according to the effective risk weight): | |||
| 020 | = 0% | |||
| 030 | > 0 and ≤ 12% | |||
| 040 | > 12 and ≤ 20% | |||
| 050 | > 20 and ≤ 50% | |||
| 060 | > 50 and ≤ 75% | |||
| 070 | > 75 and ≤ 100% | |||
| 080 | > 100 and ≤ 425% | |||
| 090 | > 425 and ≤ 1250% | |||
| 100 | Exposures in default | |||
| 110 | Low risk off-balance sheet items and off-balance sheet items attracting a 0% conversion factor under the solvency ratio (memo item) |
C 42.00 - ALTERNATIVE DEFINITION OF CAPITAL (LR3)
| Row | Column | |
|---|---|---|
| 010 | ||
| 010 | Common Equity Tier 1 capital - fully phased-in definition | |
| 020 | Common Equity Tier 1 capital - transitional definition | |
| 030 | Total own funds - fully phased-in definition | |
| 040 | Total own funds - transitional definition | |
| 050 | Regulatory adjustments - CET1 - fully phased-in definition | |
| 060 | Regulatory adjustments - CET1 - transitional definition | |
| 070 | Regulatory adjustments - Total own funds - fully phased-in definition | |
| 080 | Regulatory adjustments - Total own funds - transitional definition |
C 43.00 - BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)
| Row | Off-balance sheet items, derivatives, SFTs and trading book | Column | |||
|---|---|---|---|---|---|
| 010 | 020 | ||||
| Leverage Ratio Exposure Value | RWA | ||||
| 010 | Off-balance sheet items; of which | ||||
| 020 | Trade finance; of which: | ||||
| 030 | Under official export credit insurance scheme | ||||
| 040 | Derivatives and SFTs subject to a cross-product netting agreement | ||||
| 050 | Derivatives not subject to a cross-product netting agreement | ||||
| 060 | SFTs not subject to a cross-product netting agreement | ||||
| 070 | Other assets belonging to the trading book | ||||
| Row | Other non-trading book exposures | Column | |||
| 010 | 020 | 030 | 040 | ||
| Leverage Ratio Exposure Value | RWAs | ||||
| SA Exposures | IRB Exposures | SA Exposures | IRB Exposures | ||
| 080 | Covered bonds | ||||
| 090 | Exposures treated as sovereigns | ||||
| 100 | Central governments and central banks | ||||
| 110 | Regional governments and local authorities treated as sovereigns | ||||
| 120 | MDBs and International organisations treated as sovereigns | ||||
| 130 | PSEs treated as sovereigns | ||||
| 140 | Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns | ||||
| 150 | Regional governments and local authorities NOT treated as sovereigns | ||||
| 160 | MDBs NOT treated as sovereigns | ||||
| 170 | PSEs NOT treated as sovereigns | ||||
| 180 | Institutions | ||||
| 190 | Secured by mortgages of immovable properties; of which | ||||
| 200 | Secured by mortgages of residential properties | ||||
| 210 | Retail exposures | ||||
| 220 | Retail SME | ||||
| 230 | Corporate | ||||
| 240 | Financial | ||||
| 250 | Non-financial | ||||
| 260 | SME exposures | ||||
| 270 | Corporate exposures other than SME | ||||
| 280 | Exposures in default | ||||
| 290 | Other exposures (eg equity and other non-credit obligation assets); of which: | ||||
| 300 | Securitisation exposures | ||||
| 310 | Trade finance (Memo item); of which | ||||
| 320 | Under official export credit insurance scheme |
C 44.00 - GENERAL INFORMATION (LR5)
| Row | Column | |
|---|---|---|
| 010 | ||
| 010 | Institutions company structure | |
| 020 | Derivatives treatment | |
| 030 | Accounting framework | |
| 040 | Institution type | |
| 050 | Reporting calculation method | |
| 060 | Reporting level |
C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc)
| Column | |||||
|---|---|---|---|---|---|
| LR Exposure: Month-1-value | LR Exposure: Month-2-value | LR Exposure: Month-3-value | |||
| Row | Exposure Values | 010 | 020 | 030 | |
| 010 | SFT exposure according to CRR 220 | ||||
| 020 | SFT exposure according to CRR 222 | ||||
| 030 | Derivatives: Market value | ||||
| 040 | Derivatives: Add-on Mark-to-Market Method | ||||
| 050 | Derivatives: Original Exposure Method | ||||
| 060 | Undrawn credit facilities, which may be cancelled unconditionally at any time without notice | ||||
| 070 | Medium/ low risk trade related off-balance sheet items | ||||
| 080 | Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items | ||||
| 090 | Other off-balance sheet items | ||||
| 100 | Other assets | ||||
| Row | Capital and regulatory adjustments | ||||
| 110 | Tier 1 capital - fully phased-in definition | ||||
| 120 | Tier 1 capital - transitional definition | ||||
| 130 | Amount to be added due to CRR 429 (4), 2nd subparagraph | ||||
| 140 | Amount to be added due to CRR 429 (4), 2nd subparagraph - transitional definition | ||||
| 150 | Regulatory adjustments - Tier 1 - fully phased-in definition; of which | ||||
| 160 | Regulatory adjustments regarding own credit risk | Column | |||
| 170 | Regulatory adjustments - Tier 1 - transitional definition | 040 | |||
| Row | Leverage Ratio | Leverage ratio calculated as the simple arithmetic mean of the monthly leverage ratio over a quarter | |||
| 180 | Leverage Ratio - using a fully phased-in definition of Tier 1 | ||||
| 190 | Leverage Ratio - using a transitional definition of Tier 1 |
C 46.00 - ENTITIES THAT ARE CONSOLIDATED FOR ACCOUNTING PURPOSES BUT ARE NOT WITHIN THE SCOPE OF PRUDENTIAL CONSOLIDATION (LR6)
| Row | Column | |||
|---|---|---|---|---|
| 010 | 020 | 030 | ||
| Financial sector entities | Securitisation entitites | Commercial entities | ||
| 010 | SFT covered by a master netting agreement accounting value assuming no netting or other CRM | |||
| 020 | SFT covered by a master netting agreement add-on | |||
| 030 | SFT not covered by a master netting agreement accounting value assuming no netting or other CRM | |||
| 040 | SFT not covered by a master netting agreement add-on | |||
| 050 | Derivatives: Market value | |||
| 060 | Derivatives: Add-on Mark-to-Market Method | |||
| 070 | Derivatives: Original Exposure Method | |||
| 080 | Undrawn credit facilities, which may be cancelled unconditionally at any time without notice | |||
| 090 | Medium/ low risk trade related off-balance sheet items | |||
| 100 | Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items | |||
| 110 | Other off-balance sheet items | |||
| 120 | Other assets | |||
| 130 | (memo item) Total value of investments in the entities | |||
| 140 | (memo item) Total accounting assets of the entities | |||
| 150 | (memo item) Total accounting equity of the entities | |||
| 160 | (memo item) Inclusion factor | |||
| 170 | (memo item) Accounting assets of the entities that are not considered in fields {LR6;010;3} to (LR6;120;3} |
PART I: GENERAL INSTRUCTIONS1.Template labelling and other conventions1.1.Template labelling1.2.Numbering convention1.3.Sign convention****PART II: TEMPLATE RELATED INSTRUCTIONS1.Structure and frequency2.Formulas for leverage ratio calculation3.Materiality thresholds for derivatives4.LRCALC: Leverage ratio calculation5.LR1 On alternative treatment of the exposure measure6.LR2 On- and off-balance sheet items — additional breakdown of exposures7.LR3 Alternative definition of capital8.LR4 Alternative breakdown of leverage ratio exposure measure components9.LR5 General information10.LR6 Entities that are consolidated for accounting purposes but not within the scope of prudential consolidation
PART I: GENERAL INSTRUCTIONS
1.Template labelling and other conventions
1.1.Template labelling
This Annex contains additional instructions for the Leverage Ratio (hereinafter ‘LR’) templates included in Annex X of this Standard.
Overall, the framework consists of seven templates: - Leverage Ratio Calculation (LRCalc): Leverage ratio calculation Leverage Ratio Calculation (LRCalc): Leverage ratio calculation - Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure - Leverage Ratio Template 2 (LR2): On and off-balance sheet items — additional breakdown of exposures Leverage Ratio Template 2 (LR2): On and off-balance sheet items — additional breakdown of exposures - Leverage Ratio Template 3 (LR3): Alternative definition of capital Leverage Ratio Template 3 (LR3): Alternative definition of capital - Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components - Leverage Ratio Template 5 (LR5): General information Leverage Ratio Template 5 (LR5): General information - Leverage Ratio Template 6 (LR6): Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation. Leverage Ratio Template 6 (LR6): Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation.
For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.
1.2.Numbering convention
The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and fields of the templates. These numerical codes are extensively used in the validation rules.
The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to express that the validation is done for the whole row or column.
In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.
For the purpose of the reporting on leverage, ‘of which’ refers to an item that is a subset of a higher level exposure category whereas ‘memo item’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of fields is mandatory unless otherwise specified.
1.3.Sign convention
- All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;110;1}, {LRCalc;110;2}, {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;160;1}, {LRCalc;160;2}, {LRCalc;160;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3}, {LRCalc;190;1}, {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, LR3;020;1}, {LR3;030;1}, {LR3;040;1}, {LR3;050;1}, {LR3;060;1}, {LR3;070;1} and LR3;080;1} which can either take positive or negative values. Thereby note that, apart from extreme cases, {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LR3;050;1}, {LR3;060;1}, {LR3;070;1} and {LR3;080;1} only take negative values. Also note that, apart from extreme cases, {LRCalc;110;1}, {LRCalc;110;2}, {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3}, {LRCalc;190;1}, {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, {LR3;020;1}, {LR3;030;1}, LR3;040;1} only take positive values.
PART II: TEMPLATE RELATED INSTRUCTIONS
1.Structure and frequency
The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities according to Article 430(1), 1st subparagraph, of the CRR, while Part B comprises all the data items that institutions shall submit according to Article 430(1), 2nd subparagraph of the CRR (ie for the purposes of the report referred to in Article 511 of the CRR).
In Part A, institutions shall report end-of-month values unless the derogation specified in Article 499(3) of the CRR applies. In Part B, institutions shall report end-of-quarter values.
When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(11) of the CRR.
2.Formulas for leverage ratio calculation
The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with fields from Part A.
Leverage Ratiofully phasedindefinitionLR month 1[PI]LR month 2[PI]LR month 3[PI]3
LR month 1 (PI) = {LRCalc;110;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;130;1} + {LRCalc;150;1} — {LRCalc;160;1})]
LR month 2 (PI) = {LRCalc;110;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2} + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;130; 2} + {LRCalc;150; 2} — {LRCalc;160; 2})]
LR month 3 (PI) = {LRCalc;110;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}]
Leverage Ratiotransitional definitionLR month 1[T]LR month 2[T]LR month 3[T]3
LR month 1 (T) = {LRCalc;120;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;140;1} + {LRCalc;170;1} — {LRCalc;160;1})]
LR month 2 (T) = {LRCalc;120;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2} + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;140; 2} + {LRCalc;170; 2} — {LRCalc;160; 2})]
LR month 3 (T) = {LRCalc;120;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;140;3} + {LRCalc;170;3} — {LRCalc;160;3}]
When the derogation specified in Article 499 (3) of the CRR applies, the leverage ratio — fully phased-in definition is equal to LR month 3 (PI) and the leverage ratio — transitional definition is equal to LR month 3 (T).
3.Materiality thresholds for derivatives
In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:
Derivatives share[LRCalc;030;3][LRCalc;040;3][LRCalc;050;3]Total exposure measure
Where total exposure measure is equal to: [{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}]
Total notional value of derivatives = {LR1; 010; 7}
Credit derivatives volume = {LR1;020;7} + {LR1;050;7}
Institutions are required to report the fields referred to in paragraph 22 in the next reporting period, if one of the following conditions is met: - The derivatives share referred to in paragraph 15 is more than 1.5 % on two consecutive reporting reference dates; or The derivatives share referred to in paragraph 15 is more than 1.5 % on two consecutive reporting reference dates; or - The derivatives share referred to in paragraph 15 exceeds 2.0 %. The derivatives share referred to in paragraph 15 exceeds 2.0 %.
Institutions for which the total notional value of derivatives as defined in paragraph 17 exceeds 10 billion € must report the fields referred to in paragraph 22, even though their derivatives share does not fulfil the conditions described in paragraph 19.
Institutions are required to report the fields referred to in paragraph 23 if one of the following conditions is met: - The credit derivatives volume referred to in paragraph 18 is more than 300 million € on two consecutive reporting reference dates; or The credit derivatives volume referred to in paragraph 18 is more than 300 million € on two consecutive reporting reference dates; or - The credit derivatives volume referred to in paragraph 18 exceeds 500 million €. The credit derivatives volume referred to in paragraph 18 exceeds 500 million €.
{LR1;010;1},{LR1;010;2},{LR1;010;3},{LR1;010;5};{LR1;010;6},{LR1;010;7},{LR1;020;1},{LR1;020;2},{LR1;020;5},{{LR1;020;7},{LR1;030;5},{LR1;030;7},{LR1;040;5},{LR1;040;7},{LR1;050;1},{LR1;050;2},{LR1;050;5}, },{LR1;050;7}, {LR1;060;1},{LR1;060;2},{LR1;060;5},{LR1;060;7}.
{LR1;050;8}, {LR1;050;9},{LR1;050;10},{LR1;050;11}.
4.LRCalc: Leverage ratio calculation
This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Article 429 of the CRR.
Since the leverage ratio shall be calculated ‘as the simple arithmetic mean of the monthly leverage ratios over a quarter’, institutions shall report the components at an end-of-month basis unless the derogation specified in Article 499(3) of the CRR applies. If the latter is the case, institutions shall only report values in column 3 of LRCalc.
Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the ‘Month-1-value’ shall be the value at the last calendar day of the first month of the respective quarter, the ‘Month-2-value’ shall be the value at the last calendar day of the second month of the respective quarter and the ‘Month-3-value’ shall be the value at the last calendar day of the third month of the respective quarter.
| Legal references and instructions | |
|---|---|
| Row and column | Exposure Values |
| {010; *} | SFTs exposure according to CRR 220Article 429(9) of the CRRThe exposure for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions calculated in accordance with Article 220 (1) to (3).Institutions shall not consider in this field transactions for which the leverage ratio exposure value is determined in accordance with the method defined in Article 222 of CRR.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {100, 1}, {100, 2} and {100, 3}. |
| {020; *} | SFTs exposure according to CRR 222Article 429(9) of the CRRThe exposure value for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions calculated in accordance with Article 222.Institutions shall not consider in this field transactions for which the leverage ratio exposure value is determined in accordance with the method defined in Article 220 of CRR.Institutions shall not include in this field cash received or any security or commodity that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {100, 1}, {100, 2} and {100, 3}. |
| {030; *} | Derivatives: Market valueArticles 274, 295, 296, 297, 298 and 429 of the CRR.The current replacement cost as specified in Article 274(1) of contracts listed in Annex II of the CRR and credit derivatives.As determined by Article 429(6) of the CRR, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR.Institutions shall consider all credit derivatives, not solely those in the trading book.Institutions shall not include in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR. |
| {040; *} | Derivatives: Add-on Mark-to-Market MethodArticles 274, 295, 296, 297, 298, 299(2), 429 of the CRRThis field provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives calculated in accordance with the Mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules according to Article 429(6) of the CRR. In determining the exposure value of those contracts, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR.In accordance with Article 429(8) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2) of the CRR to all their credit derivatives, not just those assigned to the trading book.Institutions shall not include in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR. |
| {050; *} | Derivatives: Original Exposure MethodArticle 429(7) of the CRRThis field provides the exposure measure of derivatives calculated according to the Original Exposure Method set out in Article 275 of the CRR.Institutions that do not use the Original Exposure Method shall not report this field.Institutions shall not consider in this field contracts measured by application of the Mark-to-market method in accordance with Articles 429(6) and 274 of the CRR. |
| {060; *} | Undrawn credit facilities which may be cancelled unconditionally at any time without noticeArticle 429(10)(a) of the CRRThe exposure value, in accordance with 429(10)(a) of the CRR, of undrawn credit facilities, which may be cancelled unconditionally at any time without notice, referred to in the points 4(a) and (b)of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value).Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {070; *} | Medium/ low risk trade related off-balance sheet itemsArticle 429(10)(b) of the CRRThe exposure value, in accordance with 429(10)(b) of the CRR, of medium/low risk trade related off-balance-sheet items referred to in point 3(a) of Annex I of the CRR and to officially supported export finance related off balance sheet items referred to in point 3(b)(i) of Annex I of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value).Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {080; *} | Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet itemsArticle 429(10)(c) of the CRRThe exposure value, in accordance with 429(10)(c) of the CRR, of medium risk trade related off-balance sheet items referred to in points 2(a) and 2(b)(i) of Annex I of the CRR and to officially supported export finance related off balance sheet items referred to in point 2(b)(ii) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value).Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {090; *} | Other off-balance sheet itemsArticle 429(10)(d) of the CRRThe exposure value, in accordance with 429(10)(d) of the CRR, of all other off-balance sheet items listed in Annex I of the CRR not reported in rows 60 to 80, (as a reminder the exposure value here shall be 100 % of the nominal value).Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {100; *} | Other assetsArticle 429 of the CRRAll assets other than contracts listed in Annex II of the CRR, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions. Institutions shall base valuation on the principles set out in Article 429 (5) of the CRR.Institutions shall include in this field cash received or any security that is provided to a counterparty via repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). |
| Row and column | Capital and regulatory adjustments |
| {110; *} | Tier 1 capital — fully phased-in definitionArticles 429 (3) and 499 (1) of the CRRThis is the amount of Tier 1 capital as calculated according to article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
| {120; *} | Tier 1 capital — transitional definitionArticles 429 (3) and 499 (1) of the CRRThis is the amount of Tier 1 capital as calculated according to article 25 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
| {130; *} | Amount to be added due to CRR 429 (4), 2nd subparagraphArticle 429 (4), subparagraph 2, of the CRRThe exposure value of significant investments in financial sector entities determined in accordance with Article 429 (4), subparagraph 2, of the CRR. The exposure value reported shall be reduced by the total amount of all direct, indirect and synthetic holdings of the institution of the Common Equity Tier 1 instruments of the financial sector entities that is not deducted pursuant to Article 47 and point (b) of Article 48(1) of the CRR. Institutions shall not take into account the derogations laid down in Chapter 1 and 2 of Part Ten of the CRR. |
| {140; *} | Amount to be added due to CRR 429 (4), 2nd subparagraph — transitional definitionArticle 429 (4), subparagraph 2, of the CRRThe exposure value of significant investments in financial sector entities determined in accordance with Article 429 (4), subparagraph 2. The exposure value reported shall be reduced by the total amount of all direct, indirect and synthetic holdings of the institution of the Common Equity Tier 1 instruments of the financial sector entities that is not deducted pursuant to Article 47 and point (b) of Article 48(1) of the CRR. Institutions shall take into account the derogations laid down in Chapter 1 and 2 of Part Ten of the CRR. |
| {150; *} | Regulatory adjustments — Tier 1 — fully phased-in definitionArticle 429 (4), subparagraph 1, of the CRRIt includes all the adjustments required by Articles 32 to 35, the deductions pursuant to Articles 36 to 47, as well as the deductions pursuant to Articles 56 to 60, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows 010, 020, 030 and 100.Adjustments that increase the own funds will be reported as a positive figure. On the contrary, any amount that reduces the total own funds will be reported as a negative figure. |
| {160; *} | Regulatory adjustments regarding own credit riskArticle 33 (1)(b) of the CRRThe amount of regulatory value adjustments from own funds pursuant to CRR article 33 (1)(b)Amount to be deducted from (or added to if it corresponds to a loss) Common Equity Tier 1 capital. If gain report as negative; if loss report as positive value. |
| {170; *} | Regulatory adjustments — Tier 1 — transitional definitionArticle 429 (4), subparagraph 1, and Article 499 (1)(b) of the CRRIt includes all the adjustments required by Articles 32 to 35, the deductions pursuant to Articles 36 to 47, as well as the deductions pursuant to Articles 56 to 60, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows 010, 020, 030 and 100.Adjustments that increase the own funds will be reported as a positive figure. On the contrary, any amount that reduces the total own funds will be reported as a negative figure. |
| Row and column | Leverage Ratio |
| {180; 1} | Leverage Ratio — using a fully phased-in definition of Tier 1 — Month 1Articles 429 (2) and 499 (1) of the CRRThis is the leverage ratio as calculated under paragraph 6 of Part II of this Annex.When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field. |
| {180; 2} | Leverage Ratio — using a fully phased-in definition of Tier 1 — Month 2Articles 429 (2) and 499 (1) of the CRRThis is the leverage ratio as calculated under paragraph 7 of Part II of this Annex.When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field. |
| {180; 3} | Leverage Ratio — using a fully phased-in definition of Tier 1 — Month 3Articles 429 (2) and 499 (1) of the CRRThis is the leverage ratio as calculated under paragraph 8 of Part II of this Annex. |
| {180; 4} | Leverage Ratio — using a fully phased-in definition of Tier 1 — Simple arithmetic mean of the monthly leverage ratio over a quarterArticles 429 (2) and 499 (1) of the CRRThis is the leverage ratio as calculated under paragraph 5 of Part II of this Annex.When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field. |
| {190; 1} | Leverage Ratio — using a transitional definition of Tier 1 — Month 1Articles 429 (2) and 499 (1) of the CRRThis is the leverage ratio as calculated under paragraph 10 of Part II of this Annex.When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field. |
| {190; 2} | Leverage Ratio — using a transitional definition of Tier 1 — Month 2Articles 429 (2) and 499 (1) of the CRRThis is the leverage ratio as calculated under paragraph 11 of Part II of this Annex.When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field. |
| {190; 3} | Leverage Ratio — using a transitional definition of Tier 1 — Month 3Articles 429 (2) and 499 (1) of the CRRThis is the leverage ratio as calculated under paragraph 12 of Part II of this Annex. |
| {190; 4} | Leverage Ratio — using a transitional definition of Tier 1 — Simple arithmetic mean of the monthly leverage ratio over a quarterArticles 429 (2) and 499 (1) of the CRRThis is the leverage ratio as calculated under paragraph 9 of Part II of this Annex.When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field. |
5.LR1 on alternative treatment of the Exposure Measure
This part of the reporting collects data on alternative treatment of derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, and off-balance sheet items.
Institutions shall determine the ‘accounting balance sheet values’ in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the CRR. ‘Accounting value assuming not netting or other CRM’ refers to the accounting balance sheet value not taking into account any effects of netting or risk mitigation.
| Row and column | Legal references and instructions |
|---|---|
| {010; 1} | Derivatives — Accounting balance sheet valueThis is the sum of fields {020;1}, {050;1} and {060;1} |
| {010; 2} | Derivatives — Accounting value assuming no netting or other CRMThis is the sum of fields {020;2}, {050; 2} and {060; 2} |
| {010; 3} | Derivatives — Value with netting rules taking into account cash collateralArticles 274, 295, 296, 297, 298 of the CRR.The current replacement cost as specified in Article 274(1) of contracts listed in Annex II of the CRR and credit derivatives.Institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR.Institutions shall apply cash collateral received for daily margining under a qualifying netting agreement to reduce the current replacement cost. Institutions shall not apply other collateral received or initial margin to reduce the current replacement cost.For the purpose of this field, cash is defined as the total amount of cash including coins and banknotes/currency and the total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress. Institutions shall not consider cash on deposit with other institutions.Institutions shall consider all credit derivatives, not solely those in the trading book.Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with 275 of the CRR. |
| {010; 5} | Derivatives — Add-on — Mark-to-market Method — Assuming no netting or CRMThis is the sum of fields {020;5}, {050;5} and {060;5} |
| {010; 6} | Derivatives — Add-on — Mark-to-market method — alternativeArticles 274, 295, 296, 297, 298, 299(2) of CRRThis field provides for the potential future exposure of contracts listed in Annex II of the CRR and credit derivatives calculated in accordance with the Mark-to-market Method (Article 274(2) of CRR for contracts listed in Annex II of CRR, Article 299(2) of CRR for credit derivatives). In determining the exposure value of those contracts institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of CRR.When determining the potential exposure value for credit derivatives institutions shall disregard the following provision of Article 299(2) CRR:‘In the case of an institution whose exposure arising from a credit default swap represents a long position in the underlying, the percentage for potential future credit exposure may be 0 %, unless the credit default swap is subject to close-out upon the insolvency of the entity whose exposure arising from the swap represents a short position in the underlying, even though the underlying has not defaulted.’Therefore, for all sold credit default swaps institutions shall calculate the add-on at 5 % or 10 % depending on the nature (qualifying or not-qualifying) of the reference obligation.Institutions shall consider all credit derivatives, not just those assigned to the trading book.Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR. |
| {010; 7} | Derivatives — notional amountThis is the sum of fields {020;7}, {050;7} and {060;7} |
| {020; 1} | Credit derivatives (protection sold) — Accounting balance sheet valueArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet. |
| {020; 2} | Credit derivatives (protection sold) — Accounting value assuming no netting or other CRMArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). |
| {020; 5} | Credit derivatives (protection sold) — Add-on — Mark-to-market Method — Assuming no netting or CRMThis is the sum of fields {030;5} and {040;5} |
| {020; 7} | Credit derivatives (protection sold) — notional amountThis is the sum of fields {030;7} and {040;7} |
| {030; 5} | Credit derivatives (protection sold) subject to close-out clause — Add-on — Mark-to-market Method — Assuming no netting or CRMArticle 299(2) of the CRRThis field provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause assuming no netting or credit risk mitigation. Institutions shall not include in this field the add-on for credit derivatives where the institution is selling credit protection to a counterparty not subject to a close-out clause. Institutions shall instead include this in field {LR1;040;5}.A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.Institutions shall consider all credit derivatives, not just those assigned to the trading book. |
| {030; 7} | Credit derivatives (protection sold) subject to close-out clause — notional amountThis field provides the notional amount of credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause.A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.Institutions shall consider all credit derivatives, not just those assigned to the trading book. |
| {040; 5} | Credit derivatives (protection sold) not subject to close-out clause — Add-on — Mark-to-market Method — Assuming no netting or CRMArticle 299(2) of the CRRThis field provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty not subject to ‘close-out clause’ assuming no netting or credit risk mitigation.A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.Institutions shall consider all credit derivatives, not just those assigned to the trading book |
| {040; 7} | Credit derivatives (protection sold) not subject to close-out clause — Notional amountThis field provides the notional amount of credit derivatives where the institution is selling credit protection to a counterparty not subject to ‘close-out clause’.A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.Institutions shall consider all credit derivatives, not just those assigned to the trading book |
| {050; 1} | Credit derivatives (protection bought): Accounting balance sheet valueArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet.Institutions shall consider all credit derivatives, not just those assigned to the trading book |
| {050; 2} | Credit derivatives (protection bought): Accounting value assuming no netting or other CRMArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation).Institutions shall consider all credit derivatives, not just those assigned to the trading book |
| {050; 5} | Credit derivatives (protection bought) — Add-on — Mark-to-market Method — Assuming no netting or CRMArticle 299(2) of the CRRThis field provides the potential future exposure of credit derivatives where the institution is buying credit protection from a counterparty assuming no netting or credit risk mitigation.Institutions shall consider all credit derivatives, not just those assigned to the trading book |
| {050; 7} | Credit derivatives (protection bought) — Notional amountThis field provides the notional amount of credit derivatives where the institution is buying credit protection from a counterparty.Institutions shall consider all credit derivatives, not just those assigned to the trading book |
| {050; 8} | **Notional amount credit derivatives (protection bought, same reference name):**The notional amount of credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the reporting institution.For the purpose of reporting this field value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority.Credit protection bought on a pool of reference entities is considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool.If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical.For each reference name, the notional amounts of credit protection bought which are considered in this field must not exceed the amounts reported in {020; 7} and {050; 7}. |
| {050; 9} | **Notional amount credit derivatives (protection bought, same reference name and counterparty or CCP):**The notional amount of credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the institution and undertaken either with the same counterparty under a netting agreement eligible under Article 295 of the CRR or with an authorised central counterparty as defined under Regulation 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories.For the purpose of reporting this field value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority.Credit protection bought on a pool of reference entities is considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool.If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical.For each reference name and counterparty, the notional amounts of credit protection bought which are considered in this field must not exceed the amount reported in {050; 8}. |
| {050; 10} | **Notional amount credit derivatives (protection bought, same reference name and bought protection from CCP):**The sum of notional amounts of credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the institution and undertaken with an authorised central counterparty as defined under Regulation 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories.For the purpose of reporting this field value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority.Credit protection bought on a pool of reference entities is considered the same if this protection is is economically equivalent to buying protection separately on each of the individual names in the pool.If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical.For each reference name, the notional amounts of credit protection bought which are considered in this field must not exceed the amount reported in {050; 9}. |
| {050; 11} | **Notional amount credit derivatives (protection bought, same reference name and same or higher maturity):**The notional amount of credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the institution and where the maturity of this credit protection is equal to or greater than the maturity of the sold protection.For the purpose of reporting this field value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority.Credit protection bought on a pool of reference entities is considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool.If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical.For each reference name, the notional amounts of credit protection bought which are considered in this field must not exceed the amount reported in {050; 8}. |
| {060; 1} | Financial derivatives: Accounting balance sheet valueArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet. |
| {060; 2} | Financial derivatives: Accounting value assuming no netting or other CRMArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). |
| {060; 5} | Financial Derivatives — Add-on — Mark-to-market Method — Assuming no netting or CRMArticle 274 of the CRRThis field provides the regulatory potential future exposure of contracts listed in Annex II of the CRR assuming no netting or credit risk mitigation. |
| {060; 7} | Financial Derivatives — Notional amountThis field provides the notional amount of contracts listed in Annex II of the CRR. |
| {070; 1} | Securities financing transactions covered by a master netting agreement: Accounting balance sheet valueArticles 4(1)(77) and 206 of the CRRThe accounting balance sheet value of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions under the applicable accounting framework that are covered by a master netting agreement eligible under Article 206.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {090, 1}. |
| {070; 2} | Securities financing transactions covered by a master netting agreement: Accounting value assuming no netting or other CRMArticles 4(1)(77) and 206 of the CRRThe accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are covered by a master netting agreement eligible under Article 206 where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {090, 2}. |
| {070; 4} | *Securities financing transactions covered by a master netting agreement: Add-on (SFT)Articles 206 of the CRRFor repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206, institutions shall form netting sets. For each netting set, institutions shall calculate the add-on for current counterparty exposure (CCE) in accordance with the formula*CCEmax([Σ_i E_i Σ_i C_i]; 0)Whereieach transaction included in the netting setE_ifor transaction i, the value E_i as defined in Article 220, paragraph 3.C_ifor transaction i, the value C_i as defined in Article 220, paragraph 3Institutions shall aggregate the outcome of this formula for all netting sets and report the result in this field. |
| {080; 1} | Securities financing transactions not covered by a master netting agreement: Accounting balance sheet valueArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are not covered by a master netting agreement eligible under Article 206 where the contracts are recognised as assets on the balance sheet.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {090, 1}. |
| {080; 2} | Securities financing transactions not covered by a master netting agreement: Accounting value assuming no netting or other CRMArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are not covered by a master netting agreement eligible under Article 206 where the contracts are recognised as assets on the balance sheet assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {090, 2}. |
| {080; 4} | **Securities financing transactions not covered by a master netting agreement: Add-on (SFT)**Articles 206 of the CRRFor repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet that are not covered by a master netting agreement eligible under Article 206, institutions shall form sets that consist of all assets included in a transaction (ie each SFT transaction is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) according to the formulaCCE = max {(E – C); 0}WhereE, the value E_i as defined in Article 220, paragraph 3.C, the value C_i as defined in Article 220, paragraph 3Institutions shall aggregate the outcome of this formula for all of above-mentioned sets and report the result in this field. |
| {090; 1} | Other assets: Accounting balance sheet valueArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions. |
| {090; 2} | Other assets: Accounting value assuming no netting or other CRMArticle 4(1)(77) of the CRRThe accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). |
| {100; 7} | Low risk off-balance sheet items in the RSA; of whichArticle 111 of the CRRThis field provides the nominal value of off-balance sheet items that would be assigned a 0 % credit conversion factor under the standardised approach to credit risk. |
| {110; 7} | Revolving retail exposures; of whichArticles 111 and 154(4) of the CRRThis field provides the nominal value of off-balance sheet qualifying revolving retail exposures that meet the conditions set in points (a) to (c) of Article 154(4) of the CRR. This covers all exposures that are to individuals, are revolving and unconditionally cancellable as described in point (b) of Article 166(8)(a) of the CRR, and are in total limited to EUR 100000 per obligor. |
| {120; 7} | Unconditionally cancellable credit cards commitmentsArticles 111 and 154(4) of the CRRIt provides the nominal value of credit cards commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) that would receive a 0 % credit conversion factor under the standardised approach to credit risk. Institutions shall not include in this field credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC. |
| {130; 7} | Non revolving unconditionally cancellable commitmentsArticles 111 and 154(4) of the CRRIt provides the nominal value of other commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) and that would receive a 0 % credit conversion factor under the standardised approach to credit risk. Institutions shall not include in this field credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC. |
| {140; 7} | Medium/low risk off-balance sheet items under the RSAArticle 111 of the CRRThis field provides the nominal value of off-balance sheet items that would be assigned a 20 % credit conversion factor under the standardised approach to credit risk. |
| {150; 7} | Medium risk off-balance sheet items under the RSAArticle 111 of the CRRThis field provides the nominal value of off-balance sheet items that would be assigned a 50 % credit conversion factor under the standardised approach to credit risk. |
| {160; 7} | Full risk off-balance sheet items under the RSAArticle 111 of the CRRThis field provides the nominal value of off-balance sheet items that would be assigned a 100 % credit conversion factor under the standardised approach to credit risk.Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {170; 7} | (Memo items) Drawn amounts on revolving retail exposuresArticle 154(4) of the CRRThis field provides the nominal value of amounts drawn on off-balance sheet revolving retail exposures. |
| {180; 7} | (Memo item) Drawn amounts on unconditionally cancellable credit card commitmentsArticles 111 and 154(4) of the CRRThis field provides the nominal value of amounts drawn on unconditionally cancellable credit card commitments. |
| {190; 7} | (Memo items) Drawn amounts on non revolving unconditionally cancellable commitmentsArticles 111 and 154(4) of the CRRThis field provides the nominal value of amounts drawn on unconditionally cancellable credit card commitments. |
| {200; 2} | (Memo item) Derecognised fiduciary items according to Article 429(11) of the CRRArticle 429(11) of the CRR.The accounting balance sheet value under the applicable accounting framework of derecognised fiduciary items according to Article 429(11) of the CRR assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). |
| {210; 2} | Cash collateral received in derivatives transactionsThe accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation).For the purpose of this field, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on deposit with other institutions in this field. |
| {220; 2} | Receivables for cash collateral posted in derivatives transactionsThe accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Institutions that are permitted under the applicable accounting framework to net the receivable for cash collateral posted against the related derivative liability (negative fair value) and that elect to do so must reverse out the netting and report the net cash receivable. |
| {230; 2} | Securities received in a SFT that are recognised as an assetThe accounting balance sheet value under the applicable accounting framework of securities received in a repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction that are recognised as an asset under the applicable accounting framework assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). |
| {240; 2} | **SFT cash conduit lending (cash receivables)**The accounting balance sheet value under the applicable accounting framework of the cash receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending transaction (CCLT) assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation).For the purpose of this field, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this field cash on deposit with other institutions.A CCLT is defined as a combination of two transactions where an institution borrows securities from the securities owner and on-lends securities to the securities borrower. Concurrently, the institution receives cash collateral from the securities borrower and on-lends the cash received to the securities owner. A qualifying CCLT shall comply with the following conditions:(a)both of the individual transactions which comprise the qualifying CCLT is effected on the same trade date, or for international transactions adjacent business days.;(b)where its comprising transactions do not specify a maturity, the institution has the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;(c)where its comprising transactions specify a maturity, the CCLT does not give rise to maturity mismatches for the institution; the institution has the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice; and(d)it does not give rise to any other incremental exposures. |
6.LR2 On- and off-balance sheet items — additional breakdown of exposures
Panel LR2 provides information on additional breakdown items of all on and off balance sheet exposures belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is according to the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the standardised and the IRB approach.
For exposures supported by credit risk mitigation techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the internal ratings-based approach for credit risk, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the internal ratings-based approach, exposures classified as in default shall be excluded from rows 020 to 090 and included in row 100.
Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1250 % risk weight.
| Row | Legal references and instructions |
|---|---|
| 010 | Total on- and off-balance sheet exposures belonging to the banking book (breakdown according to the effective risk weight)This is the sum of rows from 020 to 100. |
| 020 | = 0 %Exposures with a 0 % risk weight |
| 030 | > 0 % and ≤ 12 %Exposures with a risk weight included within a range of risk weights strictly greater than 0 % and smaller than or equal to 12 %. |
| 040 | > 12 % and ≤ 20 %Exposures with a risk weight included within a range of risk weights strictly greater than 12 % and smaller than or equal to 20 %. |
| 050 | > 20 % and ≤ 50 %Exposures with a risk weight included within a range of risk weights strictly greater than 20 % and smaller than or equal to 50 %. |
| 060 | > 50 % and ≤ 75 %Exposures with a risk weight included within a range of risk weights strictly greater than 50 % and smaller than or equal to 75 %. |
| 070 | > 75 % and ≤ 100 %Exposures with a risk weight included within a range of risk weights strictly greater than 75 % and smaller than or equal to 100 %. |
| 080 | > 100 % and ≤ 425 %Exposures with a risk weight included within a range of risk weights strictly greater than 100 % and smaller than or equal to 425 %. |
| 090 | > 425 % and ≤ 1250 %Exposures with a risk weight included within a range of risk weights strictly greater than 425 % and smaller than or equal to 1250 %. |
| 100 | Exposures in defaultUnder the SA approach, exposures falling under Article 112 (j) of the CRRUnder the IRB approach, all exposures with a PD of 100 % are default exposures. |
| 110 | Low-risk off-balance sheet items or off-balance sheet items attracting a 0 % conversion factor under the solvency ratio (memo item)Low risk off-balance sheet items according to Article 111 of the CRR and off-balance sheet items attracting a 0 % conversion factor according to Article 166 of the CRR. |
| Column | Legal references and instructions |
| 1 | On and off-balance sheet exposures (SA exposures)On- and off-balance sheet exposure values after taking into account value adjustments, all credit risk mitigants and credit conversion factors, as calculated under Title II, Chapter 2, Part Three of the CRR. |
| 2 | On and off-balance sheet exposures (IRB exposures)On- and off balance sheet exposures values in accordance with Article 166 of the CRR and Article 230 (1) sentence 2 of the CRR, after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.For off-balance sheet items, institutions shall apply the conversion factors as defined in Article 166 (8) to (10) of the CRR. |
| 3 | Nominal amountExposure values of off-balance sheet items as defined in Article 111 and 166 of the CRR without the application of conversion factors. |
7.LR3 Alternative definition of capital
- Template LR3 provides with the capital measures needed for the review provided for in Article 511 of the CRR.
| Row and column | Legal references and instructions |
|---|---|
| {010; 1} | Common Equity Tier One — fully phased-in definitionArticle 50 of the CRRThis is the amount of capital as calculated under Article 50 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
| {020; 1} | Common Equity Tier One — transitional definitionArticle 50 of the CRRThis is the amount of capital as calculated under Article 50 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
| {030; 1} | Total own funds– fully phased-in definitionArticle 72 of the CRRThis is the amount of capital as referred to in Article 72 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
| {040; 1} | Total own funds — transitional definitionArticle 72 of the CRRThis is the amount of capital as referred to in Article 72 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. |
| {050;1} | Regulatory adjustments — CET1 — fully phased-in definitionIt includes the amount of regulatory adjustments from CET1 as reported in Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}. |
| {060; 1} | Regulatory adjustments — CET1 — transitional definitionIt includes the amount of regulatory adjustments from CET1 as reported in Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}. |
| {070; 1} | Regulatory adjustments — Total own funds — fully phased-in definitionIt includes the adjustments required by Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, the deductions pursuant to Articles 56 to 60, as well as the deductions referred to in Articles 66 to 70, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}. |
| {080, 1} | Regulatory adjustments — Total own funds — transitional definitionIt includes the adjustments required by Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, the deductions pursuant to Articles 56 to 60, as well as the deductions referred to in Articles 66 to 70, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}. |
8.LR4 Alternative breakdown of leverage ratio exposure measure components
In order to avoid double-counting, institutions shall uphold the following:
[{LRCalc;010;3}+{LRCalc;020;3}+{LRCalc;030;3}+{LRCalc;040;3}+{LRCalc;050;3}+{LRCalc;060;3}+{LRCalc;070;3}+{LRCalc;080;3}+{LRCalc;090;3}+{LRCalc;100;3}]= [{LR4;010;1}+{LR4;040;1}+{LR4;050;1}+{LR4;060;1}+{LR4;070;1}+{LR4;080;1}+{LR4;080;2}+{LR4;090;1}+{LR4;090;2}{LR4;140;1}+{LR4;140;2}+{LR4;180;1}+{LR4;180;2}+{LR4;190;1}+{LR4;190;2}+{LR4;210;1}+{LR4;210;2}+{LR4;230;1}+{LR4;230;2}+{LR4;280;1}+{LR4;280;2}+{LR4;290;1}+{LR4;290;2}]
| Row and colum | Legal references and instructions |
|---|---|
| {010;1} | Off-balance sheet items; of whichThe leverage ratio exposure value calculated as the sum of {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc; 80;3} + {LRCalc;90;3} |
| {010;2} | Off-balance sheet items; of whichThe risk-weighted exposure amount of off-balance sheet items — excluding repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions, margin lending transactions, and derivatives — calculated in accordance with the Standardised Approach and the Internal Ratings Based Approach. For exposures under the Standardised Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 2, Title II, Part Three of the CRR. For exposures under the Internal Ratings Based Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3, Title II, Part Three of the CRR. |
| {020;1} | Trade Finance; of whichThe leverage ratio exposure value of off-balance sheet items related to trade finance. For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit which are short-term and self-liquidating, and similar transactions. |
| {020;2} | Trade Finance; of whichThe risk-weighted exposure amount of off-balance sheet items — excluding repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions, margin lending transactions and derivatives — related to trade finance. For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit which are short-term and self-liquidating, and similar transactions. |
| {030;1} | Under official export credit insurance schemeThe leverage ratio exposure value of off-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. |
| {030;2} | Under official export credit insurance schemeThe risk-weighted exposure amount of off-balance sheet items — excluding repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, and derivatives — related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4 Standard, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. |
| {040;1} | Derivatives and SFTs subject to a cross-product netting agreementThe leverage ratio exposure value of derivatives and repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, as calculated in {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3}, {LRCalc;040;3} and {LRCalc;050;3} if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
| {040;2} | Derivatives and SFTs subject to a cross-product netting agreementThe risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II, Part Three of the CRR of derivatives and repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, including those that are off-balance sheet, if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
| {050;1} | Derivatives not subject to a cross-product netting agreementThe leverage ratio exposure value of derivatives as calculated in {LRCalc;030;3}, {LRCalc;040;3} and {LRCalc;050;3} if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
| {050;2} | Derivatives not subject to a cross-product netting agreementThe risk-weighted exposure amounts to credit and counterparty credit risk of derivatives and repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, as calculated under Title II, Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
| {060;1} | SFTs not subject to a cross-product netting agreementThe leverage ratio exposure value of exposures of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, as calculated in {LRCalc;010;3,} and {LRCalc;020;3,} if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
| {060;2} | SFTs not subject to a cross-product netting agreementThe risk-weighted exposure amounts to credit and counterparty credit risk of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, as calculated under Title II, Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. |
| {070;1} | Other assets belonging to the trading bookThe leverage ratio exposure value of items reported in field {LRCalc;100;3} excluding non-trading book items. |
| {070;2} | Other assets belonging to the trading bookOwn fund requirements multiplied by 12.5 of items subject to Title IV of Part Three of the CRR |
| {080;1} | Covered bondsThe leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 129 of the CRR. SA exposures |
| {080;2} | Covered bondsThe leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 161(1)(d) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {080;3} | Covered bondsThe risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 129 of the CRR. SA exposures |
| {080;4} | Covered bondsThe risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 161(1)(d) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {090,1} | Exposures treated as sovereignsThis is the sum of fields from {100,1} to {130,1}. |
| {090;2} | Exposures treated as sovereignsThis is the sum of fields from {100,2} to {130,2}. |
| {090;3} | Exposures treated as sovereignsThis is the sum of fields from {100,3} to {130,3}. |
| {090;4} | Exposures treated as sovereignsThis is the sum of fields from {100,4} to {130,4}. |
| {100;1} | Central governments and central banksThe leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR. SA exposures |
| {100;2} | Central governments and central banksThe leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {100;3} | Central governments and central banksThe risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR. SA exposures |
| {100;4} | Central governments and central banksThe risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {110;1} | Regional governments and local authorities treated as sovereignsThe leverage ratio exposure value of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR. SA exposures |
| {110;2} | Regional governments and local authorities treated as sovereignsThe leverage ratio exposure value of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR. IRB exposures., which institutions shall report net of defaulted exposures |
| {110;3} | Regional governments and local authorities treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR. SA exposures |
| {110;4} | Regional governments and local authorities treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {120;1} | MDBs and international organisations treated as sovereignsThe leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR. SA exposures |
| {120;2} | MDBs and international organisations treated as sovereignsThe leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Articles 147 (3) (b) and (c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {120;3} | MDBs and international organisations treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations and that fall under Articles 117(2) and 118 of the CRR. SA exposures |
| {120;4} | MDBs and international organisations treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Articles 147 (3) (b) and (c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {130;1} | PSEs treated as sovereignsThe leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. SA exposures |
| {130;2} | PSEs treated as sovereignsThe leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {130;3} | PSEs treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. SA exposures |
| {130;4} | PSEs treated as sovereignsThe leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR IRB exposures, which institutions shall report net of defaulted exposures |
| {140;1 } | Exposures to regional governments, MDB, international organisations and PSE not treated as sovereignsThis is the sum of fields from {150,1} to {170,1} |
| {140;2 } | Exposures to regional governments, MDB, international organisations and PSE not treated as sovereignsThis is the sum of fields from {150,2} to {170,2} |
| {140;3} | Exposures to regional governments, MDB, international organisations and PSE not treated as sovereignsThis is the sum of fields from {150,3} to {170,3} |
| {140;4} | Exposures to regional governments, MDB, international organisations and PSE not treated as sovereignsThis is the sum of fields from {150,4} to {170,4} |
| {150;1} | Regional governments and local authorities NOT treated as sovereignsThe leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR. SA exposures. |
| {150;2} | Regional governments and local authorities NOT treated as sovereignsThe leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {150;3} | Regional governments and local authorities NOT treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR. SA exposures |
| {150;4} | Regional governments and local authorities NOT treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {160;1} | MDBs NOT treated as sovereignsThe leverage ratio exposure value of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR. SA exposures. |
| {160;2} | MDBs NOT treated as sovereignsThe leverage ratio exposure value of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {160;3} | MDBs NOT treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR. SA exposures |
| {160;4} | MDBs NOT treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {170;1} | PSEs NOT treated as sovereignsThe leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR. SA exposures |
| {170;2} | PSEs NOT treated as sovereignsThe leverage ratio exposure value of assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {170;3} | PSEs NOT treated as sovereignsThe risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR. SA exposures. |
| {170;4} | PSEs NOT treated as sovereignsThe risk-weighted exposure amount assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {180;1} | InstitutionsThe leverage ratio exposure value of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR. SA exposures |
| {180;2} | InstitutionsThe leverage ratio exposure value of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(d) of the CRR and do not fall under Article 147(4)(a), (b) and (c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {180;3} | InstitutionsThe risk-weighted exposure amount of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR. SA exposures |
| {180;4} | InstitutionsThe risk-weighted exposure amount of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(d) of the CRR and do not fall under Article 147(4)(a), (b) and (c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {190;1} | Secured by mortgages of immovable properties; of whichThe leverage ratio exposure value of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR. SA exposures |
| {190;2} | Secured by mortgages of immovable properties; of whichThe leverage ratio exposure value of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {190;3} | Secured by mortgages of immovable properties; of whichThe risk-weighted exposure amount of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR. SA exposures |
| {190;4} | Secured by mortgages of immovable properties; of whichThe risk-weighted exposure amount of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {200;1} | Secured by mortgages of residential propertiesThe leverage ratio exposure value of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR. SA exposures |
| {200;2} | Secured by mortgages of residential propertiesThe leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {200;3} | Secured by mortgages of residential propertiesThe risk-weighted exposure amount of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR. SA exposures |
| {200;4} | Secured by mortgages of residential propertiesThe risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {210;1} | Retail exposuresThe leverage ratio exposure value of assets that are retail exposures that fall under Article 123 of the CRR. SA exposures. |
| {210;2} | Retail exposuresThe leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {210;3} | Retail exposuresThe risk-weighted exposure amount of assets that are retail exposures that fall under Article 123 of the CRR. SA exposures |
| {210;4} | Retail exposuresThe risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {220;1} | Retail SMEThe leverage ratio exposure value of assets that are retail exposures to small and medium sized enterprises that fall under Article 123 of the CRR. SA exposures.For the purpose of this field, a small and medium enterprise is in accordance with Article 501(2)(b). |
| {220;2} | Retail SMEThe leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small and medium sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures.For the purpose of this field, a small and medium enterprise is in accordance with Article 501(2)(b). |
| {220;3} | Retail SMEThe risk-weighted exposure amount of assets that are retail exposures to small and medium sized enterprises that fall under Article 123 of the CRR. SA exposuresFor the purpose of this field, a small and medium enterprise is in accordance with Article 501(2)(b). |
| {220;4} | Retail SMEThe risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small and medium sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposuresFor the purpose of this field, a small and medium enterprise is in accordance with Article 501(2)(b). |
| {230;1} | CorporateThis is the sum of fields {240,1} and {250,1} |
| {230;2} | CorporateThis is the sum of fields {240,2} and {250,2} |
| {230;3} | CorporateThis is the sum of fields {240,3} and {250,3} |
| {230;4} | CorporateThis is the sum of fields {240,4} and {250,4} |
| {240;1} | FinancialThe leverage ratio exposure value of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in row 180, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive, as well as undertakings as defined in Article 4(1)(27) of CRR other than institutions referred to in row 180. SA exposures |
| {240;2} | FinancialThe leverage ratio exposure value of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in row 180, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive, as well as undertakings as defined in Article 4(1)(27) of CRR other than institutions referred to in row 180. IRB exposures, which institutions shall report net of defaulted exposures |
| {240;3} | FinancialThe risk-weighted exposure amount of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in row 180, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive, as well as undertakings as defined in Article 4(1)(27) of CRR other than institutions referred to in row 180. SA exposures |
| {240;4} | FinancialThe risk-weighted exposure amount of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in row 180, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive, as well as undertakings as defined in Article 4(1)(27) of CRR other than institutions referred to in row 180. IRB exposures, which institutions shall report net of defaulted exposures |
| {250;1} | non FinancialThe leverage ratio exposure value of assets that are exposures to non financial corporates that fall under Article 122 of the CRR. SA exposures.This is the sum of fields {260,1} and {270,1} |
| {250;2} | non FinancialThe leverage ratio exposure value of assets that are exposures to non financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures.This is the sum of fields {260,2} and {270,2} |
| {250;3} | non FinancialThe risk-weighted exposure amount of assets that are exposures to non financial corporates that fall under Article 122 of the CRR. SA exposures.This is the sum of fields {260,3} and {270,3} |
| {250;4} | non FinancialThe risk-weighted exposure amount of assets that are exposures to non financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures.This is the sum of fields {260,4} and {270,4} |
| {260;1} | SME exposuresThe leverage ratio exposure value of assets that are exposures to corporates in the form of small and medium sized enterprises that fall under Article 122 of the CRR. SA exposures.For the purpose of this field, a small and medium enterprise is in accordance with Article 501(2)(b). |
| {260;2} | SME exposuresThe leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small and medium sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures .For the purpose of this field, a small and medium enterprise is in accordance with Article 501(2)(b). |
| {260;3} | SME exposuresThe risk-weighted exposure amount of assets that are exposures to corporates in the form of small and medium enterprises that fall under Article 122 of the CRR. SA exposures.For the purpose of this field, a small and medium enterprise is in accordance with Article 501(2)(b). |
| {260;4} | SME exposuresThe risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small and medium sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures .For the purpose of this field, a small and medium enterprise is in accordance with Article 501(2)(b). |
| {270;1} | Corporate exposures other than SMEThe leverage ratio exposure value of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in rows 240 and 260. SA exposures |
| {270;2} | Corporate exposures other than SMEThe leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in rows 240 and 260. IRB exposures, which institutions shall report net of defaulted exposures |
| {270;3} | Corporate exposures other than SMEThe risk-weighted exposure amount of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in rows 240 and 260. SA exposures |
| {270;4} | Corporate exposures other than SMEThe risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in rows 240 and 260. IRB exposures, which institutions shall report net of defaulted exposures |
| {280;1} | Exposures in defaultThe leverage ratio exposure value of assets that are exposures in default and thus fall under Article 127 of the CRR. SA exposures |
| {280;2} | Exposures in defaultThe leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred. IRB exposures |
| {280;3} | Exposures in defaultThe risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 of the CRR. SA exposures |
| {280;4} | Exposures in defaultThe risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred. IRB exposures |
| {290;1} | Other exposures (eg equity and other non-credit obligation assets); of whichThe leverage ratio exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR. SA exposures. |
| {290;2} | Other exposures (eg equity and other non-credit obligation assets); of whichThe leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {290;3} | Other exposures (eg equity and other non-credit obligation assets); of whichThe risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR. |
| {290;4} | Other exposures (eg equity and other non-credit obligation assets); of whichThe risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {300;1} | Securitisation exposuresThe leverage ratio exposure value of assets that are exposures to securitisations that fall under Article 112(m) of the CRR. SA exposures |
| {300;2} | Securitisation exposuresThe leverage ratio exposure value of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {300;3} | Securitisation exposuresThe risk-weighted exposure amount of assets that are exposures to securitisations that fall under Article 112(m) of the CRR. SA exposures |
| {300;4} | Securitisation exposuresThe risk-weighted exposure amount of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures |
| {310;1} | Trade finance (Memo item); of whichThe leverage ratio exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions. SA exposures. |
| {310;2} | Trade finance (Memo item); of whichThe leverage ratio exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions. IRB exposures, which institutions shall report net of defaulted exposures |
| {310;3} | Trade finance (Memo item); of whichThe risk-weighted exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions. SA exposures. |
| {310;4} | Trade finance (Memo item); of whichThe risk-weighted exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions. IRB exposures, which institutions shall report net of defaulted exposures |
| {320;1} | Under official export credit insurance schemeThe leverage ratio exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. SA exposures. |
| {320;2} | Under official export credit insurance schemeThe leverage ratio exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. IRB exposures, which institutions shall report net of defaulted exposures. |
| {320;3} | Under official export credit insurance schemeThe risk-weighted exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. SA exposures. |
| {320;4} | Under official export credit insurance schemeThe risk-weighted exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. IRB exposures, which institutions shall report net of defaulted exposures. |
9.LR5 General information
- Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution.
| Row and column | Instructions |
|---|---|
| {010;1} | Institution company structureThe institution shall classify its company structure according to the categories given below:Joint stock companyMutual/cooperativeOther non-joint stock company |
| {020; 1} | Derivatives treatmentThe institution shall specify the regulatory derivatives treatment according to the categories given below:Original exposure methodMark-to-market method |
| {030; 1} | Accounting frameworkThe institution shall specify the accounting framework used according to the categories given below:National GAAPIFRS |
| {040; 1} | Institution typeThe institution shall classify its institution type according to the categories given below:Universal banking (retail/commercial and investment banking)Retail/commercial bankingInvestment bankingSpecialised lender |
| {050; 1} | Reporting calculation methodThe institution shall specify whether the derogation specified in Article 499 (3) has been granted, i.e. whether the data reported is based on a quarterly average on monthly data or based on end-quarter data:Quarterly — based on monthly averagesEnd-quarter |
| {060, 1} | Reporting levelThe institution shall classify whether the reporting entity is based on a individual or consolidated level:IndividualConsolidated |
10.LR6 Entities that are consolidated for accounting purposes but not within the scope of prudential consolidation
LR6 collects information on financial sector entities as defined in Article 4(1)(27) CRR that are consolidated according to the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR, securitisation entities that are consolidated according to the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR, and to commercial entities that are consolidated according to the applicable accounting framework but are not included in the institution's prudential consolidation according to Chapter 2 of Title II of Part One of the CRR.
Institutions shall determine the total amount of the equity of the financial sector entities referred to in paragraph 36 reduced by the deductions that relate to the financial sector entities referred to in paragraph 36 pursuant to Article 36 paragraph 1, points (g), (h) and (i) of the CRR. To obtain the inclusion factor for financial sector entities, institutions shall divide the amount specified in the previous sentence by the total amount of the equity of the financial sector entities referred to in paragraph 36.
Institutions shall determine the total amount of the equity of commercial entities referred to in paragraph 36 reduced by the deductions that relate to the commercial entities referred to in paragraph 36 pursuant to Article 36 paragraph 1, point (k)(i) of the CRR. To obtain the inclusion factor for commercial entities, institutions shall divide the amount specified in the previous sentence by the total amount of the equity of the commercial entities referred to in paragraph 36.
For commercial entities referred to in paragraph 36, institutions shall gauge the potential relative importance of these entities to the total exposure of the leverage ratio on an entity by entity basis. When reporting the fields referred to in paragraph 40, institutions are not required to take into account those commercial entities for which the value that enters into {LR6;140; 3} is less than 0.1 % of the amount determined according to paragraph 16.
{LR6;010; 3}, {LR6;020; 3}, {LR6;030; 3}, {LR6;040; 3}, {LR6;050; 3}, {LR6;060; 3}, {LR6;070; 3}, {LR6;080; 3}, {LR6;090; 3}, {LR6;100; 3}, {LR6;110; 3} to {LR6;120; 3}.
For the purpose of LR6 institutions shall treat an entity as a securitisation entity if it is 4(1)(61)4(1)(63)a securitisation special purpose entity as defined in Article 4(1)(66).
For the purpose of LR6 institutions shall treat an entity as a commercial entity if it is an entity that is not a financial sector entity as defined in Article 4(1)(27) CRR and is not a entity within the scope of the previous paragraph.
| Row and column | Instructions |
|---|---|
| {010; 1} | Securities financing transactions covered by a master netting agreement: Accounting value assuming no netting or other CRM — Financial sector entitiesFor financial sector entities as defined in paragraph 36, the accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are covered by a master netting agreement eligible under Article 206 where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation) multiplied with the inclusion factor for financial sector entities determined in paragraph 37. Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {120, 1}. |
| {010; 2} | Securities financing transactions covered by a master netting agreement: Accounting value assuming no netting or other CRM — Securitisation entitiesFor securitisation entities as defined in paragraph 36, the accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are covered by a master netting agreement eligible under Article 206 where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {120, 2}. |
| {010; 3} | Securities financing transactions covered by a master netting agreement: Accounting value assuming no netting or other CRM — Commercial entitiesFor commercial entities as defined in paragraph 36, the accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are covered by a master netting agreement eligible under Article 206 where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation) multiplied with the inclusion factor for commercial entities determined in paragraph 38. Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {120, 3}. |
| {020; 1} | Securities financing transactions covered by a master netting agreement: Add-on (SFT) — Financial sector entitiesArticles 206 of the CRRThis data item applies to financial entities as defined in paragraph 36:For repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206, institutions shall form netting sets.For each netting set, institutions shall calculate the add-on for current counterparty exposure (CCE) in accordance with the formulaCCE**max([Σ i**EiΣ i**Ci]; 0)Whereieach transaction included in the netting setE_ifor transaction i, the value E_i as defined in Article 220, paragraph 3.C_ifor transaction i, the value C_i as defined in Article 220, paragraph 3Institutions shall aggregate the outcome of this formula for all netting sets and multiply it with the inclusion factor for financial sector entities determined in paragraph 37 and report the result in this field. |
| {020; 2} | Securities financing transactions covered by a master netting agreement: Add-on (SFT) — Securitisation entitiesArticles 206 of the CRRThis data item applies to securitisation entities as defined in paragraph 36:For repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206, institutions shall form netting sets.For each netting set, institutions shall calculate the add-on for current counterparty exposure (CCE) in accordance with the formulaCCE**max([Σ i**EiΣ i**Ci]; 0)Whereieach transaction included in the netting setE_ifor transaction i, the value E_i as defined in Article 220, paragraph 3.C_ifor transaction i, the value C_i as defined in Article 220, paragraph 3Institutions shall aggregate the outcome of this formula for all netting sets and report the result in this field. |
| {020; 3} | Securities financing transactions covered by a master netting agreement: Add-on (SFT) — Commercial entitiesArticles 206 of the CRRThis data item applies to commercial entities as defined in paragraph 36:For repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206, institutions shall form netting sets.For each netting set, institutions shall calculate the add-on for current counterparty exposure (CCE) in accordance with the formulaCCE**max([Σ i**EiΣ i**Ci]; 0)Whereieach transaction included in the netting setE_ifor transaction i, the value E_i as defined in Article 220, paragraph 3.C_ifor transaction i, the value C_i as defined in Article 220, paragraph 3Institutions shall aggregate the outcome of this formula for all netting sets and multiply it with the inclusion factor for commercial entities determined in paragraph 38 and report the result in this field. |
| {030; 1} | Securities financing transactions not covered by a master netting agreement: Accounting value assuming no netting or other CRM — Financial sector entitiesFor financial sector entities as defined in paragraph 36, the accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are not covered by a master netting agreement eligible under Article 206 where the contracts are recognised as assets on the balance sheet assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation) multiplied with the inclusion factor for financial sector entities determined in paragraph 37. Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {120, 1}. |
| {030; 2} | Securities financing transactions not covered by a master netting agreement: Accounting value assuming no netting or other CRM — Securitisation entitiesFor securitisation entities as defined in paragraph 36, the accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are not covered by a master netting agreement eligible under Article 206 where the contracts are recognised as assets on the balance sheet assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {120, 2}. |
| {030; 3} | Securities financing transactions not covered by a master netting agreement: Accounting value assuming no netting or other CRM — Commercial entitiesFor commercial entities as defined in paragraph 36, the accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are not covered by a master netting agreement eligible under Article 206 where the contracts are recognised as assets on the balance sheet assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation) multiplied with the inclusion factor for commercial entities determined in paragraph 38. Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.Institution shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institution shall instead include this in field {120, 3}. |
| {040; 1} | Securities financing transactions not covered by a master netting agreement: Add-on (SFT) — Financial sector entitiesArticles 206 of the CRRThis data item applies to financial entities as defined in paragraph 36:For repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet that are not covered by a master netting agreement eligible under Article 206, institutions shall form sets that consist of all assets included in a transaction (ie each SFT transaction is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) in accordance with the formulaCCE = max {(E – C); 0}WhereEthe value E_i as defined in Article 220, paragraph 3.Cthe value C_i as defined in Article 220, paragraph 3Institutions shall aggregate the outcome of this formula for all of above-mentioned sets and multiply it with the inclusion factor for financial sector entities determined in paragraph 37 and report the result in this field. |
| {040; 2} | Securities financing transactions not covered by a master netting agreement: Add-on (SFT) — Securitisation entitiesArticles 206 of the CRRFor repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet that are not covered by a master netting agreement eligible under Article 206, institutions shall form sets that consist of all assets included in a transaction (ie each SFT transaction is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) in accordance with the formulaCCE = max {(E – C); 0}WhereEthe value E_i as defined in Article 220, paragraph 3.Cthe value C_i as defined in Article 220, paragraph 3Institutions shall aggregate the outcome of this formula for all of above-mentioned sets and report the result in this field. |
| {040; 3} | Securities financing transactions not covered by a master netting agreement: Add-on (SFT) — Commercial entitiesArticles 206 of the CRRThis data item applies to commercial entities as defined in paragraph 36:For repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet that are not covered by a master netting agreement eligible under Article 206, institutions shall form sets that consist of all assets included in a transaction (ie each SFT transaction is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) in accordance with the formulaCCE = max {(E – C); 0}WhereEthe value E_i as defined in Article 220, paragraph 3.Cthe value C_i as defined in Article 220, paragraph 3Institutions shall aggregate the outcome of this formula for all of above-mentioned sets and multiply it with the inclusion factor for commercial entities determined in paragraph 38 and report the result in this field. |
| {050; 1} | Derivatives: Market value — Financial sector entitiesArticles 274, 295, 296, 297, 298 and 429 of the CRR.For financial sector entities as defined in paragraph 36, the current replacement cost as specified in Article 274(1) of contracts listed in Annex II of the CRR and credit derivatives, multiplied with the inclusion factor for financial sector entities determined in paragraph 37.As determined by Article 429(6) of the CRR, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR.Institutions shall consider all credit derivatives, not solely those in the trading book.Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR. |
| {050; 2} | Derivatives: Market value — Securitisation entitiesArticles 274, 295, 296, 297, 298 and 429 of the CRR.For securitisation entities as defined in paragraph 36, the current replacement cost as specified in Article 274(1) of contracts listed in Annex II of the CRR and credit derivatives.As determined by Article 429(6) of the CRR, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR.Institutions shall consider all credit derivatives, not solely those in the trading book.Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR. |
| {050; 3} | Derivatives: Market value — Commercial entitiesArticles 274, 295, 296, 297, 298 and 429 of the CRR.For commercial entities as defined in paragraph 36, the current replacement cost as specified in Article 274(1) of contracts listed in Annex II of the CRR and credit derivatives, multiplied with the inclusion factor for commercial entities determined in paragraph 38.As determined by Article 429(6) of the CRR, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR.Institutions shall consider all credit derivatives, not solely those in the trading book.Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR. |
| {060; 1} | Derivatives: Add-on Mark-to-Market Method — Financial sector entitiesArticles 274, 295, 296, 297, 298, 299(2), 429 of the CRRFor financial sector entities as defined in paragraph 36, this field provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives calculated in accordance with the Mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules according to Article 429(6) of the CRR, multiplied with the inclusion factor for financial sector entities determined in paragraph 37.In determining the exposure value of those contracts, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR.In accordance with Article 429(8) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2) of the CRR to all their credit derivatives, not just those assigned to the trading book.Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR. |
| {060; 2} | Derivatives: Add-on Mark-to-Market Method — Securitisation entitiesArticles 274, 295, 296, 297, 298, 299(2), 429 of the CRRFor securitisation entities as defined in paragraph 36, this field provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives calculated in accordance with the Mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules in accordance with Article 429(6) of the CRR.In determining the exposure value of those contracts, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR.In accordance with Article 429(8) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2) of the CRR to all their credit derivatives, not just those assigned to the trading book.Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR. |
| {060; 3} | Derivatives: Add-on Mark-to-Market Method — Commercial entitiesArticles 274, 295, 296, 297, 298, 299(2), 429 of the CRRFor commercial entities as defined in paragraph 36, this field provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives calculated in accordance with the Mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules according to Article 429(6) of the CRR, multiplied with the inclusion factor for commercial entities determined in paragraph 38.In determining the exposure value of those contracts, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR.In accordance with Article 429(8) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2) of the CRR to all their credit derivatives, not just those assigned to the trading book.Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR. |
| {070; 1} | Derivatives: Original Exposure Method — Financial sector entitiesArticle 429(7) and 275 of the CRRFor financial sector entities as defined in paragraph 36, this field provides the exposure measure of derivatives calculated according to the Original Exposure Method set out in Article 275 of the CRR, multiplied with the inclusion factor for financial sector entities determined in paragraph 37.Institutions that do not use the Original Exposure Method shall not report this field.Institutions shall not consider in this field contracts measured by application of the Mark-to-market method in accordance with Articles 429(6) and 274 of the CRR. |
| {070; 2} | Derivatives: Original Exposure Method — Securitisation entitiesArticle 429(7) and 275 of the CRRFor securitisation entities as defined in paragraph 36, this field provides the exposure measure of derivatives calculated according to the Original Exposure Method set out in Article 275 of the CRR.Institutions that do not use the Original Exposure Method shall not report this field.Institutions shall not consider in this field contracts measured by application of the Mark-to-market method in accordance with Articles 429(6) and 274 of the CRR. |
| {070; 3} | Derivatives: Original Exposure Method — Commercial entitiesArticle 429(7) and 275 of the CRRFor commercial entities as defined in paragraph 36, this field provides the exposure measure of derivatives calculated according to the Original Exposure Method set out in Article 275 of the CRR, multiplied with the inclusion factor for commercial entities determined in paragraph 38.Institutions that do not use the Original Exposure Method shall not report this field.Institutions shall not consider in this field contracts measured by application of the Mark-to-market method in accordance with Articles 429(6) and 274 of the CRR. |
| {080; 1} | Undrawn credit facilities, which may be cancelled unconditionally at any time without notice — Financial sector entitiesArticle 429(10)(a) of the CRRFor financial sector entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(a) of the CRR, of undrawn credit facilities, which may be cancelled unconditionally at any time without notice, referred to in the points 4(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value), multiplied with the inclusion factor for financial sector entities determined in paragraph 37.Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {080; 2} | Undrawn credit facilities, which may be cancelled unconditionally at any time without notice — Securitisation entitiesArticle 429(10)(a) of the CRRFor securitisation entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(a) of the CRR, of undrawn credit facilities, which may be cancelled unconditionally at any time without notice, referred to in the points 4(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value).Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {080; 3} | Undrawn credit facilities, which may be cancelled unconditionally at any time without notice — Commercial entitiesArticle 429(10)(a) of the CRRFor commercial entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(a) of the CRR, of undrawn credit facilities, which may be cancelled unconditionally at any time without notice, referred to in the points 4(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value), multiplied with the inclusion factor for commercial entities determined in paragraph 38.Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {090; 1} | Medium/ low risk trade related off-balance sheet items — Financial sector entitiesArticle 429(10)(b) of the CRRFor financial sector entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(b) of the CRR, of medium/low risk trade related off-balance-sheet items referred to in point 3(a) of Annex I and to officially supported export finance related off balance sheet items referred to in point 3(b)(i) of Annex 1 of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value), multiplied with the inclusion factor for financial sector entities determined in paragraph 37.Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {090; 2} | Medium/ low risk trade related off-balance sheet items — Securitisation entitiesArticle 429(10)(b) of the CRRFor securitisation entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(b) of the CRR, of medium/low risk trade related off-balance-sheet items referred to in point 3(a) of Annex I and to officially supported export finance related off balance sheet items referred to in point 3(b)(i) of Annex 1 of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value).Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {090; 3} | Medium/ low risk trade related off-balance sheet items — Commercial entitiesArticle 429(10)(b) of the CRRFor commercial entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(b) of the CRR, of medium/low risk trade related off-balance-sheet items referred to in point 3(a) of Annex I and to officially supported export finance related off balance sheet items referred to in point 3(b)(i) of Annex 1 of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value), multiplied with the inclusion factor for commercial entities determined in paragraph 38.Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {100; 1} | Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items — Financial sector entitiesArticle 429(10)(c) of the CRRFor financial sector entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)c) of the CRR, of medium risk trade related off-balance sheet items referred to in points 2(a) and 2(b)(i) of Annex I and to officially supported export finance related off balance sheet items referred to in point 2(b)(ii) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value), multiplied with the inclusion factor for financial sector entities determined in paragraph 37.Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {100; 2} | Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items — Securitisation entitiesArticle 429(10)(c) of the CRRFor securitisation entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(c) of the CRR, of medium risk trade related off-balance sheet items referred to in points 2(a) and 2(b)(i) of Annex I and to officially supported export finance related off balance sheet items referred to in point 2(b)(ii) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value).Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {100; 3} | Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items — Commercial entitiesArticle 429(10)(c) of the CRRFor commercial entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(c) of the CRR, of medium risk trade related off-balance sheet items referred to in points 2(a) and 2(b)(i) of Annex I and to officially supported export finance related off balance sheet items referred to in point 2(b)(ii) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value), multiplied with the inclusion factor for commercial entities determined in paragraph 38.Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {110; 1} | Other off-balance sheet items — Financial sector entitiesArticle 429(10)(d) of the CRRFor financial sector entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(d) of the CRR, of credit facilities of all other off-balance sheet items listed in Annex I of the CRR, (as a reminder the exposure value here shall be 100 % of the nominal value), multiplied with the inclusion factor for financial sector entities determined in paragraph 37.Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {110; 2} | Other off-balance sheet items — Securitisation entitiesArticle 429(10)(d) of the CRRFor securitisation entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(d) of the CRR, of credit facilities of all other off-balance sheet items listed in Annex I of the CRR, (as a reminder the exposure value here shall be 100 % of the nominal value).Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {110; 3} | Other off-balance sheet items — Commercial entitiesArticle 429(10)(d) of the CRRFor commercial entities as defined in paragraph 36, this field provides the exposure value, in accordance with 429(10)(d) of the CRR, of credit facilities of all other off-balance sheet items listed in Annex I of the CRR, (as a reminder the exposure value here shall be 100 % of the nominal value), multiplied with the inclusion factor for commercial entities determined in paragraph 38.Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR. |
| {120; 1} | Other assets — Financial sector entitiesArticle 429 of the CRRFor financial sector entities as defined in paragraph 36, this field provides the exposure value for all assets other than contracts listed in Annex II of the CRR, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, multiplied with the inclusion factor for financial sector entities determined in paragraph 37. Institutions shall base valuation on the principles set out in Article 429 (5) of the CRR.Institutions shall include in this field cash received or any security that is provided to a counterparty via repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). |
| {120; 2} | Other assets — Securitisation entitiesArticle 429 of the CRRFor securitisation entities as defined in paragraph 36, this field provides the exposure value for all assets other than contracts listed in Annex II of the CRR, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions. Valuation shall be based on the principles set out in Article 429 (5) of the CRR.Institutions shall include in this field cash received or any security that is provided to a counterparty via repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). |
| {120; 3} | Other assets — Commercial entitiesArticle 429 of the CRRFor commercial entities as defined in paragraph 36, this field provides the exposure value for all assets other than contracts listed in Annex II of the CRR, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, multiplied with the inclusion factor for commercial entities determined in paragraph 38. Valuation shall be based on the principles set out in Article 429 (5) of the CRR.Institutions shall include in this field cash received or any security that is provided to a counterparty via repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). |
| {130; 1} | Memo item: Total value of the investments in the entities — Financial sector entitiesAccounting value of all investments in financial sector entities as defined in paragraph 36, according to the applicable accounting framework reduced by the deductions that relate those entities pursuant to Article 36 paragraph 1, points (g), (h), and (i) of the CRR. |
| {130; 2} | Memo item: Total value of the investments in the entities — Securitisation entitiesAccounting value of all investments in the securitisation entities as defined in paragraph 36, according to the applicable accounting framework. |
| {130; 3} | Memo item: Total value of the investments in the entities — Commercial entitiesAccounting value of all investments in the commercial entities as defined in paragraph 36, according to the applicable accounting framework reduced by the deductions that relate to those entities pursuant to Article 36 paragraph 1, point (k)(i) of the CRR. |
| {140; 1} | Memo item: Total accounting assets of the entities — Financial sector entitiesTotal accounting assets of all financial sector entities as defined in paragraph 36, as reported in the respective financial statements of these entities. |
| {140; 2} | Memo item: Total accounting assets of the entities — Securitisation entitiesTotal accounting assets of all securitisation entities as defined in paragraph 36, as reported in the respective financial statements of these entities. |
| {140; 3} | Memo item: Total accounting assets of the entities — Commercial entitiesTotal accounting assets of all commercial entities as defined in paragraph 36, as reported in the respective financial statements of these entities. |
| {150; 1} | Memo item: Total accounting equity of the entities — Financial sector entitiesTotal accounting equity of all the financial sector entities as defined in paragraph 36, as reported in the respective financial statements of these entities. |
| {150; 2} | Memo item: Total accounting equity of the entities — Securitisation entitiesTotal accounting equity of all the securitisation entities as defined in paragraph 36, as reported in the respective financial statements of these entities. |
| {150; 3} | Memo item: Total accounting equity of the entities — Commercial entitiesTotal accounting equity of all the commercial entities as defined in paragraph 36, as reported in the respective financial statements of these entities. |
| {160; 1} | Memo item: Inclusion factor — Financial sector entitiesThe fraction as determined in paragraph 37 |
| {160; 3} | Memo item: Inclusion factor — Commercial entitiesThe fraction as determined in paragraph 38 |
| {170; 3} | Memo item: Accounting assets of the entities that are not considered in fields {LR6;010;3} to (LR6;120;3} — Commercial entitiesTotal accounting assets, as reported in the respective financial statements, of all the commercial entities referred to in paragraph 36 that are not considered when reporting the fields {LR6;010;3} to {LR6;120;3} due to the exemption specified in paragraph 39. |
| LIQUIDITY TEMPLATES | ||
|---|---|---|
| Template number | Template code | Name of the template/group of templates |
| LIQUIDITY COVERAGE TEMPLATES | ||
| PART I — LIQUID ASSETS | ||
| 51 | C 51.00 | LIQUIDITY COVERAGE — LIQUID ASSETS |
| PART II — OUTFLOWS | ||
| 52 | C 52.00 | LIQUIDITY COVERAGE — OUTFLOWS |
| PART III — INFLOWS | ||
| 53 | C 53.00 | LIQUIDITY COVERAGE — INFLOWS |
| PART IV — COLLATERAL SWAPS | ||
| 54 | C 54.00 | LIQUIDITY COVERAGE — COLLATERAL SWAPS |
| STABLE FUNDING TEMPLATES | ||
| PART V — STABLE FUNDING | ||
| 60 | C 60.00 | STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING |
| 61 | C 61.00 | STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING |
C 51.00 — LIQUIDITY COVERAGE — LIQUID ASSETS
| Market value | Value according to Article 418 of CRR | Amount | Undrawn amount of line | ||||
|---|---|---|---|---|---|---|---|
| Row | ID | Item | Legal references | 010 | 020 | 030 | 040 |
| 010-390 | 1 | ASSETS WHICH MEET THE REQUIREMENTS OF ARTICLES 416 AND 417 OF CRR | Article 416 and 417 of CRR | ||||
| 010 | 1,1 | cash | Article 416(1)(a) of CRR | ||||
| 020 | 1,2 | exposures to central bank | Article 416(1)(a) of CRR | ||||
| 030 | 1.2.1 | of which: exposures that can be withdrawn in times of stress | Article 416(1)(a) of CRR | ||||
| 040-110 | 1,3 | Other transferable assets representing claims on or guaranteed by | Article 416(1)(c) of CRR | ||||
| 040-050 | 1.3.1 | transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes**,** or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets | Article 416(1)(c)(i) of CRR | ||||
| 040 | 1.3.1.1 | representing claims | Article 416(1)(c)(i) of CRR | ||||
| 050 | 1.3.1.2 | guaranteed by | Article 416(1)(c)(i) of CRR | ||||
| 060-070 | 1.3.2 | transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities-in the domestic currency of the central bank and public sector entity | Article 416(1)(c)(ii) of CRR | ||||
| 060 | 1.3.2.1 | representing claims on | Article 416(1)(c)(ii) of CRR | ||||
| 070 | 1.3.2.2 | guaranteed by | Article 416(1)(c)(ii) of CRR | ||||
| 080-090 | 1.3.3 | transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks; | Article 416(1)(c)(iii) of CRR | ||||
| 080 | 1.3.3.1 | representing claims on | Article 416(1)(c)(iii) of CRR | ||||
| 090 | 1.3.3.2 | guaranteed by | Article 416(1)(c)(iii) of CRR | ||||
| 100-110 | 1.3.4 | transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism | Article 416(1)(c)(iv) of CRR | ||||
| 100 | 1.3.4.1 | representing claims on | Article 416(1)(c)(iv) of CRR | ||||
| 110 | 1.3.4.2 | guaranteed by | Article 416(1)(c)(iv) of CRR | ||||
| 120-140 | 1,4 | total shares or units in CIUs with underlying assets specified in Article 416 | Article 416(6) and 418(2) CRR | ||||
| 120 | 1.4.1 | underlying assets in point (a) of article 416(1) | Article 418(2)(a) of CRR | ||||
| 130 | 1.4.2 | underlying assets in point (b) and (c) of article 416(1) | Article 418(2)(b) of CRR | ||||
| 140 | 1.4.3 | underlying assets in point (d) of article 416(1) | Article 418(2)(c) of CRR | ||||
| 150 | 1,5 | standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance | Article 416(1) (e) CRR | ||||
| 160-170 | 1,6 | deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 CRR, to the extent that this funding is not collateralized by liquid assets | Article 416(1) (f) CRR | ||||
| 160 | 1.6.1 | deposits | Article 416(1) (f) CRR | ||||
| 170 | 1.6.2 | contractually available liquid funding | Article 416(1) (f) CRR | ||||
| Row | ID | Item | Legal references | Extremely high liquidity and credit quality assets | High liquidity and credit quality assets | ||
| Market value | Value according to Article 418 of CRR | Market value | Value according to Article 418 of CRR | ||||
| 180 | 1,7 | assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met | Article 416(2)(a)(iii) of CRR | ||||
| 190-210 | 1,8 | non financial corporate bonds | Article 416(1)(b) or (d) of CRR | ||||
| 190 | 1.8.1 | credit quality step 1 | Article 122 CRR | ||||
| 200 | 1.8.2 | credit quality step 2 | Article 122 CRR | ||||
| 210 | 1.8.3 | credit quality step 3 | Article 122 CRR | ||||
| 220-240 | 1,9 | bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5) | Article 416(2)(a)(i) of CRR | ||||
| 220 | 1.9.1 | credit quality step 1 | Article 129(4) or 129(5) of CRR | ||||
| 230 | 1.9.2 | credit quality step 2 | Article 129(4) or 129(5) of CRR | ||||
| 240 | 1.9.3 | credit quality step 3 | Article 129(4) or 129(5) of CRR | ||||
| 250-270 | 1.10 | non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR | Article 416(2)(a)(i) of CRR | ||||
| 250 | 1.10.1 | credit quality step 1 | Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR | ||||
| 260 | 1.10.2 | credit quality step 2 | Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR | ||||
| 270 | 1.10.3 | credit quality step 3 | Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR | ||||
| 280-300 | 1,11 | residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR | Article 416(2)(a)(i) of CRR | ||||
| 280 | 1.11.1 | credit quality step 1 | Chapter 5 Title 2 of part V and Article 125 of CRR | ||||
| 290 | 1.11.2 | credit quality step 2 | Chapter 5,Title 2 of part V and Article 125 of CRR | ||||
| 300 | 1.11.3 | credit quality step 3 | Chapter 5,Title 2, and Article 125 of CRR | ||||
| 310-330 | 1.12 | bonds issued by a credit institution as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9 | Article 416(2)(a)(ii) of CRR | ||||
| 310 | 1.12.1 | credit quality step 1 | Article 129(4) or 129(5) of CRR | ||||
| 320 | 1.12.2 | credit quality step 2 | Article 129(4) or 129(5) of CRR | ||||
| 330 | 1.12.3 | credit quality step 3 | Article 129(4) or 129(5) of CRR | ||||
| 340-360 | 1,13 | other transferable assets that are of extremely high liquidity and credit quality | Article 416(1)(b) of CRR | ||||
| 340 | 1.13.1 | credit quality step 1 | Chapter 2,Title 2, Part III of CRR | ||||
| 350 | 1.13.2 | credit quality step 2 | Chapter 2,Title 2, Part III of CRR | ||||
| 360 | 1.13.3 | credit quality step 3 | Chapter 2,Title 2, Part III of CRR | ||||
| 370-390 | 1,14 | other transferable assets that are of high liquidity and credit quality | Article 416(1)(d) of CRR | ||||
| 370 | 1.14.1 | credit quality step 1 | Chapter 2,Title 2, Part III of CRR | ||||
| 380 | 1.14.2 | credit quality step 2 | Chapter 2,Title 2, Part III of CRR | ||||
| 390 | 1.14.3 | credit quality step 3 | Chapter 2,Title 2, Part III of CRR | ||||
| 400-410 | 2 | ASSETS WHICH MEET THE REQUIREMENTS OF ART. 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ART. 417 (b)AND (c) CRR | Market value | Value according to Article 418 of CRR | Amount | Undrawn amount of line | |
| 400 | 2,1 | assets not controlled by a liquidity management function | Article 417 (c) of CRR | ||||
| 410 | 2,2 | assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets | Article 417 (b) of CRR | ||||
| 420-610 | 3 | ITEMS SUBJECT TO SUPPLEMENTARY REPORTING OF LIQUID ASSETS | |||||
| 420 | 3,1 | Cash | Annex III, article 1 CRR | ||||
| 430 | 3,2 | Central bank exposures, to the extent that these exposures can be drawn down in times of stress | Annex III, article 2 CRR | ||||
| 440-480 | 3,3 | transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entities | Annex III, article 3 CRR | ||||
| 440 | 3.3.1 | representing claims on sovereigns | Annex III, article 3 CRR | ||||
| 450 | 3.3.2 | claims guaranteed by sovereigns | Annex III, article 3 CRR | ||||
| 460 | 3.3.3 | representing claims on or claims guaranteed by central banks | Annex III, article 3 CRR | ||||
| 470 | 3.3.4 | representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities | Annex III, article 3 CRR | ||||
| 480 | 3.3.5 | representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks | Annex III, article 3 CRR | ||||
| 490 | 3,4 | Transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third country | Annex III, article 4 CRR | ||||
| 500-550 | 3,5 | transferable securities with a 20% risk weight and not an obligation of an institution or any of its affiliated entities | Annex III, article 5 CRR | ||||
| 500 | 3.5.1 | representing claims on sovereigns | Annex III, article 5 CRR | ||||
| 510 | 3.5.2 | claims guaranteed by sovereigns | Annex III, article 5 CRR | ||||
| 520 | 3.5.3 | representing claims on or claims guaranteed by central banks | Annex III, article 5 CRR | ||||
| 530 | 3.5.4 | representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities | Annex III, article 5 CRR | ||||
| 540 | 3.5.5 | representing claims on or claims guaranteed by multilateral development banks | Annex III, article 5 CRR | ||||
| 550 | 3,6 | transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Art. 5 of Annex III CRR | Annex III, article 6 CRR | ||||
| 560 | 3,7 | transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities | Annex III, article 7 CRR | ||||
| 570 | 3,8 | transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125 | Annex III, article 8 CRR | ||||
| 580 | 3,9 | standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance | Annex III, article 9 CRR | ||||
| 590 | 3.10 | Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. | Annex III, article 10 CRR | ||||
| 600 | 3,11 | exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates | Annex III, article 11 CRR | ||||
| 610 | 3,12 | gold listed on a recognised exchange, held on an allocated basis | Annex III, article 12 CRR | ||||
| Row | ID | Item | Legal references | Market value | Value according to Article 418 of CRR | Amount | Undrawn amount of line |
| 620-850 | 4 | ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1) - (3) OF CRR BUT STILL MEET THE REQUIREMENTS OF ART. 417 (b) AND (c ) CRR | |||||
| 620-640 | 4,1 | financial corporate bonds | Article 416 (2) of CRR | ||||
| 620 | 4.1.1 | credit quality step 1 | Article 120(1) of CRR | ||||
| 630 | 4.1.2 | credit quality step 2 | Article 120(1) of CRR | ||||
| 640 | 4.1.3 | credit quality step 3 | Article 120(1) of CRR | ||||
| 650-670 | 4,2 | own issuances | Article 416.3(b) -of CRR | ||||
| 650 | 4.2.1 | credit quality step 1 | Article 120(1) of CRR | ||||
| 660 | 4.2.2 | credit quality step 2 | Article 120(1) of CRR | ||||
| 670 | 4.2.3 | credit quality step 3 | Article 120(1) of CRR | ||||
| 680-700 | 4,3 | unsecured credit institution issuances | Article 416 of CRR | ||||
| 680 | 4.3.1 | credit quality step 1 | Article 120(1) of CRR | ||||
| 690 | 4.3.2 | credit quality step 2 | Article 120(1) of CRR | ||||
| 700 | 4.3.3 | credit quality step 3 | Article 120(1) of CRR | ||||
| 710-730 | 4,4 | non residential mortgage backed instruments not already reported in 1.10 | Article 416 (4)(b) CRR | ||||
| 710 | 4.4.1 | credit quality step 1 | Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR | ||||
| 720 | 4.4.2 | credit quality step 2 | Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR | ||||
| 730 | 4.4.3 | credit quality step 3 | Chapter 5,Title 2, and Article 123, 124, 125, 126 of CRR | ||||
| 740-760 | 4,5 | residential mortgage backed instruments not already reported in 1.11 | Article 509(3)(a) CRR | ||||
| 740 | 4.5.1 | credit quality step 1 | Chapter 5,Title 2 of Part III and Article 125 of CRR | ||||
| 750 | 4.5.2 | credit quality step 2 | Chapter 5,Title 2 of Part III and Article 125 of CRR | ||||
| 760 | 4.5.3 | credit quality step 3 | Chapter 5,Title 2 of Part III and Article 125 of CRR | ||||
| 770 | 4,6 | equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions | Article 509(3)(c) and 416(4)(a) of CRR | ||||
| 780 | 4,7 | gold | Article 509(3)(c) and 416(4)(a) of CRR | ||||
| 790 | 4,8 | guaranteed bonds not already reported above | Article 509(3)(c) of CRR | ||||
| 800 | 4,9 | covered bonds not already reported above | Article 509(3)(c) of CRR | ||||
| 810 | 4.10 | corporate bonds not already reported above | Article 509(3)(c) of CRR | ||||
| 820 | 4.11 | funds based on the assets reported in 4.5 -4.10 | Article 509(3)(c) of CRR | ||||
| 830-850 | 4.12 | other categories of central bank eligible securities or loans | Article 509(3)(b) of CRR | ||||
| 830 | 4.12.1 | local government bonds | Article 509(3)(b) of CRR | ||||
| 840 | 4.12.2 | commercial paper | Article 509(3)(b) of CRR | ||||
| 850 | 4.12.3 | credit claims | Article 416(4)(c) of CRR | ||||
| 860-870 | 5 | TREATMENT FOR JURISDICTIONS WITH INSUFFICIENT HQLA | Article 419(2)(a) of CRR | ||||
| 860 | 5,1 | Use of derogation A (foreign currency) | Article 419(2)(a) of CRR | ||||
| 870 | 5,2 | Use of derogation B (credit line from the relevant central bank) | Article 419(2)(b) of CRR | ||||
| 880-900 | 6 | REPORTING OF SHAR'IAH COMPLIANT ASSETS AS ALTERNATIVE ASSETS UNDER 509(2)(i). Shar'iah -compliant financial products as alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks | Article 509(2)(i) of CRR | ||||
| 880 | 6.1 | credit quality step 1 | |||||
| 890 | 6.2 | credit quality step 2 | |||||
| 900 | 6.3 | credit quality step 3 |
C 52.00 — LIQUIDITY COVERAGE — OUTFLOWS
| Amount | Outflow | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | Legal references | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 020-1370 | 1 | OUTFLOWS | |||||||||||||
| 020-100 | 1,1 | retail deposits | Article 421 of CRR | ||||||||||||
| 020-040 | 1.1.1 | covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | Article 421(1) of CRR | ||||||||||||
| 020 | 1.1.1.1 | part of an established relationship making withdrawal highly unlikely | Article 421(1)(a) of CRR | ||||||||||||
| 030 | 1.1.1.2 | held in transactional accounts, including accounts to which salaries are regularly credited | Article 421(1)(b) of CRR | ||||||||||||
| 040 | 1.1.2 | covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country which do not qualify to be reported in items 1.1.1.1 or 1.1.1.2 | Article 421(2) of CRR | ||||||||||||
| 050 | 1.1.3 | uninsured retail deposits | Article 421(2) of CRR | ||||||||||||
| 060-080 | 1.1.4 | deposits subject to different outflows than specified in Article 421(1) or 421(2) | Article 421(3) of CRR | ||||||||||||
| 060 | 1.1.4.1 | Category 1 | |||||||||||||
| 070 | 1.1.4.2 | Category 2 | |||||||||||||
| 080 | 1.1.4.3 | Category 3 | |||||||||||||
| 090 | 1.1.5 | deposits in third countries where a higher outflow is applied | Article 421(4) of CRR | ||||||||||||
| 100 | 1.1.6 | deposits exempted from the calculation of outflows where the conditions of Art. 421(5)(a) and (b) have been met | Article 421(5) of CRR | ||||||||||||
| 110-1130 | 1,2 | outflows on other liabilities | |||||||||||||
| 110 | 1.2.1 | liabilities resulting from the institution's own operating expenses | Article 422(1) of CRR | ||||||||||||
| Row | ID | Item | Legal references | Market value | Where the counterparty is not a central bank | Where the counterparty is a central bank | Where the counterparty is the central government, a public sector entity of the Member state in which the credit istitution has been authorised or has establised a branch, or a multilateral development bank (Art.422.2(d)) | ||||||||
| extremely high liquidity and credit quality assets | high liquidity and credit quality | other liquidity and credit quality | extremely high liquidity and credit quality assets | high liquidity and credit quality | other liquidity and credit quality | Assets which do not qualify as liquid assets in accordance with Article 416 | |||||||||
| Amount due | Value according to Art. 418 CRR | Amount due | Value according to Art. 418 CRR | Amount due | Amount due | Value according to Art. 418 CRR | Amount due | Value according to Art. 418 CRR | Amount due | Amount due | |||||
| 120-950 | 1.2.2 | Liabilities resulting from secured lending and capital market driven transactions as defined in Article 192: | Article 422(2) of CRR | ||||||||||||
| 120-190 | 1.2.2.1 | Other transferable assets representing claims on or guaranteed by | Article 416(1)(c) of CRR | ||||||||||||
| 120-130 | 1.2.2.1.1 | transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes**,** or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquidity assets | Article 416(1)(c)(i) of CRR | ||||||||||||
| 120 | 1.2.2.1.1.1 | representing claims | Article 416(1)(c)(i) of CRR | ||||||||||||
| 130 | 1.2.2.1.1.2 | guaranteed by | Article 416(1)(c)(i) of CRR | ||||||||||||
| 140-150 | 1.2.2.1.2 | transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity | Article 416(1)(c)(ii) of CRR | ||||||||||||
| 140 | 1.2.2.1.2.1 | representing claims on | Article 416(1)(c)(ii) of CRR | ||||||||||||
| 150 | 1.2.2.1.2.2 | guaranteed by | Article 416(1)(c)(ii) of CRR | ||||||||||||
| 160-170 | 1.2.2.1.3 | transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks; | Article 416(1)(c)(iii) of CRR | ||||||||||||
| 160 | 1.2.2.1.3.1 | representing claims on | Article 416(1)(c)(iii) of CRR | ||||||||||||
| 170 | 1.2.2.1.3.2 | guaranteed by | Article 416(1)(c)(iii) of CRR | ||||||||||||
| 180-190 | 1.2.2.1.4 | transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism | Article 416(1)(c)(iv) of CRR | ||||||||||||
| 180 | 1.2.2.1.4.1 | representing claims on | Article 416(1)(c)(iv) of CRR | ||||||||||||
| 190 | 1.2.2.1.4.2 | guaranteed by | Article 416(1)(c)(iv) of CRR | ||||||||||||
| 200-220 | 1.2.2.2 | total shares or units in CIUs with underlying assets specified in Article 416 | Article 416(6) and 418(2) CRR | ||||||||||||
| 200 | 1.2.2.2.1 | underlying assets in point (a) of article 416(1) | Article 418(2)(a) of CRR | ||||||||||||
| 210 | 1.2.2.2.2 | underlying assets in point (b) and (c) of article 416(1) | Article 418(2)(b) of CRR | ||||||||||||
| 220 | 1.2.2.2.3 | underlying assets in point (d) of article 416(1) | Article 418(2)(c) of CRR | ||||||||||||
| 230 | 1.2.2.3 | assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met | Article 416(2)(a)(iii) of CRR | ||||||||||||
| 240-260 | 1.2.2.4 | non financial corporate bonds | Article 416(1)(b) or (d) of CRR | ||||||||||||
| 240 | 1.2.2.4.1 | credit quality step 1 | Article 122 CRR | ||||||||||||
| 250 | 1.2.2.4.2 | credit quality step 2 | Article 122 CRR | ||||||||||||
| 260 | 1.2.2.4.3 | credit quality step 3 | Article 122 CRR | ||||||||||||
| 270-290 | 1.2.2.5 | bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5) | Article 416(2)(a)(i) of CRR | ||||||||||||
| 270 | 1.2.2.5.1 | credit quality step 1 | Article 129(4) or 129(5) of CRR | ||||||||||||
| 280 | 1.2.2.5.2 | credit quality step 2 | Article 129(4) or 129(5) of CRR | ||||||||||||
| 290 | 1.2.2.5.3 | credit quality step 3 | Article 129(4) or 129(5) of CRR | ||||||||||||
| 300-320 | 1.2.2.6 | non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR | Article 416(2)(a)(i) of CRR | ||||||||||||
| 300 | 1.2.2.6.1 | credit quality step 1 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||||||||
| 310 | 1.2.2.6.2 | credit quality step 2 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||||||||
| 320 | 1.2.2.6.3 | credit quality step 3 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||||||||
| 330-350 | 1.2.2.7 | residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR | Article 416(2)(a)(i) of CRR | ||||||||||||
| 330 | 1.2.2.7.1 | credit quality step 1 | Chapter 5 Title 2 of part V and Article 125 of CRR | ||||||||||||
| 340 | 1.2.2.7.2 | credit quality step 2 | Chapter 5, Title 2 of part V and Article 125 of CRR | ||||||||||||
| 350 | 1.2.2.7.3 | credit quality step 3 | Chapter 5, Title 2, and Article 125 of CRR | ||||||||||||
| 360-380 | 1.2.2.8 | bonds issued by a credit institution as defined in Art. 52(4) of Directive 2009/65/EC other than those referred to in 1.9 of LCR-Assets' template | Article 416(2)(a)(ii) of CRR | ||||||||||||
| 360 | 1.2.2.8.1 | credit quality step 1 | Article 129(4) or 129(5) of CRR | ||||||||||||
| 370 | 1.2.2.8.2 | credit quality step 2 | Article 129(4) or 129(5) of CRR | ||||||||||||
| 380 | 1.2.2.8.3 | credit quality step 3 | Article 129(4) or 129(5) of CRR | ||||||||||||
| 390-410 | 1.2.2.9 | other transferable assets that are of extremely high liquidity and credit quality | Article 416(1)(b) of CRR | ||||||||||||
| 390 | 1.2.2.9.1 | credit quality step 1 | Chapter 2, Title 2, Part III of CRR | ||||||||||||
| 400 | 1.2.2.9.2 | credit quality step 2 | Chapter 2, Title 2, Part III of CRR | ||||||||||||
| 410 | 1.2.2.9.3 | credit quality step 3 | Chapter 2, Title 2, Part III of CRR | ||||||||||||
| 420-440 | 1.2.2.10 | other transferable assets that are of high liquidity and credit quality | Article 416(1)(d) of CRR | ||||||||||||
| 420 | 1.2.2.10.1 | credit quality step 1 | Chapter 2, Title 2, Part III of CRR | ||||||||||||
| 430 | 1.2.2.10.2 | credit quality step 2 | Chapter 2, Title 2, Part III of CRR | ||||||||||||
| 440 | 1.2.2.10.3 | credit quality step 3 | Chapter 2, Title 2, Part III of CRR | ||||||||||||
| 450-460 | 1.2.2.11 | Assets which meet the requirements of article 416 point (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) CRR | |||||||||||||
| 450 | 1.2.2.11.1 | assets not controlled by a liquidity management function | Article 417 (c) of CRR | ||||||||||||
| 460 | 1.2.2.11.2 | assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets | Article 417 (b) of CRR | ||||||||||||
| 480-680 | 1.2.2.12 | Items subject to supplementary reporting of liquid assets | |||||||||||||
| 480 | 1.2.2.12.1 | Cash | Annex III, article 1 CRR | ||||||||||||
| 490 | 1.2.2.12.2 | Central bank exposures, to the extent that these exposures can be drawn down in times of stress | Annex III, article 2 CRR | ||||||||||||
| 500-540 | 1.2.2.12.3 | transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entities | Annex III, article 3 CRR | ||||||||||||
| 500 | 1.2.2.12.3.1 | representing claims on sovereigns | Annex III, article 3 CRR | ||||||||||||
| 510 | 1.2.2.12.3.2 | claims guaranteed by sovereigns | Annex III, article 3 CRR | ||||||||||||
| 520 | 1.2.2.12.3.3 | representing claims on or claims guaranteed by central banks | Annex III, article 3 CRR | ||||||||||||
| 530 | 1.2.2.12.3.4 | representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities | Annex III, article 3 CRR | ||||||||||||
| 540 | 1.2.2.12.3.5 | representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks | Annex III, article 3 CRR | ||||||||||||
| 550 | 1.2.2.12.4 | Transferable securities other than those referred to in 3.3 of the LCR-Assets' template representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third country | Annex III, article 4 CRR | ||||||||||||
| 570-610 | 1.2.2.12.5 | transferable securities with a 20 % risk weight and not an obligation of an institution or any of its affiliated entities | Annex III, article 5 CRR | ||||||||||||
| 570 | 1.2.2.12.5.1 | representing claims on sovereigns | Annex III, article 5 CRR | ||||||||||||
| 580 | 1.2.2.12.5.2 | claims guaranteed by sovereigns | Annex III, article 5 CRR | ||||||||||||
| 590 | 1.2.2.12.5.3 | representing claims on or claims guaranteed by central banks | Annex III, article 5 CRR | ||||||||||||
| 600 | 1.2.2.12.5.4 | representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities | Annex III, article 5 CRR | ||||||||||||
| 610 | 1.2.2.12.5.5 | representing claims on or claims guaranteed by multilateral development banks | Annex III, article 5 CRR | ||||||||||||
| 620 | 1.2.2.12.6 | transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Point 6 of Annex III CRR | Annex III, article 6 CRR | ||||||||||||
| 630 | 1.2.2.12.7 | transferable securities other than those referred to in 3.3 to 3.6 of the LCR-Assets' template that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities | Annex III, article 7 CRR | ||||||||||||
| 640 | 1.2.2.12.8 | transferable securities other than those referred to in 3.3 to 3.7 of the LCR-Assets' template that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Art. 125 CRR | Annex III, article 8 CRR | ||||||||||||
| 650 | 1.2.2.12.9 | standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance | Annex III, article 9 CRR | ||||||||||||
| 660 | 1.2.2.12.10 | Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. | Annex III, article 10 CRR | ||||||||||||
| 670 | 1.2.2.12.11 | exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates | Annex III, article 11 CRR | ||||||||||||
| 680 | 1.2.2.12.12 | gold listed on a recognised exchange, held on an allocated basis | Annex III, article 12 CRR | ||||||||||||
| 690-920 | 1.2.2.13 | ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1)-(3) OF CRR but still meet the requirements of Article 417 (b) and (c) CRR. | |||||||||||||
| 690-710 | 1.2.2.13.1 | financial corporate bonds | Article 416 (2) of CRR | ||||||||||||
| 690 | 1.2.2.13.1.1 | credit quality step 1 | Article 120(1) of CRR | ||||||||||||
| 700 | 1.2.2.13.1.2 | credit quality step 2 | Article 120(1) of CRR | ||||||||||||
| 710 | 1.2.2.13.1.3 | credit quality step 3 | Article 120(1) of CRR | ||||||||||||
| 720-740 | 1.2.2.13.2 | own issuances | Article 416.3(b) of CRR | ||||||||||||
| 720 | 1.2.2.13.2.1 | credit quality step 1 | Article 120(1) of CRR | ||||||||||||
| 730 | 1.2.2.13.2.2 | credit quality step 2 | Article 120(1) of CRR | ||||||||||||
| 740 | 1.2.2.13.2.3 | credit quality step 3 | Article 120(1) of CRR | ||||||||||||
| 750-770 | 1.2.2.13.3 | unsecured credit institution issuances | Article 416 of CRR | ||||||||||||
| 750 | 1.2.2.13.3.1 | credit quality step 1 | Article 120(1) of CRR | ||||||||||||
| 760 | 1.2.2.13.3.2 | credit quality step 2 | Article 120(1) of CRR | ||||||||||||
| 770 | 1.2.2.13.3.3 | credit quality step 3 | Article 120(1) of CRR | ||||||||||||
| 780-800 | 1.2.2.13.4 | asset backed securities not already reported in 1.10 to 1.11.3 | Article 416 (4)(b) CRR | ||||||||||||
| 780 | 1.2.2.13.4.1 | credit quality step 1 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||||||||
| 790 | 1.2.2.13.4.2 | credit quality step 2 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||||||||
| 800 | 1.2.2.13.4.3 | credit quality step 3 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||||||||
| 810-830 | 1.2.2.13.5 | residential mortgage backed securities not already reported in 1.10 to 1.11.3 | Article 509(3)(a) CRR | ||||||||||||
| 810 | 1.2.2.13.5.1 | credit quality step 1 | Chapter 5, Title 2 of Part III and Article 125 of CRR | ||||||||||||
| 820 | 1.2.2.13.5.2 | credit quality step 2 | Chapter 5, Title 2 of Part III and Article 125 of CRR | ||||||||||||
| 830 | 1.2.2.13.5.3 | credit quality step 3 | Chapter 5, Title 2 of Part III and Article 125 of CRR | ||||||||||||
| 840 | 1.2.2.13.6 | equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions | Article 509(3)(c) and 416(4)(a) of CRR | ||||||||||||
| 850 | 1.2.2.13.7 | gold | Article 509(3)(c) and 416(4)(a) of CRR | ||||||||||||
| 860 | 1.2.2.13.8 | guaranteed bonds not already reported above | Article 509(3)(c) of CRR | ||||||||||||
| 870 | 1.2.2.13.9 | covered bonds not already reported above | Article 509(3)(c) of CRR | ||||||||||||
| 880 | 1.2.2.13.10 | corporate bonds not already reported above | Article 509(3)(c) of CRR | ||||||||||||
| 890 | 1.2.2.13.11 | funds based on the assets reported in 4.5 -4.9 | Article 509(3)(c) of CRR | ||||||||||||
| 900-920 | 1.2.2.13.12 | other categories of central bank eligible securities or loans | Article 509(3)(b) of CRR | ||||||||||||
| 900 | 1.2.2.13.12.1 | local government bonds | Article 509(3)(b) of CRR | ||||||||||||
| 910 | 1.2.2.13.12.2 | commercial paper | Article 509(3)(b) of CRR | ||||||||||||
| 920 | 1.2.2.13.12.3 | credit claims | Article 416(4)(c) of CRR | ||||||||||||
| 930-950 | 1.2.2.14 | Reporting of Shar'iah compliant assets as an alternative assets under 509(2)(i) | |||||||||||||
| 930-950 | 1.2.2.14.1 | Shar'iah -compliant financial products as an alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks | Article 509(2)(i) of CRR | ||||||||||||
| 930 | 1.2.2.14.1.1 | credit quality step 1 | |||||||||||||
| 940 | 1.2.2.14.1.2 | credit quality step 2 | |||||||||||||
| 950 | 1.2.2.14.1.3 | credit quality step 3 | |||||||||||||
| Row | ID | Item | Legal References | Amount deposited by clients that are financial customers | Outflow | Amount deposited by clients that are not financial customers | Outflow | Amount | |||||||
| 960-1030 | 1.2.3 | deposits that have to be maintained by the depositor: | Article 422 (3) of CRR | ||||||||||||
| 960-990 | 1.2.3.1. | in order to obtain clearing, custody or cash management services or other comparable services (excluding correspondent banking or prime brokerage services) | Article 422 (3)(a) of CRR | ||||||||||||
| 960-970 | 1.2.3.1.1 | which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | |||||||||||||
| 960 | 1.2.3.1.1.1 | of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality | |||||||||||||
| 970 | 1.2.3.1.1.2 | of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality | |||||||||||||
| 980-990 | 1.2.3.1.2 | which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | |||||||||||||
| 980 | 1.2.3.1.2.1 | of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality | |||||||||||||
| 990 | 1.2.3.1.2.2 | of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality | |||||||||||||
| 1000 | 1.2.3.2 | in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2 | Article 422 (3)(c) of CRR | ||||||||||||
| 1010 | 1.2.3.2.1 | of which are correspondent banking or prime brokerage services | Article 422 (3)(c) and (4) of CRR | ||||||||||||
| 1020 | 1.2.3.3 | in the context of common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) or as a legal or statutory minimum deposit by another entity being a member of the same institutional protection scheme | Article 422 (3)(b) of CRR | ||||||||||||
| 1030 | 1.2.3.4 | to obtain cash clearing and central credit institution services and where the credit institution belongs to a network in accordance with legal or statutory provisions; | Article 422.3(d) of CRR | ||||||||||||
| 1040 | 1.2.4 | Deposits from credit institutions placed at central credit institutions that are considered as liquid assets in accordance with Article 416(1)(f) | Article 422(3) of CRR | ||||||||||||
| 1050 | 1.2.5 | liqudity lines for assets specified in Article 416(1)(f) | Article 416(1)(f) | ||||||||||||
| Row | ID | Item | Legal References | Amount | Outflow | ||||||||||
| 1060-1070 | 1.2.6 | liabilities not reported in 1.2.2 to 1.2.5 resulting from deposits by clients that are not financial customers | Article 422(5) of CRR | ||||||||||||
| 1060 | 1.2.6.1 | which are covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | Article 422(5) of CRR | ||||||||||||
| 1070 | 1.2.6.2 | which are not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | Article 422(5) of CRR | ||||||||||||
| 1080 | 1.2.7 | net amount payable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416 | Article 422(6) of CRR | ||||||||||||
| 1090-1100 | 1.2.8 | liabilities for which the competent authority has determined a lower outflow in accordance with Article 422(8) | Article 422(8) of CRR | ||||||||||||
| 1090 | 1.2.8.1 | where all the conditions of Article 422(8) (a), (b), (c) and (d) are met | Article 422(8) of CRR | ||||||||||||
| 1100 | 1.2.8.2 | where point (d) of Article 422(8)(d) has been waived by the competent authorities and all the conditions of Article 422 (8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 19 (1)(b) in relation to institutions that are not subject to the waiver of Article 8 liabilities for which the competent authority has determined a lower outflow in accordance with article 422(9) | Article 422(9) of CRR | ||||||||||||
| 1110-1120 | 1.2.9 | outflows not captured above | Article 420(1)(e) of CRR | ||||||||||||
| 1110 | 1.2.9.1 | liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, including, but not limited to committed funding facilities, un-drawn loans and advances to wholesale counterparties, mortgages that have been agreed but not yet drawn down, credit cards, overdrafts, planned outflows related to renewal or extension of new retail or wholesale loans, planned derivative payables | Article 420(2) of CRR | ||||||||||||
| 1120 | 1.2.9.2 | trade finance off balance sheet related products, as defined in Article 429 and Annex I | Article 420(2) of CRR | ||||||||||||
| 1130 | 1.2.10 | all other liabilities | Article 422(7) of CRR | ||||||||||||
| Row | ID | Item | Legal References | Amount | Outflow | Market value | Value according to Article 418 of the CRR | ||||||||
| 1140-1210 | 1,3 | additional Outflows | |||||||||||||
| 1140 | 1.3.1 | for collateral other than assets referred to in Article 416.1(a) to (c) which is posted by the institution for contracts listed in Annex II and credit derivatives | Article 423(1) of CRR | ||||||||||||
| 1150 | 1.3.2 | corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institution | Article 423(2) of CRR | ||||||||||||
| 1160 | 1.3.3 | corresponding to additional collateral needs that would result from the impact of an adverse market scenario on the institution's derivatives transaction, financing transactions and other contracts if material | Article 423 (3) of CRR | ||||||||||||
| 1170 | 1.3.4 | corresponding to the market value of securities or other assets sold short and to be delivered within the 30 days horizon unless the institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 day horizon and the securities do not form part of the institutions liquid assets | Article 423 (4) of CRR | ||||||||||||
| 1180 | 1.3.5 | corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterparty | Article 423(5)(a) of CRR | ||||||||||||
| 1190 | 1.3.6 | corresponding to collateral that is due to be returned to a counterparty | Article 423(5)(b) of CRR | ||||||||||||
| 1200 | 1.3.7 | corresponding to collateral that corresponds to assets that would qualify as liquid assets for the purposes of Article 416 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Article 416 without the consent of the institution. | Article 423(5)(c) of CRR | ||||||||||||
| 1210 | 1.3.8 | deposits received as collateral | Article 423(6) of CRR | ||||||||||||
| Row | ID | Item | Legal References | Amount | Outflow | ||||||||||
| 1220-1370 | 1,4 | outflows from credit and liquidity facilities | |||||||||||||
| 1220 | 1.4.1 | maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for retail clients | Article 424 (2) of CRR | ||||||||||||
| 1230-1240 | 1.4.2 | maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for clients other than retail and financial customers | Article 424(3) of CRR | ||||||||||||
| 1230 | 1.4.2.1 | undrawn committed credit facilities | |||||||||||||
| 1240 | 1.4.2.2 | undrawn committed liquidity facilities | |||||||||||||
| 1250 | 1.4.3 | maximum amount that can be drawn of undrawn liquidity facilities that has been provided to an SSPE for the purpose of enabling such SSPE to purchase assets other than securities from clients that are not financial customers that exceeds the amount of assets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased | Article 424(4) of CRR | ||||||||||||
| 1260-1270 | 1.4.4 | maximum amount that can be drawn of other undrawn committed credit faciltiies and undrawn committed liquidity facilities not reported in 1.4.1, 1.4.2 or 1.4.3 | Article 424(5) of CRR | ||||||||||||
| 1260 | 1.4.4.1 | granted to SSPEs other than those in 1.4.3 | Article 424(5) (a) of CRR | ||||||||||||
| 1270 | 1.4.4.2 | arrangements under which the institution is required to buy or swap assets from an SSPE | Article 424 (5)(b) of CRR | ||||||||||||
| 1280-1290 | 1.4.4.3 | extended to credit institutions | Article 424(5)(c) of CRR | ||||||||||||
| 1280 | 1.4.4.3.1 | undrawn committed credit facilities | |||||||||||||
| 1290 | 1.4.4.3.2 | undrawn committed liquidity facilities | |||||||||||||
| 1300-1310 | 1.4.4.4 | extended to financial institutions and investment firms | Article 424(5) (d) of CRR | ||||||||||||
| 1300 | 1.4.4.4.1 | undrawn committed credit facilities | |||||||||||||
| 1310 | 1.4.4.4.2 | undrawn committed liquidity facilities | |||||||||||||
| 1320 | 1.4.4.5 | extended to other clients | |||||||||||||
| 1330 | 1.4.4.6 | extended to intra-group entity in accordance with article 424(5) | Article 424(5) (d) of CRR | ||||||||||||
| 1340 | 1.4.5 | maximum amount that can be drawn of undrawn credit and liquidity facilities granted for the purpose of funding promotional loans | Article 424(6) of CRR | ||||||||||||
| 1350 | 1.4.6 | maximum amount that can be drawn from all other contingent liabilities | |||||||||||||
| 1360 | 1.4.6.1 | Of which: extended to intra-group entity in accordance with Article 424(5) | Article 424(5) CRR | ||||||||||||
| 1370 | 1.4.7 | Outflows according to Article 105 CRD | Article 105 CRD |
C 53.00 — LIQUIDITY COVERAGE — INFLOWS
| Amount | Inflow | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Row | ID | Item | Legal references | 010 | 020 | 030 | 040 | 050 | 060 |
| 010-1030 | INFLOWS | Article 425 of CRR | |||||||
| 010-980 | 1 | INFLOWS (CAPPED) | Article 425 (1) of CRR | ||||||
| 010-060 | 1.1. | Monies due from customers that are not financial customers | Article 425 of CRR | ||||||
| 010 | 1.1.1. | Monies due from retail customers | Article 425 of CRR | ||||||
| 020 | 1.1.2 | monies due from non-financial corporate customers payment | Article 425 of CRR | ||||||
| 030 | 1.1.2.1 | Of which: that the institution owing those monies treats according to Article 422 (2) (e) | Article 425 (2) (e) | ||||||
| 040 | 1.1.3 | monies due from central banks | Article 425 (2)(a) of CRR | ||||||
| 050 | 1.1.1.3.1 | Of which: that the institution owing those monies treats according to Article 422 (3) and (4) | Article 425 (2)(e) of CRR | ||||||
| 060 | 1.1.4 | monies due from other entities | Article 425 (2)(a) of CRR | ||||||
| 070-080 | 1.2 | Monies due from financial customers | Article 425 (2) of CRR | ||||||
| 070 | 1.2.1 | that the institution owing those monies treats according to Article 422(3) and (4) | Article 425 (2)(e) of CRR | ||||||
| 080 | 1.2.2 | that the competent authority has granted the permission to apply a lower outflow percentage according to Article 422.8 | Article 422(8) of CRR | ||||||
| 090 | 1.3 | monies due from trade financing transactions according to Article 425(2) point (b) | Article 425 (2)(b) of CRR | ||||||
| 100 | 1.4 | assets with an undefined contractual end date that are callable within 30 days | Article 425 (2)(c) of CRR | ||||||
| 110 | 1.5 | monies due from positions in major index equity instruments provided that there is no double counting with liquid assets | Article 425 (2)(f) of CRR | ||||||
| Row | ID | Item | Legal references | extremely high liquidity****and credit quality assets | high liquidity****and credit quality | other liquidity****and credit quality | |||
| Amount due | Market value of the asset securing the transaction | Amount due | Market value of the asset securing the transaction | Amount due | Market value of the asset securing the transaction | ||||
| 120-930 | 1.6 | Monies due from secured lending and capital market driven transactions as defined in Article 192: | Article 425.2.(d) of CRR | ||||||
| 120-190 | 1.6.1. | Other transferable assets representing claims on or guaranteed by | Article 416(1)(c) of CRR | ||||||
| 120-130 | 1.6.1.1 | transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes**,** or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquidity assets | Article 416(1)(c)(i) of CRR | ||||||
| 120 | 1.6.1.1.1 | representing claims | Article 416(1)(c)(i) of CRR | ||||||
| 130 | 1.6.1.1.2 | guaranteed by | Article 416(1)(c)(i) of CRR | ||||||
| 140-150 | 1.6.1.2 | transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities -in the domestic currency of the central bank and public sector entity | Article 416(1)(c)(ii) of CRR | ||||||
| 140 | 1.6.1.2.1 | representing claims on | Article 416(1)(c)(ii) of CRR | ||||||
| 150 | 1.6.1.2.2 | guaranteed by | Article 416(1)(c)(ii) of CRR | ||||||
| 160-170 | 1.6.1.3 | transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks; | Article 416(1)(c)(iii) of CRR | ||||||
| 160 | 1.6.1.3.1 | representing claims on | Article 416(1)(c)(iii) of CRR | ||||||
| 170 | 1.6.1.3.2 | guaranteed by | Article 416(1)(c)(iii) of CRR | ||||||
| 180-190 | 1.6.1.4 | transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism | Article 416(1)(c)(iv) of CRR | ||||||
| 180 | 1.6.1.4.1 | representing claims on | Article 416(1)(c)(iv) of CRR | ||||||
| 190 | 1.6.1.4.2 | guaranteed by | Article 416(1)(c)(iv) of CRR | ||||||
| 200-220 | 1.6.2 | total shares or units in CIUs with underlying assets specified in Article 416 | Article 416(6) and 418(2) CRR | ||||||
| 200 | 1.6.2.1 | underlying assets in point (a) of article 416(1) | Article 418(2)(a) of CRR | ||||||
| 210 | 1.6.2.2 | underlying assets in point (b) and (c) of article 416(1) | Article 418(2)(b) of CRR | ||||||
| 220 | 1.6.2.3 | underlying assets in point (d) of article 416(1) | Article 418(2)(c) of CRR | ||||||
| 230 | 1.6.3 | assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met | Article 416(2)(a)(iii) of CRR | ||||||
| 240-260 | 1.6.4 | non financial corporate bonds | Article 416(1)(b) or (d) of CRR | ||||||
| 240 | 1.6.4.1 | credit quality step 1 | Article 122 CRR | ||||||
| 250 | 1.6.4.2 | credit quality step 2 | Article 122 CRR | ||||||
| 260 | 1.6.4.3 | credit quality step 3 | Article 122 CRR | ||||||
| 270-290 | 1.6.5 | bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5) | Article 416(2)(a)(i) of CRR | ||||||
| 270 | 1.6.5.1 | credit quality step 1 | Article 129(4) or 129(5) of CRR | ||||||
| 280 | 1.6.5.2 | credit quality step 2 | Article 129(4) or 129(5) of CRR | ||||||
| 290 | 1.6.5.3 | credit quality step 3 | Article 129(4) or 129(5) of CRR | ||||||
| 300-320 | 1.6.6 | non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR | Article 416(2)(a)(i) of CRR | ||||||
| 300 | 1.6.6.1 | credit quality step 1 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||
| 310 | 1.6.6.2 | credit quality step 2 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||
| 320 | 1.6.6.3 | credit quality step 3 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||
| 330-350 | 1.6.7 | residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR | Article 416(2)(a)(i) of CRR | ||||||
| 330 | 1.6.7.1 | credit quality step 1 | Chapter 5 Title 2 of part V and Article 125 of CRR | ||||||
| 340 | 1.6.7.2 | credit quality step 2 | Chapter 5, Title 2 of part V and Article 125 of CRR | ||||||
| 350 | 1.6.7.3 | credit quality step 3 | Chapter 5, Title 2, and Article 125 of CRR | ||||||
| 360-380 | 1.6.8 | bonds issued by a credit institution as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9 | Article 416(2)(a)(ii) of CRR | ||||||
| 360 | 1.6.8.1 | credit quality step 1 | Article 129(4) or 129(5) of CRR | ||||||
| 370 | 1.6.8.2 | credit quality step 2 | Article 129(4) or 129(5) of CRR | ||||||
| 380 | 1.6.8.3 | credit quality step 3 | Article 129(4) or 129(5) of CRR | ||||||
| 390-410 | 1.6.9 | other transferable assets that are of extremely high liquidity and credit quality | Article 416(1)(b) of CRR | ||||||
| 390 | 1.6.9.1 | credit quality step 1 | Chapter 2, Title 2, Part III of CRR | ||||||
| 400 | 1.6.9.2 | credit quality step 2 | Chapter 2, Title 2, Part III of CRR | ||||||
| 410 | 1.6.9.3 | credit quality step 3 | Chapter 2, Title 2, Part III of CRR | ||||||
| 420-440 | 1.6.10 | other transferable assets that are of high liquidity and credit quality | Article 416(1)(d) of CRR | ||||||
| 420 | 1.6.10.1 | credit quality step 1 | Chapter 2, Title 2, Part III of CRR | ||||||
| 430 | 1.6.10.2 | credit quality step 2 | Chapter 2, Title 2, Part III of CRR | ||||||
| 440 | 1.6.10.3 | credit quality step 3 | Chapter 2, Title 2, Part III of CRR | ||||||
| 450-460 | 1.6.11 | Assets which meet the requirements of article 416 point (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) CRR | |||||||
| 450 | 1.6.11.1 | assets not controlled by a liquidity management function | Article 417 (c) of CRR | ||||||
| 460 | 1.6.11.2 | assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase markets | Article 417 (b) of CRR | ||||||
| 470-660 | 1.6.12 | Items subject to supplementary reporting of liquid assets | |||||||
| 470 | 1.6.12.1 | Cash | Annex III, article 1 CRR | ||||||
| 480 | 1.6.12.2 | Central bank exposures, to the extent that these exposures can be drawn down in times of stress | Annex III, article 2 CRR | ||||||
| 490-530 | 1.6.12.3 | transferable securities with a 0% risk weight and not an obligation of an institution or any of its affiliated entities | Annex III, article 3 CRR | ||||||
| 490 | 1.6.12.3.1 | representing claims on sovereigns | Annex III, article 3 CRR | ||||||
| 500 | 1.6.12.3.2 | claims guaranteed by sovereigns | Annex III, article 3 CRR | ||||||
| 510 | 1.6.12.3.3 | representing claims on or claims guaranteed by central banks | Annex III, article 3 CRR | ||||||
| 520 | 1.6.12.3.4 | representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities | Annex III, article 3 CRR | ||||||
| 530 | 1.6.12.3.5 | representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks | Annex III, article 3 CRR | ||||||
| 540 | 1.6.12.4 | Transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank’s operations in that third country | Annex III, article 4 CRR | ||||||
| 550-590 | 1.6.12.5 | transferable securities with a 20% risk weight and not an obligation of an institution or any of its affiliated entities | Annex III, article 5 CRR | ||||||
| 550 | 1.6.12.5.1 | representing claims on sovereigns | Annex III, article 5 CRR | ||||||
| 560 | 1.6.12.5.2 | claims guaranteed by sovereigns | Annex III, article 5 CRR | ||||||
| 570 | 1.6.12.5.3 | representing claims on or claims guaranteed by central banks | Annex III, article 5 CRR | ||||||
| 580 | 1.6.12.5.4 | representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities | Annex III, article 5 CRR | ||||||
| 590 | 1.6.12.5.5 | representing claims on or claims guaranteed by multilateral development banks | Annex III, article 5 CRR | ||||||
| 600 | 1.6.12.6 | transferable securities other than those referred to in point 3.3 to 3.5 of the LCR-Assets's template that fulfil all the conditions specifed in Art. 5 of Annex III CRR | Annex III, article 6 CRR | ||||||
| 610 | 1.6.12.7 | transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entities | Annex III, article 7 CRR | ||||||
| 620 | 1.6.12.8 | transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125 | Annex III, article 8 CRR | ||||||
| 630 | 1.6.12.9 | standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance | Annex III, article 9 CRR | ||||||
| 640 | 1.6.12.10 | Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. | Annex III, article 10 CRR | ||||||
| 650 | 1.6.12.11 | exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliates | Annex III, article 11 CRR | ||||||
| 660 | 1.6.12.12 | gold listed on a recognised exchange, held on an allocated basis | Annex III, article 12 CRR | ||||||
| 670-920 | 1.6.13 | ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 (1) - (3) OF CRR but still meet the requirements of Article 417 (b) and (c) CRR. | |||||||
| 670-690 | 1.6.13.1 | financial corporate bonds | Article 416 (2) of CRR | ||||||
| 670 | 1.6.13.1.1 | credit quality step 1 | Article 120(1) of CRR | ||||||
| 680 | 1.6.13.1.2 | credit quality step 2 | Article 120(1) of CRR | ||||||
| 690 | 1.6.13.1.3 | credit quality step 3 | Article 120(1) of CRR | ||||||
| 700-720 | 1.6.13.2 | own issuances | Article 416.3(b) of CRR | ||||||
| 700 | 1.6.13.2.1 | credit quality step 1 | Article 120(1) of CRR | ||||||
| 710 | 1.6.13.2.2 | credit quality step 2 | Article 120(1) of CRR | ||||||
| 720 | 1.6.13.2.3 | credit quality step 3 | Article 120(1) of CRR | ||||||
| 730-750 | 1.6.13.3 | unsecured credit institution issuances | Article 416 of CRR | ||||||
| 730 | 1.6.13.3.1 | credit quality step 1 | Article 120(1) of CRR | ||||||
| 740 | 1.6.13.3.2 | credit quality step 2 | Article 120(1) of CRR | ||||||
| 750 | 1.6.13.3.3 | credit quality step 3 | Article 120(1) of CRR | ||||||
| 760-780 | 1.6.13.4 | non residential mortgage backed instruments not already reported in 1.10 of the LCR-Assets' template | Article 416 (4)(b) CRR | ||||||
| 760 | 1.6.13.4.1 | credit quality step 1 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||
| 770 | 1.6.13.4.2 | credit quality step 2 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||
| 780 | 1.6.13.4.3 | credit quality step 3 | Chapter 5, Title 2, and Article 123, 124, 125, 126 of CRR | ||||||
| 790-810 | 1.6.13.5 | residential mortgage backed instruments not already reported in 1.11 of the LCR-Assets' template | Article 509(3)(a) CRR | ||||||
| 790 | 1.6.13.5.1 | credit quality step 1 | Chapter 5, Title 2 of Part III and Article 125 of CRR | ||||||
| 800 | 1.6.13.5.2 | credit quality step 2 | Chapter 5, Title 2 of Part III and Article 125 of CRR | ||||||
| 810 | 1.6.13.5.3 | credit quality step 3 | Chapter 5, Title 2 of Part III and Article 125 of CRR | ||||||
| 820 | 1.6.13.6 | equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions | Article 509(3)(c) and 416(4)(a) of CRR | ||||||
| 830 | 1.6.13.7 | gold | Article 509(3)(c) and 416(4)(a) of CRR | ||||||
| 840 | 1.6.13.8 | guaranteed bonds not already reported above | Article 509(3)(c) of CRR | ||||||
| 850 | 1.6.13.9 | covered bonds not already reported above | Article 509(3)(c) of CRR | ||||||
| 860 | 1.6.13.10 | corporate bonds not already reported above | Article 509(3)(c) of CRR | ||||||
| 870 | 1.6.13.11 | funds based on the assets reported in 4.5 - 4.9 | Article 509(3)(c) of CRR | ||||||
| 880-900 | 1.6.13.12 | other categories of central bank eligible securities or loans | Article 509(3)(c) of CRR | ||||||
| 880 | 1.6.13.12.1 | local government bonds | Article 509(3)(c) of CRR | ||||||
| 890 | 1.6.13.12.2 | commercial paper | Article 509(3)(c) of CRR | ||||||
| 900 | 1.6.13.12.3 | credit claims | Article 416(4)(c) of CRR | ||||||
| 910-930 | 1.6.13.13 | Shar'iah -compliant financial products as an alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks | Article 509(2)(i) of CRR | ||||||
| 910 | 1.6.13.13.1 | credit quality step 1 | |||||||
| 920 | 1.6.13.13.2 | credit quality step 2 | |||||||
| 930 | 1.6.13.13.3 | credit quality step 3 | |||||||
| Row | ID | Item | Legal references | Amount | Inflow | ||||
| 940-960 | 1.7 | Undrawn credit and liquidity facilities and other commitments received from intra-group entity in accordance with article 425(4) of CRR | Article 425 (4) of CRR | ||||||
| 940 | 1.7.1 | where all the conditions of Article 425.4 (a), (b) and (c) are met | |||||||
| 950 | 1.7.2 | where point (d) of Article 425(4) has been waived by the competent authorities and all the conditions of Article 425(4) (a), (b) and (c) are met for the purposes of applying the intra-group treatment of Article 19(1)(b) in relation to institutions that are not subject to the waiver of Article 7, undrawn credit and liquidity facilities and other commitments received from intra-group entity in accordance with article 425(5) | Article 425 (4) (a) and (b) and (c) of CRR | ||||||
| 960 | 1.7.3 | net receivables expected from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416) | Article 425 (3) of CRR | ||||||
| 970 | 1,8 | payments due on liquid assets not reflected in the market value of the asset | Article 425 (7) of CRR | ||||||
| 980 | 1,9 | other inflows | |||||||
| 990 | 2 | TOTAL CASH INFLOWS EXCLUDED DUE TO THE CAP | Article 425 of CRR | ||||||
| 1000-1030 | 3 | INFLOWS EXEMPT FROM THE CAP | Article 425 (1) of CRR | ||||||
| 1000 | 3.1 | monies due from borrowers and bond investors related to mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) or in defined in Article 52(4) of Directive 2009/65/EC | Article 425 (1) of CRR | ||||||
| 1010 | 3.2 | inflows from promotional loans that the institution has passed through | Article 425 (1) of CRR | ||||||
| 1020 | 3.3 | inflows qualifying fro the treatment set out in article 113(6) or 113(7) | Article 425 (1) of CRR | ||||||
| 1030 | 3.4 | inflows from intra-group entity approved by competent authority | Article 425 (1) of CRR |
C 54.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS
| Other assets | |||||||
|---|---|---|---|---|---|---|---|
| Within 30 days | Over 30 days | ||||||
| Notional | Market value | Notional | Market value | ||||
| Row | ID | Item | Legal references | 010 | 020 | 030 | 040 |
| 010-060 | 1 | ASSETS | |||||
| 010 | 1.1 | cash and exposures to central banks | Article 416(1)(a) CRR | ||||
| 020 | 1.2 | other transferable assets according to Article 416(1)(b) | Article 416(1)(b) CRR | ||||
| 030-060 | 1.3 | other transferable assets representing claims on or guaranteed by | Article 416(1)(c) of CRR | ||||
| 030 | 1.3.1 | transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes**,** or of a third country in the domestic currency of the central or regional government, if the Institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets | Article 416(1)(c)(i) of CRR | ||||
| 040 | 1.3.2 | transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities -in the domestic currency of the central bank and public sector entity | Article 416(1)(c)(ii) of CRR | ||||
| 050 | 1.3.3 | transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks | Article 416(1)(c)(iii) of CRR | ||||
| 060 | 1.3.4 | transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism | Article 416(1)(c)(iv) of CRR |
C 60.00 — STABLE FUNDING — ITEMS REQUIRING STABLE FUNDING
| amount extremely high liquidity and credit quality | amount high liquidity and credit quality | amount other assets | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| within three months | between three and 6 months | between 6 and 9 months | between 9 and 12 months | after 12 months | within three months | between three and 6 months | between 6 and 9 months | between 9 and 12 months | after 12 months | within three months | between three and 6 months | between 6 and 9 months | between 9 and 12 months | after 12 months | ||||
| Row | ID | Item | Legal references | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 |
| 010-1330 | 1 | ITEMS REQUIRING STABLE FUNDING | ||||||||||||||||
| 010-470 | 1.1 | assets referred to in Article 416 | Article 428(1)(a) of CRR | |||||||||||||||
| 010 | 1.1.1 | cash | Article 416(1)(a) of CRR | |||||||||||||||
| 020 | 1.1.2 | exposures to central bank | ||||||||||||||||
| 030 | 1.1.2.1 | Of which: exposures that can be withdrawn in times of stress | Article 416(1)(a) of CRR | |||||||||||||||
| 040-050 | 1.1.3 | transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes**,** or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquidity assets | Article 416(1)(c)(i) of CRR | |||||||||||||||
| 040 | 1.1.3.1 | representing claims | Article 416(1)(c)(i) | |||||||||||||||
| 050 | 1.1.3.2 | guaranteed by | Article 416(1)(c)(i) | |||||||||||||||
| 060-070 | 1.1.4 | transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity | Article 416(c)(ii) of CRR | |||||||||||||||
| 060 | 1.1.4.1 | representing claims | Article 416(c)(ii) | |||||||||||||||
| 070 | 1.1.4.2 | guaranteed by | Article 416(c)(ii) | |||||||||||||||
| 080-150 | 1.1.5 | transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the European Commission and multilateral development banks | Article 416(c)(iii) of CRR | |||||||||||||||
| 080 | 1.1.5.1.a) | representing claims | Article 416(c)(iii) | |||||||||||||||
| 090 | 1.1.5.2.a) | guaranteed by | Article 416(c)(iii) | |||||||||||||||
| 100 | 1.1.5.1.b) | amount unencumbered | ||||||||||||||||
| 110 | 1.1.5.2.b) | amount encumbered for a period within three months | ||||||||||||||||
| 120 | 1.1.5.3.b) | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 130 | 1.1.5.4.b) | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 140 | 1.1.5.5.b) | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 150 | 1.1.5.6.b) | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 152-153 | 1.1.6 | transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism | Article 416(1)(c)(iv) of CRR | |||||||||||||||
| 152 | 1.1.6.1 | representing claims | ||||||||||||||||
| 153 | 1.1.6.2 | guaranteed by | ||||||||||||||||
| 160-230 | 1.1.7 | total shares or units in CIUs with underlying assets specified in Article 416 | Article 418(2) of CRR | |||||||||||||||
| 160 | 1.1.7.1.a | underlying assets in point (a) of Article 416(1) | Article 418(2)(a) of CRR | |||||||||||||||
| 170 | 1.1.7.2.a | underlying assets in point (b) and (c) of Article 416(1) | Article 418 (2)(b) and (c) of CRR | |||||||||||||||
| 175 | 1.1.7.3.a | underlying assets in point (d) of Article 416(1) | Article 418(2)(c) of CRR | |||||||||||||||
| 180 | 1.1.7.1.b | amount unencumbered | ||||||||||||||||
| 190 | 1.1.7.2.b | amount encumbered for a period within three months | ||||||||||||||||
| 200 | 1.1.7.3.b | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 210 | 1.1.7.4.b | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 220 | 1.1.7.5.b | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 230 | 1.1.7.6.b | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 232-233 | 1.1.8 | deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 CRR, to the extent that this funding is not collateralized by liquid assets | Article 416(1)(f) of CRR | |||||||||||||||
| 232 | 1.1.8.1 | deposits | ||||||||||||||||
| 233 | 1.1.8.2 | contractually available liquid funding | ||||||||||||||||
| 234 | 1.1.9 | Assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416(2)(a)(iii) is met | Article 416(2)(a)(iii) of CRR | |||||||||||||||
| 240-290 | 1.1.10 | Other transferable assets not specified elsewhere | ||||||||||||||||
| 240 | 1.1.10.1 | amount unencumbered | ||||||||||||||||
| 250 | 1.1.10.2 | amount encumbered for a period within three months | ||||||||||||||||
| 260 | 1.1.10.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 270 | 1.1.10.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 280 | 1.1.10.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 290 | 1.1.10.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 300-350 | 1.1.11 | non financial corporate bonds | Article 416(1)(b) or (d) of CRR | |||||||||||||||
| 300 | 1.1.11.1 | amount unencumbered | ||||||||||||||||
| 310 | 1.1.11.2 | amount encumbered for a period within three months | ||||||||||||||||
| 320 | 1.1.11.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 330 | 1.1.11.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 340 | 1.1.11.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 350 | 1.1.11.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 352-357 | 1.1.12 | non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR | Article 416(2)(a)(i) of CRR | |||||||||||||||
| 352 | 1.1.12.1 | amount unencumbered | ||||||||||||||||
| 353 | 1.1.12.2 | amount encumbered for a period within three months | ||||||||||||||||
| 354 | 1.1.12.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 355 | 1.1.12.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 356 | 1.1.12.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 357 | 1.1.12.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 359-364 | 1.1.13 | residential mortgage backed instruments issued by a credit institution if demonstrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) CRR | Article 416(2)(a)(i) of CRR | |||||||||||||||
| 359 | 1.1.13.1 | amount unencumbered | ||||||||||||||||
| 360 | 1.1.13.2 | amount encumbered for a period within three months | ||||||||||||||||
| 361 | 1.1.13.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 362 | 1.1.13.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 363 | 1.1.13.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 364 | 1.1.13.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 366-410 | 1.1.14 | bonds eligible for the treatment set out in Art. 129(4) or (5), which meet the criteria in Art. 416(2)(a) CRR | ||||||||||||||||
| 366 | 1.1.14.1 | amount unencumbered | ||||||||||||||||
| 370 | 1.1.14.2 | amount encumbered for a period within three months | ||||||||||||||||
| 380 | 1.1.14.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 390 | 1.1.14.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 400 | 1.1.14.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 410 | 1.1.14.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 420-470 | 1.1.15 | bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.1.9 | Article 416(2)(a)(ii) of CRR | |||||||||||||||
| 420 | 1.1.15.1 | amount unencumbered | ||||||||||||||||
| 430 | 1.1.15.2 | amount encumbered for a period within three months | ||||||||||||||||
| 440 | 1.1.15.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 450 | 1.1.15.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 460 | 1.1.15.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 470 | 1.1.15.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 480-530 | 1.2 | securities and money market instruments not reported in 1.1 qualifying for credit step 1 under Article 122 | Article 428(1)(b)(i) of CRR | |||||||||||||||
| 480 | 1.2.1 | amount unencumbered | ||||||||||||||||
| 490 | 1.2.2 | amount encumbered for a period within three months | ||||||||||||||||
| 500 | 1.2.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 510 | 1.2.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 520 | 1.2.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 530 | 1.2.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 540-590 | 1.3 | securities and money market instruments not reported in 1.1 qualifying for credit step 2 under Article 122 | Article 428(1)(b)(ii) of CRR | |||||||||||||||
| 540 | 1.3.1 | amount unencumbered | ||||||||||||||||
| 550 | 1.3.2 | amount encumbered for a period within three months | ||||||||||||||||
| 560 | 1.3.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 570 | 1.3.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 580 | 1.3.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 590 | 1.3.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 600-650 | 1.4 | other securities and money market instruments not reported elsewhere | Article 415(1)(b)(iii) of CRR | |||||||||||||||
| 600 | 1.4.1 | amount unencumbered | ||||||||||||||||
| 610 | 1.4.2 | amount encumbered for a period within three months | ||||||||||||||||
| 620 | 1.4.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 630 | 1.4.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 640 | 1.4.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 650 | 1.4.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 660-710 | 1.5 | equity securities of non-financial entities listed on a major index in a recognised exchange | Article 428(1)(c) of CRR | |||||||||||||||
| 660 | 1.5.1 | amount unencumbered | ||||||||||||||||
| 670 | 1.5.2 | amount encumbered for a period within three months | ||||||||||||||||
| 680 | 1.5.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 690 | 1.5.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 700 | 1.5.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 710 | 1.5.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 720-770 | 1.6 | other equity securities | Article 428(1)(d) of CRR | |||||||||||||||
| 720 | 1.6.1 | amount unencumbered | ||||||||||||||||
| 730 | 1.6.2 | amount encumbered for a period within three months | ||||||||||||||||
| 740 | 1.6.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 750 | 1.6.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 760 | 1.6.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 770 | 1.6.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 780-830 | 1.7 | gold | Article 428(1)(e) of CRR | |||||||||||||||
| 780 | 1.7.1 | amount unencumbered | ||||||||||||||||
| 790 | 1.7.2 | amount encumbered for a period within three months | ||||||||||||||||
| 800 | 1.7.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 810 | 1.7.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 820 | 1.7.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 830 | 1.7.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 840-890 | 1.8 | other precious metals | Article 428(1)(f) of CRR | |||||||||||||||
| 840 | 1.8.1 | amount unencumbered | ||||||||||||||||
| 850 | 1.8.2 | amount encumbered for a period within three months | ||||||||||||||||
| 860 | 1.8.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 870 | 1.8.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 880 | 1.8.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 890 | 1.8.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| Total amount | ||||||||||||||||||
| 900-1250 | 1.9 | non-renewable loans and receivables | Article 428(1)(g) of CRR | |||||||||||||||
| 900-950 | 1.9.1 | the borrowers of which are natural persons other than commercial sole proprietors and partnerships | Article 428(1)(g)(i) of CRR | |||||||||||||||
| 900 | 1.9.1.1 | amount unencumbered | ||||||||||||||||
| 910 | 1.9.1.2 | amount encumbered for a period within three months | ||||||||||||||||
| 920 | 1.9.1.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 930 | 1.9.1.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 940 | 1.9.1.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 950 | 1.9.1.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 960-1010 | 1.9.2 | SMEs that qualify for the retail exposure under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment mentioned in Article 153(4) and where the aggregate deposit placed by the client or group of connected clients is less than EUR 1 million | Article 428(1)(g)(ii) of CRR | |||||||||||||||
| 960 | 1.9.2.1 | amount unencumbered | ||||||||||||||||
| 970 | 1.9.2.2 | amount encumbered for a period within three months | ||||||||||||||||
| 980 | 1.9.2.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 990 | 1.9.2.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 1000 | 1.9.2.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 1010 | 1.9.2.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 1020-1070 | 1.9.3 | the borrowers of which are sovereigns, central banks and public sector entities | Article 428(1)(g)(iii) of CRR | |||||||||||||||
| 1020 | 1.9.3.1 | amount unencumbered | ||||||||||||||||
| 1030 | 1.9.3.2 | amount encumbered for a period within three months | ||||||||||||||||
| 1040 | 1.9.3.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 1050 | 1.9.3.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 1060 | 1.9.3.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 1070 | 1.9.3.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 1080-1130 | 1.9.4 | the borrowers of which are not reported in item 1.9.1, 1.9.2 or 1.9.3 other than financial customers | Article 428(1)(g)(iv) of CRR | |||||||||||||||
| 1080 | 1.9.4.1 | amount unencumbered | ||||||||||||||||
| 1090 | 1.9.4.2 | amount encumbered for a period within three months | ||||||||||||||||
| 1100 | 1.9.4.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 1110 | 1.9.4.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 1120 | 1.9.4.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 1130 | 1.9.4.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 1140-1190 | 1.9.5 | the borrowers of which are credit institutions | Article 428(1)(g)(vi) of CRR | |||||||||||||||
| 1140 | 1.9.5.1 | amount unencumbered | ||||||||||||||||
| 1150 | 1.9.5.2 | amount encumbered for a period within three months | ||||||||||||||||
| 1160 | 1.9.5.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 1170 | 1.9.5.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 1180 | 1.9.5.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 1190 | 1.9.5.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 1200-1250 | 1.9.6 | the borrowers of which are financial customers (not referred to in 1.9.1, 1.9.2) other than credit institutions | Article 428(1)(g)(vi) of CRR | |||||||||||||||
| 1200 | 1.9.6.1 | amount unencumbered | ||||||||||||||||
| 1210 | 1.9.6.2 | amount encumbered for a period within three months | ||||||||||||||||
| 1220 | 1.9.6.3 | amount encumbered for a period between three and 6 months | ||||||||||||||||
| 1230 | 1.9.6.4 | amount encumbered for a period between 6 and 9 months | ||||||||||||||||
| 1240 | 1.9.6.5 | amount encumbered for a period between 9 and 12 months | ||||||||||||||||
| 1250 | 1.9.6.6 | amount encumbered for a period greater than 12 months | ||||||||||||||||
| 1260-1280 | 1.10 | non-renewable loans and receivables reported in 1.9 that are collateralised by real estate | Article 428(1)(h) of CRR | |||||||||||||||
| 1260 | 1.10.1 | collateralised by commercial real estate (CRE) | Article 428(1)(h)(i) of CRR | |||||||||||||||
| 1270 | 1.10.2 | collateralised by residential real estate (PRE) | Article 428(1)(h)(ii) of CRR | |||||||||||||||
| 1280 | 1.10.3 | match funded (pass-through) via bond eligible for treatment set out in article 129 (4) or (5) as defined in Article 52(4) of Directive 2009/65/EC | Article 428(1)(h)(iii) of CRR | |||||||||||||||
| 1290 | 1.11 | derivatives receivables | Article 428(1)(i) of CRR | |||||||||||||||
| 1300 | 1.12 | any other assets | Article 428(1)(j) of CRR | |||||||||||||||
| 1310 | 1.13 | assets deducted from own funds not requiring stable funding | Article 428(1) of CRR | |||||||||||||||
| 1320 | 1.14 | undrawn committed credit facilities that qualify as ‘medium risk’ or ‘medium/low risk’ under Annex I. | Article 428(1)(k) of CRR |
C 61.00 — STABLE FUNDING — ITEMS PROVIDING STABLE FUNDING
| Amount | ||||||||
|---|---|---|---|---|---|---|---|---|
| within three months | between three and 6 months | between 6 and 9 months | between 9 and 12 months | after 12 months | ||||
| Row | ID | Item | Legal references | 010 | 020 | 030 | 040 | 050 |
| 010-260 | 1 | ITEMS PROVIDING STABLE FUNDING | ||||||
| 010-030 | 1.1 | own funds after deduction have been applied where apropriate | Article 427(1)(a) of CRR | |||||
| 010 | 1.1.1 | tier 1 capital instruments | Article 427(1)(a)(i) | |||||
| 020 | 1.1.2 | tier 2 capital instruments | Article 427(1)(a)(ii) | |||||
| 030 | 1.1.3* | Memorandum item: Capital instruments and subordinated loans not eligible having an effective maturity of one year or greater | Article 427(1)(a)(iii) | |||||
| 040-260 | 1.2 | liabilities excluding own funds | Article 427(1)(b) of CRR | |||||
| 040-060 | 1.2.1 | retail deposits: | Article 427(1)(b)(i-ii) of CRR | |||||
| 040 | 1.2.1.1 | as defined in Article 411(2) that qualify for the treatment in Article 421(1) | Article 427(1)(b)(i) of CRR | |||||
| 050 | 1.2.1.2 | as defined in Article 411(2) that qualify for the treatment in Article 421(2) | Article 427(1)(b)(ii) of CRR | |||||
| 060 | 1.2.1.3 | subject to higher outflows than specified in Article 421(1) or 421(2) | ||||||
| 070-130 | 1.2.2 | liabilities from customers that are not financial customers | Article 427(1)(b)(vii) of CRR | |||||
| 070-090 | 1.2.2.1 | liabilities from secured lending and capital market driven transactions | Article 427(1)(b)(ix) of CRR | |||||
| 070 | 1.2.2.1.1 | collateralised by extremely high liquidity and credit quality assets | Article 427(1)(b)(ix) of CRR | |||||
| 080 | 1.2.2.1.2 | collateralised by high liquidity and credit quality assets | Article 427(1)(b)(ix) of CRR | |||||
| 090 | 1.2.2.1.3 | collateralised by any other assets | Article 427(1)(b)(ix) of CRR | |||||
| 100 | 1.2.2.2 | liabilities from unsecured lending transactions | Article 427(1)(b)(vii) of CRR | |||||
| 110-130 | 1.2.2.3 | liabilities that qualify for the treatment in Article 422(3) and (4) | Article 427(1)(b)(iii) of CRR | |||||
| 110 | 1.2.2.3.1 | liabilities reported in 1.2.2.3 which are covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | Article 427(1)(b)(iv) of CRR | |||||
| 120 | 1.2.2.3.2 | liabilities reported in 1.2.2.3 which fall under point (b) of Article 422(3) | Article 427(1)(b)(v) of CRR | |||||
| 130 | 1.2.2.3.3 | liabilities reported in 1.2.2.3 which fall under point (d) of Article 422(3) | Article 427(1)(b)(vi) of CRR | |||||
| 140-200 | 1.2.3 | liabilities from customers that are financial customers | Article 427(1)(b)(vii) of CRR | |||||
| 140-160 | 1.2.3.1 | liabilities from secured lending and capital market driven transactions | Article 414(1)(b)(viii) of CRR | |||||
| 140 | 1.2.3.1.1 | collateralised by extremely high liquidity and credit quality assets | Article 414(1)(b)(viii) of CRR | |||||
| 150 | 1.2.3.1.2 | collateralised by high liquidity and credit quality assets | Article 414(1)(b)(viii) of CRR | |||||
| 160 | 1.2.3.1.3 | collateralised by any other assets | Article 414(1)(b)(viii) of CRR | |||||
| 170 | 1.2.3.2 | liabilities from unsecured lending transactions | Article 414(1)(b)(vi) of CRR | |||||
| 180-200 | 1.2.3.3 | liabilities that qualify for the treatment in Article 422(3) and (4) | Article 414(1)(b)(iii) of CRR | |||||
| 180 | 1.2.3.3.1 | liabilities reported in 1.2.3.3 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | Article 414(1)(b)(iv) of CRR | |||||
| 190 | 1.2.3.3.2 | liabilities reported in 1.2.3.3 which fall under point (b) of Article 422(3) | Article 427(1)(b)(v) of CRR | |||||
| 200 | 1.2.3.3.3 | liabilities reported in 1.2.3.3 which fall under point (d) of Article 422(3) | Article 427(1)(b)(vi) of CRR | |||||
| 210 | 1.2.4 | liabilities resulting from securities issued qualifying for the treatment in Article 129(4) or (5) | Article 427(1)(b)(x) of CRR | |||||
| 220 | 1.2.5 | liabilities resulting from securities defined in Article 52(4) of Directive 2009/65/EC | Article 427(1)(b)(x) of CRR | |||||
| 230 | 1.2.6 | other liabilities resulting from securities issued | Article 427(1)(b)(xi) of CRR | |||||
| 240 | 1.2.7 | liabilities from derivatives payables contracts | ||||||
| 250 | 1.2.8 | any other liabilities | Article 427(1)(b)(xii) of CRR |
REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)
1.Liquid assets
1.1.General remarks
This is a summary template which contains information about assets for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are colored grey.
Assets shall be reported in one of six sections in this template:
Assets which meet the requirements of Article 416 and Article 417: assets identified as liquid for reporting purposes in the REGULATION (EU) NO 575/2013, which meet the operational requirements for holdings of liquid assets.
Assets which meet the requirements of Article 416 (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013
Assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013.
Treatment for jurisdictions with insufficient liquid assets
Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i).
1.2.Specific remarks
For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030.
For items 1.3 to 1.4 institutions shall report the market value of assets in column 010 and the value according to Article 418 in column 020 for each category of assets.
For item 1.5 institutions shall report the relevant undrawn amount in column 040.
For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040.
For items 1.7 to 2.2, in accordance with the last paragraph of Article 416(1) REGULATION (EU) NO 575/2013 and pending a uniform definition in accordance with Article 460 of high and extremely high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are of extremely high and high liquidity and credit quality and report their market value in columns 010 and 030 and the value according to Article 418 in columns 020 and 040.
For items 1.3 to 1.4 and 1.7 to 1.14, institutions shall only report assets that fulfill all the operational requirements referred to in Article 417 REGULATION (EU) NO 575/2013.
For items 2.1 to 2.2, institutions shall report assets which would otherwise qualify to be reported in section 1.1 to 1.14 but do not meet the operational requirements referred to in Article 417 (b) and (c) REGULATION (EU) NO 575/2013.
For items 1.1 to 2.2, with the exception of item 1.5, institutions shall only report assets which fulfill all the conditions referred to in Article 416(3) REGULATION (EU) NO 575/2013.
For items 3.1 to 3.12, institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.
For items 4.1 to 4.12.3, institutions shall only report assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013
For items 5.1 to 5.2, institutions shall only report items related to the derogations as referred to in Article 419(2) REGULATION (EU) NO 575/2013 for currencies with constraints on the availability of liquid assets
For items 6.1 to 6.1.3, only Shar'iah compliant banks shall report items that are Shar'iah compliant financial products as an alternative to assets that would qualify as liquid assets for the purposes of Article 416 REGULATION (EU) NO 575/2013
The value of the liquid assets of all items in the template, with the exception of 1.1 to 1.2.1, 1.5 to 1.6.2, 3.1 to 3.2, 3.9 to 3.10 and 5.2 shall be the market value and the value after the application of the relevant haircuts. For items 1.1 to 1.2.1, 1.6 to 1.6.2, 3.1 to 3.2, 3.10 and 5.2 the amount of the item shall be reported. For item 1.5 and 3.9 the undrawn amount of the line shall be reported.
Liquid assets sub template
1.2.1.Instructions concerning specific rows
| Row | Legal references and instructions |
|---|---|
| 010-390 | 1.ASSETS WHICH MEET THE REQUIREMENTS OF ARTICLES 416 AND 417 REGULATION (EU) NO 575/2013Assets reported in this section have been explicitly identified as potentially being of high or extremely high liquidity and credit quality.REGULATION (EU) NO 575/2013 |
| 010 | 1.1CashArticle 416(1)(a) of REGULATION (EU) NO 575/2013Total amount of cash including coins and banknotes/currency.Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 ‘Inflows’ if it qualifies as monies due over the next 30 days. |
| 020 | 1.2Exposures to central banksArticles 416(1)(a) REGULATION (EU) NO 575/2013Total amount of exposures to central banks. |
| 030 | 1.2.1Exposures that can be withdrawn in times of stressArticle 416(1)(a) REGULATION (EU) NO 575/2013 |
| 040-110 | 1.3Other transferable assets representing claims on or guaranteed byArticle 416.1(c) REGULATION (EU) NO 575/2013 |
| 040-050 | 1.3.1Transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assetsArticle 416(1)(c)(i) REGULATION (EU) NO 575/2013 |
| 040 | 1.3.1.1representing claimsAssets specified in 1.3.1 that represent claims on the above counterparties, according to Article 416(1)(c)(i) |
| 050 | 1.3.1.2guaranteed byAssets specified in 1.3.1 guaranteed by the above counterparties, according to Article 416(1)(c)(i) |
| 060-070 | 1.3.2transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entityArticle 416(1)(c)(ii) REGULATION (EU) NO 575/2013 |
| 060 | 1.3.2.1representing claimsAssets specified in 1.3.2 that represent claims on the above counterparties, according to Article 416(1)(c)(ii) |
| 070 | 1.3.2.2guaranteed byAssets specified in 1.3.2 guaranteed by the above counterparties, according to Article 416(1)(c)(ii) |
| 080-090 | 1.3.3transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banksArticle 416(1)(c)(iii) REGULATION (EU) NO 575/2013 |
| 080 | 1.3.3.1representing claimsAssets specified in 1.3.3 that represent claims on the above counterparties, according to Article 416(1)(c)(iii) |
| 090 | 1.3.3.2guaranteed byAssets specified in 1.3.3 guaranteed by the above counterparties, according to Article 416(1)(c)(iii) |
| 100-110 | 1.3.4transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability MechanismArticle 416(1)(c)(iv) REGULATION (EU) NO 575/2013 |
| 100 | 1.3.4.1representing claimsAssets specified in 1.3.4 that represent claims on the above counterparties, according to Article 416(1)(c)(iv) |
| 110 | 1.3.4.2guaranteed byAssets specified in 1.3.4 guaranteed by the above counterparties, according to Article 416(1)(c)(iv) |
| 120-140 | 1.4**total shares or units in CIUs with underlying assets specified in Article 416 (1)**Article 416(6) of REGULATION (EU) NO 575/2013 |
| 120 | 1.4.1underlying assets in point (a) of Article 416(1) |
| 130 | 1.4.2underlying assets in point (b) and (c) of Article 416(1) |
| 140 | 1.4.3underlying assets in point (d) of Article 416(1) |
| 150 | 1.5standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistanceArticle 416(1)(e) REGULATION (EU) NO 575/2013 |
| 160-170 | 1.6deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 REGULATION (EU) NO 575/2013, to the extent that this funding is not collateralized by liquid assetsArticle 416(1)(f) REGULATION (EU) NO 575/2013if the credit institution belongs to a network in accordance with legal or statutory provisions, the legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution |
| 160 | 1.6.1deposits |
| 170 | 1.6.2contractually available funding |
| 180 | 1.7Assets issued by a credit institution which has been set up by a Member State central or regional governmentArticle 416(2)(a)(iii) REGULATION (EU) NO 575/2013 |
| 190-210 | 1.8non-financial corporate bondsArticle 416(1)(b) or (d) REGULATION (EU) NO 575/2013Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013. |
| 190 | 1.8.1credit quality step 1 |
| 200 | 1.8.2credit quality step 2 |
| 210 | 1.8.3credit quality step 3 |
| 220-240 | 1.9**bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5)**Article 416(2)(a)(i)REGULATION (EU) NO 575/2013Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013 |
| 220 | 1.9.1credit quality step 1 |
| 230 | 1.9.2credit quality step 2 |
| 240 | 1.9.3credit quality step 3 |
| 250-270 | 1.10**asset backed instruments issued by a credit institution if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5)**Article 416(2)(a)(i)REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Articles 123, 124, 125, 126 of REGULATION (EU) NO 575/2013 |
| 250 | 1.10.1credit quality step 1 |
| 260 | 1.10.2credit quality step 2 |
| 270 | 1.10.3credit quality step 3 |
| 280-300 | 1.11Residential mortgage backed instruments of the instruments reported in lines 1.10.1, 1.10.2, 1.10.3Article 416(2)(a)(i)REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Articles 123, 124, 125, 126 of REGULATION (EU) NO 575/2013 |
| 280 | 1.11.1credit quality step 1 |
| 290 | 1.11.2credit quality step 2 |
| 300 | 1.11.3credit quality step 3 |
| 310-330 | 1.12bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013 |
| 310 | 1.12.1credit quality step 1 |
| 320 | 1.12.2credit quality step 2 |
| 330 | 1.12.3credit quality step 3 |
| 340-360 | 1.13Other transferable assets that are of extremely high liquidity and credit qualityArticle 416.1(b) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013Only items that are not specified in the rows above shall be reported here. |
| 340 | 1.13.1credit quality step 1 |
| 350 | 1.13.2credit quality step 2 |
| 360 | 1.13.3credit quality step 3 |
| 1.14Other transferable assets that are of high liquidity and credit qualityArticle 416.1(d) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013Only items that are not specified in the rows above shall be reported here. | |
| 370 | 1.14.1credit quality step 1 |
| 380 | 1.14.2credit quality step 2 |
| 390 | 1.14.3credit quality step 3 |
| 400-410 | 2.ASSETS MEETING THE REQUIREMENTS OF ARTICLE 416 (1) (b) and (d) BUT DO NOT MEET THE REQUIREMENTS OF ARTICLE 417 (b) AND (c) REGULATION (EU) NO 575/2013Items shall only be reported in one of the below sub-categories, also in case both provisions are not met. |
| 400 | 2.1Assets not controlled by a liquidity management functionArticle 417(c) of REGULATION (EU) NO 575/2013 |
| 410 | 2.2assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase marketsArticle 417(b) of REGULATION (EU) NO 575/2013 |
| 420-610 | 3.Items subject to supplementary reporting of liquid assetsInstitutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex. |
| 420 | 3.1CashAnnex III Point 1 REGULATION (EU) NO 575/2013Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416 (3) and can thus not be reported under reporting item 1.1.Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 ‘Inflows’ if it qualifies as monies due over the next 30 days. |
| 430 | 3.2Central bank exposures, to the extent that these exposures can be drawn down in times of stressAnnex III, Point 2 REGULATION (EU) NO 575/2013Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.3. |
| 440-480 | 3.3transferable securities with a 0 % risk weight and not an obligation of an institution or any of its affiliated entitiesAnnex III, Point 3 REGULATION (EU) NO 575/2013Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
| 440 | 3.3.1representing claims on sovereignsAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 450 | 3.3.2claims guaranteed by sovereignsAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 460 | 3.3.3representing claims on or guaranteed by central banksAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 470 | 3.3.4representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authoritiesAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 480 | 3.3.5representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bankAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 490 | 3.4transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidty risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank's operations in that third countryAnnex III, Point 4 REGULATION (EU) NO 575/2013 |
| 500-550 | 3.5transferable securities with a 20 % risk weight and not an obligation of an institution or any of its affiliated entitiesAnnex III, Point 5 REGULATION (EU) NO 575/2013Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
| 500 | 3.5.1representing claims on sovereignsAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 510 | 3.5.2claims guaranteed by sovereignsAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 520 | 3.5.3representing claims on or guaranteed by central banksAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 530 | 3.5.4representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authoritiesAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 540 | 3.5.5representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bankAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 550 | 3.6transferable securities other than those referred to in point 3.3 to 3.5.6 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the conditions specifed in Point 6 of Annex III of REGULATION (EU) NO 575/2013Annex III, Point 6 REGULATION (EU) NO 575/2013 |
| 560 | 3.7transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entitiesAnnex III, Point 7 REGULATION (EU) NO 575/2013 |
| 570 | 3.8transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125Annex III, Point 8 REGULATION (EU) NO 575/2013 |
| 580 | 3.9standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistanceAnnex III, Point 9 REGULATION (EU) NO 575/2013Only to the extent not reported under reporting item 1.5. |
| 590 | 3.10**Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not collateralised by liquid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.**Annex III, Point 10 REGULATION (EU) NO 575/2013This item to be included only to the extent not reported under reporting item 1.6. |
| 600 | 3.11exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliatesAnnex III, Point 11 REGULATION (EU) NO 575/2013 |
| 610 | 3.12gold listed on a recognised exchange, held on an allocated basisAnnex III, Point 12 REGULATION (EU) NO 575/2013 |
| 620-850 | 4ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417 (b) and (c ) REGULATION (EU) NO 575/2013 |
| 620-640 | 4.1Financial corporate bondsArticle 416 (2) of REGULATION (EU) NO 575/2013Bonds issued by an investment firm, insurance undertaking, financial holding company, a mixed financial holding company or any other entity that performs one or more of the activities listed in Annex I to Directive 2013/36/EU.Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
| 620 | 4.1.1credit quality step 1 |
| 630 | 4.1.2credit quality step 2 |
| 640 | 4.1.3credit quality step 3 |
| 650-670 | 4.2own issuancesArticle 416 (3)(b) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
| 650 | 4.2.1credit quality step 1 |
| 660 | 4.2.2credit quality step 2 |
| 670 | 4.2.3credit quality step 3 |
| 680-700 | 4.3unsecured credit institution issuancesREGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
| 680 | 4.3.1credit quality step 1 |
| 690 | 4.3.2credit quality step 2 |
| 700 | 4.3.3credit quality step 3 |
| 710-730 | 4.4asset backed securities not already reported in 1.10 to 1.11.3Article 416(4)(b) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
| 710 | 4.4.1credit quality step 1 |
| 720 | 4.4.2credit quality step 2 |
| 730 | 4.4.3credit quality step 3 |
| 740-760 | 4.5residential mortgage backed securities not already reported in 1.10 to 1.11.3Article 509(3)(a) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
| 740 | 4.5.1credit quality step 1 |
| 750 | 4.5.2credit quality step 2 |
| 760 | 4.5.3credit quality step 3 |
| 770 | 4.6equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutionsArticles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 780 | 4.7gold not reported above under 3.1.2Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 790 | 4.8guaranteed bonds not already reported aboveArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 800 | 4.9covered bonds not already reported aboveArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 810 | 4.10corporate bonds not already reported aboveArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 820 | 4.11funds based on the assets reported in 4.6 - 4.10Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 830-850 | 4.12other categories of central bank eligible securities or loansArticle 509(3)(b) of REGULATION (EU) NO 575/2013 |
| 830 | 4.12.1local government bondsArticle 509(3)(b) of REGULATION (EU) NO 575/2013 |
| 840 | 4.12.2commercial paperArticle 509(3)(b) of REGULATION (EU) NO 575/2013 |
| 850 | 4.12.3credit claimsArticle 416(4)(c) of REGULATION (EU) NO 575/2013 |
| 860-870 | 5Treatment for jurisdictions with insufficient HQLAArticle 419(2) of REGULATION (EU) NO 575/2013 |
| 860 | 5.1**Use of derogation A (foreign currency)**Article 419(2)(a) of REGULATION (EU) NO 575/2013Total amount of assets held pursuant to derogation A |
| 870 | 5.2**Use of derogation B (credit line from the relevant central bank)**Article 419(2)(b) of REGULATION (EU) NO 575/2013Total amount of undrawn credit line held pursuant to derogation B |
| 880-900 | 6**Reporting of Shar'iah compliant assets as an alternative assets under 509(2)(i)**Article 509(2)(i) of REGULATION (EU) NO 575/2013 of REGULATION (EU) NO 575/2013 |
| 880 | 6.1credit quality step 1 |
| 890 | 6.1credit quality step 2 |
| 900 | 6.1credit quality step 3 |
REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)
1.Outflows
1.1.General remarks
This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.
In accordance with Article 420 REGULATION (EU) NO 575/2013, this section covers reporting requirements on retail deposits (Article 421), other deposits and liabilities (Article 422), additional outflows (Article 423) and outflows from credit and liquidity facilities (Article 424).
In accordance with Article 421(5) of the REGULATION (EU) NO 575/2013, institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits. For completeness, the reporting of these deposits is requested in item 1.1.6 of the template.
1.2.Outflows sub template
1.2.1.Instructions concerning specific rows
| Row | Legal references and instructions |
|---|---|
| 020-137 | 1.OUTFLOWSArticles 421 to 424 of REGULATION (EU) NO 575/2013.Liabilities reported in this section have been explicitly identified as a potential source of liquidity outflows, over the next 30 days, for reporting purposes. |
| 020-100 | 1.1Retail depositsArticle 421 of REGULATION (EU) NO 575/2013Total liability of retail deposits as defined in Article 411(2), including sight deposits and fixed term deposits, of REGULATION (EU) NO 575/2013 shall be reported in column 020. The resulting outflow after having applied the relevant outflow rate shall be reported in column 030.The following subcategories shall be reported: |
| 020-040 | 1.1.1Covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third countryArticle 421(1) of REGULATION (EU) NO 575/2013 |
| 020 | 1.1.1.1part of an established relationship making withdrawal highly unlikelyArticle 421(1)(a) of REGULATION (EU) NO 575/2013Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country reported in item 1.1.1, that which is part of an established relationship making withdrawal highly unlikely.Retail deposits which are both part of an established relationship making withdrawal highly unlikely and held in transactional accounts, including accounts to which salaries are regularly credited, shall instead be reported in item 1.1.1.2. |
| 030 | 1.1.1.2held in transactional accounts, including accounts to which salaries are regularly creditedArticle 421(1)(b) of REGULATION (EU) NO 575/2013Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country reported in item 1.1.1, that which is held in transactional accounts, including accounts to which salaries are regularly credited, making withdrawal highly unlikely. |
| 040 | 1.1.2covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country which do not qualify to be reported in items 1.1.1.1 or 1.1.1.2Article 421(2) of REGULATION (EU) NO 575/2013Of the retail deposits covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, those other deposits which do not qualify to be reported in items 1.1.1.1 or 1.1.1.2. |
| 050 | 1.1.3uninsured retail depositsArticle 421(2) of REGULATION (EU) NO 575/2013Retail deposits not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country. |
| 060-080 | 1.1.4**deposits subject to higher outflows than specified in Article 421(1) or 421(2)**Article 421(3) of REGULATION (EU) NO 575/2013Retail deposits subject to higher outflows than those specified in Article 421(1) or 421(2) of REGULATION (EU) NO 575/2013REGULATION (EU) NO 575/2013 shall be reported in the following subcategories: |
| 060 | 1.1.4.1deposits subject to higher outflow rate - Category 1 – medium risk of outflowArticle 421(3) of REGULATION (EU) NO 575/2013Retail deposits identified by institutions to be allocated to category 1. |
| 070 | 1.1.4.2deposits subject to higher outflow rate - Category 2 – high risk of outflowArticle 421(3) of REGULATION (EU) NO 575/2013Retail deposits identified by institutions to be allocated to category 2. |
| 080 | 1.1.4.3deposits subject to higher outflow rate – Category 3 - very high risk of outflowArticle 421(3) of REGULATION (EU) NO 575/2013Retail deposits identified by institutions to be allocated to category 3. |
| 090 | 1.1.5deposits in third countries where a higher outflow is appliedArticle 421(4) of REGULATION (EU) NO 575/2013Retail deposits taken in third countries subject to outflows in that third country which are higher than those specified in Article 421(1) or (2) of REGULATION (EU) NO 575/2013. |
| 100 | 1.1.6deposits exempted from the calculation of outflows where the conditions of Art. 421(5) (a) and (b) have been metArticle 421 (5) of REGULATION (EU) NO 575/2013Retail deposits exempted from the calculation of outflows, as referred to in Article 421 (5) of REGULATION (EU) NO 575/2013. |
| 110-1130 | 1.2outflows on other liabilitiesArticle 422 REGULATION (EU) NO 575/2013Total outflows on other liabilities due over the next 30 days shall be reported in the following subcategories as follows:Liabilities reported in this section shall only consist of general obligations other than retail deposits defined in Article 411(2) (which shall instead be reported in item 1.1. above).Liabilities reported here shall fall due over the next 30 days, have an earliest possible contractual maturity date within the next 30 days or have an undefined maturity date. This includes both (i) liabilities with options that are exercisable at the investor's discretion and (ii) liabilities with options exercisable at the institution's discretion where the institution's ability not to exercise the option is limited for reputational reasons. In particular, where the market expects certain liabilities to be redeemed within the next 30 days, before their legal final maturity date, such liabilities shall be included in the appropriate subcategory. |
| 110 | 1.2.1liabilities resulting from the institution's own operating expensesArticle 422(1) of REGULATION (EU) NO 575/2013Total amount of liabilities due over the next 30 days resulting from the institution's own operating expenses. Examples include office and utilities expenses, accounting expenses, salary and wages etc and any other costs incurred by the operation of the institution's own activities. |
| 120-950 | 1.2.2liabilities resulting from secured lending and capital market driven transactions as defined in Article 192Article 422(2) of REGULATION (EU) NO 575/2013For the following subcategories, institutions shall identify the amount of outflows relating to secured lending and capital market driven transactions over the next 30 days, the market value of the corresponding assets which collateralise the transactions and the value of these assets according to Article 418 REGULATION (EU) NO 575/2013.In accordance with Article 192:1.‘secured lending transaction’ means any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily;2.‘capital market-driven transaction’ means any transaction giving rise to an exposure secured by collateral which includes a provision conferring upon the institution the right to receive margin at least daily.Therefore, any transaction in which the institution has received a collateralised loan in cash, such as repurchase transactions as defined in Article 4 (83) of REGULATION (EU) NO 575/2013, expiring within 30 days shall be reported in this section.Institutions shall report the market value of the assets securing the secured lending and capital market driven transactions in column 010. Institutions shall report these transactions in one of seven categories:Category one: where the counterparty is not a central bank and the assets securing the transaction are of extremely high liquidity and credit quality, the amount due shall be reported in column 020 and the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 030.Category two: where the counterparty is not a central bank and the assets securing the transaction are of high liquidity and credit quality, the amount due shall be reported in column 040 and the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 050.Category three: where the counterparty is not a central bank and the assets securing the transaction are of other liquidity and credit quality, the amount due shall be reported in column 060.Category four: where the counterparty is a central bank and the assets securing the transaction are of extremely high liquidity and credit quality, the amount due shall be reported in column 070 the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 080.Category five: where the counterparty is a central bank and the assets securing the transaction are of high liquidity and credit quality, the amount due shall be reported in column 090 the value according to Article 418 REGULATION (EU) NO 575/2013 of the asset securing the transaction shall be reported in column 100.Category six: where the counterparty is a central bank and the assets securing the transaction are of other liquidity and credit quality, the amount due shall be reported in column 110.Category seven: Where the counterparty is the central government, a public sector entity of the member state in which the credit institution has been authorised or has established a branch, or a multilateral development bank, the amount due shall be reported in column 120.**Institutions shall allocate transactions by identifying the liquidity and credit quality of the assets securing the transaction using the same criteria as applied for the purpose of reporting assets in template 1.1 ‘Assets’.**I.e. in accordance with Article 416(1) of REGULATION (EU) NO 575/2013, pending a uniform definition in accordance with Article 460 REGULATION (EU) NO 575/2013 of extremely high and high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are respectively of high or extremely high liquidity and credit quality.If the institution has deposited both ‘extremely high’, ‘high’ and ‘other’ liquidity and credit quality assets in a collateral pool and no assets are specifically assigned as collateral for the secured lending and capital market driven transaction, the institution shall assume that the assets with the lowest liquidity and credit quality are assigned first, i.e. assets with ‘other liquidity and credit quality’ shall be assigned first. Only once all those assets are fully assigned, shall assets of ‘high liquidity and credit quality’ be assigned. Only once all those assets are assigned too, shall ‘extremely high liquidity and credit quality’ be assigned.**Collateral swaps where the institution simultaneously borrows collateral and lends collateral (in the form of assets other than cash), shall be reported as follows:**The value of the asset borrowed shall be its market value in column 010 and its value according to Article 418 REGULATION (EU) NO 575/2013 in the appropriate column. Collateral swaps only relate to collateral, and there is no underlying ‘Amount due’ to be reported.The market value of the asset lent shall be reported in the ‘Market value of the asset securing the transaction’ column in the appropriate subcategory of .3 of template ‘Inflows’. Collateral swaps only relate to collateral, and there is no underlying ‘Amount due’ to be reported. |
| 120-190 | 1.2.2.1Other transferable assets representing claims on or guaranteed byArticle 416(1)(c) REGULATION (EU) NO 575/2013Transactions backed by transferable assets shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.Assets reported in this section have been explicitly identified as potentially being of extremely high or high liquidity and credit quality.Assets reported in this section must meet all the applicable requirements contained in Articles 416 and 417 REGULATION (EU) NO 575/2013. |
| 120-130 | 1.2.2.1.1Transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assetsArticle 416(1)(c)(i) REGULATION (EU) NO 575/2013 |
| 120 | 1.2.2.1.1.1representing claimsAssets specified in 1.3.1 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(i) |
| 130 | 1.2.2.1.1.2guaranteed byAssets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i) |
| 140-150 | 1.2.2.1.2transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entityArticle 416(1)(c)(ii) REGULATION (EU) NO 575/2013 |
| 140 | 1.2.2.1.2.1representing claimsAssets specified in 1.3.2 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(ii) |
| 150 | 1.2.2.1.2.2guaranteed byAssets specified in 1.3.2 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(ii) |
| 160-170 | 1.2.2.1.3**transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks.**Article 416(1)(c)(iii) REGULATION (EU) NO 575/2013 |
| 160 | 1.2.2.1.3.1representing claimsAssets specified in 1.3.3 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iii) |
| 170 | 1.2.2.1.3.2guaranteed byAssets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii) |
| 180-190 | 1.2.2.1.4transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability MechanismArticle 416(1)(c)(iv) REGULATION (EU) NO 575/2013 |
| 180 | 1.2.2.1.4.1representing claimsAssets specified in 1.3.4 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iv) |
| 190 | 1.2.2.1.4.2guaranteed byAssets specified in 1.3.4 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iv) |
| 200-220 | 1.2.2.2**total shares or units in CIUs with underlying assets specified in Article 416 (1)**Article 416(6) of REGULATION (EU) NO 575/2013Total shares or units in CIUs with underlying assets specified in Article 416(1) REGULATION (EU) NO 575/2013 shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. |
| 200 | 1.2.2.2.1underlying assets in point (a) of article 416(1) |
| 210 | 1.2.2.2.2underlying assets in point (b) and (c) of article 416(1) |
| 220 | 1.2.2.2.3underlying assets in point (d) of article 416(1) |
| 230 | 1.2.2.3Assets issued by a credit institution which has been set up by a Member State central or regional governmentArticle 416(2)(a)(iii) REGULATION (EU) NO 575/2013 |
| 240-260 | 1.2.2.4non-financial corporate bondsArticle 416(1)(b) or (d) REGULATION (EU) NO 575/2013Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013 and in accordance with 1.2.2 above, in the appropriate sub-category. |
| 240 | 1.2.2.4.1credit quality step 1 |
| 250 | 1.2.2.4.2credit quality step 2 |
| 260 | 1.2.2.4.3credit quality step 3 |
| 270-290 | 1.2.2.5**bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5)**Article 416(2)(a)(i)REGULATION (EU) NO 575/2013Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category |
| 270 | 1.2.2.5.1credit quality step 1 |
| 280 | 1.2.2.5.2credit quality step 2 |
| 290 | 1.2.2.5.3credit quality step 3 |
| 300-320 | 1.2.2.6**asset backed instruments issued by a credit institution if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5)**Article 416(2)(a)(i)REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category |
| 300 | 1.2.2.6.1credit quality step 1 |
| 310 | 1.2.2.6.2credit quality step 2 |
| 320 | 1.2.2.6.3credit quality step 3 |
| 330-350 | 1.2.2.7Residential mortgage backed instruments of the instruments reported in lines 1.10.1, 1.10.2, 1.10.3 of the liquid assets templateArticle 416(2)(a)(i)REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category |
| 330 | 1.2.2.7.1credit quality step 1 |
| 340 | 1.2.2.7.2credit quality step 2 |
| 350 | 1.2.2.7.3credit quality step 3 |
| 360-380 | 1.2.2.8bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category |
| 360 | 1.2.2.8.1credit quality step 1 |
| 370 | 1.2.2.8.2credit quality step 2 |
| 380 | 1.2.2.8.3credit quality step 3 |
| 390-410 | 1.2.2.9Other transferable assets that are of extremely high liquidity and credit qualityArticle 416.1(b) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-categoryOnly items that are not specified in the rows above shall be reported here. |
| 390 | 1.2.2.9.1credit quality step 1 |
| 400 | 1.2.2.9.2credit quality step 2 |
| 410 | 1.2.2.9.3credit quality step 3 |
| 420-440 | 1.2.2.10Other transferable assets that are of high liquidity and credit qualityArticle 416.1(d) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 2, Title 2, Part III of REGULATION (EU) NO 575/2013, and in accordance with 1.2.2 above, in the appropriate sub-category.Only items that are not specified in the rows above shall be reported here. |
| 420 | 1.2.2.10.1credit quality step 1 |
| 430 | 1.2.2.10.2credit quality step 2 |
| 440 | 1.2.2.10.3credit quality step 3 |
| 450-460 | 1.2.2.11ASSETS MEETING THE REQUIREMENTS OF ARTICLE 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ARTICLE 417 (b) AND (c) REGULATION (EU) NO 575/2013These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. |
| 450 | 1.2.2.11.1Assets not controlled by a liquidity management functionArticle 417(c) of REGULATION (EU) NO 575/2013 |
| 460 | 1.2.2.11.2assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale via a simple repurchase agreements on an approved repurchase marketsArticle 417(b) of REGULATION (EU) NO 575/2013 |
| 480-680 | 1.2.2.12Items subject to supplementary reporting of liquid assetsInstitutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category.Only items that are not specified elsewhere in the template shall be reported here. |
| 480 | 1.2.2.12.1CashAnnex III, Point 1 of REGULATION (EU) NO 575/2013Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.1.Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template ‘Inflows’ if it qualifies as monies due over the next 30 days. |
| 490 | 1.2.2.12.2Central bank exposures, to the extent that these exposures can be drawn down in times of stressAnnex III, Point 2 of REGULATION (EU) NO 575/2013Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) and can thus not be reported under reporting item 1.3. |
| 500-540 | 1.2.2.12.3transferable securities with a 0 % risk weight and not an obligation of an institution or any of its affiliated entitiesAnnex III, Point 3 of REGULATION (EU) NO 575/2013Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
| 500 | 1.2.2.12.3.1representing claims on sovereignsAnnex III, Point 3 of REGULATION (EU) NO 575/2013 |
| 510 | 1.2.2.12.3.2claims guaranteed by sovereignsAnnex III, Point 3 of REGULATION (EU) NO 575/2013 |
| 520 | 1.2.2.12.3.3representing claims on or guaranteed by central banksAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 530 | 1.2.2.12.3.4representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authoritiesAnnex III, Point 3 of REGULATION (EU) NO 575/2013 |
| 540 | 1.2.2.12.3.5representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bankAnnex III, Point 3 of REGULATION (EU) NO 575/2013 |
| 550 | 1.2.2.12.4transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidty risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank's operations in that third countryAnnex III, Point 4 of REGULATION (EU) NO 575/2013 |
| 570-610 | 1.2.2.12.5transferable securities with a 20 % risk weight and not an obligation of an institution or any of its affiliated entitiesAnnex III, Point 5 of REGULATION (EU) NO 575/2013Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
| 570 | 1.2.2.12.5.1representing claims on sovereignsAnnex III, Point 5 of REGULATION (EU) NO 575/2013 |
| 580 | 1.2.2.12.5.2claims guaranteed by sovereignsAnnex III, Point 5 of REGULATION (EU) NO 575/2013 |
| 590 | 1.2.2.12.5.3representing claims on or guaranteed by central banksAnnex III, Point 5 of REGULATION (EU) NO 575/2013 |
| 600 | 1.2.2.12.5.4representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authoritiesAnnex III, Point 5 of REGULATION (EU) NO 575/2013 |
| 610 | 1.2.2.12.5.5representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bankAnnex III, Point 5 of REGULATION (EU) NO 575/2013 |
| 620 | 1.2.2.12.6transferable securities other than those referred to in point 3.3 to 3.5.6 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the conditions specifed in Point 6 of Annex III of REGULATION (EU) NO 575/2013Annex III, Point 6 of REGULATION (EU) NO 575/2013 |
| 630 | 1.2.2.12.7transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entitiesAnnex III, Point 7 of REGULATION (EU) NO 575/2013 |
| 640 | 1.2.2.12.8transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Point 125Annex III, Point 8 of REGULATION (EU) NO 575/2013 |
| 650 | 1.2.2.12.9standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistanceAnnex III, Point 9 of REGULATION (EU) NO 575/2013Total amount of standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance. |
| 660 | 1.2.2.12.10**Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not colateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.**Annex III, Point 10 of REGULATION (EU) NO 575/2013 |
| 670 | 1.2.2.12.11exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliatesAnnex III, Point 11 of REGULATION (EU) NO 575/2013 |
| 680 | 1.2.2.12.12gold listed on a recognised exchange, held on an allocated basisAnnex III, Point 12 of REGULATION (EU) NO 575/2013 |
| 690-920 | 1.2.2.13ASSETS WHICH **DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417 (b) and (c ) REGULATION (EU) NO 575/2013.**These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. |
| 690-710 | 1.2.2.13.1financial corporate bondsArticle 416 (2) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
| 690 | 1.2.2.13.1.1credit quality step 1 |
| 700 | 1.2.2.13.1.2credit quality step 2 |
| 710 | 1.2.2.3.1.3credit quality step 3 |
| 720-740 | 1.2.2.13.2own issuancesArticle 416 (3)(b) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
| 720 | 1.2.2.13.2.1credit quality step 1 |
| 730 | 1.2.2.13.2.2credit quality step 2 |
| 740 | 1.2.2.13.2.3credit quality step 3 |
| 750-770 | 1.2.2.13.3unsecured credit institution issuancesArticle 416 of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
| 750 | 1.2.2.13.3.1credit quality step 1 |
| 760 | 1.2.2.13.3.2credit quality step 2 |
| 770 | 1.2.2.4.13.3credit quality step 3 |
| 780-800 | 1.2.2.13.4asset backed securities not already reported in 1.10 to 1.11.3Article 416(4)(b) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
| 780 | 1.2.2.13.4.1credit quality step 1 |
| 790 | 1.2.2.13.4.2credit quality step 2 |
| 800 | 1.2.2.12.4.3credit quality step 3 |
| 810-830 | 1.2.2.13.5residential mortgage backed securities not already reported in 1.10 to 1.11.3Article 509(3) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
| 810 | 1.2.2.13.5.1credit quality step 1 |
| 820 | 1.2.2.13.5.2credit quality step 2 |
| 830 | 1.2.2.13.5.3credit quality step 3 |
| 840 | 1.2.2.13.6equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutionsArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 850 | 1.2.2.13.7goldArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 860 | 1.2.2.13.8guaranteed bonds not already reported aboveArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 870 | 1.2.2.13.9covered bonds not already reported aboveArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 880 | 1.2.2.13.10corporate bonds not already reported aboveArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 890 | 1.2.2.13.11funds based on the assets reported in 4.5 - 4.10Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 900-920 | 1.2.2.13.12other categories of central bank eligible securities or loansArticle 509(3)(b) of REGULATION (EU) NO 575/2013 |
| 900 | 1.2.2.13.12.1local government bondsArticle 509(3)(b) of REGULATION (EU) NO 575/2013 |
| 910 | 1.2.2.13.12.2commercial paperArticle 509(3)(b) of REGULATION (EU) NO 575/2013 |
| 920 | 1.2.2.13.12.3credit claimsArticle 416(4)(c) of REGULATION (EU) NO 575/2013 |
| 930-950 | 1.2.2.14**Reporting of Shar'iah compliant assets as an alternative assets under 509(2)(i)**Articles 419(2)(a) of REGULATION (EU) NO 575/2013 and 509(2)(i)These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. |
| 930 | 1.2.2.14.1credit quality step 1 |
| 940 | 1.2.2.14.2credit quality step 2 |
| 950 | 1.2.2.14.3credit quality step 3 |
| 960-1030 | 1.2.3Deposits that have to be maintained by the depositorArticle 422(3) of REGULATION (EU) NO 575/2013Total amount of deposits, including sight deposits and fixed term deposits, that have to be maintained by the depositor shall be reported in the following subcategories in columns 010 ‘Amount deposited by clients that are financial customers’ and column 030 ‘Amount deposited by clients that are not financial customers’ dependent on the counterparty type, as follows: |
| 960-990 | 1.2.3.1**in order to obtain clearing, custody or cash management services (excluding correspondent banking or prime brokerage)**Article 422(3)(a) of REGULATION (EU) NO 575/2013Total amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage), shall be reported in the following subcategories as follows:[Note: A clearing relationship, in this context, refers to a service arrangement that enables customers to transfer funds (or securities) indirectly through direct participants in domestic settlement systems to final recipients. Such services are limited to the following activities: transmission, reconciliation and confirmation of payment orders; daylight overdraft, overnight financing and maintenance of post-settlement balances; and determination of intra-day and final settlement positions. Clearing and related services must be provided under a legally binding agreement to institutional customers (Basel III liquidity rules text paragraph 75).A custody relationship, in this context, refers to the provision of safekeeping, reporting, processing of assets and/or the facilitation of the operational and administrative elements of related activities on behalf of customers in the process of their transacting and retaining financial assets. Custody related services must be provided under a legally binding custodial services or other similar agreement to institutional customers. Such services are limited to the settlement of securities transactions, the transfer of contractual payments, the processing of collateral, the execution of foreign currency transactions, the holding of related cash balances and the provision of ancillary cash management services. Also included is the receipt of dividends and other income, client subscriptions and redemptions, scheduled distributions of client funds and the payment of fees, taxes and other expenses. Custodial services can furthermore extend to asset and corporate trust servicing, treasury, escrow, funds transfer, stock transfer and agency services, including payment and settlement services (excluding correspondent banking), trade financing, and depository receipts (Basel III liquidity rules text paragraph 76).A cash management relationship, in this context, refers to the provision of cash management and related services to customers. Cash management and related] |
| 960-970 | 1.2.3.1.1which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third countryTotal amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, shall be reported in the following subcategories as follows: |
| 960 | 1.2.3.1.1.1of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionalityTotal amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and where there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality. |
| 970 | 1.2.3.1.1.2of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionalityTotal amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country yet there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality, shall be reported in the following subcategories as follows: |
| 980-990 | 1.2.3.1.2which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third countryTotal amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country, shall be reported in the following subcategories as follows: |
| 980 | 1.2.3.1.2.1of which there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionalityTotal amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and there is evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality. |
| 990 | 1.2.3.1.2.2of which there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionalityTotal amount of deposits that have to be maintained by the depositor in order to obtain clearing, custody or cash management services from the institution (excluding correspondent banking or prime brokerage) which are not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country and there is no evidence that the client is unable to withdraw amounts legally due over a 30 day horizon without compromising its operational functionality, shall be reported in the following subcategories as follows: |
| 1000 | 1.2.3.2in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2Article 422(3)(c)Total amount of deposits that have to be maintained by the depositor in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2. |
| 1010 | 1.2.3.2.1of which are correspondent banking or prime brokerage servicesTotal amount of deposits that have to be maintained by the depositor in the context of an established operational relationship other than that reported in 1.2.3.1.1 and 1.2.3.1.2 which are deposits relating to correspondent banking or prime brokerage services. |
| 1020 | 1.2.3.4in the context of common task sharing within an institutional protection scheme or as a legal or statutory minimum deposit by another entity being a member of the same institutional protection schemeArticle 422(3)(b) of REGULATION (EU) NO 575/2013Total amount of deposits that have to be maintained by the depositor in the context of common task sharing within an institutional protection scheme meeting or as a legal or statutory minimum deposit by another entity being a member of the same institutional protection scheme. |
| 1030 | 1.2.3.5**to obtain cash clearing and central credit institution services and where the credit institution belongs to a network in accordance with legal or statutory provisions;**Article 422(3)(d) of REGULATION (EU) NO 575/2013Total amount of deposits that have to be maintained by the depositor to obtain cash clearing and central credit institution services and where the credit institution belongs to a network in accordance with legal or statutory provisions; |
| 1040 | 1.2.4**Deposits from credit institutions placed at central credit institutions that are considered as liquid assets in accordance with Article 416(1)(f)**Article REGULATION (EU) NO 575/2013422(3), last paragraphTotal amount of deposits from credit institutions placed at central credit institutions that are considered as liquid assets in accordance with Article 416(1)(f) |
| 1050 | 1.2.5**liquidity lines for assets specified in Article 416(1)(f)**Article 416(1)(f)Total amount of liquidity lines for assets specified in Article 416(1)(f) |
| 1060-1070 | 1.2.6liabilities not reported in 1.2.2 or 1.2.5 resulting from deposits by clients that are not financial clientsArticle 422(5) of REGULATION (EU) NO 575/2013Total amount of liabilities not reported in 1.2.2 or 1.2.5 resulting from deposits by clients that are not financial clients. |
| 1060 | 1.2.6.1which are covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
| 1070 | 1.2.6which are not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country |
| 1060 | 1.2.7**net amount payable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416)**Article 422(6) of REGULATION (EU) NO 575/2013The net amount of payable expected over the 30 day horizon from the contracts listed in Annex II.Amounts shall:be net across all counterpartiesbe net of collateral to be received that qualifies as liquid assets under Article 416not be the marked-to-market value, since the marked-to market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizonNote net amount receivable shall be reported in 1.3 ‘Inflows’ item 1.1.6 (net amount receivable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416)). |
| 1090-1100 | 1.2.8liabilities for which the competent authority has determined a lower outflowArticle 422(8) of REGULATION (EU) NO 575/2013Total amount of liabilities for which the competent authority has determined a lower outflow on a case-by-case basis, shall be reported in the following subcategories as follows: |
| 1090 | 1.2.8.1where all the conditions of Article 422(8) (a), (b), (c) and (d) are metTotal amount of liabilities for which the competent authority has granted a lower outflow on a case-by-case basis and where all the conditions of Article 422(8) (a), (b), (c) and (d) are met. |
| 1100 | 1.2.8.2where all the conditions of Article 422(8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8Total amount of liabilities for which the competent authority has granted a lower outflow on a case-by-case basis and where all the conditions of Article 422(8) (a), (b), and (c) are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8. |
| 1110-1120 | 1.2.9liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013Articles 420(1)(e) and 420(2) of REGULATION (EU) NO 575/2013Total amount of all liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013. |
| 1110 | 1.2.9liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013 |
| 1120 | 1.2.9liabilities, including any contractual arrangements such as other off balance sheet and contingent funding obligations, for which the competent authority has determined a higher outflow following the assessment referred to in Article 420(2) of REGULATION (EU) NO 575/2013 |
| 1130 | 1.2.10all other liabilitiesArticle 422(7) of REGULATION (EU) NO 575/2013Total amount of all other liabilities. |
| 1140-1210 | 1.3Additional OutflowsTotal amount of all additional outflows, shall be reported in the following subcategories as follows: |
| 1140 | 1.3.1for collateral other than assets referred to in Article 416(1) (a) to (c) which is posted by the institution for contracts listed in Annex IIArticle 423(1) of REGULATION (EU) NO 575/2013Total amount of all additional outflows for collateral other than assets referred to in Article 416(1) (a) to (c) which is posted by the institution for contracts listed in Annex II, shall be reported in the following subcategories as follows: |
| 1150 | 1.3.2corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institutionArticle 423(2) of REGULATION (EU) NO 575/2013Total amount of outflows corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institution. |
| 1160 | 1.3.3corresponding to additional collateral needs that would result from the impact of an adverse market scenario on the institution's derivatives transaction, financing transactions and other contracts if materialArticle 423(3) of REGULATION (EU) NO 575/2013Total amount of outflows corresponding to additional collateral needs that would result from the impact of an adverse market scenario. |
| 1170 | 1.3.4corresponding to the market value of securities or other assets sold short and to be delivered within the 30 days horizon unless the institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 day horizon and the securities do not form part of the institutions liquid assetsArticle 423(4) of REGULATION (EU) NO 575/2013Total amount of outflows corresponding to the market value of securities or other assets sold short and to be delivered within the 30 days horizon unless the institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 day horizon and the securities do not form part of the institutions liquid assets. |
| 1180 | 1.3.5corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterpartyArticle 423(5)(a) of REGULATION (EU) NO 575/2013Total amount of outflows corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterparty |
| 1190 | 1.3.6corresponding to collateral that is due to be returned to a counterpartyArticle 423(5)(b) of REGULATION (EU) NO 575/2013Total amount of outflows corresponding to collateral that is due to be returned to a counterparty |
| 1200 | 1.3.7**corresponding to collateral that corresponds to assets that would qualify as liquid assets for the purposes of Article 416 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Article 416 without the consent of the credit institution.**Article 423(5)(c) of REGULATION (EU) NO 575/2013Total amount of outflows corresponding to collateral that corresponds to assets that would qualify as liquid assets for the purposes of Article 416 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Article 416 without the consent of the credit institution. |
| 1210 | 1.3.8deposits received as collateralArticle 423(6) of REGULATION (EU) NO 575/2013Total amount of outflows corresponding to deposits received as collateral |
| 1220-1370 | 1.4Outflows from credit and liquidity facilitiesTotal maximum amount that could be drawn from undrawn credit and liquidity facilities, shall be reported in the following subcategories as follows:[Note: This maximum amount that can be drawn may be assessed net of the value according to Article 418 of collateral to be provided if the institution can reuse the collateral and if the collateral in the form of liquid assets in accordance with Article 416. The collateral to be provided may not be assets issued by the counterparty of the facility or one of its affiliated entities. If the necessary information is available to the institution, the maximum amount that can be drawn for credit and liquidity facilities provided to SSPEs shall be determined as the maximum amount that could be drawn given an SSPEs own obligations coming due over the next 30 days.] |
| 1220 | 1.4.1maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for retail clientsArticle 424(2) REGULATION (EU) NO 575/2013Total maximum amount that could result from undrawn committed credit and undrawn committed liquidity facilities for retail clients if they qualify for the retail exposure class under the Standardised or IRB approaches for credit risk. |
| 1230-1240 | 1.4.2maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for clients other than retail and financial customersArticle 424(3) of REGULATION (EU) NO 575/2013Total maximum amount that could result from undrawn committed credit and undrawn committed liquidity facilities for clients other than retail and financial customers, where they meet the following conditions:(a)they do not qualify for the retail exposure class under the Standardised or IRB approaches for credit risk;(b)they have been provided to clients that are not financial customers;(c)they have not been provided for the purpose of replacing funding of the client in situations where he is unable to obtain its funding requirements in the financial markets. |
| 1230 | 1.4.2.1 –undrawn committed credit facilitiesTotal amount of 1.4.2 that constitute undrawn committed credit facilities |
| 1240 | 1.4.2.2 –undrawn committed liquidity facilitiesTotal amount of 1.4.2 that constitute undrawn committed liquidity facilities |
| 1250 | 1.4.3maximum amount that can be drawn of undrawn liquidity facilities that has been provided to an SSPE for the purpose of enabling such SSPE to purchase assets other than securities from clients that are not financial customers that exceeds the amount of assets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchasedArticle 424(4) of REGULATION (EU) NO 575/2013Total maximum amount that could result from undrawn liquidity facilities that has been provided to an SSPE for the purpose of enabling such SSPE to purchase assets other than securities from clients that are not financial customers. |
| 1260-1270 | 1.4.4maximum amount that can be drawn of other undrawn committed credit faciltiies and undrawn committed liquidity facilities not reported in 1.4.1, 1.4.2 or 1.4.3Article 424(5) of REGULATION (EU) NO 575/2013Total maximum amount that could result from undrawn credit and liquidity facilities to customers other than that reported in 1.4.1, 1.4.2 or 1.4.3. This includes:(a)liquidity facilities that the institution has granted to SSPEs;(b)arrangements under which the institution is required to buy or swap assets from an SSPE. |
| 1260 | 1.4.4.1granted to SSPEs other than those in 1.4.3Article 424(5) point (a) of REGULATION (EU) NO 575/2013Total amount of 1.4.4 that relates to items granted to SSPEs other than those in 1.4.3 |
| 1270 | 1.4.4.2arrangements under which the institution is required to buy or swap assets from an SSPEArticle 424.5 point (b) of REGULATION (EU) NO 575/2013Total amount of 1.4.4 that relate to arrangements under which the institution is required to buy or swap assets from an SSPE |
| 1280-1290 | 1.4.4.3extended to credit institutionsArticle 424.5 point (c) of REGULATION (EU) NO 575/2013Total amount of 1.4.4 that relates to items extended to credit institutions |
| 1280 | 1.4.4.3.1undrawn committed credit facilities****Total amount of 1.4.4.3 that relate to undrawn committed credit facilities |
| 1290 | 1.4.4.3.2undrawn committed liquidity facilities****Total amount of 1.4.4.3 that relate to undrawn committed liquidity facilities |
| 1300-1310 | 1.4.4.4extended to financial institutions and investment firmsArticle 424.5 point (d) of REGULATION (EU) NO 575/2013Total amount of 1.4.4 that relates to items extended to financial institutions and investment firms excluding credit institutions |
| 1300 | 1.4.4.4.1undrawn committed credit facilities****Total amount of 1.4.4.4 that relate to undrawn committed credit facilities |
| 1310 | 1.4.4.4.2undrawn committed liquidity facilities****Total amount of 1.4.4.4 that relate to undrawn committed liquidity facilities |
| 1320 | 1.4.4.5extended to other clientsTotal amount of 1.4.4 that relates to items extended to other clients |
| 1330 | 1.4.4.6extended to intra-group entitiesTotal amount of 1.4.4 that relates to items extended to a intra-group REGULATION (EU) NO 575/2013 entities |
| 1340 | 1.4.5maximum amount that can be drawn of undrawn credit and liquidity facilities granted for the purpose of funding promotional loansArticle 424(6) of REGULATION (EU) NO 575/2013Total maximum amount that could result from undrawn credit and liquidity facilities granted for the sole purpose of directly or indirectly funding promotional loans qualifying for the exposure classes referred to in those paragraphs 2 and 3. Those promotional loans shall be available only to persons who are not financial customers on a non-competitive, not for profit basis in order to promote public policy objectives of that Member State central or regional government. It shall only be possible to draw on such facilities following a request for a promotional loan and up to the amount of such request. |
| 1350 | 1.4.6maximum amount that can be drawn from all other contingent liabilitiesTotal maximum amount that could result from all other contingent liabilities. These contingent funding obligations may be either contractual or non-contractual and are not lending commitments. Non-contractual contingent funding obligations include associations with, or sponsorship of, products sold or services provided that may require the support or extension of funds in the future under stressed conditions. Non-contractual obligations may be embedded in financial products and instruments sold, sponsored, or originated by the institution that can give rise to unplanned balance sheet growth arising from support given for reputational risk considerations. |
| 1360 | 1.4.6.1extended to intra-group entitiesAmount of 1.4.6 that is extended to an intra-group REGULATION (EU) NO 575/2013 entities |
| 1370 | 1.4.7outflows according to Article 105 CRDTotal outflows stemming from the risk factors mentioned in points (a) and (d) of Article 105 REGULATION (EU) NO 575/2013 to the extent that they are expected to occur with 30 days. |
REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)
1.Inflows
1.1.General remarks
This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey.
In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity inflows shall: (i) comprise only contractual inflows from exposures that are not passed due and for which the bank has no reason to expect non-performance within the 30-day time horizon. (ii) be reported in full,.
In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any of the liquid assets reported in accordance with Article 416 other than payments due on the assets that are not reflected in the market value of the asset.
In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any new obligations entered into.
1.2.Inflows sub template
1.2.1.Instructions concerning specific rows
| Row | Legal references and instructions |
|---|---|
| 010-030 | INFLOWSArticle 425 REGULATION (EU) NO 575/2013Total inflows.Monies due reported in this section have been explicitly identified as a potential source of liquidity inflows, over the next 30 days, for reporting purposes, in Article 425 of REGULATION (EU) NO 575/2013.Amounts reported in the ‘amount column’ in each subcategory shall be full amounts i.e. not reduced, by the percentages given in the REGULATION (EU) NO 575/2013. |
| 010-980 | 1InflowsArticle 425 of REGULATION (EU) NO 575/2013Column 010 refers to the total amount of monies due, whereas column 020 refers to the relevant inflow, after application of inflow rate where applicable. |
| 010-060 | 1.1monies due from customers that are not financial customersArticle 425(2)(a) of REGULATION (EU) NO 575/2013Monies due over the next 30 days, (including interest payments) from customers that are not financial customers, shall be reported in the following subcategories as follows:[Note: these include maturing loans that have already been agreed to be rolled-over. Non-maturing loans are assumed not to represent a cash inflow and shall not be reported here]. |
| 010 | 1.1.1monies due from retail customersArticles 425(2)(a) of REGULATION (EU) NO 575/2013Monies due over the next 30 days from retail customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments). |
| 020 | 1.1.2monies due from non-financial corporate customersArticle 425(2)(a) of REGULATION (EU) NO 575/2013Monies due over the next 30 days from non-financial corporate customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments). |
| 030 | 1.1.2.1**that the institution owing those monies treats according to Article 422 (3) and (4)**Article 425(2)(e) REGULATION (EU) NO 575/2013Of the amount reported in 1.1.2, the total amount due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4). |
| 040 | 1.1.3monies due from central banksArticle 425(2)(a) of REGULATION (EU) NO 575/2013Monies due over the next 30 days from central banks, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments). |
| 050 | 1.1.3.1**that the institution owing those monies treats according to Article 422(3) and (4)**Article 425(2)(e) of REGULATION (EU) NO 575/2013Of the amount reported in 1.1.3, the total amount due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4). |
| 060 | 1.1.4monies due from other customers that are not financial customersArticle 425(2)(a) of REGULATION (EU) NO 575/2013Total amount of monies due over the next 30 days from customers that are not financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments), not included in rows 1.1.1 to 1.1.3. |
| 070-080 | 1.2monies due from financial customersArticle 425(2) REGULATION (EU) NO 575/2013Total amount of monies due over the next 30 days from financial customers, that are not past due and for which the bank has no reason to expect non-performance within the 30-day time horizon, (including interest payments).Secured lending and capital market transactions shall be reported in section 1.2. |
| 070 | 1.2.1**that the institution owing those monies treats according to Article 422(3) and (4)**Article 425(2)e) of REGULATION (EU) NO 575/2013Of the amount reported in 1.2, monies due by the institution in order to obtain clearing, custody or cash management services according to Article 422(3) and (4). |
| 080 | 1.2.2**that the competent authority has granted the permission to apply a lower outflow percentage according to 422(8)**Article 422(8) of REGULATION (EU) NO 575/2013Of the amount reported in 1.2, monies due that the competent authority has granted the permission to apply a lower outflow percentage according to 422(8) |
| 090 | 1.3**monies due from trade financing transactions according to article 425(2)(b)**Article 425(2)(b) REGULATION (EU) NO 575/2013Monies from trade financing transactions according to article 425(2)(b) |
| 100 | 1.4**assets with an undefined contractual end date according to Article 425(2)(c)**Article 425(2)(c) REGULATION (EU) NO 575/2013Assets with an undefined contractual end date according to Article 425(2)(c) |
| 110 | 1.5monies due from positions in major index equity instruments provided that there is no double counting with liquid assetsArticle 425(2)(f) REGULATION (EU) NO 575/2013Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets |
| 120-930 | 1.6Monies due from secured lending and capital market driven transactions as defined in Article 192Article 425(2)(d) of REGULATION (EU) NO 575/2013For the following subcategories, institutions shall identify the amount of inflows relating to secured lending and capital market driven transactions over the next 30 days and the market value of the corresponding assets which collateralise the transactions.In accordance with Article 192:1.‘secured lending transaction’ means any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily;2.‘capital market-driven transaction’ means any transaction giving rise to an exposure secured by collateral which includes a provision conferring upon the institution the right to receive margin at least daily.Therefore, any transaction in which the institution has provided a collateralised loan in cash, such as reverse repurchase transactions as defined in Article 4 (83) of REGULATION (EU) NO 575/2013, expiring within 30 days, shall be reported in this section.Institutions shall report the amount due with 30 days in columns 010, 030 and 050 and the market value of the assets securing the secured lending and capital market driven transactions in columns 020, 040 and 060, depending on the asset quality category the asset has been allocated to (extremely high liquidity and credit quality, high liquidity and credit quality and other liquidity and credit quality).**Institutions shall allocate transactions by identifying the liquidity and credit quality of the assets securing the transaction using the same criteria as applied for the purpose of reporting assets in template 1.1 ‘Assets’.**I.e. in accordance with Article 416(1) of REGULATION (EU) NO 575/2013, pending a uniform definition in accordance with Article 460 REGULATION (EU) NO 575/2013 of extremely high and high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are respectively of high or extremely high liquidity and credit quality.If the institution has received both ‘extremely high’, ‘high’ and ‘other’ liquidity and credit quality assets in a collateral pool and no assets are specifically assigned as collateral for the secured lending and capital market driven transaction, the institution shall assume that the assets with the lowest liquidity and credit quality are assigned first, i.e. assets with ‘other liquidity and credit quality’ shall be assigned first. Only once all those assets are fully assigned, shall assets of ‘high liquidity and credit quality’ be assigned. Only once all those assets are assigned too, shall ‘extremely high liquidity and credit quality’ be assigned. |
| 120-190 | 1.6.1Other transferable assets representing claims on or guaranteed byArticle 416.1(c) REGULATION (EU) NO 575/2013Transactions backed by transferable assets shall be reported here, in the appropriate sub-category.Assets reported in this section have been explicitly identified as potentially being of extremely high or high liquidity and credit quality.Assets reported in this section must meet all the applicable requirements contained in Articles 416 and 417 REGULATION (EU) NO 575/2013. |
| 120-130 | 1.6.1.1Transferable assets representing claims on or guaranteed by the central government of a Member State, a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assetsArticle 416(1)(c)(i) REGULATION (EU) NO 575/2013 |
| 120 | 1.6.1.1.1representing claimsAssets specified in 1.3.1 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(i) |
| 130 | 1.6.1.1.2guaranteed byAssets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i) |
| 140-150 | 1.6.1.2transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entityArticle 416(1)(c)(ii) REGULATION (EU) NO 575/2013 |
| 140 | 1.6.1.2.1representing claimsAssets specified in 1.3.2 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(ii) |
| 150 | 1.6.1.2.2guaranteed byAssets specified in 1.3.2 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(ii) |
| 160-170 | 1.6.1.3**transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks.**Article 416(1)(c)(iii) REGULATION (EU) NO 575/2013 |
| 160 | 1.6.1.3.1representing claimsAssets specified in 1.3.3 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iii) |
| 170 | 1.6.1.3.2guaranteed byAssets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii) |
| 180-190 | 1.6.1.4transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability MechanismArticle 416(1)(c)(iv) REGULATION (EU) NO 575/2013 |
| 180 | 1.6.1.4.1representing claimsAssets specified in 1.3.4 of the liquid assets template that represent claims on the above counterparties, according to Article 416(1)(c)(iv) |
| 190 | 1.6.1.4.2guaranteed byAssets specified in 1.3.4 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iv) |
| 200-220 | 1.6.2**total shares or units in CIUs with underlying assets specified in Article 416 (1)**Article 416(6) of REGULATION (EU) NO 575/2013Total shares or units in CIUs with underlying assets specified in Article 416(1) REGULATION (EU) NO 575/2013 shall be reported here, using the appropriate sub-category according to the LCR liquid assets template. |
| 200 | 1.6.2.1underlying assets in point (a) of article 416(1) |
| 210 | 1.6.2.2underlying assets in point (b) and (c) of article 416(1) |
| 220 | 1.6.2.3underlying assets in point (d) of article 416(1) |
| 230 | 1.6.3Assets issued by a credit institution which has been set up by a Member State central or regional governmentAssets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416 (2)(a)(iii) is met |
| 240-260 | 1.6.4non-financial corporate bondsArticle 416(1)(b) or (d) REGULATION (EU) NO 575/2013Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013, using the appropriate sub-category. |
| 240 | 1.6.4.1credit quality step 1 |
| 250 | 1.6.4.2credit quality step 2 |
| 260 | 1.6.4.3credit quality step 3 |
| 270-290 | 1.6.5**bonds issued by a credit institution eligible for the treatment set out in Article 129(4) or (5)**Article 416(2)(a)(i)REGULATION (EU) NO 575/2013Bonds eligible for the treatment set out in article 129 (4) or (5) shall be reported according to their credit quality as per Article 129(4) or (5) REGULATION (EU) NO 575/2013, using the appropriate sub-category |
| 270 | 1.6.5.1credit quality step 1 |
| 280 | 1.6.5.2credit quality step 2 |
| 290 | 1.6.5.3credit quality step 3 |
| 300-320 | 1.6.6**asset backed instruments issued by a credit institution if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5)**Article 416(2)(a)(i)REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, using the appropriate sub-category |
| 300 | 1.6.6.1credit quality step 1 |
| 310 | 1.6.6.2credit quality step 2 |
| 320 | 1.6.6.3credit quality step 3 |
| 330-350 | 1.6.7Residential mortgage backed instruments of the instruments reported in lines 1.6.6Article 416(2)(a)(i)REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 and Article 123, 124, 125, 126 of REGULATION (EU) NO 575/2013, using the appropriate sub-category |
| 330 | 1.6.7.1credit quality step 1 |
| 340 | 1.6.7.2credit quality step 2 |
| 350 | 1.6.7.3credit quality step 3 |
| 360-380 | 1.6.8bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in line 1.9 of the liquid assets templateArticle 416(2)(a)(ii) REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013 in the appropriate sub-category |
| 360 | 1.6.8.1credit quality step 1 |
| 370 | 1.6.8.2credit quality step 2 |
| 380 | 1.6.8.3credit quality step 3 |
| 390-410 | 1.6.9Other transferable assets that are of extremely high liquidity and credit qualityArticle 416.1(b) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 in the appropriate sub-categoryOnly items that are not specified in the rows above shall be reported here. |
| 390 | 1.6.9.1credit quality step 1 |
| 400 | 1.6.9.2credit quality step 2 |
| 410 | 1.6.9.3credit quality step 3 |
| 420-440 | 1.6.10Other transferable assets that are of high liquidity and credit qualityArticle 416.1(d) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 in the appropriate sub-category.Only items that are not specified in the rows above shall be reported here. |
| 420 | 1.6.10.1credit quality step 1 |
| 430 | 1.6.10.2credit quality step 2 |
| 440 | 1.6.10.3credit quality step 3 |
| 450-460 | 1.6.11ASSETS MEETING THE REQUIREMENTS OF ARTICLE 416 (1) (b) AND (d) BUT DO NOT MEET THE REQUIREMENTS OF ARTICLE 417 (b) OR (c) REGULATION (EU) NO 575/2013Items shall only be reported in one of the below sub-categories, also in case both provisions are not met. |
| 450 | 1.6.11.1Assets not controlled by a liquidity management functionArticle 417(c) of REGULATION (EU) NO 575/2013 |
| 460 | 1.6.11.2assets not legally and practically readily available at any time during the next 30 days to be liquidated via outright sale or via a simple repurchase agreements on an approved repurchase marketsArticle 417(b) of REGULATION (EU) NO 575/2013 |
| 470-660 | 1.6.12Items subject to supplementary reporting of liquid assetsInstitutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex.These items shall be reported here in the appropriate sub-category.Only items that are not specified elsewhere in the template shall be reported here. |
| 470 | 1.6.12.1CashAnnex III Point 1 REGULATION (EU) NO 575/2013Total amount of cash including coins and banknotes/currency. Only cash shall be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416(3) and can thus not be reported under reporting item 1.1.Note cash on deposit with other institutions shall not be reported here and shall instead be reported in the collateral category of template 1.3 ‘Inflows’ if it qualifies as monies due over the next 30 days. |
| 480 | 1.6.12.2Central bank exposures, to the extent that these exposures can be drawn down in times of stressAnnex III, Point 2 REGULATION (EU) NO 575/2013Total amount of exposures to central banks, to the extent that these exposures can be drawn down in times of stress. These exposures shall only be reported that does not satisfy at least one of the conditions set out in points (c), (d) and (e) of Article 416(3) and can thus not be reported under reporting item 1.3. |
| 490-530 | 1.6.12.3transferable securities with a 0 % risk weight and not an obligation of an institution or any of its affiliated entitiesAnnex III, Point 3 REGULATION (EU) NO 575/2013Securities with a 0 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 3 of Annex III. Of which: |
| 490 | 1.6.12.3.1representing claims on sovereignsAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 500 | 1.6.12.3.2claims guaranteed by sovereignsAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 510 | 1.6.12.3.3representing claims on or guaranteed by central banksAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 520 | 1.6.12.3.4representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authoritiesAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 530 | 1.6.12.3.5representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bankAnnex III, Point 3 REGULATION (EU) NO 575/2013 |
| 540 | 1.6.12.4transferable securities other than those referred to in 3.3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidty risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank's operations in that third countryAnnex III, Point 4 REGULATION (EU) NO 575/2013 |
| 550-590 | 1.6.12.5transferable securities with a 20 % risk weight and not an obligation of an institution or any of its affiliated entitiesAnnex III, Point 5 REGULATION (EU) NO 575/2013Securities with a 20 % risk-weight representing claims on or guaranteed by the central government of a Member State or a third country as referred to in Point 5 of Annex III. Of which: |
| 550 | 1.6.12.5.1representing claims on sovereignsAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 560 | 1.6.12.5.2claims guaranteed by sovereignsAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 570 | 1.6.12.5.3representing claims on or guaranteed by central banksAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 580 | 1.6.12.5.4representing claims on or claims guaranteed by non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authoritiesAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 590 | 1.6.12.5.5representing claims on or claims guaranteed by Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development bankAnnex III, Point 5 REGULATION (EU) NO 575/2013 |
| 600 | 1.6.12.6transferable securities other than those referred to in point 3.3 to 3.5.6 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the conditions specifed in Point 6 of Annex III of REGULATION (EU) NO 575/2013Annex III, Point 6 REGULATION (EU) NO 575/2013 |
| 610 | 1.6.12.7transferable securities other than those referred to in 3.3 to 3.6 that qualify for a 50 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or any of its affiliated entitiesAnnex III, Point 7 REGULATION (EU) NO 575/2013 |
| 620 | 1.6.12.8transferable securities other than those referred to in 3.3 to 3.7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125Annex III, Point 8 REGULATION (EU) NO 575/2013 |
| 630 | 1.6.12.9standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistanceAnnex III, Point 9 REGULATION (EU) NO 575/2013Total amount of standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralized by liquid assets and excluding emergency liquidity assistance. |
| 640 | 1.6.12.10**Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not collateralised by liqduid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.**Annex III, Point 10 REGULATION (EU) NO 575/2013 |
| 650 | 1.6.12.11exchange traded, centrally cleared common equity shares, that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or any of its affiliatesAnnex III, Point 11 REGULATION (EU) NO 575/2013 |
| 660 | 1.6.12.12gold listed on a recognised exchange, held on an allocated basisAnnex III, Point 12 REGULATION (EU) NO 575/2013 |
| 670-920 | 1.6.13**ASSETS WHICH DO NOT MEET THE REQUIREMENTS OF ARTICLE 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417 (b) and (c ) REGULATION (EU) NO 575/2013.**These items shall be reported here in the appropriate sub-category of the liquid assets template. |
| 670-690 | 1.6.13.1financial corporate bondsArticle 416 (2) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
| 670 | 1.6.13.1.1credit quality step 1 |
| 680 | 1.6.13.1.2credit quality step 2 |
| 690 | 1.6.13.1.3credit quality step 3 |
| 700-720 | 1.6.13.2own issuancesArticle 416 (3)(b) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
| 700 | 1.6.13.2.1credit quality step 1 |
| 710 | 1.6.13.2.2credit quality step 2 |
| 720 | 1.6.13.2.3credit quality step 3 |
| 730-750 | 1.6.13.3unsecured credit institution issuancesArticle 416 of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 |
| 730 | 1.6.13.3.1credit quality step 1 |
| 740 | 1.6.13.3.2credit quality step 2 |
| 750 | 1.6.13.3credit quality step 3 |
| 760-780 | 1.6.13.4asset backed securities not already reported in 1.6.6Article 416(4)(b) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
| 760 | 1.6.13.4.1credit quality step 1 |
| 770 | 1.6.13.4.2credit quality step 2 |
| 780 | 1.6.13.4.3credit quality step 3 |
| 790-810 | 1.6.13.5residential mortgage backed securities not already reported in 1.6.7Article 509(3) of REGULATION (EU) NO 575/2013Those items shall be reported according to their credit quality as per Chapter 5, Title 2 of Part III and Article 125 of REGULATION (EU) NO 575/2013 |
| 790 | 1.6.13.5.1credit quality step 1 |
| 800 | 1.6.13.5.2credit quality step 2 |
| 810 | 1.6.13.5.3credit quality step 3 |
| 820 | 1.6.13.6equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutionsArticles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 830 | 1.6.13.7goldArticles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 840 | 1.6.13.8guaranteed bonds not already reported aboveArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 850 | 1.6.13.9covered bonds not already reported aboveArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 860 | 1.6.13.10corporate bonds not already reported aboveArticle 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 870 | 1.6.13.11funds based on the assets reported in 1.6.13.6– 1.6.13.10Article 509(3)(c) of REGULATION (EU) NO 575/2013 |
| 880-900 | 1.6.13.12other categories of central bank eligible securities or loansArticle 509(3)(b) of REGULATION (EU) NO 575/2013 |
| 880 | 1.6.13.12.1local government bondsArticle 509(3)(b) of REGULATION (EU) NO 575/2013 |
| 890 | 1.6.13.12.2commercial paperArticle 509(3)(b) of REGULATION (EU) NO 575/2013 |
| 900 | 1.6.13.12.3credit claimsArticle 416(4)(c) of REGULATION (EU) NO 575/2013 |
| 910-930 | 1.6.13.13**Shar'iah-compliant financial products as an alternative to assetss that would qualify as liquid assets for the purposes of Article 416, for the use of Shar'iah compliant banks509(2)(i)**Article 509(2)(i) of REGULATION (EU) NO 575/2013 |
| 910 | 1.6.13.13.1credit quality step 1 |
| 920 | 1.6.13.13.2credit quality step 2 |
| 930 | 1.6.13.13.3credit quality step 3 |
| 940-960 | 1.7**undrawn credit and liquidity facilities and other commitments received from intra-group entities in accordance with article 425(4)**Article 425(4) of REGULATION (EU) NO 575/2013Total amount of undrawn credit and liquidity facilities and other commitments received from intra-group entities for which the competent authority has granted a higher inflow on a case-by-case basis, shall be reported in the following subcategories as follows: |
| 940 | 1.7.1where all the conditions of Article 425(4) (a), (b) and (c) are metArticle 425(4)(a),(b) and (c) REGULATION (EU) NO 575/2013Total amount of monies due for which the competent authority has granted the permission to apply a higher inflow on a case by case basis and where all the conditions of Article 425(4) (a), (b) and (c) are met. |
| 950 | 1.7.2**where point (d) of Article 425(4) has been waived by the competent authorities and all the conditions of Article 425(4) (a), (b) and (c) are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8, undrawn credit and liquidity facilities and other commitments received from intra-group entity in accordance with article 425(5)**Article 425(4) (a), (b), (c) and (d) of REGULATION (EU) NO 575/2013Total amount of monies due for which the competent authority has granted the permission to apply, a higher inflow on a case by case basis and where all the conditions of Article 425(4) (a), (b), (c) and are met for the purposes of applying the intra-group treatment of Article 20(1)(b) in relation to institutions that are not subject to the waiver of Article 8 and where the condition of Article 425(4)(d) has been waived. |
| 960 | 1.7.3**net receivables expected from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416)**Article 425(3) of REGULATION (EU) NO 575/2013The net amount of receivables expected over the 30 day horizon from the contracts listed in Annex II.Amounts shall:be net across all counterpartiesbe net of collateral to be received that qualifies as liquid assets under Art 416not be the marked-to-market value, since the marked-to market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizonNote net amount payable shall be reported in 1.2 ‘Outflows’ item 1.2.7 (net amount payable from the contracts listed in Annex II (net of collateral to be received that qualifies as liquid assets under Article 416). |
| 970 | 1.8payments due on liquid assets not reflected in the market value of the assetArticle 425(7) of REGULATION (EU) NO 575/2013The total amount of any payment due on assets that qualify as liquid assets according to Article 416, not reflected in the market value of that asset. |
| 980 | 1.9other inflowsTotal amount of all other inflows due not reported in items 1.1 to 1.8 |
| 990 | 2.Total inflows excluded due to capTotal monies due which are excluded due to an inflow cap which is set at 75 % of liquidity outflows in accordance with Article 425(1) of REGULATION (EU) NO 575/2013. This will require to be checked by reference to total outflows as calculated from the outflows template. |
| 1000-1030 | 3inflows exempted from the cap |
| 1000 | 3.1monies due from borrowers and bond investors related to mortgage lendingArticle 425(1) of REGULATION (EU) NO 575/2013Mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) as in defined in Article 52(4) of Directive 2009/65/EC |
| 1010 | 3.2inflows from promotional loans that the institution has passed throughArticle 425(1) of REGULATION (EU) NO 575/2013 |
| 1020 | 3.3**Inflows qualifying for the treatment set out in Article 113(6) or (7)**Total amount of inflows which are deposits placed with other institutions which qualify for the treatments set out in Article 113(6) and Article 113(7), and are therefore exempt from the cap on inflows.Article 425(1) of REGULATION (EU) NO 575/2013 |
| 1030 | 3.4Inflows from intra-group entity approved by the competent authorityArticle 425(1) of REGULATION (EU) NO 575/2013 |
REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS)
General remarks
- This is a summary template which contains information that will allow EBA to assess whether secured lending and collateral swap transactions have been properly unwound, where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1). (a) Collateral swaps sub template i. Instructions concerning specific rows
| Row | Legal references and instructions |
|---|---|
| 1.Collateral SwapsArticle 415(1) paragraph 2 of REGULATION (EU) NO 575/2013.Institutions shall report any collateral swap where liquid assets referred to in points (a), (b) or (c) of Article 416 have been obtained against collateral that does not qualify under points (a), (b) and(c) of Article 416(1).Assets that do not qualify under points (a), (b) and(c) of Article 416(1) of REGULATION (EU) NO 575/2013 are referred to as ‘other assets’ in this template.Collateral swaps maturating in less than or equal to 30 days shall be reported in columns 010 and 020. In column 010 the notional amount shall be reported. In column 020 the market value shall be reported.Collateral swaps maturating in greater than 30 days shall be reported in columns 030 and 040. In column 030 the notional amount shall be reported. In column 040 the market value shall be reported. | |
| 010-060 | 1.0Assets |
| 010 | 1.1cash and exposures to central banksArticle 416(1)(a) REGULATION (EU) NO 575/2013 |
| 020 | 1.2**other transferable assets according to Article 416(1)(b)**Article 416(1)(b) REGULATION (EU) NO 575/2013 |
| 030-060 | 1.3other transferable assets representing claims on or guaranteed byArticle 416(1)(c) of REGULATION (EU) NO 575/2013The following subcategories shall be reported: |
| 030 | 1.3.1transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assetsArticle 416(1)(c)(i) of REGULATION (EU) NO 575/2013 |
| 040 | 1.3.2transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entityArticle 416(1)(c)(ii) of REGULATION (EU) NO 575/2013 |
| 050 | 1.3.3transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banksArticle 416(1)(c)(iii) of REGULATION (EU) NO 575/2013 |
| 060 | 1.3.4transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability MechanismArticle 416(1)(c)(iv) of REGULATION (EU) NO 575/2013 |
REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)
1.Items providing stable funding
1.1.General remarks
This is a summary template which contains information about items providing stable funding. Items which do not need to be completed by institutions are coloured grey.
All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these two categories shall therefore reflect the size of the institutions' total assets.
In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows: (a) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall be reported here. (b) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column G of the relevant category. (c) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category. (d) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category. (e) liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.
Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final maturity date, institutions shall assume such behaviour.
For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template.
1.2.Items providing stable funding
1.2.1.Instructions concerning specific rows
| Row | Legal references and instructions |
|---|---|
| 010-250 | 1ITEMS PROVIDING STABLE FUNDINGArticle 427 of REGULATION (EU) NO 575/2013Total amount of own funds shall be reported in column J of the following subcategories as follows:[Note: except item 1.1.3, instruments which would otherwise qualify as ‘own funds’ but no longer meet the definition, such as instruments which no longer qualify due to their maturity, shall instead be reported in the applicable subcategory of section 1.2 ‘Liabilities excluding own funds’] |
| 010-030 | 1.1Own fundsArticle 427(1)(a) of REGULATION (EU) NO 575/2013The subcomponents of own funds, after deductions have been applied, consisting of the sum of Tier 1 capital and Tier 2 capital as specified in Articles 25 and 71 of REGULATION (EU) NO 575/2013, and related elements |
| 010 | 1.1.1Tier 1 capital instrumentsArticle 427(1)(a)(i) of REGULATION (EU) NO 575/2013Total amount of Tier 1 capital as specified in Article 25 of REGULATION (EU) NO 575/2013. |
| 020 | 1.1.2Tier 2 capitalArticle 427(1)(a)(ii) of REGULATION (EU) NO 575/2013Total amount of Tier 2 capital as specified in Article 71 of REGULATION (EU) NO 575/2013. |
| 030 | 1.1.3Other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greaterArticle 427(1)(a)(iii) of REGULATION (EU) NO 575/2013Other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greater. |
| 040-260 | 1.2Liabilities excluding own fundsArticle 427(1)(b) of REGULATION (EU) NO 575/2013Total amount of liabilities excluding own funds shall be reported in columns 010 to 050 according to the closer of their maturity date and the earliest date at which they can contractually be called, in the relevant subcategory as follows: |
| 040-060 | 1.2.1Retail depositsArticle 427(1)(b)(i-ii)) of REGULATION (EU) NO 575/2013Total amount of retail deposits shall be reported in columns 010 to 050 according to the closer of their maturity date and the earliest date at which they can contractually be called, in the relevant subcategory as follows: |
| 040 | 1.2.1.1**as defined in Article 421(1)**Article 427(1)(b)(i) of REGULATION (EU) NO 575/2013Total amount of retail deposits in accordance with Article 421(1) REGULATION (EU) NO 575/2013 as reported in item 1.1.1 of the liquidity coverage template ‘outflows’, for those deposits with a maturity of less than 30 days, of Liquidity Coverage template 1.2 ‘Outflows’. |
| 050 | 1.2.1.2**as defined in Article 421(2)**Article 427(1)(b)(ii) of REGULATION (EU) NO 575/2013Total amount of retail deposits in accordance with Article 421(2) REGULATION (EU) NO 575/2013, as reported in items 1.1.2-1.1.3 of the liquidity coverage template ‘outflows’, for those deposits with a maturity of less than 30 days, of Liquidity Coverage template 1.2 ‘Outflows’. |
| 060 | 1.2.1.3**subject to higher outflows than specified in Article 421(1) or 421(2)**Total amount of retail deposits subject to higher outflows than specified in Articles 421(1) and 421 (2), as reported in item 1.1.4 of the liquidity coverage template ‘outflows’. |
| 070-130 | 1.2.2liabilities from customers that are not financial customersArticle 427(1)(b)(vii) of REGULATION (EU) NO 575/2013, 427(1)(b)(iii)Total amount of liabilities from customers that are not financial customers. |
| 070-090 | 1.2.2.1liabilities from secured lending and capital market driven transactionsArticle 427(1)(b)(ix) of REGULATION (EU) NO 575/2013Total amount of liabilities from secured lending and capital market driven transactions s defined in Article 192, from customers that are not financial customers |
| 070 | 1.2.2.1.1collateralised by extremely high liquidity and credit quality assetsArticle 427(1)(b)(ix) of REGULATION (EU) NO 575/2013Total amount collateralised by assets of extremely high liquidity and credit quality as reported in 1.1 Assets section 1 as ‘Extremely high liquidity and credit quality assets’. |
| 080 | 1.2.2.1.2collateralised by high liquidity and credit quality assetsArticle 427(1)(b)(ix) of REGULATION (EU) NO 575/2013Total amount collateralised by assets of high liquidity and credit quality as reported in 1.1 Assets section 1 as ‘High liquidity and credit quality assets’. |
| 090 | 1.2.2.1.3collateralised by any other assetsArticle 427(1)(b)(ix) of REGULATION (EU) NO 575/2013Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2. |
| 100 | 1.2.2.2liabilities from unsecured lendingArticle 427(1)(b)(vii) of REGULATION (EU) NO 575/2013Total amount of liabilities from unsecured lending from customers that are not financial customers. |
| 110-130 | 1.2.2.3**liabilities that qualify for the treatment in Article 422(3) and (4)**Article 427(1)(b)(iii) of REGULATION (EU) NO 575/2013The total amount of liabilities that qualify for the treatment in Article 422 (3) and (4). |
| 110 | 1.2.2.3.1liabilities reported in 1.2.2.3 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third countryArticle 427(1)(b)(iv) of REGULATION (EU) NO 575/2013Of the liabilities reported in 1.2.2.3, the total amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country deposit guarantee scheme. |
| 120 | 1.2.2.3.2**liabilities reported in 1.2.2.3 which fall under point (b) of Article 422(3)**Article 427(1)(b)(v) of REGULATION (EU) NO 575/2013Of the liabilities reported in 1.2.2.3, the total amount of deposits that fall under point (b) of Article 422(3). |
| 130 | 1.2.2.3.3**liabilities reported in 1.2.2.3 which fall under point (d) of Article 422(3)**Article 427(1)(b)(vi) of REGULATION (EU) NO 575/2013Of the liabilities reported in 1.2.2.2.1, the total amount of deposits that fall under point (d) of Article 422(3). |
| 140-200 | 1.2.3liabilities from customers that are financial customersArticle 427(1)(b)(viii) of REGULATION (EU) NO 575/2013Total amount of liabilities from customers that are financial customers |
| 140-160 | 1.2.3.1liabilities from secured lending and capital market driven transactionsArticle 427(1)(b)(ix) of REGULATION (EU) NO 575/2013Total amount of liabilities from secured lending and capital market driven transactions as defined in Article 192, from customers that are financial customers |
| 140 | 1.2.3.1.1collateralised by extremely high liquidity and credit quality assetsArticle 427(1)(b)(ix) of REGULATION (EU) NO 575/2013Total amount collateralised by extremely high liquidity and credit quality assets as reported in 1.1 Assets section 1 as ‘Extremely high liquidity and credit quality assets’. |
| 150 | 1.2.3.1.2collateralised by highly liquidity and credit quality assetsArticle 427(1)(b)(ix) of REGULATION (EU) NO 575/2013Total amount collateralised by high liquidity and credit quality assets as reported in 1.1 Assets section 1 as ‘High liquidity and credit quality assets’. |
| 160 | 1.2.3.1.3collateralised by any other assetsArticle 427(1)(b)(ix) of REGULATION (EU) NO 575/2013Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2. |
| 170 | 1.2.3.2liabilities from unsecured lendingArticle 427(1)(b)(viii) of REGULATION (EU) NO 575/2013Total amount of liabilities from unsecured lending to customers that are financial customers. |
| 180-200 | 1.2.3.3**liabilities that qualify for the treatment in Article 422(3) and (4)**Article 427(1)(b)(iii) of REGULATION (EU) NO 575/2013The total amount of liabilities that qualify for the treatment in Article 422(3) and (4). |
| 180 | 1.2.3.3.1liabilities reported in 1.2.3.3 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third countryArticle 427(1)(b)(iv) of REGULATION (EU) NO 575/2013Of the liabilities reported in 1.2.3.3, the total amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country deposit guarantee scheme. |
| 190 | 1.2.3.3.2**liabilities reported in 1.2.3.3 which fall under point (b) of Article 422(3)**Article 427(1)(b)(v) of REGULATION (EU) NO 575/2013Of the liabilities reported in 1.2.3.3, the total amount of deposits that fall under point (b) of Article 422(3). |
| 200 | 1.2.3.3.3**liabilities reported in 1.2.3.3 which fall under point (d) of Article 422(3)**Article 427(1)(b)(vi) of REGULATION (EU) NO 575/2013Of the liabilities reported in 1.2.2.2.1, the total amount of deposits that fall under point (d) of Article 422(3). |
| 210 | 1.2.4**liabilities resulting from securities issued qualifying for the treatment in Article 129(4) or (5)**Article 427(1)(b)(x) of REGULATION (EU) NO 575/2013Total amount of liabilities resulting from securities issued qualifying for the treatment in Article 129 (covered bonds). |
| 220 | 1.2.5liabilities resulting from securities defined in Article 52(4) of Directive 2009/65/ECArticle 427(1)(b)(x) of REGULATION (EU) NO 575/2013Total amount of liabilities resulting from securities issued qualifying for the treatment defined in Article 52(4) of Directive 2009/65/EC (covered bonds). |
| 230 | 1.2.6other liabilities resulting from securities issuedArticle 427(1)(b)(xi) of REGULATION (EU) NO 575/2013Total amount of liabilities resulting from securities issued, other than those reported in 1.1. |
| 240 | 1.2.7liabilities from derivatives payables contractsTotal amount of liabilities from derivatives payables contracts. |
| 250 | 1.2.8any other liabilitiesArticle 427(1)(b)(xii) of REGULATION (EU) NO 575/2013Total amount of any other liabilities. |
2.Items requiring stable funding
2.1.General remarks
This is a summary template which contains information about items requiring stable funding. Items which do not need to be completed by institutions are coloured grey.
All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect the size of total own funds and liabilities together.
Treatment of maturity: (i) In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows: (a) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category. (b) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category. (c) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category. (d) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category. (e) assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category. (ii) For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised, the institution shall assume such behaviour for the purpose of reporting assets in this template. (iii) Assets shall be reported according to their residual contract maturity and not behavioural assumptions.
In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each category of assets reported in the required stable funding template, institutions shall provide a separate break down of the assets encumbrance as follows: (i) The amount of assets reported which are unencumbered shall be reported in the first sub-category. (ii) The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance, as follows: i. for a period within three months ii. for a period between three and 6 months iii. for a period between 6 and 9 months iv. for a period between 9 and 12 months v. for a period greater than 12 months
Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article 192 of REGULATION (EU) NO 575/2013: (i) Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they do not have beneficial ownership. (ii) Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain beneficial ownership. (iii) Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain on their balance sheet, they shall allocate such securities to the appropriate RSF category.
Treatment of derivatives payables and receivables: (i) An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. ‘Required funding’ and template 1.2 ‘Stable funding’ accordingly.
2.2.Items requiring stable funding
2.2.1.Instructions concerning specific rows
| Row | Legal references and instructions |
|---|---|
| 010-1320 | 1ITEMS REQUIRING STABLE FUNDINGTotal assets shall be reported as follows:1.In columns P-T for assets which are not reported as liquid assets for the purpose of the liquidity coverage template.2.In columns F-J for assets which are considered extremely high liquidity and credit quality for the purpose of the liquidity coverage template columns3.In columns K-O for assets which are considered high liquidity and credit quality for the purpose of the liquidity coverage template.Assets shall be reported according to the closer of their maturity date and the earliest date at which they can contractually be called. |
| 010-470 | 1.1Assets that would qualify as liquid in accordance with Article 416Article 428(1)(a) of REGULATION (EU) NO 575/2013Total assets referred to in Article 416 shall be reported within the relevant sub-line(s) and column(s) |
| 010 | 1.1.1CashArticles 416(1)(a)Total amount of cash including coins and banknotes/currency. |
| 020 | 1.1.2Exposures to central banksArticles 416(1)(a)Total amount of deposits held with central banks. |
| 030 | 1.1.2.1Of which: exposures that can be withdrawn in times of stressArticle 416(1)(a)Total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress. |
| 040-050 | 1.1.3transferable assets representing claims on or guaranteed by the central government of a Member state or a third country if the institution incurs a liquidity risk in that Member state or third country that it covers by holding those liquidity assetsArticle 416(1)(c)(i) of REGULATION (EU) NO 575/2013Total amount of transferable assets referred to in Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013 |
| 040 | 1.1.3.1representing claims |
| 050 | 1.1.3.2guaranteed by |
| 060-070 | 1.1.4transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entityArticle 416(1)(c)(ii) of REGULATION (EU) NO 575/2013 |
| 060 | 1.1.4.1representing claims |
| 070 | 1.1.4.2guaranteed by |
| 080-150 | 1.1.5transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the European Commission and multilateral development banksArticle 416(1)(c)(iii) of REGULATION (EU) NO 575/2013 |
| 080 | 1.1.5.1 (a)representing claims |
| 090 | 1.1.5.2 (a)guaranteed by |
| 100 | 1.1.5.1 (b)amount unencumbered |
| 110 | 1.1.5.2 (b)encumbered for a period within three months |
| 120 | 1.1.5.3 (b)encumbered for a period between three months and six months |
| 130 | 1.1.5.4 (b)encumbered for a period between six and nine months |
| 140 | 1.1.5.5 (b)encumbered for a period between nine and twelve months |
| 150 | 1.1.5.6 (b)encumbered for a period greater than twelve months |
| 152-153 | 1.1.6transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability MechanismArticle 416(1)(c)(iii) of REGULATION (EU) NO 575/2013 |
| 152 | 1.1.6.1representing claims |
| 153 | 1.1.6.2guaranteed by |
| 160-230 | 1.1.7**total shares or units in CIUs with underlying assets specified in Article 416(1)**Article 416(6) of REGULATION (EU) NO 575/2013Total market value of shares or units in CIU's as referred to in Article 416(6) of REGULATION (EU) NO 575/2013 |
| 160 | 1.1.7.1 (a)underlying assets in point (a) of Article 416(1) |
| 170 | 1.1.7.2 (a)underlying assets in point (b) and (c) of Article 416(1) |
| 175 | 1.1.7.3 (a)underlying assets in point (d) of Article 416(1) |
| 180 | 1.1.7.1 (b)amount unencumbered |
| 190 | 1.1.7.2 (b)amount encumbered for a period within three months |
| 200 | 1.1.7.3 (b)amount encumbered for a period between three and 6 months |
| 210 | 1.1.7.4 (b)amount encumbered for a period between 6 and 9 months |
| 220 | 1.1.7.5 (b)amount encumbered for a period between 9 and 12 months |
| 230 | 1.1.7.6 (b)amount encumbered for a period greater than 12 months |
| 232-233 | 1.1.8deposits with the central credit institution and other statutory or contractually available liquid funding from a central credit institution or institutions that are members of a network referred to in Article 113(7) or eligible for the waiver provided in Article 10 REGULATION (EU) NO 575/2013, to the extent that this funding is not collateralized by liquid assets |
| 232 | 1.1.8.1deposits |
| 233 | 1.1.8.2contractually available funding |
| 234 | 1.1.9Assets issued by a credit institution which has been set up by a Member State central or regional government where at least one of the conditions in Article 416(2)(a)(iii) is met |
| 240-290 | 1.1.10Other transferable assets not specified elsewhere |
| 240 | 1.1.10.1amount unencumbered |
| 250 | 1.1.10.2amount encumbered for a period within three months |
| 260 | 1.1.10.3amount encumbered for a period between three and 6 months |
| 270 | 1.1.10.4amount encumbered for a period between 6 and 9 months |
| 280 | 1.1.10.5amount encumbered for a period between 9 and 12 months |
| 290 | 1.1.10.6amount encumbered for a period greater than 12 months |
| 300-350 | 1.1.11Non financial corporate bondsArticle 416(1)(b) or (d) of REGULATION (EU) NO 575/2013 |
| 300 | 1.1.11.1amount unencumbered |
| 310 | 1.1.11.2amount encumbered for a period within three months |
| 320 | 1.1.11.3amount encumbered for a period between three and 6 months |
| 330 | 1.1.11.4amount encumbered for a period between 6 and 9 months |
| 340 | 1.1.11.5amount encumbered for a period between 9 and 12 months |
| 350 | 1.1.11.6amount encumbered for a period greater than 12 months |
| 351 | 1.1.12non residential mortgage backed instruments issued by a credit institution if demostrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) REGULATION (EU) NO 575/2013 |
| 352 | 1.1.12.1amount unencumbered |
| 353 | 1.1.12.2amount encumbered for a period within three months |
| 354 | 1.1.12.3amount encumbered for a period between three and 6 months |
| 355 | 1.1.12.4amount encumbered for a period between 6 and 9 months |
| 356 | 1.1.12.5amount encumbered for a period between 9 and 12 months |
| 357 | 1.1.12.6amount encumbered for a period greater than 12 months |
| 358 | 1.1.13residential mortgage backed instruments issued by a credit institution if demonstrated to be of the hihgest credit quality as established by EBA pursuant to the criteria in Art. 509 (3),(4) and (5) REGULATION (EU) NO 575/2013 |
| 359 | 1.1.13.1amount unencumbered |
| 360 | 1.1.13.2amount encumbered for a period within three months |
| 361 | 1.1.13.3amount encumbered for a period between three and 6 months |
| 362 | 1.1.13.4amount encumbered for a period between 6 and 9 months |
| 363 | 1.1.13.5amount encumbered for a period between 9 and 12 months |
| 364 | 1.1.13.6amount encumbered for a period greater than 12 months |
| 365 | 1.1.14bonds eligible for the treatment set out in Art. 129(4) or (5), which meet the criteria in Art. 416(2)(a) REGULATION (EU) NO 575/2013 |
| 366 | 1.1.14.1amount unencumbered |
| 370 | 1.1.14.2amount encumbered for a period within three months |
| 380 | 1.1.14.3amount encumbered for a period between three and 6 months |
| 390 | 1.1.14.4amount encumbered for a period between 6 and 9 months |
| 400 | 1.1.14.5amount encumbered for a period between 9 and 12 months |
| 410 | 1.1.14.6amount encumbered for a period greater than 12 months |
| 420-470 | 1.1.15bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.1.9 |
| 420 | 1.1.15.1amount unencumbered |
| 430 | 1.1.15.2amount encumbered for a period within three months |
| 440 | 1.1.15.3amount encumbered for a period between three and 6 months |
| 450 | 1.1.15.4amount encumbered for a period between 6 and 9 months |
| 460 | 1.1.15.5amount encumbered for a period between 9 and 12 months |
| 470 | 1.1.15.6amount encumbered for a period greater than 12 months |
| 480-530 | 1.2securities and money market instruments not reported in item 1.1, qualifying for credit step 1 under Article 122Article 428(1)(b) (i)of REGULATION (EU) NO 575/2013Total securities and money market instruments not already reported in item 1.1Total market value of bonds as defined in Article 428(1)(b)(i) of REGULATION (EU) NO 575/2013 |
| 480 | 1.2.1amount unencumbered |
| 490 | 1.2.2amount encumbered for a period within three months |
| 500 | 1.2.3amount encumbered for a period between three and 6 months |
| 510 | 1.2.4amount encumbered for a period between 6 and 9 months |
| 520 | 1.2.5amount encumbered for a period between 9 and 12 months |
| 530 | 1.2.6amount encumbered for a period greater than 12 months |
| 540-590 | 1.3securities and money market instruments not reported in item 1.1, qualifying for credit step 2 under Article 122Total market value of bonds as defined in Article 428(1)(b)(ii) of REGULATION (EU) NO 575/2013 |
| 540 | 1.3.1amount unencumbered |
| 550 | 1.3.2amount encumbered for a period within three months |
| 560 | 1.3.3amount encumbered for a period between three and 6 months |
| 570 | 1.3.4amount encumbered for a period between 6 and 9 months |
| 580 | 1.3.5amount encumbered for a period between 9 and 12 months |
| 580 | 1.3.6amount encumbered for a period greater than 12 months |
| 600-650 | 1.4Other securities and money market instruments not reported elsewhereTotal market value of bonds as defined in Article 428(1)(b)(iii) of REGULATION (EU) NO 575/2013 |
| 600 | amount unencumbered |
| 610 | amount encumbered for a period within three months |
| 620 | amount encumbered for a period between three and 6 months |
| 630 | amount encumbered for a period between 6 and 9 months |
| 640 | amount encumbered for a period between 9 and 12 months |
| 650 | amount encumbered for a period greater than 12 months |
| 660-710 | 1.5equity securities of non-financial entities listed on a major index in a recognised exchangeArticle 428(1)(c) of REGULATION (EU) NO 575/2013Total equity securities of non-financial entities listed on a major index in a recognised exchange |
| 660 | 1.5.1amount unencumbered |
| 670 | 1.5.2amount encumbered for a period within three months |
| 680 | 1.5.2amount encumbered for a period between three and 6 months |
| 690 | 1.5.3amount encumbered for a period between 6 and 9 months |
| 700 | 1.5. 3amount encumbered for a period between 9 and 12 months |
| 710 | 1.5.4amount encumbered for a period greater than 12 months |
| 720-770 | 1.6other equity securitiesArticle 428(1)(d) of REGULATION (EU) NO 575/2013Total equity securities not reported in 1.3 |
| 720 | 1.6.1amount unencumbered |
| 730 | 1.6.2amount encumbered for a period within three months |
| 740 | 1.6.3amount encumbered for a period between three and 6 months |
| 750 | 1.6.4amount encumbered for a period between 6 and 9 months |
| 760 | 1.6.5amount encumbered for a period between 9 and 12 months |
| 770 | 1.6.6amount encumbered for a period greater than 12 months |
| 780-830 | 1.7goldArticle 428(1)(e) of REGULATION (EU) NO 575/2013 |
| 780 | 1.7.1amount unencumbered |
| 790 | 1.7.2amount encumbered for a period within three months |
| 800 | 1.7.3amount encumbered for a period between three and 6 months |
| 810 | 1.7.4amount encumbered for a period between 6 and 9 months |
| 820 | 1.7.5amount encumbered for a period between 9 and 12 months |
| 830 | 1.7.6amount encumbered for a period greater than 12 months |
| 840-890 | 1.8other precious metalsArticle 428(1)(f) of REGULATION (EU) NO 575/2013Total holdings of precious metals other than gold[Note: examples include silver or platinum. Gold shall be reported in item 1.5 instead.] |
| 840 | 1.8.1amount unencumbered |
| 850 | 1.8.2amount encumbered for a period within three months |
| 860 | 1.8.3amount encumbered for a period between three and 6 months |
| 870 | 1.8.4amount encumbered for a period between 6 and 9 months |
| 880 | 1.8.5amount encumbered for a period between 9 and 12 months |
| 890 | 1.8.6amount encumbered for a period greater than 12 months |
| 900-1250 | 1.9non-renewable loans and receivablesArticle 428(1)(g) of REGULATION (EU) NO 575/2013Total non-renewable loans and receivables as referred to in Article 428(1)(g) of REGULATION (EU) NO 575/2013 shall be reported within the relevant sub-line(s) and column(s) |
| 900-950 | 1.9.1The borrowers of which are natural persons other than commercial sole proprietors and partnershipsArticle 428(1)(g)(i) of REGULATION (EU) NO 575/2013Total non-renewable loans and receivables where the borrowers of which are natural persons and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million. |
| 900 | 1.9.1.1amount unencumbered |
| 910 | 1.9.1.2amount encumbered for a period within three months |
| 920 | 1.9.1.3amount encumbered for a period between three and 6 months |
| 930 | 1.9.1.4amount encumbered for a period between 6 and 9 months |
| 940 | 1.9.1.5amount encumbered for a period between 9 and 12 months |
| 960 | 1.9.1.6amount encumbered for a period greater than 12 months |
| 960-1010 | 1.9.2**the borrowers of which are small and medium-sized enterprises that qualify for the retail exposure class under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment mentioned in Article 153(4) and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million.**Article 428(1)(g)(ii) of REGULATION (EU) NO 575/2013Total non-renewable loans and receivables where the borrowers of which are small and medium-sized enterprises that qualify for the retail exposure class under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment mentioned in Article 153(4) and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million. |
| 960 | 1.9.2.1amount unencumbered |
| 970 | 1.9.2.2amount encumbered for a period within three months |
| 980 | 1.9.2.3amount encumbered for a period between three and 6 months |
| 990 | 1.9.2.4amount encumbered for a period between 6 and 9 months |
| 1000 | 1.9.2.5amount encumbered for a period between 9 and 12 months |
| 1010 | 1.9.2.6amount encumbered for a period greater than 12 months |
| 1020-1070 | 1.9.3**the borrowers of which are sovereigns, central banks and public sector entities (PSEs)**Article 428(1)(g)(iii) of REGULATION (EU) NO 575/2013Total non-renewable loans and receivables where the borrowers are sovereigns, central banks and public sector entities (PSEs) |
| 1020 | 1.9.3.1amount unencumbered |
| 1030 | 1.9.3.2amount encumbered for a period within three months |
| 1040 | 1.9.3.3amount encumbered for a period between three and 6 months |
| 1050 | 1.9.3.4amount encumbered for a period between 6 and 9 months |
| 1060 | 1.9.3.5amount encumbered for a period between 9 and 12 months |
| 1070 | 1.9.3.6amount encumbered for a period greater than 12 months |
| 1080-1130 | 1.9.4the borrowers of which are not reported in item 1.9.1, 1.9.2 or 1.9.3, excluding financial customersArticle 428(1)(g)(iv) of REGULATION (EU) NO 575/2013Total non-renewable loans and receivables where the borrowers are not referred to in item 1.7.1, 1.7.2 or 1.7.3 and excluding financial customers. |
| 1080 | 1.9.4.1amount unencumbered |
| 1090 | 1.9.4.2amount encumbered for a period within three months |
| 1100 | 1.9.4.3amount encumbered for a period between three and 6 months |
| 1110 | 1.9.4.4amount encumbered for a period between 6 and 9 months |
| 1120 | 1.9.4.5amount encumbered for a period between 9 and 12 months |
| 1130 | 1.9.4.6amount encumbered for a period greater than 12 months |
| 1140-1190 | 1.9.5the borrowers of which are credit institutionsArticle 428(1)(g)(v) of REGULATION (EU) NO 575/2013Total non-renewable loans and receivables where the borrowers are credit institutions. |
| 1140 | 1.9.5.1amount unencumbered |
| 1150 | 1.9.5.2amount encumbered for a period within three months |
| 1160 | 1.9.5.3amount encumbered for a period between three and 6 months |
| 1170 | 1.9.5.4amount encumbered for a period between 6 and 9 months |
| 1180 | 1.9.5.5amount encumbered for a period between 9 and 12 months |
| 1190 | 1.9.5.6amount encumbered for a period greater than 12 months |
| 1200-1250 | 1.9.6the borrowers of which are financial customers (not referred to in 1.9.1, 1.9.2 or 1.9.3) other than credit institutionsArticle 428(1)(g)(v) of REGULATION (EU) NO 575/2013Total non-renewable loans and receivables where the borrowers are financial customers. |
| 1200 | 1.9.6.1amount unencumbered |
| 1210 | 1.9.6.2amount encumbered for a period within three months |
| 1220 | 1.9.6.3amount encumbered for a period between three and 6 months |
| 1230 | 1.9.6.4amount encumbered for a period between 6 and 9 months |
| 1240 | 1.9.6.5amount encumbered for a period between 9 and 12 months |
| 1250 | 1.9.6.6amount encumbered for a period greater than 12 months |
| 1260-1280 | 1.10Non-renewable loans and receivables reported in 1.7 that are considered real estateArticle 428(1) (h) REGULATION (EU) NO 575/2013 |
| 1260 | 1.10.1Collateralised by commercial real estateArticle 428(1)(h)(i) REGULATION (EU) NO 575/2013 |
| 1270 | 1.10.2Collateralised by residential real estateArticle 428(1)(h)(ii) REGULATION (EU) NO 575/2013 |
| 1280 | 1.10.3Match funded (pass-through) via bond eligible for treatment set out in Article 129(4) or (5), or as defined in Article 52(4) of Directive 2009/65/ECArticle 428(1)(h)(iii) REGULATION (EU) NO 575/2013 |
| 1290 | 1.11derivatives receivablesArticle 428(1)(i) of REGULATION (EU) NO 575/2013Total net derivatives receivables |
| 1300 | 1.12any other assetsArticle 428(1)(j) of REGULATION (EU) NO 575/2013Any other assets, not already reported in 1.1.1-1.8 aboveNote: assets deducted from own funds shall be reported in item 1.10. |
| 1310 | 1.13assets deducted from own funds not requiring stable fundingArticle 428(1) of REGULATION (EU) NO 575/2013All assets, deducted from own funds for the purpose of complying with REGULATION (EU) NO 575/2013 capital rules |
| 1320 | 1.14Undrawn committed Credit facilitiesArticle 428(1)(k) of REGULATION (EU) NO 575/2013Credit facilities as referred to in Article 428(1)(k) of REGULATION (EU) NO 575/2013 |
All data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities.The single data point model shall meet the following criteria:
Single Data Point Model
(a) provide a structured representation of all data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI;
(b) identify all the business concepts set out in Annexes I to XIII, XVI and XVII;
(c) provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;
(d) provide metrics which define the property or amount of data points;
(e) provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept;
(f) contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.
The data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI shall be subject to validation rules ensuring data quality and consistency.The validation rules shall meet the following criteria:
Validation Rules
(a) define the logical relationships between relevant data points;
(b) include filters and preconditions that define a set of data to which a validation rule applies;
(c) check the consistency of the reported data;
(d) check the accuracy of the reported data;
(e) set default values which shall be applied where the relevant information has not been reported.
ASSET ENCUMBRANCE TEMPLATES
| Template number | Template code | Name of the template /group of templates | Short name |
|---|---|---|---|
| 32,1 | F 32.01 | ASSETS OF THE REPORTING INSTITUTION | AE-ASS |
| 32,2 | F 32.02 | COLLATERAL RECEIVED | AE-COL |
| 32,3 | F 32.03 | OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED | AE-NPL |
| 32,4 | F 32.04 | SOURCES OF ENCUMBRANCE | AE-SOU |
| 33 | F 33.00 | MATURITY DATA | AE-MAT |
| 34 | F 34.00 | CONTINGENT ENCUMBRANCE | AE-CONT |
| 35 | F 35.00 | COVERED BONDS ISSUANCE | AE-CB |
| 36,1 | F 36.01 | ADVANCED DATA. PART I | AE-ADV1 |
| 36,2 | F 36.02 | ADVANCED DATA. PART II | AE-ADV2 |
F 32.01 — ASSETS OF THE REPORTING INSTITUTION (AE-ASS)
| Carrying amount of encumbered assets | Fair value of encumbered assets | Carrying amount of non-encumbered assets | Fair value of non-encumbered assets | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| of which: issued by other entities of the group | of which: central bank's eligible | of which: central bank's eligible | of which: issued by other entities of the group | of which: central bank's eligible | of which: central bank's eligible | ||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
| 010 | Assets of the reporting institution | ||||||||||
| 020 | Loans on demand | ||||||||||
| 030 | Equity instruments | ||||||||||
| 040 | Debt securities | ||||||||||
| 050 | of which: covered bonds | ||||||||||
| 060 | of which: asset-backed securities | ||||||||||
| 070 | of which: issued by general governments | ||||||||||
| 080 | of which: issued by financial corporations | ||||||||||
| 090 | of which: issued by non-financial corporations | ||||||||||
| 100 | Loans and advances other than loans on demand | ||||||||||
| 110 | of which: mortgage loans | ||||||||||
| 120 | Other assets |
F 32.02 — COLLATERAL RECEIVED (AE-COL)
| Fair value of encumbered collateral received or own debt securities issued | Non-encumbered | |||||||
|---|---|---|---|---|---|---|---|---|
| Fair value of collateral received or own debt securities issued available for encumbrance | Nominal of collateral received or own debt securities issued non available for encumbrance | |||||||
| of which: issued by other entities of the group | of which: central bank's eligible | of which: issued by other entities of the group | of which: central bank's eligible | |||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | ||
| 130 | Collateral received by the reporting institution | |||||||
| 140 | Loans on demand | |||||||
| 150 | Equity instruments | |||||||
| 160 | Debt securities | |||||||
| 170 | of which: covered bonds | |||||||
| 180 | of which: asset-backed securities | |||||||
| 190 | of which: issued by general governments | |||||||
| 200 | of which: issued by financial corporations | |||||||
| 210 | of which: issued by non-financial corporations | |||||||
| 220 | Loans and advances other than loans on demand | |||||||
| 230 | Other collateral received | |||||||
| 240 | Own debt securities issued other than own covered bonds or ABSs | |||||||
| 250 | TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED |
F 32.03 — OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED (AE-NPL)
| Non-encumbered | |||||
|---|---|---|---|---|---|
| Carrying amount of the underlying pool of assets | Fair value of debt securities issued available for encumbrance | Nominal of own debt securities issued non available for encumbrance | |||
| of which: central bank's eligible | |||||
| 010 | 020 | 030 | 040 | ||
| 010 | Own covered bonds and asset-backed securities issued and not yet pledged | ||||
| 020 | Retained covered bonds issued | ||||
| 030 | Retained asset-backed securities issued | ||||
| 040 | Senior | ||||
| 050 | Mezzanine | ||||
| 060 | First Loss |
F 32.04 — SOURCES OF ENCUMBRANCE (AE-SOU)
| Matching liabilities, contingent liabilities or securities lent | Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered | |||||
|---|---|---|---|---|---|---|
| of which: from other entities of the group | of which: collateral received re-used | of which: own debt securities encumbered | ||||
| 010 | 020 | 030 | 040 | 050 | ||
| 010 | Carrying amount of selected financial liabilities | |||||
| 020 | Derivatives | |||||
| 030 | of which: Over-The-Counter | |||||
| 040 | Deposits | |||||
| 050 | Repurchase agreements | |||||
| 060 | of which: central banks | |||||
| 070 | Collateralised deposits other than repurchase agreements | |||||
| 080 | of which: central banks | |||||
| 090 | Debt securities issued | |||||
| 100 | of which: covered bonds issued | |||||
| 110 | of which: asset-backed securities issued | |||||
| 120 | Other sources of encumbrance | |||||
| 130 | Nominal of loan commitments received | |||||
| 140 | Nominal of financial guarantees received | |||||
| 150 | Fair value of securities borrowed with non cash-collateral | |||||
| 160 | Other | |||||
| 170 | TOTAL SOURCES OF ENCUMBRANCE | |||||
| Not to be filled on a consolidated basis template | ||||||
| Not to be filled in any case |
F 33.00 — MATURITY DATA (AE-MAT)
| Open maturity | Overnight | >1 day <=1 wk | >1 wk <=2 wks | >2 wks <=1 mth | >1 mth <=3 mths | >3 mths <=6 mths | >6 mths <=1 yr | >1 yr <=2 yrs | >2 yrs <=3 yrs | 3 yrs <=5 yrs | 5 yrs <=10 yrs | >10 yrs | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Residual maturity of liabilities | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | |
| 010 | Encumbered assets | |||||||||||||
| 020 | Collateral received re-used (receiving leg) | |||||||||||||
| 030 | Collateral received re-used (re-using leg) |
F 34.00 — CONTINGENT ENCUMBRANCE (AE-CONT)
| Matching liabilities, contingent liabilities or securities lent | Contingent Encumbrance | ||||||
|---|---|---|---|---|---|---|---|
| A. Decrease by 30 % of the fair value of encumbered assets | B. Net effect of a 10 % depreciation of significant currencies | ||||||
| Additional amount of encumbered assets | |||||||
| Additional amount of encumbered assets | Significant currency 1 | Significant currency 2 | … | Significant currency n | |||
| 010 | 020 | 030 | 040 | 050 | |||
| 010 | Carrying amount of selected financial liabilities | ||||||
| 020 | Derivatives | ||||||
| 030 | of which: over-the-counter | ||||||
| 040 | Deposits | ||||||
| 050 | Repurchase agreements | ||||||
| 060 | of which: central banks | ||||||
| 070 | Collateralised deposits other than repurchase agreements | ||||||
| 080 | of which: central banks | ||||||
| 090 | Debt securities issued | ||||||
| 100 | of which: covered bonds issued | ||||||
| 110 | of which: asset-backed securities issued | ||||||
| 120 | Other sources of encumbrance | ||||||
| 170 | TOTAL SOURCES OF ENCUMBRANCE |
F 35.00 — COVERED BONDS ISSUANCE (AE-CB)z-axisCover pool identifier (open)
| Compliance with Art. 129 CRR? | Covered bond liabilities | Cover pool | |||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Reporting date | + 6 months | + 12 months | + 2 years | + 5 years | + 10 years | Cover pool derivative positions with net negative market value | External credit rating on covered bond | Reporting date | + 6 months | + 12 months | + 2 years | + 5 years | + 10 years | Cover pool derivative positions with net positive market value | Cover pool amount in excess of minimum coverage requirements | ||||||||||||
| [YES/NO] | If YES, indicate primary asset class of cover pool | as per the relevant statutory covered bond regime | as per credit rating agencies' methodology to maintain current external credit rating of covered bond | ||||||||||||||||||||||||
| Reporting date | Credit rating agency 1 | Credit rating 1 | Credit rating agency 2 | Credit rating 2 | Credit rating agency 3 | Credit rating 3 | Reporting date | Credit rating agency 1 | Credit rating agency 2 | Credit rating agency 3 | |||||||||||||||||
| 010 | 012 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | ||
| 010 | Nominal amount | ||||||||||||||||||||||||||
| 020 | Present value (swap)/Market value | ||||||||||||||||||||||||||
| 030 | Asset-specific value | ||||||||||||||||||||||||||
| 040 | Carrying amount |
F 36.01 — ADVANCED DATA. PART I (AE-ADV-1)
| Sources of encumbrance | Assets/Liabilities | Collateral type — Classification by asset type | Total | |||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Loans on demand | Equity instruments | Debt securities | Loans and advances other than loans on demand | Other assets | ||||||||||||||||
| Total | of which: covered bonds | of which: asset-backed securities | of which: issued by general governments | of which: issued by financial corporations | of which: issued by non-financial corporations | Central banks and general governments | Financial corporations | Non financial Corporations | Households | |||||||||||
| of which: issued by other entities of the group | of which: issued by other entities of the group | of which: mortgage loans | of which: mortgage loans | |||||||||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | |||
| 010 | Central bank funding (of all types, including e.g. repos) | Encumbered assets | ||||||||||||||||||
| 020 | Matching liabilities | |||||||||||||||||||
| 030 | Exchange traded derivatives | Encumbered assets | ||||||||||||||||||
| 040 | Matching liabilities | |||||||||||||||||||
| 050 | Over-the-counter derivatives | Encumbered assets | ||||||||||||||||||
| 060 | Matching liabilities | |||||||||||||||||||
| 070 | Repurchase agreements | Encumbered assets | ||||||||||||||||||
| 080 | Matching liabilities | |||||||||||||||||||
| 090 | Collateralised deposits other than repurchase agreements | Encumbered assets | ||||||||||||||||||
| 100 | Matching liabilities | |||||||||||||||||||
| 110 | Covered bonds securities issued | Encumbered assets | ||||||||||||||||||
| 120 | Matching liabilities | |||||||||||||||||||
| 130 | Asset-backed securities issued | Encumbered assets | ||||||||||||||||||
| 140 | Matching liabilities | |||||||||||||||||||
| 150 | Debt securities issued other than covered bonds and ABSs | Encumbered assets | ||||||||||||||||||
| 160 | Matching liabilities | |||||||||||||||||||
| 170 | Other sources of encumbrance | Encumbered assets | ||||||||||||||||||
| 180 | Contingent liabilities or securities lent | |||||||||||||||||||
| 190 | Total encumbered assets | |||||||||||||||||||
| 200 | of which central bank eligible | |||||||||||||||||||
| 210 | Total non-encumbered assets | |||||||||||||||||||
| 220 | of which central bank eligible | |||||||||||||||||||
| 230 | Encumbered + non-encumbered assets |
F 36.02 — ADVANCE DATA. PART II (AE-ADV-2)
| Sources of encumbrance | Assets/Liabilities | Collateral type — Classification by asset type | Total | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Loans on demand | Equity instruments | Debt securities | Loans and advances other than loans on demand | Other collateral received | Own debt securities issued other than own covered bonds or ABSs | ||||||||||||||||
| Total | of which: covered bonds | of which: asset-backed securities | of which: issued by general governments | of which: issued by financial corporations | of which: issued by non-financial corporations | Central banks and general governments | Financial corporations | Non-financial corporations | Households | ||||||||||||
| of which: issued by other entities of the group | of which: issued by other entities of the group | of which: mortgage loans | of which: mortgage loans | ||||||||||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | |||
| 010 | Central bank funding (of all types, including e.g. repos) | Encumbered collateral received | |||||||||||||||||||
| 020 | Matching liabilities | ||||||||||||||||||||
| 030 | Exchange traded derivatives | Encumbered collateral received | |||||||||||||||||||
| 040 | Matching liabilities | ||||||||||||||||||||
| 050 | Over-the-counter derivatives | Encumbered collateral received | |||||||||||||||||||
| 060 | Matching liabilities | ||||||||||||||||||||
| 070 | Repurchase agreements | Encumbered collateral received | |||||||||||||||||||
| 080 | Matching liabilities | ||||||||||||||||||||
| 090 | Collateralised deposits other than repurchase agreements | Encumbered collateral received | |||||||||||||||||||
| 100 | Matching liabilities | ||||||||||||||||||||
| 110 | Covered bonds securities issued | Encumbered collateral received | |||||||||||||||||||
| 120 | Matching liabilities | ||||||||||||||||||||
| 130 | Asset-backed securities issued | Encumbered collateral received | |||||||||||||||||||
| 140 | Matching liabilities | ||||||||||||||||||||
| 150 | Debt securities issued other than covered bonds and ABSs | Encumbered collateral received | |||||||||||||||||||
| 160 | Matching liabilities | ||||||||||||||||||||
| 170 | Other sources of encumbrance | Encumbered collateral received | |||||||||||||||||||
| 180 | Contingent liabilities or securities lent | ||||||||||||||||||||
| 190 | Total encumbered collateral received | ||||||||||||||||||||
| 200 | of which central bank eligible | ||||||||||||||||||||
| 210 | Total non-encumbered collateral received | ||||||||||||||||||||
| 220 | of which central bank eligible | ||||||||||||||||||||
| 230 | Encumbered + non-encumbered collateral received |
Table of ContentsGENERAL INSTRUCTIONS1.STRUCTURE AND CONVENTIONS1.1.STRUCTURE1.2.ACCOUNTING STANDARD1.3.NUMBERING CONVENTION1.4.SIGN CONVENTION1.5.LEVEL OF APPLICATION1.6.PROPORTIONALITY1.7.DEFINITION OF ENCUMBRANCETEMPLATE-RELATED INSTRUCTIONS2.PART A: ENCUMBRANCE OVERVIEW2.1.TEMPLATE: AE-ASS. ASSETS OF THE REPORTING INSTITUTION2.1.1.GENERAL REMARKS2.1.2.INSTRUCTIONS CONCERNING SPECIFIC ROWS2.1.3.INSTRUCTIONS CONCERNING SPECIFIC COLUMNS2.2.TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION2.2.1.GENERAL REMARKS2.2.2.INSTRUCTIONS CONCERNING SPECIFIC ROWS2.2.3.INSTRUCTIONS CONCERNING SPECIFIC COLUMNS2.3.TEMPLATE AE-NPL. OWN COVERED BONDS AND ABSS ISSUED AND NOT YET PLEDGED2.3.1.GENERAL REMARKS2.3.2.INSTRUCTIONS CONCERNING SPECIFIC ROWS2.3.3.INSTRUCTIONS CONCERNING SPECIFIC COLUMNS2.4.TEMPLATE AE-SOU. SOURCES OF ENCUMBRANCE2.4.1.GENERAL REMARKS2.4.2.INSTRUCTIONS CONCERNING SPECIFIC ROWS2.4.3.INSTRUCTIONS CONCERNING SPECIFIC COLUMNS3.PART B: MATURITY DATA3.1.GENERAL REMARKS3.2.TEMPLATE: AE-MAT. MATURITY DATA3.2.1.INSTRUCTIONS CONCERNING SPECIFIC ROWS3.2.2.INSTRUCTIONS CONCERNING SPECIFIC COLUMNS4.PART C: CONTINGENT ENCUMBRANCE4.1.GENERAL REMARKS4.1.1.SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS4.1.2.SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES4.2.TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE4.2.1.INSTRUCTIONS CONCERNING SPECIFIC ROWS4.2.2.INSTRUCTIONS CONCERNING SPECIFIC COLUMNS5.PART D: COVERED BONDS5.1.GENERAL REMARKS5.2.TEMPLATE: AE-CB. COVERED BONDS ISSUANCE5.2.1.INSTRUCTIONS CONCERNING Z-AXIS5.2.2.INSTRUCTIONS CONCERNING SPECIFIC ROWS5.2.3.INSTRUCTIONS CONCERNING SPECIFIC COLUMNS6.PART E: ADVANCED DATA6.1.GENERAL REMARKS6.2.TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION6.2.1.INSTRUCTIONS CONCERNING SPECIFIC ROWS6.2.2.INSTRUCTIONS CONCERNING SPECIFIC COLUMNS6.3.TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION6.3.1.INSTRUCTIONS CONCERNING SPECIFIC ROWS6.3.2.INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
REPORTING ON ASSET ENCUMBRANCE
GENERAL INSTRUCTIONS
1.STRUCTURE AND CONVENTIONS
1.1.Structure
The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme: (a) Part A: Encumbrance overview: - AE-ASS template. Assets of the reporting institution AE-ASS template. Assets of the reporting institution - AE-COL template. Collateral received by the reporting institution AE-COL template. Collateral received by the reporting institution - AE-NPL. Own covered bonds and asset-backed securities (hereinafter ‘ABS’) issued and not yet pledged AE-NPL. Own covered bonds and asset-backed securities (hereinafter ‘ABS’) issued and not yet pledged - AE-SOU. Sources of encumbrance AE-SOU. Sources of encumbrance (b) Part B: Maturity data: - AE-MAT template. Maturity data AE-MAT template. Maturity data (c) Part C: Contingent encumbrance - AE-CONT template. Contingent encumbrance AE-CONT template. Contingent encumbrance (d) Part D: Covered bonds - AE-CB template. Covered bonds issuance AE-CB template. Covered bonds issuance (e) Part E: Advanced data: - AE-ADV-1 template. Advanced template for assets of the reporting institution AE-ADV-1 template. Advanced template for assets of the reporting institution - AE-ADV-2 template. Advanced template for collateral received by the reporting institution AE-ADV-2 template. Advanced template for collateral received by the reporting institution
For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.
1.2.Accounting standard
Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 9 to 11. Institutions that are not required to report financial information shall use their respective accounting framework.
For the purposes of this Annex, ‘IAS’ and ‘IFRS’ refer to the international accounting standards as defined in Article 2 of Regulation (EC) No 1606/2002. For institutions which report under IFRS standards, references have been inserted to the relevant IFRS standards.
1.3.Numbering convention
The following general notation is used in these instructions to refer to the columns, rows and cells of a template: {Template; Row; Column}. An asterisk sign is used to indicate that the validation is applied to the whole row or column. For example {AE-ASS; *; 2} refers to the data point of any row for column 2 of the AE-ASS template.
In the case of validations within a template the following notation is used to refer to data points from that template: {Row; Column}.
1.4.Sign convention
- Templates in Annex XVI shall follow the sign convention described in paragraphs 9 and 10 of Part I of Annex V.
1.5.Level of application
- The level of application of the reporting on asset encumbrance follows that of the reporting requirements on own funds under the first subparagraph of Article 99(1) of Regulation (EU) No 575/2013 (CRR). Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of CRR are not required to report information on asset encumbrance.
1.6.Proportionality
For the purpose of Article 16a(2)(b), the asset encumbrance level shall be calculated as follows: - Carrying amount of encumbered assets and collateral = {AE-ASS;010;010} + {AE-COL;130;010}. Carrying amount of encumbered assets and collateral = {AE-ASS;010;010} + {AE-COL;130;010}. - Total assets and collateral = {AE-ASS;010;010} + {AE-ASS;010;060} + {AE-COL;130;010} + {AE-COL;130;040}. Total assets and collateral = {AE-ASS;010;010} + {AE-ASS;010;060} + {AE-COL;130;010} + {AE-COL;130;040}. - Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral) Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral)
For the purpose of Article 16a(2)(a), the sum of total assets shall be calculated as follows: - Total assets = {AE-ASS;010;010} + {AE-ASS;010;060} Total assets = {AE-ASS;010;010} + {AE-ASS;010;060}
1.7.Definition of encumbrance
- For the purpose of this Annex and Annex XVI, an asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which it cannot be freely withdrawn. It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as for instance assets that require prior approval before withdrawal or replacement by other assets, should be considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, but rather on economic principles, as the legal frameworks may differ in this respect across countries. The definition is however closely linked to contractual conditions. The EBA sees the following types of contracts being well covered by the definition (this is a non-exhaustive list): - secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending; secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending; - various collateral agreements, for instance collateral placed for the market value of derivatives transactions; various collateral agreements, for instance collateral placed for the market value of derivatives transactions; - financial guarantees that are collateralised. It should be noted, that if there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount should be allocated (on a pro-rata allocation); financial guarantees that are collateralised. It should be noted, that if there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount should be allocated (on a pro-rata allocation); - collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins; collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins; - central bank facilities. Pre-positioned assets should not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, should be allocated on a pro-rata basis among the assets placed at the central bank; central bank facilities. Pre-positioned assets should not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, should be allocated on a pro-rata basis among the assets placed at the central bank; - underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution's financial assets. The assets that are underlying retained securities do not count as encumbered, unless these securities are pledged or provided as collateral in any way to secure a transaction; underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution's financial assets. The assets that are underlying retained securities do not count as encumbered, unless these securities are pledged or provided as collateral in any way to secure a transaction; - assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds (‘own-issued bonds’); assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds (‘own-issued bonds’); - as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn should not be considered encumbered. as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn should not be considered encumbered.
TEMPLATE-RELATED INSTRUCTIONS
2.PART A: ENCUMBRANCE OVERVIEW
The encumbrance overview templates differentiate assets which are used to support funding or collateral needs at the balance sheet date (‘point-in time encumbrance’) from those assets which are available for potential funding needs.
The overview template shows the amount of encumbered and non-encumbered assets of the reporting institution in a tabular format by products. The same breakdown also applies to collateral received and own debt securities issued other than covered bonds and securitisations.
2.1.Template: AE-ASS. Assets of the reporting institution
2.1.1.General remarks
- This paragraph sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates: All transactions that increase the level of encumbrance of an institution have two aspects that shall be reported independently throughout the AE templates. Such transactions shall be reported both as a source of encumbrance and as an encumbered asset or collateral. The following examples describe how to report a type of transaction of this Part but the same rules apply to the other AE templates. A collateralised deposit is reported as follows: (a)Collateralised deposit (i) the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r070; c010}; (ii) where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r070; c030}; its fair value is reported in {AE-ASS; *; c040}; (iii) where the collateral has been received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r070; c030} and {AE-SOU; r070; c040}. A repurchase agreement (hereinafter ‘repo’) is reported as follows: (b)Repo/matching repos (i) the carrying amount of the repo is reported as a source of encumbrance in {AE-SOU; r050; c010}; (ii) the collateral of the repo should be shown: (iii) where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r050; c030}; its fair value is reported in {AE-ASS; *; c040}; (iv) where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r050; c030} and in {AE-SOU; r050; c040}. As collateralised central bank funding is only a specific case of a collateralised deposit or a repo transaction in which the counterparty is a central bank, the rules in i) and ii) above apply.For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown must be done on a proportional basis, based on the composition of the pool of collateral.Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro-rata basis among the assets placed at the central bank. (c)Central bank funding For securities lending with cash collateral the rules for repos/matching repos apply.Securities lending without cash collateral is reported as follows: (d)Securities lending (i) the fair value of the securities borrowed is reported as a source of encumbrance in {AE-SOU; r150; c010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r150; c010} is reported as zero; (ii) where the securities lent as collateral are an asset of the reporting institution: their carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r150; c030}; their fair value is reported in {AE-ASS; *; c040}; (iii) where the securities lent as collateral are received by the reporting institution, their fair value is reported in {AE-COL; *; c010}, {AE-SOU; r150; c030} and {AE-SOU; r150; c040}. Collateralised derivatives with a negative fair value are reported as follows: (e)Derivatives (liabilities) (i) the carrying amount of the derivative is reported as a source of encumbrance in {AE-SOU; r020; c010}; (ii) the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) are reported as follows: (i) where it is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r020; c030}; its fair value is reported in {AE-ASS; *; c040}; (ii) where it is collateral received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r020; c030} and {AE-SOU; r020; c040}. Covered bonds for the entire asset encumbrance reporting are instruments referred to in the first subparagraph of Article 52(4) of the Directive 2009/65/EU, irrespective of whether these instruments take the legal form of a security or not.No specific rules apply to covered bonds where there is no retention of part of the securities issued by the reporting institution.In case of retention of part of the issuance and in order to avoid double counting, the proposed treatment below shall apply:The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is EUR 150. (f)Covered bonds (i) where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged is reported in the AE-ASS templates as non-encumbered assets. Additional information about the retained covered bonds not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) is reported in the AE-NPL template; (ii) where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged is included in the AE-ASS template as encumbered assets. Securitisations mean debt securities held by the reporting institution originated in a securitisation transaction as defined in Article 4(61) of CRR.For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply.For derecognised securitisations, there is no encumbrance where the institution holds some securities. Those securities will appear in the trading book or in the banking book of the reporting institutions as any other security issued by a third party. (g)Securitisations
| SOURCES OF ENCUMBRANCE | ||||
|---|---|---|---|---|
| Type | Amount | Cells | Loans encumbered | Cells |
| Covered bonds | 75 % (100) = 75 | {AE-Sources, r110, c010} | 75 % (150) = 112,5 | {AE-Assets, r100, c10}{AE-Sources, r110, c030} |
| Central bank funding | 11 | {AE-Sources, r060, c010} | 10 % (150) = 15 | {AE-Assets, r100, c10}{AE-Sources, r060, c030} |
| NON ENCUMBRANCE | ||||
| Type | Amount | Cells | Non-encumbered loans | Cells |
| Own covered bonds retained | 15 % 100 = 15 | {AE-Not pledged, r010, c040} | 15 % (150) = 22,5 | {AE-Assets, r100, c60}{AE-Not pledged, r020, c010} |
2.1.2.Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 010 | Assets of the reporting institutionIAS 1.9 (a), Implementation Guidance (IG) 6Total assets of the reporting institution registered in its balance sheet. |
| 020 | Loans on demandIAS 1.54 (i)It includes the balances receivable on demand at central banks and other institutions. Cash on hand, that is, the holding of national and foreign banknotes and coins in circulation that are commonly used to make payments are included in the row ‘other assets’. |
| 030 | Equity instrumentsEquity instruments held by the reporting institution as defined in IAS 32.1. |
| 040 | Debt securitiesAnnex V, Part 1, paragraph 26.Debt instruments held by the reporting institution issued as securities that are not loans in accordance with the ECB BSI Regulation. |
| 050 | of which: covered bondsDebt securities held by the reporting institution that are bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC. |
| 060 | of which: securitisationsDebt securities held by the reporting institution that are securitisations as defined in Article 4(61) of CRR. |
| 070 | of which: issued by general governmentsDebt securities held by the reporting institution which are issued by general governments. |
| 080 | of which: issued by financial corporationsDebt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part I, paragraph 35, points (c) and (d). |
| 090 | of which: issued by non-financial corporationsDebt securities held by the reporting institution issued by non-financial corporations as defined in Annex V, Part I, paragraph 35, point (e). |
| 100 | Loans and advances other than loans on demandLoans and advances, that is, debt instruments held by the reporting institutions that are not securities, other than balances receivable on demand. |
| 110 | of which: mortgage loansLoans and advances other than loans on demand that are mortgage loans according to Annex V, part 2, paragraph 41(h). |
| 120 | Other assetsOther assets of the reporting institution registered in the balance sheet other than those mentioned in the above rows and different from own debt securities and own debt equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution. In this case, own debt instruments shall be included in row 240 of the AE-COL template and own equity instruments excluded from the asset encumbrance reporting. |
2.1.3.Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 010 | Carrying amount of encumbered assetsCarrying amount of the assets held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet. |
| 020 | of which: issued by other entities of the groupCarrying amount of encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation. |
| 030 | of which: central bank eligibleCarrying amount of encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
| 040 | Fair value of encumbered assetsIFRS 13 and Article 8 of Directive 2013/34/EU of the European Parliament and of the Council for non-IFRS institutions.Fair value of the debt securities held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Fair value of a financial instrument, is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.) |
| 050 | of which: central bank eligibleFair value of the encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
| 060 | Carrying amount of non-encumbered assetsCarrying amount of the assets held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet. |
| 070 | of which: issued by other entities of the groupCarrying amount of non-encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation. |
| 080 | of which: central bank eligibleCarrying amount of non-encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
| 090 | Fair value of non-encumbered assetsIFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions.Fair value of the debt securities held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.) |
| 100 | of which: central bank eligibleFair value of the non-encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
2.2.Template: AE-COL. Collateral received by the reporting institution
2.2.1.General remarks
For the collateral received by the reporting institution and the own debt securities issued other than own covered bonds or ABSs, the category of ‘non-encumbered’ assets is split between those ‘available for encumbrance’ or potentially eligible to be encumbered and those ‘non-available for encumbrance’.
Assets are ‘non-available for encumbrance’ when they have been received as collateral and the reporting institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of the collateral. Own debt securities issued other than own covered bonds or securitisations are non-available for encumbrance when there is any restriction in the terms of the issuance to sell or re-pledge the securities held.
For the purpose of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral are reported as collateral received.
2.2.2.Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 130 | Collateral received by the reporting institutionAll classes of collateral received by the reporting institution. |
| 140 | Loans on demandCollateral received by the reporting institution that comprises loans on demand. (See legal references and instructions regarding row 020 of the AE-ASS template.) |
| 150 | Equity instrumentsCollateral received by the reporting institution that comprises equity instruments. (See legal references and instructions regarding row 030 of the AE-ASS template.) |
| 160 | Debt securitiesCollateral received by the reporting institution that comprises debt securities. (See legal references and instructions regarding row 040 of the AE-ASS template.) |
| 170 | of which: covered bondsCollateral received by the reporting institution that comprises covered bonds. (See legal references and instructions regarding row 050 of the AE-ASS template.) |
| 180 | of which: securitisationsCollateral received by the reporting institution that comprises securitisations. (See legal references and instructions regarding row 060 of the AE-ASS template.) |
| 190 | of which: issued by general governmentsCollateral received by the reporting institution that comprises debt securities issued by general governments. (See legal references and instructions regarding row 070 of the AE-ASS template.) |
| 200 | of which: issued by financial corporationsCollateral received by the reporting institution that comprises debt securities issued by financial corporations. (See legal references and instructions regarding row 080 of the AE-ASS template.) |
| 210 | of which: issued by non-financial corporationsCollateral received by the reporting institution that comprises debt securities issued by non-financial corporations. (See legal references and instructions regarding row 090 of the AE-ASS template.) |
| 220 | Loans and advances other than loans on demandCollateral received by the reporting institution that comprises loans and advances other than loans on demand. (See legal references and instructions regarding row 100 of the AE-ASS template.) |
| 230 | Other collateral receivedCollateral received by the reporting institution that comprises other assets. (See legal references and instructions regarding row 120 of the AE-ASS template.) |
| 240 | Own debt securities issued other than own covered bonds or ABSsOwn debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued. As the retained or repurchased own debt securities issued, according to IAS 39.42, decrease the relating financial liabilities, these securities are not included in the category of assets of the reporting institution (row 010 of the AE-ASS template). Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row.Own covered bonds issued or own securitisations issued are not reported in this category since different rules apply to those cases to avoid double counting:(a)where the own debt securities are pledged, the amount of the cover pool/underlying assets that are backing those securities retained and pledged is reported in the AE-ASS template as encumbered assets;(b)where the own debt securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities retained and not yet pledged is reported in the AE-ASS templates as non-encumbered assets. Additional information about this second type of own debt securities not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) is reported in the AE-NPL template. |
| 250 | TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUEDAll assets of the reporting institution registered in its balance sheet, all classes of collateral received by the reporting institution and own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued. |
2.2.3.Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 010 | Fair value of encumbered collateral received or own debt securities issuedFair value of the collateral received or own debt securities issued held/retained by the reporting institution that are encumbered according to the definition provided of asset encumbrance.Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.) |
| 020 | of which: issued by other entities of the groupFair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution that are issued by any entity within the prudential scope of consolidation. |
| 030 | of which: central bank eligibleFair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
| 040 | Fair value of collateral received or own debt securities issued available for encumbranceFair value of the collateral received by the reporting institution that are non-encumbered but are available for encumbrance since the reporting institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisations that are non-encumbered but available for encumbrance. |
| 050 | of which: issued by other entities of the groupFair value of collateral received or own debt securities issued other than own covered bonds or asset-backed securities available for encumbrance that are issued by any entity within the prudential scope of consolidation. |
| 060 | of which: central bank eligibleFair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
| 070 | Nominal of collateral received or own debt securities issued non available for encumbranceNominal amount of the collateral received held by the reporting institution that are non-encumbered and non-available for encumbrance. It also includes the nominal amount of the own debt securities issued other than own covered bonds or securitisations retained by the reporting institution that are non-encumbered and also non-available for encumbrance. |
2.3.Template: AE-NPL. Own covered bonds and ABSs issued and not yet pledged
2.3.1.General remarks
- To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution: (a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in the AE-ASS template as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations; (b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in the AE-ASS template as non-encumbered assets.
2.3.2.Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 010 | Own covered bonds and ABSs issued and not yet pledgedOwn covered bonds and securitisations issued that are retained by the reporting institution and not encumbered. |
| 020 | Retained covered bonds issuedOwn covered bonds issued that are retained by the reporting institution and not encumbered. |
| 030 | Retained securitisations issuedOwn securitisations issued that are retained by the reporting institution and not encumbered. |
| 040 | SeniorSenior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. See Article 4(67) of CRR. |
| 050 | MezzanineMezzanine tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. All tranches that are not senior tranches, i.e. the last to absorb the loss or first loss tranches, shall be considered mezzanine tranches. See Article 4(67) of CRR. |
| 060 | First lossFirst loss tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. See Article 4(67) of CRR. |
2.3.3.Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 010 | Carrying amount of the underlying pool of assetsCarrying amount of the cover pool/underlying assets that back the own covered bonds and own securitisations retained and are not yet pledged. |
| 020 | Fair value of debt securities issued available for encumbranceFair value of the own covered bonds and own securitisations retained that are non-encumbered but available for encumbrance. |
| 030 | Of which: central bank eligibleFair value of the own covered bonds and own securitisations retained that meet each of the following conditions:(i)they are non-encumbered;(ii)they are available for encumbrance;(iii)they are eligible for operations with those central banks to which the reporting institution has access.Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
| 040 | Nominal of own debt securities issued non-available for encumbranceNominal amount of the own covered bonds and own securitisations retained that are non-encumbered and also non-available for encumbrance. |
2.4.Template: AE-SOU. Sources of encumbrance
2.4.1.General remarks
This template provides information on the importance for the reporting institution of the different sources of encumbrance, including those with no associated funding as loans commitments or financial guarantees received and securities lending with non-cash collateral.
The total amounts of assets and collateral received in the AE-ASS and the AE-COL templates meet the following validation rule: {AE-SOU; r170; c030} = {AE-ASS; r010; c010} + {AE-COL; r130; c010} + {AE-COL; r240; c010}.
2.4.2.Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 010 | Carrying amount of selected financial liabilitiesCarrying amount of selected collateralised financial liabilities of the reporting institution insofar as these liabilities entail asset encumbrance for that institution. |
| 020 | DerivativesCarrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as these derivatives entail asset encumbrance for that institution. |
| 030 | of which: over-the-counterCarrying amount of the collateralised derivatives of the reporting institution that are financial liabilities which are traded over-the-counter, insofar as these derivatives entail asset encumbrance. |
| 040 | DepositsCarrying amount of the collateralised deposits of the reporting institution insofar as these deposits entail asset encumbrance for that institution. |
| 050 | Repurchase agreementsCarrying amount of the repurchase agreements of the reporting institution insofar as these transactions entail asset encumbrance for that institution.Repurchase agreements (repos) are transactions in which the reporting 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. The following variants of repo-type operations are all required to be reported as repurchase agreements: — amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral and — amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement. |
| 060 | of which: central banksCarrying amount of the repurchase agreements of the reporting institution with central banks insofar as these transactions entail asset encumbrance. |
| 070 | Collateralised deposits other than repurchased agreementsCarrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as these deposits entail asset encumbrance for that institution. |
| 080 | of which: central banksCarrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as these deposits entail asset encumbrance for that institution. |
| 090 | Debt securities issuedCarrying amount of the debt securities issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution.The retained part of any issuance shall follow the specific treatment set out in point (vi) of paragraph 15 of Part A so that only the percentage of debt securities placed outside the entities of the group are to be included under this category. |
| 100 | of which: covered bonds issuedCarrying amount of covered bonds the assets of which are originated by the reporting institution insofar as these securities issued entail asset encumbrance for that institution. |
| 110 | of which: securitisations issuedCarrying amount of the securitisations issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution. |
| 120 | Other sources of encumbranceAmount of collateralised transactions of the reporting institution other than financial liabilities, insofar as these transactions entail asset encumbrance for that institution. |
| 130 | Nominal of loan commitments receivedNominal amount of the loan commitments received by the reporting institution, insofar as these commitments received entail asset encumbrance for that institution. |
| 140 | Nominal of financial guarantees receivedNominal amount of the financial guarantees received by the reporting institution, insofar as these guarantees received entail asset encumbrance for that institution. |
| 150 | Fair value of securities borrowed with non-cash collateralFair value of the securities borrowed by the reporting institution without cash collateral, insofar as these transactions entail asset encumbrance for that institution. |
| 160 | OtherAmount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the above items, insofar as these transactions entail asset encumbrance for that institution. |
| 170 | TOTAL SOURCES OF ENCUMBRANCEAmount of all collateralised transactions of the reporting institution insofar as these transactions entail asset encumbrance for that institution. |
2.4.3.Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 010 | Matching liabilities, contingent liabilities or securities lentAmount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as these transactions entail asset encumbrance for that institution.Financial liabilities are reported at their carrying amount; contingent liabilities are reported at their nominal value; and securities lent with non-cash collateral are reported at their fair value. |
| 020 | of which: from other entities of the groupAmount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as the counterparty is any other entity within the prudential scope of consolidation and the transaction entail for the reporting institution asset encumbrance.For rules applying to amount types, see instructions for column 010. |
| 030 | Assets, collateral received and own securities issued other than covered bonds and ABSs encumberedAmount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows.To ensure consistency with the criteria in the templates AE-ASS and AE-COL, assets of the reporting institution registered in the balance sheet are reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations are reported at their fair value. |
| 040 | of which: collateral received re-usedFair value of the collateral received that are re-used/encumbered as a result of the different type of transactions specified in the rows. |
| 050 | Of which: own debt securities encumberedFair value of the own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows. |
3.PART B: MATURITY DATA
3.1.General remarks
- The template included in Part B shows a general overview of the amount of encumbered assets and collateral received re-used that fall under the defined intervals of the matching liabilities' residual maturity.
3.2.Template: AE-MAT. Maturity data
3.2.1.Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 010 | Encumbered assetsFor the purpose of this template, encumbered assets include all of the following:(a)the assets of the reporting institution (see instruction for row 010 of the AE-ASS template), which are reported at their carrying amount;(b)own debt securities issued other than covered bonds or securitisations (see instruction for row 240 of the AE-COL template), which are reported at fair value.These amounts are distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction). |
| 020 | **Collateral received re-used (receiving leg)**See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template.The amounts are reported at fair value and distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the transaction that generated for the entity the reception of the collateral that is being re-used (receiving leg). |
| 030 | **Collateral received re-used (re-using leg)**See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template.The amounts are reported at fair value and distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (re-using leg): matching liability, contingent liability or securities lending transaction. |
3.2.2.Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 010 | Open maturityOn demand, without a specific maturity date |
| 020 | OvernightDue date earlier or equal to 1 day |
| 030 | > 1 day<=1wkDue date later than 1 day and earlier than or equal to 1 week |
| 040 | > 1 wk<=2wksDue date later than 1 week and earlier than or equal to 2 weeks |
| 050 | > 2wks <=1mthDue date later than 2 weeks and earlier than or equal to 1 month |
| 060 | > 1mth <=3mthsDue date later than 1 month and earlier than or equal to 3 months |
| 070 | > 3mths <=6mthsDue date later than 3 months and earlier than or equal to 6 months |
| 080 | > 6mths<=1yrDue date later than 6 months and earlier than or equal to 1 year |
| 090 | > 1yr <=2yrsDue date later than 1 year and earlier than or equal to 2 years |
| 100 | > 2yrs <=3yrsDue date later than 2 years and earlier than or equal to 3 years |
| 110 | > 3yrs <=5yrsDue date later than 3 years and earlier than or equal to 5 years |
| 120 | > 5yrs <=10yrsDue date later than 5 years and earlier than or equal to 10 years |
| 130 | > 10yrsDue date later than 10 years |
4.PART C: CONTINGENT ENCUMBRANCE
4.1.General remarks
This template requires institutions to calculate the level of asset encumbrance in a number of stressed scenarios.
Contingent encumbrance refers to the additional assets which may need to be encumbered when the reporting institutions faces adverse developments triggered by an external event over which the reporting institution has no control (including a downgrade, decrease of the fair value of the encumbered assets or a general loss of confidence). In these cases, the reporting institution will need to encumber additional assets as a consequence of already existing transactions. The additional amount of encumbered assets shall be net of the impact of the institution's hedge transactions against the events described under the aforementioned stressed scenarios.
This template includes the following two scenarios for reporting contingent encumbrance which are set out in more detail in points 4.1.1. and 4.1.2. The information reported shall be the institution's reasonable estimate based on the best available information. (a) Decrease of the fair value of the encumbered assets by 30 %. This scenario only covers a change in the underlying fair value of the assets, and not any other change which may affect its carrying amount such as foreign exchange gains or losses or potential impairment. The reporting institution may then be forced to post more collateral in order to keep the value of the collateral constant. (b) A 10 % depreciation in each currency in which the institution has aggregate liabilities amounting to or exceeding 5 % of the institution's total liabilities.
The scenarios shall be reported independently of each other, and significant currency depreciations shall also be reported independently of depreciations of other significant currencies. Consequently institutions shall not take correlations between the scenarios into account.
4.1.1.Scenario A: Decrease of 30 % of encumbered assets
It shall be assumed that all encumbered assets decrease 30 % in value. The need of additional collateral arising from such a decrease shall take into account existing levels of over-collateralisation, such that only the minimum collateralisation level is maintained. The need of additional collateral shall also take into account the contractual requirements of the contracts and agreements impacted, including threshold triggers.
Only contracts and agreements, where there is a legal obligation to supply additional collateral shall be included. This includes covered bond issues where there is a legal requirement to uphold minimum levels of over collateralisation but no requirement to maintain existing rating levels on the covered bond.
4.1.2.Scenario B: Depreciation of 10 % in significant currencies
A currency is a significant currency if the reporting institution has aggregate liabilities in that currency amounting to or exceeding 5 % of the institution's total liabilities
The calculation of a 10 % depreciation shall take into account both changes on the asset and liability side, i.e. focus the asset-liability mismatches. For instance a repo transactions in USD based on USD assets does not cause additional encumbrance, whereas a repo transaction in USD based on a EUR asset causes additional encumbrance.
All transactions which have a cross-currency element shall be covered by this calculation.
4.2.Template: AE-CONT. Contingent encumbrance
4.2.1.Instructions concerning specific rows
- See instructions concerning specific columns of the AE-SOU template in point 1.5.1. The content of the columns in AE-CONT template does not differ from the AE-SOU template.
4.2.2.Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 010 | Matching liabilities, contingent liabilities or securities lentSame instructions and data as for column 010 of the AE-SOU template.Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non–cash collateral, insofar as these transactions entail asset encumbrance for that institution.As referred for each row in the template, financial liabilities are reported at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value. |
| 020 | A.Additional amount of encumbered assetsAdditional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of occurrence of scenario A.Following the instructions laid down in Part A of this Annex, these amounts are reported at their carrying amount if the amount is related to assets of the reporting institution or at their fair value if related to collateral received. Amounts exceeding the non-encumbered assets and collateral of the institution are reported at fair value. |
| 030 | B.Additional amount of encumbered assets. Significant currency 1Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 1 in scenario B.See rules for amount types in row 020. |
| 040 | B.Additional amount of encumbered assets. Significant currency 2Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 2 in scenario B.See rules for amount types in row 020. |
5.PART D: COVERED BONDS
5.1.General remarks
The information in this template is reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC. These are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by law to special public supervision designed to protect bond-holders and if for such covered bond it is required that sums deriving from the issue of those bonds shall be invested in accordance with the law in assets which, during the whole period of validity of the bonds, are capable of covering claims attaching to the bonds and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest.
Covered bonds issued by or on behalf of the reporting institution that are not UCITS-compliant covered bonds shall not be reported within the AE-CB templates.
The reporting shall be based on the statutory covered bond regime, i.e. the legal framework which applies the to the covered bond programme.
5.2.Template: AE-CB. Covered bonds issuance
5.2.1.Instructions concerning z-axis
| z-axis | Legal references and instructions |
|---|---|
| 010 | **Cover pool identifier (open)**The cover pool identifier consists of the name or unambiguous abbreviation of the cover pool issuing entity and the designation of the cover pool that individually is subject to the relevant covered bond protective measures. |
5.2.2.Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 010 | Nominal amountNominal amount is the sum of claims to payment of principal, determined in accordance with the respective statutory covered bond regime's rules that apply for determining sufficient coverage. |
| 020 | Present value (swap)/Market valuePresent value (swap) is the sum of claims to payment of principal and interest, as discounted by a foreign exchange-specific risk-free yield curve, determined in accordance with the relevant statutory covered bond regime's rules that apply for determining sufficient coverage.For columns 080 and 210 referring to cover pool derivative positions, the amount to be reported is its market value. |
| 030 | Asset-specific valueThe asset-specific value is the economic value of the cover pool assets, as may be described by a fair value according to IFRS 13, a market value observable from executed transactions in liquid markets, or a present value that would discount future cash flows of an asset by an asset-specific interest rate curve. |
| 040 | Carrying amountCarrying amount of a covered bond liability or a cover pool asset is the accounting value at the covered bond issuer. |
5.2.3.Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 010 | **Compliance with Article 129 of CRR? [YES/NO]**Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of CRR in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation. |
| 012 | If YES, indicate primary asset class of the cover poolIf the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of CRR (answer YES in column 011), the primary asset class of the cover pool shall be indicated in this cell. The classification in Article 129(1) of that Regulation shall be used for this purpose and codes ‘a’, ‘b’, ‘c’, ‘d’, ‘e’, ‘f’ and ‘g’ shall be indicated accordingly. Code ‘h’ will be applied when the primary asset class of the cover pool does not fall under any of the previous categories. |
| 020-140 | Covered bond liabilitiesCovered bond liabilities are the liabilities of the issuing entity incurred by issuing covered bonds and extends to all positions as defined by the respective statutory covered bond regime that are subject to the relevant covered bond protective measures (this may, for instance, include securities in circulation as well as the position of counterparts of the covered bond issuer in derivative positions with, from the perspective of the covered bond issuer, a negative market value attributed to the cover pool and treated as covered bond liabilities in accordance with the relevant statutory covered bond regime). |
| 020 | Reporting dateAmounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges. |
| 030 | + 6 monthsThe date ‘+ 6 months’ is the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in covered bond liabilities compared to the reporting reference date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity is to be used in a consistent manner. |
| 040-070 | + 12 months — + 10 yearsAs for ‘+ 6 months’ (column 030) for the respective point in time from the reporting reference date. |
| 080 | Cover pool derivative positions with net negative market valueThe net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value. Cover pool derivative positions are such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a negative market value require coverage by eligible cover pool assets.The net negative market value is to be reported for the reporting reference date only. |
| 090-140 | External credit rating on covered bondInformation on external credit ratings on the respective covered bond, as existing on the reporting date, is to be provided. |
| 090 | Credit rating agency 1If a credit rating of at least one credit rating agency exists as of the reporting date, the name of one of these credit rating agencies shall be provided here. If credit ratings by more than three credit rating agencies exist as of the reporting date, the three credit rating agencies to whom information is provided shall be selected based on their respective market prevalence. |
| 100 | Credit rating 1The credit rating issued by the credit rating agency reported in column 090 on the covered bond as of the reporting reference date. If long- and short-term credit ratings by the same credit rating agency exist, the long-term credit rating is to be reported. The credit rating to be reported shall include any modifiers. |
| 110, 130 | Credit rating agency 2 and credit rating agency 3As for credit rating agency 1 (column 090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date. |
| 120, 140 | Credit rating 2 and credit rating 3As for credit rating 1 (column 100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date. |
| 150-250 | Cover poolThe cover pool consist of all positions, including cover pool derivative positions, from the perspective of the covered bond issuer, with a net positive market value, that are subject to the respective covered bond protective measures. |
| 150 | Reporting dateAmounts of assets in the cover pool, excluding cover pool derivative positions. This amount includes minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures. |
| 160 | + 6 monthsThe reporting date ‘+ 6 months’ is the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in cover pool compared to the reporting date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity is to be used in a consistent manner. |
| 170-200 | + 12 months — + 10 yearsAs for ‘+ 6 months’ (column 160) for the respective point in time from the reporting reference date. |
| 210 | Cover pool derivative positions with net positive market valueThe net positive market value of cover pool derivative positions which, from the perspective of the covered bond issuer, have a net positive market value. Cover pool derivative positions are such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a positive market value would not form part of the covered bond issuer's general insolvency estate.The net positive market value is to be reported for the reporting date only. |
| 220-250 | Cover pool amounts in excess of minimum coverage requirementsAmounts of cover pool, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (over-collateralisation). |
| 220 | As per the relevant statutory covered bond regimeAmounts of over-collateralisation compared with the minimum coverage required by the relevant statutory covered bond regime. |
| 230-250 | As per credit rating agencies' methodology to maintain current external credit rating on covered bondAmounts of over-collateralisation compared with the level that, according to information on the respective credit rating agency's methodology available to the covered bond issuer, would at a minimum be required to support the existing credit rating issued by the respective credit rating agency. |
| 230 | Credit rating agency 1Amounts of over-collateralisation compared with the level that, according to information on the methodology of credit rating agency 1 (column 090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 100). |
| 240-250 | Credit rating agency 2 and credit rating agency 3The instructions for credit rating agency 1 (column 230) also apply to credit rating agency 2 (column 110) and credit rating agency 3 (column 130). |
6.PART E: ADVANCED DATA
6.1.General remarks
- Part E follows the same structure as in the encumbrance overview templates in Part A with different templates for the encumbrance of the assets of the reporting institution and for the collateral received: AE-ADV1 and AE-ADV2 respectively. Consequently, matching liabilities correspond to the liabilities that are secured by the encumbered assets and no one-to-one relation has to exist.
6.2.Template: AE-ADV1. Advanced template for assets of the reporting institution
6.2.1.Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 010-020 | **Central bank funding (of all types, including repos)**All types of liabilities of the reporting institution in which the counterparty of the transaction is a central bank.Assets that have been pre-positioned with central banks shall not be treated as encumbered assets unless the central bank does not allow withdrawal of any asset placed without prior approval. For unused financial guarantees, the unused part, i.e., the amount above the minimum required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank. |
| 030-040 | Exchanged traded derivativesCarrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution. |
| 050-060 | Over-the counter derivativesCarrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are traded over-the-counter and they entail asset encumbrance for that institution. (Same instruction in row 030 of the AE-SOU template) |
| 070-080 | Repurchase agreementsCarrying amount of the repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as these transactions entail asset encumbrance for that institution. For tri-party repurchase agreements, the same treatment should be followed as for the repurchase agreements insofar as these transactions entail asset encumbrance for the reporting institution. |
| 090-100 | Collateralised deposits other than repurchase agreementsCarrying amount of the collateralised deposits other than repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as these deposits entail asset encumbrance for that institution. |
| 110-120 | Covered bonds securities issuedSee instructions in row 100 of the AE-SOU template. |
| 130-140 | Securitisations issuedSee instructions in row 110 of the AE-SOU template. |
| 150-160 | Debt securities issued other than covered bonds and ABSsCarrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as these securities issued entail asset encumbrance for that institution.In the event that the reporting institution had retained some of the debt securities issued, either from the issuance date or thereafter as a result of a repurchase, these retained securities should not be included under this item. Additionally, the collateral assigned to them should be classified as non-encumbered for the purpose of this template. |
| 170-180 | Other sources of encumbranceSee instructions in row 120 of the AE-SOU template. |
| 190 | Total encumbered assetsFor each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are encumbered. |
| 200 | of which: central bank eligibleFor each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are encumbered and which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
| 210 | Total non-encumbered assetsFor each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are non-encumbered. Carrying amount means the amount reported in the asset side of the balance sheet. |
| 220 | of which: central bank eligibleFor each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are non-encumbered and which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
| 230 | Encumbered + non-encumbered assetsFor each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution. |
6.2.2.Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 010 | Loans on demandSee instructions for row 020 of the AE-ASS template. |
| 020 | Equity instrumentsSee instructions for row 030 of the AE-ASS template. |
| 030 | TotalSee instructions for row 040 of the AE-ASS template. |
| 040 | of which: covered bondsSee description instructions for row 050 of the AE-ASS template. |
| 050 | of which: issued by other entities of the groupCovered bonds as described in the instructions for row 050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation. |
| 060 | of which: securitisationsSee instructions for row 060 of the AE-ASS template. |
| 070 | of which: issued by other entities of the groupSecuritisations as described in the instructions for row 060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation. |
| 080 | of which: issued by general governmentsSee instructions for row 070 of the AE-ASS template. |
| 090 | of which: issued by financial corporationsSee instructions for row 080 of the AE-ASS template. |
| 100 | of which: issued by non-financial corporationsSee instructions for row 090 of the AE-ASS template. |
| 110 | Central banks and general governmentsLoans and advances other than loans on demand to a central bank or a general government. |
| 120 | Financial corporationsLoans and advances other than loans on demand to financial corporations. |
| 130 | Non-financial corporationsLoans and advances other than loans on demand to non-financial corporations. |
| 140 | of which: mortgages loansLoans and advances other than loans on demand guaranteed with a mortgage given to non-financial corporations. |
| 150 | HouseholdsLoans and advances other than loans on demand given to households. |
| 160 | of which: mortgage loansLoans and advances other than loans on demand guaranteed with a mortgage given to households. |
| 170 | Other assetsSee instruction for row 120 of the AE-ASS template. |
| 180 | TotalSee instruction for row 010 of the AE-ASS template. |
6.3.Template: AE-ADV2. Advanced template for collateral received by the reporting institution
6.3.1.Instructions concerning specific rows
- See point 6.2.1 as instructions are similar for both templates.
6.3.2.Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 010 | Loans on demandSee instructions for row 140 of the AE-COL template. |
| 020 | Equity instrumentsSee instructions for row 150 of the AE-COL template. |
| 030 | TotalSee instructions for row 160 of the AE-COL template. |
| 040 | of which: covered bondsSee instructions in row 170 of the AE-COL template. |
| 050 | of which: issued by other entities of the groupCollateral received by the reporting institution that are covered bonds issued by any entity within the prudential scope of consolidation. |
| 060 | of which: securitisationsSee instructions for row 180 of the AE-COL template. |
| 070 | of which: issued by other entities of the groupCollateral received by the reporting institution that are securitisations issued by any entity within the prudential scope of consolidation. |
| 080 | of which: issued by general governmentsSee instructions for row 190 of the AE-COL template. |
| 090 | of which: issued by financial corporationsSee instructions for row 200 of the AE-COL template. |
| 100 | of which: issued by non-financial corporationsSee instructions for row 210 of the AE-COL template. |
| 110 | **Central banks and general governments.**Collateral received by the reporting institution that are loans and advances other than loans on demand to a central bank or a general government. |
| 120 | Financial corporationsCollateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations. |
| 130 | Non-financial corporationsCollateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations. |
| 140 | of which: mortgages loansCollateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a mortgage given to non-financial corporations. |
| 150 | HouseholdsCollateral received by the reporting institution that are loans and advances other than loans on demand given to households. |
| 160 | of which: mortgage loansCollateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a mortgage given to households. |
| 170 | Other assetsSee instructions for row 230 of the AE-COL template. |
| 180 | Own debt securities issued other than own covered bonds or ABSsSee instructions for row 240 of the AE-COL template. |
| 190 | TotalSee instructions for rows 130 and 140 of the AE-COL template. |
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
| ALMM TEMPLATES | ||
|---|---|---|
| Template number | Template code | Name of the template/group of templates |
| 67 | C 67.00 | CONCENTRATION OF FUNDING BY COUNTERPARTY |
| 68 | C 68.00 | CONCENTRATION OF FUNDING BY PRODUCT TYPE |
| 69 | C 69.00 | PRICES FOR VARIOUS LENGTHS OF FUNDING |
| 70 | C 70.00 | ROLL-OVER OF FUNDING |
C 67.00 — CONCENTRATION OF FUNDING BY COUNTERPARTYz-axisTotal and significant currencies
| Concentration of funding by counterparty | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Counterparty Name | LEI Code | Counterparty Sector | Residence of Counterparty | Product Type | Amount Received | Weighted average initial maturity | Weighted average residual maturity | ||
| Row | ID | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 |
| 010 | **1.**TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES | ||||||||
| 020 | 1,01 | ||||||||
| 030 | 1,02 | ||||||||
| 040 | 1,03 | ||||||||
| 050 | 1,04 | ||||||||
| 060 | 1,05 | ||||||||
| 070 | 1,06 | ||||||||
| 080 | 1,07 | ||||||||
| 090 | 1,08 | ||||||||
| 100 | 1,09 | ||||||||
| 110 | 1,10 | ||||||||
| 120 | **2.**ALL OTHER LIABILITIES |
C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPEz-axisTotal and significant currencies
| Concentration of funding by product type | |||||||
|---|---|---|---|---|---|---|---|
| Row | ID | Product Name | Total amount received | Amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | Amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country | Weighted average initial maturity | Weighted average residual maturity |
| 010 | 020 | 030 | 040 | 050 | |||
| 010 | 1 | RETAIL FUNDING | |||||
| 020 | 1,1 | Sight deposits | |||||
| 030 | 1,2 | Fixed term deposits with an initial maturity less than 30 days | |||||
| 040 | 1,3 | Fixed term deposits with an initial maturity greater than 30 days | |||||
| 050 | 1.3.1 | with a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity | |||||
| 060 | 1.3.2 | without a penalty for early withdrawal that is materially greater than losing the interest that would be obtained for the remaining maturity | |||||
| 070 | 1,4 | Savings accounts | |||||
| 080 | 1.4.1 | with a notice period for withdrawal greater than 30 days | |||||
| 090 | 1.4.2 | without a notice period for withdrawal greater than 30 days | |||||
| 100 | 2 | WHOLESALE FUNDING | |||||
| 110 | 2,1 | Unsecured wholesale funding | |||||
| 120 | 2.1.1 | of which financial customers | |||||
| 130 | 2.1.2 | of which non-financial customers | |||||
| 140 | 2.1.3 | of which from intra-group entities | |||||
| 150 | 2,2 | Secured wholesale funding | |||||
| 160 | 2.2.1 | of which repurchase agreements | |||||
| 170 | 2.2.2 | of which covered bond issuance | |||||
| 180 | 2.2.3 | of which asset backed security issuance | |||||
| 190 | 2.2.4 | of which from intra-group entities |
C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDINGz-axisTotal and significant currencies
| Prices for various lengths of funding | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | 1 week | 1 month | 3 months | 6 months | 1 year | 2 years | 5 years | 10 years | ||||||||||||
| Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | |||
| Row | ID | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 |
| 010 | 1 | Total Funding | ||||||||||||||||||
| 020 | 1,1 | of which: Retail deposits | ||||||||||||||||||
| 030 | 1,2 | of which: Unsecured wholesale deposits | ||||||||||||||||||
| 040 | 1,3 | of which: Secured funding | ||||||||||||||||||
| 050 | 1,4 | of which: Senior unsecured securities | ||||||||||||||||||
| 060 | 1,5 | of which: Covered bonds | ||||||||||||||||||
| 070 | 1,6 | of which: Asset backed securities including ABCP |
C 70.00 - ROLL-OVER OF FUNDINGz-axisTotal and significant currencies
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 010 | 1.1 | 1 | Total funding | ||||||||||||
| 020 | 1.1.1 | Retail deposits | |||||||||||||
| 030 | 1.1.2 | Unsecured wholesale deposits | |||||||||||||
| 040 | 1.1.3 | Secured funding | |||||||||||||
| 050 | 1.2 | 2 | Total funding | ||||||||||||
| 060 | 1.2.1 | Retail deposits | |||||||||||||
| 070 | 1.2.2 | Unsecured wholesale deposits | |||||||||||||
| 080 | 1.2.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 010 | 1.1 | 1 | Total funding | ||||||||||||
| 020 | 1.1.1 | Retail deposits | |||||||||||||
| 030 | 1.1.2 | Unsecured wholesale deposits | |||||||||||||
| 040 | 1.1.3 | Secured funding | |||||||||||||
| 050 | 1.2 | 2 | Total funding | ||||||||||||
| 060 | 1.2.1 | Retail deposits | |||||||||||||
| 070 | 1.2.2 | Unsecured wholesale deposits | |||||||||||||
| 080 | 1.2.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 010 | 1.1 | 1 | Total funding | |||||||||
| 020 | 1.1.1 | Retail deposits | ||||||||||
| 030 | 1.1.2 | Unsecured wholesale deposits | ||||||||||
| 040 | 1.1.3 | Secured funding | ||||||||||
| 050 | 1.2 | 2 | Total funding | |||||||||
| 060 | 1.2.1 | Retail deposits | ||||||||||
| 070 | 1.2.2 | Unsecured wholesale deposits | ||||||||||
| 080 | 1.2.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 090 | 1.3 | 3 | Total funding | ||||||||||||
| 100 | 1.3.1 | Retail deposits | |||||||||||||
| 110 | 1.3.2 | Unsecured wholesale deposits | |||||||||||||
| 120 | 1.3.3 | Secured funding | |||||||||||||
| 130 | 1.4 | 4 | Total funding | ||||||||||||
| 140 | 1.4.1 | Retail deposits | |||||||||||||
| 150 | 1.4.2 | Unsecured wholesale deposits | |||||||||||||
| 160 | 1.4.3 | Secured funding | |||||||||||||
| 170 | 1.5 | 5 | Total funding | ||||||||||||
| 180 | 1.5.1 | Retail deposits | |||||||||||||
| 190 | 1.5.2 | Unsecured wholesale deposits | |||||||||||||
| 200 | 1.5.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 090 | 1.3 | 3 | Total funding | ||||||||||||
| 100 | 1.3.1 | Retail deposits | |||||||||||||
| 110 | 1.3.2 | Unsecured wholesale deposits | |||||||||||||
| 120 | 1.3.3 | Secured funding | |||||||||||||
| 130 | 1.4 | 4 | Total funding | ||||||||||||
| 140 | 1.4.1 | Retail deposits | |||||||||||||
| 150 | 1.4.2 | Unsecured wholesale deposits | |||||||||||||
| 160 | 1.4.3 | Secured funding | |||||||||||||
| 170 | 1.5 | 5 | Total funding | ||||||||||||
| 180 | 1.5.1 | Retail deposits | |||||||||||||
| 190 | 1.5.2 | Unsecured wholesale deposits | |||||||||||||
| 200 | 1.5.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 090 | 1.3 | 3 | Total funding | |||||||||
| 100 | 1.3.1 | Retail deposits | ||||||||||
| 110 | 1.3.2 | Unsecured wholesale deposits | ||||||||||
| 120 | 1.3.3 | Secured funding | ||||||||||
| 130 | 1.4 | 4 | Total funding | |||||||||
| 140 | 1.4.1 | Retail deposits | ||||||||||
| 150 | 1.4.2 | Unsecured wholesale deposits | ||||||||||
| 160 | 1.4.3 | Secured funding | ||||||||||
| 170 | 1.5 | 5 | Total funding | |||||||||
| 180 | 1.5.1 | Retail deposits | ||||||||||
| 190 | 1.5.2 | Unsecured wholesale deposits | ||||||||||
| 200 | 1.5.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 210 | 1.6 | 6 | Total funding | ||||||||||||
| 220 | 1.6.1 | Retail deposits | |||||||||||||
| 230 | 1.6.2 | Unsecured wholesale deposits | |||||||||||||
| 240 | 1.6.3 | Secured funding | |||||||||||||
| 250 | 1.7 | 7 | Total funding | ||||||||||||
| 260 | 1.7.1 | Retail deposits | |||||||||||||
| 270 | 1.7.2 | Unsecured wholesale deposits | |||||||||||||
| 280 | 1.7.3 | Secured funding | |||||||||||||
| 290 | 1.8 | 8 | Total funding | ||||||||||||
| 300 | 1.8.1 | Retail deposits | |||||||||||||
| 310 | 1.8.2 | Unsecured wholesale deposits | |||||||||||||
| 320 | 1.8.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 210 | 1.6 | 6 | Total funding | ||||||||||||
| 220 | 1.6.1 | Retail deposits | |||||||||||||
| 230 | 1.6.2 | Unsecured wholesale deposits | |||||||||||||
| 240 | 1.6.3 | Secured funding | |||||||||||||
| 250 | 1.7 | 7 | Total funding | ||||||||||||
| 260 | 1.7.1 | Retail deposits | |||||||||||||
| 270 | 1.7.2 | Unsecured wholesale deposits | |||||||||||||
| 280 | 1.7.3 | Secured funding | |||||||||||||
| 290 | 1.8 | 8 | Total funding | ||||||||||||
| 300 | 1.8.1 | Retail deposits | |||||||||||||
| 310 | 1.8.2 | Unsecured wholesale deposits | |||||||||||||
| 320 | 1.8.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 210 | 1.6 | 6 | Total funding | |||||||||
| 220 | 1.6.1 | Retail deposits | ||||||||||
| 230 | 1.6.2 | Unsecured wholesale deposits | ||||||||||
| 240 | 1.6.3 | Secured funding | ||||||||||
| 250 | 1.7 | 7 | Total funding | |||||||||
| 260 | 1.7.1 | Retail deposits | ||||||||||
| 270 | 1.7.2 | Unsecured wholesale deposits | ||||||||||
| 280 | 1.7.3 | Secured funding | ||||||||||
| 290 | 1.8 | 8 | Total funding | |||||||||
| 300 | 1.8.1 | Retail deposits | ||||||||||
| 310 | 1.8.2 | Unsecured wholesale deposits | ||||||||||
| 320 | 1.8.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 330 | 1.9 | 9 | Total funding | ||||||||||||
| 340 | 1.9.1 | Retail deposits | |||||||||||||
| 350 | 1.9.2 | Unsecured wholesale deposits | |||||||||||||
| 360 | 1.9.3 | Secured funding | |||||||||||||
| 370 | 1.10 | 10 | Total funding | ||||||||||||
| 380 | 1.10.1 | Retail deposits | |||||||||||||
| 390 | 1.10.2 | Unsecured wholesale deposits | |||||||||||||
| 400 | 1.10.3 | Secured funding | |||||||||||||
| 410 | 1.11 | 11 | Total funding | ||||||||||||
| 420 | 1.11.1 | Retail deposits | |||||||||||||
| 430 | 1.11.2 | Unsecured wholesale deposits | |||||||||||||
| 440 | 1.11.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 330 | 1.9 | 9 | Total funding | ||||||||||||
| 340 | 1.9.1 | Retail deposits | |||||||||||||
| 350 | 1.9.2 | Unsecured wholesale deposits | |||||||||||||
| 360 | 1.9.3 | Secured funding | |||||||||||||
| 370 | 1.10 | 10 | Total funding | ||||||||||||
| 380 | 1.10.1 | Retail deposits | |||||||||||||
| 390 | 1.10.2 | Unsecured wholesale deposits | |||||||||||||
| 400 | 1.10.3 | Secured funding | |||||||||||||
| 410 | 1.11 | 11 | Total funding | ||||||||||||
| 420 | 1.11.1 | Retail deposits | |||||||||||||
| 430 | 1.11.2 | Unsecured wholesale deposits | |||||||||||||
| 440 | 1.11.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 330 | 1.9 | 9 | Total funding | |||||||||
| 340 | 1.9.1 | Retail deposits | ||||||||||
| 350 | 1.9.2 | Unsecured wholesale deposits | ||||||||||
| 360 | 1.9.3 | Secured funding | ||||||||||
| 370 | 1.10 | 10 | Total funding | |||||||||
| 380 | 1.10.1 | Retail deposits | ||||||||||
| 390 | 1.10.2 | Unsecured wholesale deposits | ||||||||||
| 400 | 1.10.3 | Secured funding | ||||||||||
| 410 | 1.11 | 11 | Total funding | |||||||||
| 420 | 1.11.1 | Retail deposits | ||||||||||
| 430 | 1.11.2 | Unsecured wholesale deposits | ||||||||||
| 440 | 1.11.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 450 | 1.12 | 12 | Total funding | ||||||||||||
| 460 | 1.12.1 | Retail deposits | |||||||||||||
| 470 | 1.12.2 | Unsecured wholesale deposits | |||||||||||||
| 480 | 1.12.3 | Secured funding | |||||||||||||
| 490 | 1.13 | 13 | Total funding | ||||||||||||
| 500 | 1.13.1 | Retail deposits | |||||||||||||
| 510 | 1.13.2 | Unsecured wholesale deposits | |||||||||||||
| 520 | 1.13.3 | Secured funding | |||||||||||||
| 530 | 1.14 | 14 | Total funding | ||||||||||||
| 540 | 1.14.1 | Retail deposits | |||||||||||||
| 550 | 1.14.2 | Unsecured wholesale deposits | |||||||||||||
| 560 | 1.14.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 450 | 1.12 | 12 | Total funding | ||||||||||||
| 460 | 1.12.1 | Retail deposits | |||||||||||||
| 470 | 1.12.2 | Unsecured wholesale deposits | |||||||||||||
| 480 | 1.12.3 | Secured funding | |||||||||||||
| 490 | 1.13 | 13 | Total funding | ||||||||||||
| 500 | 1.13.1 | Retail deposits | |||||||||||||
| 510 | 1.13.2 | Unsecured wholesale deposits | |||||||||||||
| 520 | 1.13.3 | Secured funding | |||||||||||||
| 530 | 1.14 | 14 | Total funding | ||||||||||||
| 540 | 1.14.1 | Retail deposits | |||||||||||||
| 550 | 1.14.2 | Unsecured wholesale deposits | |||||||||||||
| 560 | 1.14.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 450 | 1.12 | 12 | Total funding | |||||||||
| 460 | 1.12.1 | Retail deposits | ||||||||||
| 470 | 1.12.2 | Unsecured wholesale deposits | ||||||||||
| 480 | 1.12.3 | Secured funding | ||||||||||
| 490 | 1.13 | 13 | Total funding | |||||||||
| 500 | 1.13.1 | Retail deposits | ||||||||||
| 510 | 1.13.2 | Unsecured wholesale deposits | ||||||||||
| 520 | 1.13.3 | Secured funding | ||||||||||
| 530 | 1.14 | 14 | Total funding | |||||||||
| 540 | 1.14.1 | Retail deposits | ||||||||||
| 550 | 1.14.2 | Unsecured wholesale deposits | ||||||||||
| 560 | 1.14.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 570 | 1.15 | 15 | Total funding | ||||||||||||
| 580 | 1.15.1 | Retail deposits | |||||||||||||
| 590 | 1.15.2 | Unsecured wholesale deposits | |||||||||||||
| 600 | 1.15.3 | Secured funding | |||||||||||||
| 610 | 1.16 | 16 | Total funding | ||||||||||||
| 620 | 1.16.1 | Retail deposits | |||||||||||||
| 630 | 1.16.2 | Unsecured wholesale deposits | |||||||||||||
| 640 | 1.16.3 | Secured funding | |||||||||||||
| 650 | 1.17 | 17 | Total funding | ||||||||||||
| 660 | 1.17.1 | Retail deposits | |||||||||||||
| 670 | 1.17.2 | Unsecured wholesale deposits | |||||||||||||
| 680 | 1.17.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 570 | 1.15 | 15 | Total funding | ||||||||||||
| 580 | 1.15.1 | Retail deposits | |||||||||||||
| 590 | 1.15.2 | Unsecured wholesale deposits | |||||||||||||
| 600 | 1.15.3 | Secured funding | |||||||||||||
| 610 | 1.16 | 16 | Total funding | ||||||||||||
| 620 | 1.16.1 | Retail deposits | |||||||||||||
| 630 | 1.16.2 | Unsecured wholesale deposits | |||||||||||||
| 640 | 1.16.3 | Secured funding | |||||||||||||
| 650 | 1.17 | 17 | Total funding | ||||||||||||
| 660 | 1.17.1 | Retail deposits | |||||||||||||
| 670 | 1.17.2 | Unsecured wholesale deposits | |||||||||||||
| 680 | 1.17.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 570 | 1.15 | 15 | Total funding | |||||||||
| 580 | 1.15.1 | Retail deposits | ||||||||||
| 590 | 1.15.2 | Unsecured wholesale deposits | ||||||||||
| 600 | 1.15.3 | Secured funding | ||||||||||
| 610 | 1.16 | 16 | Total funding | |||||||||
| 620 | 1.16.1 | Retail deposits | ||||||||||
| 630 | 1.16.2 | Unsecured wholesale deposits | ||||||||||
| 640 | 1.16.3 | Secured funding | ||||||||||
| 650 | 1.17 | 17 | Total funding | |||||||||
| 660 | 1.17.1 | Retail deposits | ||||||||||
| 670 | 1.17.2 | Unsecured wholesale deposits | ||||||||||
| 680 | 1.17.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 690 | 1.18 | 18 | Total funding | ||||||||||||
| 700 | 1.18.1 | Retail deposits | |||||||||||||
| 710 | 1.18.2 | Unsecured wholesale deposits | |||||||||||||
| 720 | 1.18.3 | Secured funding | |||||||||||||
| 730 | 1.19 | 19 | Total funding | ||||||||||||
| 740 | 1.19.1 | Retail deposits | |||||||||||||
| 750 | 1.19.2 | Unsecured wholesale deposits | |||||||||||||
| 760 | 1.19.3 | Secured funding | |||||||||||||
| 770 | 1.20 | 20 | Total funding | ||||||||||||
| 780 | 1.20.1 | Retail deposits | |||||||||||||
| 790 | 1.20.2 | Unsecured wholesale deposits | |||||||||||||
| 800 | 1.20.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 690 | 1.18 | 18 | Total funding | ||||||||||||
| 700 | 1.18.1 | Retail deposits | |||||||||||||
| 710 | 1.18.2 | Unsecured wholesale deposits | |||||||||||||
| 720 | 1.18.3 | Secured funding | |||||||||||||
| 730 | 1.19 | 19 | Total funding | ||||||||||||
| 740 | 1.19.1 | Retail deposits | |||||||||||||
| 750 | 1.19.2 | Unsecured wholesale deposits | |||||||||||||
| 760 | 1.19.3 | Secured funding | |||||||||||||
| 770 | 1.20 | 20 | Total funding | ||||||||||||
| 780 | 1.20.1 | Retail deposits | |||||||||||||
| 790 | 1.20.2 | Unsecured wholesale deposits | |||||||||||||
| 800 | 1.20.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 690 | 1.18 | 18 | Total funding | |||||||||
| 700 | 1.18.1 | Retail deposits | ||||||||||
| 710 | 1.18.2 | Unsecured wholesale deposits | ||||||||||
| 720 | 1.18.3 | Secured funding | ||||||||||
| 730 | 1.19 | 19 | Total funding | |||||||||
| 740 | 1.19.1 | Retail deposits | ||||||||||
| 750 | 1.19.2 | Unsecured wholesale deposits | ||||||||||
| 760 | 1.19.3 | Secured funding | ||||||||||
| 770 | 1.20 | 20 | Total funding | |||||||||
| 780 | 1.20.1 | Retail deposits | ||||||||||
| 790 | 1.20.2 | Unsecured wholesale deposits | ||||||||||
| 800 | 1.20.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 810 | 1.21 | 21 | Total funding | ||||||||||||
| 820 | 1.21.1 | Retail deposits | |||||||||||||
| 830 | 1.21.2 | Unsecured wholesale deposits | |||||||||||||
| 840 | 1.21.3 | Secured funding | |||||||||||||
| 850 | 1.22 | 22 | Total funding | ||||||||||||
| 860 | 1.22.1 | Retail deposits | |||||||||||||
| 870 | 1.22.2 | Unsecured wholesale deposits | |||||||||||||
| 880 | 1.22.3 | Secured funding | |||||||||||||
| 890 | 1.23 | 23 | Total funding | ||||||||||||
| 900 | 1.23.1 | Retail deposits | |||||||||||||
| 910 | 1.23.2 | Unsecured wholesale deposits | |||||||||||||
| 920 | 1.23.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 810 | 1.21 | 21 | Total funding | ||||||||||||
| 820 | 1.21.1 | Retail deposits | |||||||||||||
| 830 | 1.21.2 | Unsecured wholesale deposits | |||||||||||||
| 840 | 1.21.3 | Secured funding | |||||||||||||
| 850 | 1.22 | 22 | Total funding | ||||||||||||
| 860 | 1.22.1 | Retail deposits | |||||||||||||
| 870 | 1.22.2 | Unsecured wholesale deposits | |||||||||||||
| 880 | 1.22.3 | Secured funding | |||||||||||||
| 890 | 1.23 | 23 | Total funding | ||||||||||||
| 900 | 1.23.1 | Retail deposits | |||||||||||||
| 910 | 1.23.2 | Unsecured wholesale deposits | |||||||||||||
| 920 | 1.23.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 810 | 1.21 | 21 | Total funding | |||||||||
| 820 | 1.21.1 | Retail deposits | ||||||||||
| 830 | 1.21.2 | Unsecured wholesale deposits | ||||||||||
| 840 | 1.21.3 | Secured funding | ||||||||||
| 850 | 1.22 | 22 | Total funding | |||||||||
| 860 | 1.22.1 | Retail deposits | ||||||||||
| 870 | 1.22.2 | Unsecured wholesale deposits | ||||||||||
| 880 | 1.22.3 | Secured funding | ||||||||||
| 890 | 1.23 | 23 | Total funding | |||||||||
| 900 | 1.23.1 | Retail deposits | ||||||||||
| 910 | 1.23.2 | Unsecured wholesale deposits | ||||||||||
| 920 | 1.23.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 930 | 1.24 | 24 | Total funding | ||||||||||||
| 940 | 1.24.1 | Retail deposits | |||||||||||||
| 950 | 1.24.2 | Unsecured wholesale deposits | |||||||||||||
| 960 | 1.24.3 | Secured funding | |||||||||||||
| 970 | 1.25 | 25 | Total funding | ||||||||||||
| 980 | 1.25.1 | Retail deposits | |||||||||||||
| 990 | 1.25.2 | Unsecured wholesale deposits | |||||||||||||
| 1000 | 1.25.3 | Secured funding | |||||||||||||
| 1010 | 1.26 | 26 | Total funding | ||||||||||||
| 1020 | 1.26.1 | Retail deposits | |||||||||||||
| 1030 | 1.26.2 | Unsecured wholesale deposits | |||||||||||||
| 1040 | 1.26.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 930 | 1.24 | 24 | Total funding | ||||||||||||
| 940 | 1.24.1 | Retail deposits | |||||||||||||
| 950 | 1.24.2 | Unsecured wholesale deposits | |||||||||||||
| 960 | 1.24.3 | Secured funding | |||||||||||||
| 970 | 1.25 | 25 | Total funding | ||||||||||||
| 980 | 1.25.1 | Retail deposits | |||||||||||||
| 990 | 1.25.2 | Unsecured wholesale deposits | |||||||||||||
| 1000 | 1.25.3 | Secured funding | |||||||||||||
| 1010 | 1.26 | 26 | Total funding | ||||||||||||
| 1020 | 1.26.1 | Retail deposits | |||||||||||||
| 1030 | 1.26.2 | Unsecured wholesale deposits | |||||||||||||
| 1040 | 1.26.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 930 | 1.24 | 24 | Total funding | |||||||||
| 940 | 1.24.1 | Retail deposits | ||||||||||
| 950 | 1.24.2 | Unsecured wholesale deposits | ||||||||||
| 960 | 1.24.3 | Secured funding | ||||||||||
| 970 | 1.25 | 25 | Total funding | |||||||||
| 980 | 1.25.1 | Retail deposits | ||||||||||
| 990 | 1.25.2 | Unsecured wholesale deposits | ||||||||||
| 1000 | 1.25.3 | Secured funding | ||||||||||
| 1010 | 1.26 | 26 | Total funding | |||||||||
| 1020 | 1.26.1 | Retail deposits | ||||||||||
| 1030 | 1.26.2 | Unsecured wholesale deposits | ||||||||||
| 1040 | 1.26.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 1050 | 1.27 | 27 | Total funding | ||||||||||||
| 1060 | 1.27.1 | Retail deposits | |||||||||||||
| 1070 | 1.27.2 | Unsecured wholesale deposits | |||||||||||||
| 1080 | 1.27.3 | Secured funding | |||||||||||||
| 1090 | 1.28 | 28 | Total funding | ||||||||||||
| 1100 | 1.28.1 | Retail deposits | |||||||||||||
| 1110 | 1.28.2 | Unsecured wholesale deposits | |||||||||||||
| 1120 | 1.28.3 | Secured funding | |||||||||||||
| 1130 | 1.29 | 29 | Total funding | ||||||||||||
| 1140 | 1.29.1 | Retail deposits | |||||||||||||
| 1150 | 1.29.2 | Unsecured wholesale deposits | |||||||||||||
| 1160 | 1.29.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 1050 | 1.27 | 27 | Total funding | ||||||||||||
| 1060 | 1.27.1 | Retail deposits | |||||||||||||
| 1070 | 1.27.2 | Unsecured wholesale deposits | |||||||||||||
| 1080 | 1.27.3 | Secured funding | |||||||||||||
| 1090 | 1.28 | 28 | Total funding | ||||||||||||
| 1100 | 1.28.1 | Retail deposits | |||||||||||||
| 1110 | 1.28.2 | Unsecured wholesale deposits | |||||||||||||
| 1120 | 1.28.3 | Secured funding | |||||||||||||
| 1130 | 1.29 | 29 | Total funding | ||||||||||||
| 1140 | 1.29.1 | Retail deposits | |||||||||||||
| 1150 | 1.29.2 | Unsecured wholesale deposits | |||||||||||||
| 1160 | 1.29.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 1050 | 1.27 | 27 | Total funding | |||||||||
| 1060 | 1.27.1 | Retail deposits | ||||||||||
| 1070 | 1.27.2 | Unsecured wholesale deposits | ||||||||||
| 1080 | 1.27.3 | Secured funding | ||||||||||
| 1090 | 1.28 | 28 | Total funding | |||||||||
| 1100 | 1.28.1 | Retail deposits | ||||||||||
| 1110 | 1.28.2 | Unsecured wholesale deposits | ||||||||||
| 1120 | 1.28.3 | Secured funding | ||||||||||
| 1130 | 1.29 | 29 | Total funding | |||||||||
| 1140 | 1.29.1 | Retail deposits | ||||||||||
| 1150 | 1.29.2 | Unsecured wholesale deposits | ||||||||||
| 1160 | 1.29.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Overnight | > 1 day ≤ 7 days | >7days ≤ 14 days | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
| 1170 | 1.30 | 30 | Total funding | ||||||||||||
| 1180 | 1.30.1 | Retail deposits | |||||||||||||
| 1190 | 1.30.2 | Unsecured wholesale deposits | |||||||||||||
| 1200 | 1.30.3 | Secured funding | |||||||||||||
| 1210 | 1.31 | 31 | Total funding | ||||||||||||
| 1220 | 1.31.1 | Retail deposits | |||||||||||||
| 1230 | 1.31.2 | Unsecured wholesale deposits | |||||||||||||
| 1240 | 1.31.3 | Secured funding |
| Roll-over of funding | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >14 days ≤ 1 month | >1 Month ≤ 3 Months | >3 Months ≤ 6 Months | |||||||||||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | ||||
| Row | ID | Day | Item | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
| 1170 | 1.30 | 30 | Total funding | ||||||||||||
| 1180 | 1.30.1 | Retail deposits | |||||||||||||
| 1190 | 1.30.2 | Unsecured wholesale deposits | |||||||||||||
| 1200 | 1.30.3 | Secured funding | |||||||||||||
| 1210 | 1.31 | 31 | Total funding | ||||||||||||
| 1220 | 1.31.1 | Retail deposits | |||||||||||||
| 1230 | 1.31.2 | Unsecured wholesale deposits | |||||||||||||
| 1240 | 1.31.3 | Secured funding |
| Roll-over of funding | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| >6 Months | Total net cashflows | Average Term (days) | ||||||||||
| Maturing | Roll over | New Funds | Net | Maturing Funds Term | Roll-over Funds Term | New Funds Term | Total Funding Profile | |||||
| Row | ID | Day | Item | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 |
| 1170 | 1.30 | 30 | Total funding | |||||||||
| 1180 | 1.30.1 | Retail deposits | ||||||||||
| 1190 | 1.30.2 | Unsecured wholesale deposits | ||||||||||
| 1200 | 1.30.3 | Secured funding | ||||||||||
| 1210 | 1.31 | 31 | Total funding | |||||||||
| 1220 | 1.31.1 | Retail deposits | ||||||||||
| 1230 | 1.31.2 | Unsecured wholesale deposits | ||||||||||
| 1240 | 1.31.3 | Secured funding |
INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII
1.Additional Monitoring Tools
1.1.General remarks
- The summary templates contained in Annex XVIII is designed to monitor an institution's liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding.
1.2.Concentration of funding by counterparty (C 67.00)
This template seeks to collect information about the reporting institutions' concentration of funding by counterparty.
For the purpose of completing this template: (a) Institutions shall report the top ten largest counterparties or a group of connected clients according to Article 4(39) of Regulation (EC) No 575/2013 [CRR] from which funding obtained from each counterparty exceeds a threshold of 1 % of total liabilities in the sublines of section 1 of the template. Thus, the counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty which is above the 1 % threshold as at the reporting date; item 1.02 shall be the second largest above the 1 % threshold; and so on. (b) Institutions shall report the total of all other remaining liabilities in section 2. (c) The totals of section 1 and section 2 shall equal an institution's total liabilities as per its balance sheet reported under the financial reporting framework (FINREP).
For each counterparty, institutions shall record the following components: (a) counterparty name; (b) LEI code; (c) counterparty sector; (d) residence of the counterparty; (e) product type; (f) amount received; (g) weighted average initial maturity; and (h) weighted average residual maturity These components are explained in more detail in the table below.
Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Separate information shall be reported to the competent authority explaining the breakdown of funding received for the top 5 products by product type.
Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities (i.e. is the custodian bank) it should consider that amount for reporting the concentration of counterparties. When there is no information available on the holder of securities the corresponding amount does not have to be reported.
Instructions concerning specific columns:
| Column | Legal references and instructions |
|---|---|
| 010 | Counterparty NameThe name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 010 in descending order, that is, in order of size of funding obtained.The counterparty name recorded shall be the legal entity title of the company from which the funding is derived including any company type references such as SA (Société anonyme in France), Plc. (public limited company in the UK), or AG (Aktiengesellschaft in Germany). |
| 020 | LEI CodeThe legal entity identifier code of the counterparty. |
| 030 | Counterparty SectorOne sector shall be allocated to every counterparty on the basis of FINREP economic sector classes:(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) households.For groups of connected clients, no sector shall be reported. |
| 040 | Residence of CounterpartyISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's ‘Balance of Payments Vademecum’).For groups of connected clients, no country shall be reported. |
| 050 | Product TypeCounterparties reported in column 010 shall be assigned a product type, corresponding to the product issued in which the funding was received (or in which the largest proportion of funding was received for mixed product types) using the following codes indicated in bold:UWF (unsecured wholesale funding obtained from financial customers including interbank money)UWNF (unsecured wholesale funding obtained from non-financial customers)REPO (funding obtained from repurchase agreements as defined in Article 4(1) (82) of CRR)CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of CRR OR Article 52(4) of Directive 2009/65/EC)ABS (funding obtained from asset backed security issuance including asset backed commercial paper)IGCP (funding obtained from intragroup counterparties) |
| 060 | Amount ReceivedThe total amount of funding received from counterparties reported in column 010 shall be recorded in column 060. |
| 070 | Weighted average initial maturityFor the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average initial maturity (in days) for that funding shall be recorded in column 070.Weighted average initial maturity is the average initial maturity (in days) of the funding received from that counterparty based on the size of different amounts of funding received to total funding received.For example:1.EUR 1 billion received from counterparty A with an initial maturity of 180 days.2.EUR 0,5 billion received from counterparty A with an initial maturity of 360 days.Weighted average initial maturity = (EUR 1 billion/EUR 1,5 billion) * 180 days + (EUR 0,5 billion/EUR 1,5 billion) * 360 daysWeighted average initial maturity = 240 days |
| 080 | Weighted average residual maturityFor the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average residual maturity (in days) for that funding shall be recorded in column 080.Weighted average residual maturity is the average maturity (in days) of the funding received from that counterparty left based on the size of different amounts of funding received to total funding received.For example:1.EUR 1 billion received from counterparty A with 60 days residual maturity left.2.EUR 0.5 billion received from counterparty A with 180 days residual maturity left.Weighted average residual maturity = (EUR 1 billion/EUR 1,5 billion) * 60 days + (EUR 0,5 billion/EUR 1,5 billion) * 180 daysWeighted average residual maturity = 100 days |
1.3.Concentration of funding by product type (C 68.00)
This template seeks to collect information about the reporting institutions' concentration of funding by product type, broken down into the following funding types: 1. Retail funding; (a) Sight deposits; (b) Fixed term deposits less or equal than 30 days (c) Fixed term deposits greater than 30 days; (i) With a penalty for early withdrawal significantly greater than the loss of interest; (ii) Without a penalty for early withdrawal which is significantly greater than the loss of interest; (d) Savings accounts; (i) With a notice period for withdrawal greater than 30 days; (ii) Without a notice period for withdrawal which is greater than 30 days; 2. Wholesale funding; (a) Unsecured wholesale funding; (i) of which financial customers (ii) of which non-financial customers (iii) of which from intra-group entities (b) Secured wholesale funding; (i) of which repurchase agreements (ii) of which covered bond issuance (iii) of which asset backed security issuance (iv) of which from intra-group entities
For the purpose of completing this template institutions shall report the total amount of funding received from each product category, which exceeds a threshold of 1 % of total liabilities.
For each product type, institutions shall record the following components: (a) total amount received; (b) amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country; (c) amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country; (d) weighted average initial maturity; and (e) weighted average residual maturity. These components are explained in more detail in the table below.
For the purpose of determining those product types from which funding obtained is greater than 1 % of total liabilities threshold, the currency is irrelevant.
Instructions concerning specific columns:
| Column | Legal references and instructions |
|---|---|
| 010 | Total amount receivedTotal amount of funding received for each of the product categories listed in the ‘Product name’ column shall be reported in column 010 of the template in one combined reporting currency. |
| 020 | Amount covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third countryOf the total amount of funding received for each of the product categories listed in the ‘Product name’ column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country.Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the ‘Product name’ column, shall be equal to the total amount received reported in column 010. |
| 030 | Amount not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third countryOf the total amount of funding received for each of the product categories listed in the ‘Product name’ column reported in column 010, the amount which is not covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country.Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the ‘Product name’ column, shall be equal to the total amount received reported in column 010. |
| 040 | Weighted average initial maturityFor the amount of funding received reported in column 010, from the product categories listed in the ‘Product name’ column, a weighted average initial maturity (in days) for that funding shall be recorded in column 040.Weighted average initial maturity is the average initial maturity (in days) of the funding received from each and every counterparty as a result of the issuance of a specified product, to total funding received from the issuance of that product.For example:1.EUR 1 billion received from counterparty A as a result of issuing product X with an initial maturity of 180 days.2.EUR 0,5 billion received from counterparty B as a result of issuing product X with an initial maturity of 360 days.Weighted average initial maturity = (EUR 1 billion/EUR 1,5 billion) * 180 days + (EUR 0,5 billion/EUR 1,5 billion) * 360 daysWeighted average initial maturity = 240 days |
| 050 | Weighted average residual maturityFor the amount of funding received reported in column 010, from the product categories listed in the ‘Product name’ column, a weighted average residual maturity (in days) for that funding shall be recorded in column 050.Weighted average residual maturity is the average maturity (in days) left on the funding received from each and every counterparty as a result of the issuance of a specified product, to total funding received from the issuance of that product.For example:1.EUR 1 billion received from counterparty A as a result of issuing product X with 60 days residual maturity left.2.EUR 0,5 billion received from counterparty B as a result of issuing product X with 180 days residual maturity left.Weighted average residual maturity = (EUR 1 billion/EUR 1,5 billion) * 60 days + (EUR 0,5 billion/EUR 1,5 billion) * 180 daysWeighted average residual maturity = 100 days |
1.4.Prices for Various Lengths of Funding (C 69.00)
This template seeks to collect information about the average transaction volume and prices paid by institutions for funding with the following maturities: (a) Overnight (columns 010 and 020) (b) 1 week (columns 030 and 040) (c) 1 month (columns 050 and 060) (d) 3 months (columns 070 and 080) (e) 6 months (columns 090 and 100) (f) 1 year (columns 110 and 120) (g) 2 years (columns 130 and 140) (h) 5 years (columns 150 and 160) (i) 10 years (columns 170 and 180)
For the purpose of determining the maturity of funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three month liability settling in two weeks' time shall be reported in the 3 months maturity (columns 070 and 080).
The spread reported in the left hand column of each time bucket shall be one of the following: 1. the spread payable by the firm for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction; 2. the spread payable by the firm at issuance for liabilities greater than one year, were they to be swapped to the relevant benchmark overnight index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction.
Spread shall be reported in basis points (bp) and calculated on a weighted average basis. For example: 1. EUR 1 billion of funding received or offered by counterparty A with a spread 200 bp above the prevailing EURIBOR rate. 2. EUR 0,5 billion of funding received or offered by counterparty B with a spread 150 bp above the prevailing EURIBOR rate. Weighted average spread = (EUR 1 billion/EUR 1,5 billion) * 200 bp + (EUR 0.5 billion/EUR 1,5 billion) * 150 bp Weighted average spread = 183 bp
For the purposes of calculating the average spread payable, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but include any premium or discount and fees payable or receivable, taking as basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread is the liability rate minus the swap rate.
The net amount of funding obtained for the funding categories listed in the ‘Item’ column shall be reported in the ‘volume’ column of the applicable time bucket. For example, for the funding in point 4 above, this would be EUR 1500000.
Where there is nothing to report, spreads shall be left empty.
Instructions concerning specific rows:
| Row | Legal references and instructions |
|---|---|
| 010 | 1Total FundingTotal volume and weighted average spread of all funding obtained for the following lengths:(a)Overnight (columns 010 and 020)(b)1 week (columns 030 ad 040)(c)1 month (columns 050 and 060)(d)3 months (columns 070 and 080)(e)6 months (columns 090 and 100)(f)1 year (columns 110 and 120)(g)2 years (columns 130 and 140)(h)5 years (columns 150 and 160)(i)10 years (columns 170 and 180) |
| 020 | 1.1of which: Retail depositsOf the total funding reported in item 1, the total volume and weighted average spread of retail deposits obtained. |
| 030 | 1.2of which: Unsecured wholesale depositsOf the total funding in item 1, the total volume and weighted average spread of unsecured wholesale deposits obtained |
| 040 | 1.3of which: Secured fundingOf the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained. |
| 050 | 1.4of which: Senior unsecured securitiesOf the total funding reported in item 1, the total volume and weighted average spread of senior unsecured securities obtained. |
| 060 | 1.5of which: Covered bondsOf the total funding reported in item 1, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets. |
| 070 | 1.6of which: Asset backed securities including ABCPOf the total funding reported in item 1, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper. |
1.5.Roll-over of funding (C 70.00)
This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. ‘roll-over of funding’ on a daily basis over a monthly time horizon.
Institutions shall report the funding they have maturing in the following time buckets: (a) Overnight (columns 010 to 040) (b) Between 1 day and 7 days (columns 050 to 080) (c) Between 7 days and 14 days (columns 090 to 120) (d) Between 14 days and 1 month (columns 130 to 160) (e) Between 1 month and 3 months (columns 170 to 200) (f) Between 3 months and 6 months (columns 210 to 240) (g) Maturing greater than 6 months (columns 250 to 280)
For each time bucket as described in point 2 above, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the ‘Roll over’ column, new funds obtained shall be reported in the ‘New Funds’ column and the net difference (i.e. new funds + roll over — maturing) shall be reported in the right-hand column.
Total net cashflows shall be reported in column 290 and shall equal the sum of all ‘Net’ columns (i.e. 040 + 080 + 120 + 160 + 200 + 240 + 280).
The average term of funding (in days) for maturing term funds shall be reported in column 300.
The average term of funding (in days) of funds rolled over shall be reported in column 310
The average term of funding (in days) for new term funds shall be reported in column 320.
The average term of funding (in days) for the total funding profile shall be reported in column 330.
Instructions concerning specific rows:
| Column | Legal references and instructions |
|---|---|
| 010 to 040 | OvernightThe total amount of funding maturing on a daily basis shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall beleft empty.The total amount of funding rolled-over on a daily basis shall be reported in column 020 of line item 1.1-1.31.The total amount of new funding obtained on a daily basis shall be reported in column 030 of line item 1.1-1.31.The net difference between maturing daily funding and new daily funding obtained shall be reported in column 040 of line item 1.1-1.31. |
| 050 to 080 | > 1 day ≤ 7 daysThe total amount of funding maturing between one day and one week shall be reported in column 050 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.The total amount of funding rolled-over on a daily basis shall be reported in column 060 of line item 1.1-1.31.The total amount of new funding obtained for a duration between one day and one week shall be reported in column 70 of line item 1.1-1.31.The net difference between maturing funding and new funding obtained shall be reported in column 080 of line item 1.1-1.31. |
| 090 to 120 | > 7days ≤ 14 daysThe total amount of funding maturing between one week and two weeks shall be reported in column 090 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.The total amount of funding rolled-over on a daily basis shall be reported in column 100 of line item 1.1-1.31.The total amount of new funding obtained for a duration between one week and two weeks shall be reported in column 110 of line item 1.1-1.31.The net difference between maturing funding and new funding obtained shall be reported in column 120 of line item 1.1-1.31. |
| 130 to 160 | > 14 days ≤ 1 monthThe total amount of funding maturing between two weeks and one month shall be reported in column 130 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.The total amount of funding rolled-over on a daily basis shall be reported in column 140 of line item 1.1-1.31.The total amount of new funding obtained for a duration between two weeks and one month shall be reported in column 150 of line item 1.1-1.31.The net difference between maturing funding and new funding obtained shall be reported in column 160 of line item 1.1-1.31. |
| 170 to 200 | > 1 Month ≤ 3 MonthsThe total amount of funding maturing between one month and three months shall be reported in column 170 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.The total amount of funding rolled-over on a daily basis shall be reported in column 180 of line item 1.1-1.31.The total amount of new funding obtained for a duration between one month and three months shall be reported in column 190 of line item 1.1-1.31.The net difference between maturing funding and new funding obtained shall be reported in column 200 of line item 1.1-1.31. |
| 210 to 240 | > 3 Months ≤ 6 MonthsThe total amount of funding maturing between three months and six months shall be reported in column 210 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.The total amount of funding rolled-over on a daily basis shall be reported in column 220 of line item 1.1-1.31.The total amount of new funding obtained for a duration between three months and six months shall be reported in column 230 of line item 1.1-1.31.The net difference between maturing funding and new funding obtained shall be reported in column 240 of line item 1.1-1.31. |
| 250 to 280 | > 6 MonthsThe total amount of funding maturing beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days, irrelevant lines shall be left empty.The total amount of funding rolled-over on a daily basis shall be reported in column 260 of line item 1.1-1.31.The total amount of new funding obtained for a duration beyond six months shall be reported in column 270 of line item 1.1-1.31.The net difference between maturing funding and new funding obtained shall be reported in column 280 of line item 1.1-1.31. |
| 290 | Total net cash flowsThe total net cash flows equal to the sum of all ‘Net’ columns (i.e. 040 + 080 + 120 + 160 + 200 + 240 + 280) shall be reported in column 290. |
| 300 to 330 | **Average Term (days)**The weighted average term (in days) of all funds maturing shall be reported in column 300. The weighted average term (in days) of all funds rolled over shall be reported in column 310, the weighted average term (in days) of all new funds shall be reported in column 320 and the weighted average term (in days) for the total funding profile shall be reported in column 330. |
ADDITIONAL LIQUIDITY MONITORING METRICS UNDER ARTICLE 415(3)(b) OF REGULATION (EU) No 575/2013
| ALMM TEMPLATES | ||
|---|---|---|
| Template number | Template code | Name of the template /group of templates |
| 71 | C 71.00 | CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTY |
C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER/COUNTERPARTYz-axisTotal and significant currencies
| Concentration of counterbalancing capacity by issuer/counterparty | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Issuer/Counterparty Name | LEI code | Issuer/Counterparty Sector | Residence of Issuer/Counterparty | Product Type | Currency | Credit quality step | MtM value/nominal | Collateral value CB-eligible | ||
| Row | ID | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 |
| 010 | **1.**TOP TEN ISSUERS/COUNTERPARTIES | |||||||||
| 020 | 1,01 | |||||||||
| 030 | 1,02 | |||||||||
| 040 | 1,03 | |||||||||
| 050 | 1,04 | |||||||||
| 060 | 1,05 | |||||||||
| 070 | 1,06 | |||||||||
| 080 | 1,07 | |||||||||
| 090 | 1,08 | |||||||||
| 100 | 1,09 | |||||||||
| 110 | 1,10 | |||||||||
| 120 | **2.**ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY |
INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XXII
This template seeks to collect information about the reporting institutions' concentration of counterbalancing capacity by the ten largest holdings of assets or liquidity lines granted to the institution for this purpose. Counterbalancing capacity represents the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential funding gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported.
Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)
| Column | Legal references and instructions |
|---|---|
| 010 | Issuer/Counterparty NameThe name of the top ten issuers/counterparties of unencumbered assets or undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on.The issuer/counterparty name recorded shall be the legal entity title of the company which has issued the assets, or has granted the liquidity lines, including any company type references, e.g. SA (Société anonyme in France), Plc. (public limited company in the UK), or AG (Aktiengesellschaft in Germany) etc. |
| 020 | LEI codeThe legal entity identifier code of the counterparty. |
| 030 | Issuer/Counterparty SectorOne sector shall be allocated to every counterparty on the basis of FINREP economic sector classes:(i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) Households.For groups of connected clients, no sector shall be reported. |
| 040 | Residence of Issuer/CounterpartyISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat's ‘Balance of Payments Vademecum’).For groups of connected clients, no country shall be reported. |
| 050 | Product TypeIssuers/Counterparties recorded in column 010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facility has been received, using the following codes indicated in bold:SrB (Senior Bond)SubB (Subordinated Bond)CP (Commercial Paper)CB (Covered Bonds)US (UCITS-security, i.e. financial instruments representing a share in or a security issued by an Undertaking for Collective Investments of transferable securities)ABS (Asset Backed Security)CrCl (Credit Claim)Eq (Equity listed on a recognized exchange, not self-issued or issued by a financial institution)Gold****LiqL (Undrawn committed liquidity line granted to the institution)OPT (Other product type) |
| 060 | CurrencyIssuers/counterparties recorded in column 010 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. The three-letter currency unit code according to ISO 4217 shall be reported. |
| 070 | Credit quality stepIssuers/counterparties recorded in column 010 shall be assigned the appropriate credit quality step according to REGULATION 575/2013, consistent with the items reported in the maturity ladder. |
| 080 | MtM value/nominalThe market value or fair value of the assets, or — if applicable — the nominal value of the undrawn liquidity line granted to the institution. |
| 090 | Collateral value CB-eligibleThe collateral value according to the central bank rules for standing facilities for the specific assets if they are used as collateral against credit received from the central bank.For assets denominated in a currency included in the ITS issued under Article 416(5) Regulation (EC) No 575/2013 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. |
Provenance and validity dates, identifier, hash
| as of | 2016-03-25 → this version applied |
| valid | 2016-03-25 → 2016-04-19 publisher-asserted |
| type | REG_IMPL Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance) |
| language | en |
| published | 2016-03-25 |
| lex_id | eu-eurlex:32014r0680:2016-03-25 |
| record sha256 | d05b01c53bb0e749f4b43bfbfaaa82c38651b397f1473968942ed458e0c8cdb2 |
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