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

02014R0680 — EN — 01.12.2018 — 009.001 This text is meant purely as a documentation tool and has no legal effect. The Union's institutions do not assume any liability for its contents. The authentic versions of the relevant acts, including their preambles, are those published in the Official Journal of the European Union and available in EUR-Lex. Those official texts are directly accessible through the links embedded in this document ►B 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) (OJ L 191 28.6.2014, p. 1) Amended by: Official Journal No page date ►M1 COMMISSION IMPLEMENTING REGULATION (EU) 2015/79 of 18 December 2014 L 14 1 21.1.2015 ►M2 COMMISSION IMPLEMENTING REGULATION (EU) 2015/227 of 9 January 2015 L 48 1 20.2.2015 ►M3 COMMISSION IMPLEMENTING REGULATION (EU) 2015/1278 of 9 July 2015 L 205 1 31.7.2015 ►M4 COMMISSION IMPLEMENTING REGULATION (EU) 2016/313 of 1 March 2016 L 60 5 5.3.2016 ►M5 COMMISSION IMPLEMENTING REGULATION (EU) 2016/322 of 10 February 2016 L 64 1 10.3.2016 ►M6 COMMISSION IMPLEMENTING REGULATION (EU) 2016/428 of 23 March 2016 L 83 1 31.3.2016 M7 COMMISSION IMPLEMENTING REGULATION (EU) 2016/1702 of 18 August 2016 L 263 1 29.9.2016 ►M8 COMMISSION IMPLEMENTING REGULATION (EU) 2017/1443 of 29 June 2017 L 213 1 17.8.2017 ►M9 COMMISSION IMPLEMENTING REGULATION (EU) 2017/2114 of 9 November 2017 L 321 1 6.12.2017 ►M10 COMMISSION IMPLEMENTING REGULATION (EU) 2018/1627 of 9 October 2018 L 281 1 9.11.2018 Corrected by: C1 Corrigendum, OJ L 210, 7.8.2015, p. 38 (2015/1278) ►C2 Corrigendum, OJ L 095, 9.4.2016, p. 17 (2016/322) ▼B 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) CHAPTER 1 SUBJECT MATTER AND SCOPE Article 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; ▼M1 (f) asset encumbrance according to Article 100 of Regulation (EU) No 575/2013; ▼M4 (g) additional liquidity monitoring metrics according to Article 415(3)(b) of Regulation (EU) No 575/2013. ▼B CHAPTER 2 REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS Article 2 Reporting reference dates 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. Article 3 Reporting remittance dates 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. Article 4 Reporting thresholds — entry and exit criteria 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 Article 5 Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013 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; ▼M10 (4) the information on the geographical distribution of exposures by country, as well as aggregated at a total level, as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II. With regard to the information specified in templates 9.1 and 9.2 in particular, information on the geographical distribution of exposures by country shall be reported 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; ▼B (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; ▼M10 (12) the information on prudent valuation specified in template 32 of Annex I in accordance with the instructions in Part II, point 6 of Annex II as follows: (i) all institutions shall report the information specified in template 32.1 of Annex I in accordance with the instructions in Part II, point 6 of Annex II; (ii) in addition to the reporting referred to in point (i), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 shall also report the information specified in template 32.2 of Annex I in accordance with the instructions in Part II, point 6 of Annex II; (iii) in addition to the requirements referred to in points (i) and (ii), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation at their respective reporting level, shall also report the information specified in templates 32.3 and 32.4 of Annex I in accordance with the instructions in Part II, point 6 of Annex II. For the purposes of point (a)(12), the entry and exit criteria of Article 4 shall not apply. ▼B (b) Institutions shall submit the following information with a semi-annual frequency: ▼M2 (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; ▼M9 (2) the information on material losses stemming from operational risk events as follows: (a) institutions which calculate own funds requirements relating to operational risk in accordance with Chapter 4 of Title III of Part Three of Regulation (EU) No 575/2013 shall report this information as specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II; (b) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the following criteria shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II: (i) the ratio of the individual balance sheet total to the sum of individual balance sheet totals of all institutions within the same Member State is equal to or above 1 %, where balance sheet total figures are based on year-end figures for the year before the year preceding the reporting reference date; (ii) the total value of the institution's assets exceeds EUR 30 billion; (iii) the total value of the institution's assets exceeds both EUR 5 billion and 20 % of the GDP of the Member State where it is established; (iv) the institution is one of the three largest institutions established in a particular Member State measured by the total value of its assets; (v) the institution is the parent of subsidiaries, which are themselves credit institutions established in at least two Member States other than the Member State where the parent institution is authorised and where both of the following conditions are met: — the value of the institution's consolidated total assets exceeds EUR 5 billion, — more than 20 % of either the institution's consolidated total assets as defined in template 1.1 of Annex III or IV, as applicable, or the institution's consolidated total liabilities as defined in template 1.2 of Annex III or IV, as applicable, relates to activities with counterparties located in a Member State other than that where the parent institution is authorised; (c) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions in point (b) is met, shall report the information referred to in points (i) and (ii) below in accordance with the instructions in point 4.2 of Part II of Annex II: (i) the information as specified for column 080 of template 17.01 of Annex I for the following rows: — number of events (new events) (row 910), — gross loss amount (new events) (row 920), — number of events subject to loss adjustments (row 930), — loss adjustments relating to previous reporting periods (row 940), — maximum single loss (row 950), — sum of the five largest losses (row 960), — total direct loss recovery (except insurance and other risk transfer mechanisms) (row 970), — total recoveries from insurance and other risk transfer mechanisms (row 980); (ii) the information as specified in template 17.02 of Annex I; (d) the institutions referred to in point (c) may report the complete set of information specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II; (e) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the conditions (ii) to (v) of point (b) shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II; (f) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions set out in points (ii) to (v) of point (b) are met, may report the information referred to in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II; (g) the entry and exit criteria of Article 4 shall apply; ▼M9 (3) the information on sovereign exposures as follows: (a) institutions shall report the information specified in template 33 of Annex I in accordance with the instructions in ►M10 point 7 of Part II of Annex II ◄ where the aggregate carrying amount of financial assets from the counterparty sector ‘General governments’ is equal or higher than 1 % of the sum of total carrying amount for ‘Debt securities and Loans and advances’. For the purposes of determining those carrying amounts, institutions shall apply the definitions used in templates 4.1 to 4.4.1 of Annex III or templates 4.1 to 4.4.1 and 4.6 to 4.10 of Annex IV, as applicable; (b) institutions that meet the criterion referred to in point (a) and where the value reported for domestic exposures of non-derivative financial assets as defined in row 010, column 010 of template 33 of Annex I is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point, shall report the information specified in template 33 of Annex I in accordance with the instructions in ►M10 point 7 of Part II of Annex II ◄ of Annex II aggregated at a total level and for each individual country they are exposed to; (c) institutions that meet the criterion referred to in point (a) but do not meet the criterion referred in point (b) shall report the information specified in template 33 of Annex I in accordance with the instructions in ►M10 point 7 of Part II of Annex II ◄ with exposures aggregated at both a total level and at domestic level; (d) the entry and exit criteria of Article 4 shall apply. ▼B Article 6 Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013 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. Article 7 Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis 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. Article 8 Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis 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. SECTION 2 Format and frequency of reporting on financial information on a consolidated basis Article 9 Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 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; ▼M10 (d) the information specified in template 20 in Part 2 of Annex III with a quarterly frequency where the institution exceeds the threshold defined in the second sentence of point (4) of Article 5(a). The entry and exit criteria referred to in Article 4 shall apply; ▼B (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. Article 10 Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013 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. Article 11 Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis 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 Article 12 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 Article 13 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 Article 14 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. ▼M6 2. The reporting of the data shall be based on the methodology used for the calculation of the leverage ratio as end of quarter leverage ratio. 3. Institutions are required to report the information referred to in paragraph 14 of Part II of Annex XI in the next reporting period, where any of the following conditions is met: (a) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 1,5 %; (b) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 2,0 %. The entry criteria set out in Article 4 shall apply, except for point (b) of the first subparagraph of this paragraph where institutions start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date. 4. Institutions for which the total notional value of derivatives as defined in paragraph 9 of Part II of Annex XI exceeds EUR 10 billion shall report the information referred to in paragraph 14 of Part II of Annex XI, irrespective of whether their derivatives share fulfils the conditions referred to in paragraph 3. The entry criteria set out in Article 4 shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date. 5. Institutions are required to report the information referred to in paragraph 15 of Part II of Annex XI in the next reporting period where any of the following conditions is met: (a) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 300 million; (b) the credit derivatives volume referred to in paragraph 10 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 relevant applicable threshold on one reporting reference date. ▼M6 ————— ▼B CHAPTER 7 FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS ▼C2 Article 15 Format and frequency of reporting on liquidity coverage requirement 1. In order to report information on the liquidity coverage requirement in accordance with Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall apply the following: (a) credit institutions shall submit the information specified in Annex XXIV according to the instructions in Annex XXV with a monthly frequency; (b) all other institutions except those specified in point (a), 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 Annexes XII and XXIV 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. ▼B Article 16 Format and frequency of reporting on stable funding 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. ▼M1 CHAPTER 7a FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS Article 16a 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 ( 1 ). ▼M4 CHAPTER 7b FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS Article 16b 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; ▼M9 (c) the information specified in Annex XXII in accordance with the instructions in Annex XXIII. ▼M4 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: ▼M9 (a) the institution does not form part of a group comprising credit institutions, investment firms or financial institutions with subsidiaries or parent institutions located in jurisdictions other than the institution's jurisdiction of incorporation; ▼M4 (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 ( 2 ), 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. ▼B CHAPTER 8 IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES Article 17 ▼M1 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. ▼B 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 Article 18 Transitional period 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 ▼M1 In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014. ▼M2 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. ▼M4 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. ▼M5 For the period from 10 September 2016 to 10 March 2017, as a deviation from point (a) of Article 3(1), the reporting remittance date relating to the monthly reporting of the LCR for credit institutions shall be the 30th calendar day after the reporting reference date. ▼B Article 19 Entry into Force 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. ▼M1 Article 16a shall apply from 1 December 2014. ▼B This Regulation shall be binding in its entirety and directly applicable in all Member States. ▼M10 ANNEX I 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 9,4 C 09.04 Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate CCB 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 OPERATIONAL RISK: LOSSES AND RECOVERIES 17,1 C 17.01 OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR OPR DETAILS 1 17,2 C 17.02 OPERATIONAL RISK: LARGE LOSS EVENTS OPR DETAILS 2 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 PRUDENT VALUATION MKR 32,1 C 32.01 PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES PRUVAL 1 32,2 C 32.02 PRUDENT VALUATION: CORE APPROACH PRUVAL 2 32,3 C 32.03 PRUDENT VALUATION: MODEL RISK AVA PRUVAL 3 32,4 C 32.04 PRUDENT VALUATION: CONCENTRATED POSITIONS AVA PRUVAL 4 GENERAL GOVERNMENTS EXPOSURES MKR 33 C 33.00 GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY GOV 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 1 250 % risk weight 460 1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight 470 1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1 250 % 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 1 250 % risk weight 472 1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % 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 instrumentsand 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 immovableproperty 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 555 1.3.1.3 Particular approach for position risk in CIUs 556 1.3.1.3* Memo item: CIUs exclusively invested in traded debt instruments 557 1.3.1.3** Memo item: CIUs invested exclusively in equity instruments or in mixed instruments 560 1.3.1.4 Foreign Exchange 570 1.3.1.5 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 770 1.8.5 Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework) 780 1.8.5.1 Internal ratings-based approach (SEC-IRBA) 790 1.8.5.1.1 Securitisations not qualifying for differentiated capital treatment 800 1.8.5.1.2 STS securitisations qualifying for differentiated capital treatment 810 1.8.5.2 Standardised approach (SEC-SA) 820 1.8.5.2.1 Securitisations not qualifying for differentiated capital treatment 830 1.8.5.2.2 STS securitisations qualifying for differentiated capital treatment 840 1.8.5.3 External ratings-based approach (SEC-ERBA) 850 1.8.5.3.1 Securitisations not qualifying for differentiated capital treatment 860 1.8.5.3.2 STS securitisations qualifying for differentiated capital treatment 870 1.8.5.4 Internal assessment approach (IAA) 880 1.8.5.4.1 Securitisations not qualifying for differentiated capital treatment 890 1.8.5.4.2 STS securitisations qualifying for differentiated capital treatment 900 1.8.5.5 Other (RW = 1 250 %) 910 1.8.6 Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework) 920 1.8.6.1 Internal ratings-based approach (SEC-IRBA) 930 1.8.6.1.1 Securitisations not qualifying for differentiated capital treatment 940 1.8.6.1.2 STS securitisations qualifying for differentiated capital treatment 950 1.8.6.2 Standardised approach (SEC-SA) 960 1.8.6.2.1 Securitisations not qualifying for differentiated capital treatment 970 1.8.6.2.2 STS securitisations qualifying for differentiated capital treatment 980 1.8.6.3 External ratings-based approach (SEC-ERBA) 990 1.8.6.3.1 Securitisations not qualifying for differentiated capital treatment 1000 1.8.6.3.2 STS securitisations qualifying for differentiated capital treatment 1010 1.8.6.4 Internal assessment approach (IAA) 1020 1.8.6.4.1 Securitisations not qualifying for differentiated capital treatment 1030 1.8.6.4.2 STS securitisations qualifying for differentiated capital treatment 1040 1.8.6.5 Other (RW = 1 250 %) 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: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G) 130 13 Total SREP capital requirement (TSCR) ratio 140 13* TSCR: to be made up of CET1 capital 150 13** TSCR: to be made up of Tier 1 capital 160 14 Overall capital requirement (OCR) ratio 170 14* OCR: to be made up of CET1 capital 180 14** OCR: to be made up of Tier 1 capital 190 15 OCR and Pillar 2 Guidance (P2G) 200 15* OCR and P2G: to be made up of CET1 capital 210 15** OCR and P2G: to be made up of Tier 1 capital 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 093 2A Tax overpayments and tax loss carry backs 096 2B Deferred Tax Assets subject to a risk weight of 250 % 097 2C Deferred Tax Assets subject to a risk weight of 0 % Credit risk adjustments and expected losses 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 Thresholds for Common Equity Tier 1 deductions 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 Investments in the capital of financial sector entities where the institution does not have a significant investment 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 Investments in the capital of financial sector entities where the institution has a significant investment 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 Total risk exposure amounts of holdings not deducted from the corresponding capital category: 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 Temporary waiver from deduction from own funds 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 investmenttemporary 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 investmenttemporary waived 720 25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investmenttemporary waived 730 26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Capital buffers 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 800 Global Systemically Important Institution buffer 810 Other Systemically Important Institution buffer Pillar II requirements 820 28 Own funds requirements related to Pillar II adjustments Additional information for investment firms 830 29 Initial capital 840 30 Own funds based on Fixed Overheads Additional information for calculation of reporting thresholds 850 31 Non-domestic original exposures 860 32 Total original exposures Basel I floor 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 910 Deficit of total capital as regards the minimum own funds requirements of the Basel I floor 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 385 1.3.2.9a Deferred tax assets that are dependent on future profitability and arise from temporary differences 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 440 1.3.4 Adjustments due to IFRS 9 transitional arrangements 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 52 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 52 of CRR after the date of effective maturity 070 2.2.3 Instruments with a call exercisable prior toor on 20 July 2011, and which do not meet the conditions in Article 52 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 itemswithout an incentive to redeem 110 3.2 Grandfathered items with an incentive to redeem 120 3.2.1 Itemswith 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 toor 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 REQUIREMENTS 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 QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED 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 GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYINGTIER 1 INSTRUMENTSINCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 470 480 010 TOTAL C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) ENTITIES WITHIN SCOPE OF CONSOLIDATION INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP CAPITAL BUFFERS NAME CODE LEI code INSTITUTION OR EQUIVALENT(YES / NO) TYPE OF ENTITY SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) COUNTRY CODE SHARE OF HOLDING (%) TOTAL RISK EXPOSURE AMOUNT OWN FUNDS TOTAL RISK EXPOSURE AMOUNT QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS CONSOLIDATED OWN FUNDS COMBINED BUFFER REQUIREMENT CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS TOTAL TIER 1 CAPITAL TIER 2 CAPITAL 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 QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED 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 GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER COMMON EQUITY TIER 1 CAPITAL ADDITIONAL TIER 1 CAPITAL MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYINGTIER 1 INSTRUMENTSINCLUDED IN CONSOLIDATED 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 010 020 025 030 035 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 470 480 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 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS 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 EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM VOLATILITY ADJUSTMENT TO THE EXPOSURE (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 % 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 (-) GUARANTEES (-) CREDIT DERIVATIVES (-) FINANCIAL COLLATERAL: SIMPLE METHOD (-) OTHER FUNDED CREDIT PROTECTION (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS 010 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 215 220 230 240 010 TOTAL EXPOSURES Cell linked to CA 015 of which: Defaulted 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 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 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 BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: 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 MEMORANDUM ITEMS 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 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 LARGEFINANCIAL 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 (-) 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 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300 010 TOTAL EXPOSURES Cell linked to CA 015 of which: Exposures subject to SME-supporting factor BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 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 BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: 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 LARGEFINANCIAL 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 Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write offs 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 Defaulted exposures 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 170 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 Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write off Credit risk adjustments/write-offs for observed new defaults PD ASSIGNED TO THE OBLIGOR GRADE OR POOL(%) EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR EXPECTED LOSS AMOUNT Of which: defaulted Of which: defaulted Of which: defaulted 010 030 040 050 055 060 070 080 090 100 105 110 120 125 130 010 Central governments or central banks 020 Institutions 030 Corporates 042 Of Which: Specialised Lending(excl. SL subject to slotting criteria) 045 Of Which: Specialised Lendingsubject to slotting criteria 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 150 Total exposures C 09.04 -BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB) Country: Amount Percentage Qualitative information 010 020 030 Relevant credit exposures - Credit Risk 010 Exposure value under the Standardised Approach 020 Exposure value under the IRB Approach Relevant credit exposures – Market risk 030 Sum of long and short positions of trading book exposures for standardised approaches 040 Value of trading book exposures for internal models Relevant credit exposures – Securitisation 050 Exposure value of securitisation positions in the banking book under the Standardised Approach 060 Exposure value of securitisation positions in the banking book under the IRB Approach Own funds requirements and weights 070 Total own funds requirements for CCB 080 Own funds requirements for relevant credit exposures – Credit risk 090 Own funds requirements for relevant credit exposures – Market risk 100 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book 110 Own funds requirements weights Countercyclical capital buffer rates 120 Countercyclical capital buffer rate set by the Designated Authority 130 Countercyclical capital buffer rate applicable for the country of the institution 140 Institution-specific countercyclical capital buffer rate Use of 2 % threshold 150 Use of 2 % threshold for general credit exposure 160 Use of 2 % threshold for trading book exposure 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) 1 250 % 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-BALANCESHEET 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-BALANCESHEET ITEMS AND DERIVATIVES 160 SECURITISATIONS 170 RE-SECURITISATIONS 180 SPONSOR: TOTAL EXPOSURES 190 ON-BALANCE SHEET ITEMS 200 SECURITISATIONS 210 RE-SECURITISATIONS 220 OFF-BALANCESHEET 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) 1 250 % 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? STS 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 APPROACH STS SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT SECURITISATION POSITIONS - TRADING BOOK TYPE OF RETENTION APPLIED % OF RETENTION AT REPORTING DATE COMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE 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 005 010 020 030 040 050 060 070 075 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 445 446 450 460 470 480 C 16.00 - OPERATIONAL RISK (OPR) BANKING ACTIVITIES RELEVANT INDICATOR LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) OWN FUNDSREQUIREMENT 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) 010 020 030 040 050 060 070 071 080 090 100 110 120 010 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 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1) 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 0010 CORPORATE FINANCE[CF] Number of events (new events) 0020 Gross loss amount (new events) 0030 Number of events subject to loss adjustments 0040 Loss adjustments relating to previous reporting periods 0050 Maximum single loss 0060 Sum of the five largest losses 0070 Total direct loss recovery 0080 Total recovery from insurance and other risk transfer mechanisms 0110 TRADINGAND SALES[TS] Number of events (new events) 0120 Gross loss amount (new events) 0130 Number of events subject to loss adjustments 0140 Loss adjustments relating to previous reporting periods 0150 Maximum single loss 0160 Sum of the five largest losses 0170 Total direct loss recovery 0180 Total recovery from insurance and other risk transfer mechanisms 0210 RETAIL BROKERAGE [RBr] Number of events (new events) 0220 Gross loss amount (new events) 0230 Number of events subject to loss adjustments 0240 Loss adjustments relating to previous reporting periods 0250 Maximum single loss 0260 Sum of the five largest losses 0270 Total direct loss recovery 0280 Total recovery from insurance and other risk transfer mechanisms 0310 COMMERCIAL BANKING[CB] Number of events (new events) 0320 Gross loss amount (new events) 0330 Number of events subject to loss adjustments 0340 Loss adjustments relating to previous reporting periods 0350 Maximum single loss 0360 Sum of the five largest losses 0370 Total direct loss recovery 0380 Total recovery from insurance and other risk transfer mechanisms 0410 RETAILBANKING[RB] Number of events (new events) 0420 Gross loss amount (new events) 0430 Number of events subject to loss adjustments 0440 Loss adjustments relating to previous reporting periods 0450 Maximum single loss 0460 Sum of the five largest losses 0470 Total direct loss recovery 0480 Total recovery from insurance and other risk transfer mechanisms 0510 PAYMENT AND SETTLEMENT [PS] Number of events (new events) 0520 Gross loss amount (new events) 0530 Number of events subject to loss adjustments 0540 Loss adjustments relating to previous reporting periods 0550 Maximum single loss 0560 Sum of the five largest losses 0570 Total direct loss recovery 0580 Total recovery from insurance and other risk transfer mechanisms 0610 AGENCYSERVICES[AS] Number of events (new events) 0620 Gross loss amount (new events) 0630 Number of events subject to loss adjustments 0640 Loss adjustments relating to previous reporting periods 0650 Maximum single loss 0660 Sum of the five largest losses 0670 Total direct loss recovery 0680 Total recovery from insurance and other risk transfer mechanisms 0710 ASSET MANAGEMENT [AM] Number of events (new events) 0720 Gross loss amount (new events) 0730 Number of events subject to loss adjustments 0740 Loss adjustments relating to previous reporting periods 0750 Maximum single loss 0760 Sum of the five largest losses 0770 Total direct loss recovery 0780 Total recovery from insurance and other risk transfer mechanisms 0810 CORPORATE ITEMS[CI] Number of events (new events) 0820 Gross loss amount (new events) 0830 Number of events subject to loss adjustments 0840 Loss adjustments relating to previous reporting periods 0850 Maximum single loss 0860 Sum of the five largest losses 0870 Total direct loss recovery 0880 Total recovery from insurance and other risk transfer mechanisms 0910 TOTALBUSINESSLINES Number of events (new events). Of which: 0911 related to losses ≥ 10,000 and < 20.000 0912 related to losses ≥ 20,000 and < 100.000 0913 related to losses ≥ 100,000 and < 1 000 000 0914 related to losses ≥ 1 000 000 0920 Gross loss amount (new events). Of which: 0921 related to losses ≥ 10,000 and < 20.000 0922 related to losses ≥ 20,000 and < 100.000 0923 related to losses ≥ 100,000 and < 1 000 000 0924 related to losses ≥ 1 000 000 0930 Number of events subject to loss adjustments. Of which: 0935 of which: number of events with a positive loss adjustment 0936 of which: number of events with a negative loss adjustment 0940 Loss adjustments relating to previous reporting periods 0945 of which: positive loss adjustment amounts (+) 0946 of which: negative loss adjustment amounts (-) 0950 Maximum single loss 0960 Sum of the five largest losses 0970 Total direct loss recovery 0980 Total recovery from insurance and other risk transfer mechanisms C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2) Event ID Date of accounting Date of occurrence Date of discovery Event Type Gross loss Gross loss net of direct recoveries GROSS LOSS BY BUSINESS LINE Legal Entity name Legal Entity ID Business Unit Description Corporate Finance[CF] Trading and Sales[TS] Retail Brokerage [RBr] Commercial Banking[CB] Retail Banking[RB] Payment and Settlement [PS] Agency Services[AS] Asset Management [AM] Corporate Items[CI] Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 … 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 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 385 Delta plus approach - non-continuous options and warrants 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 < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1 250 % 1 250 % 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 < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1 250 % 1 250 % 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 DERIVATIVES: 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 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 125 Delta plus approach - non-continuous options and warrants 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 non-reporting 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 Cell linked to CA 020 Currencies closely correlated 025 of which: reporting currency 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 085 Delta plus approach - non-continuous options and warrants 090 Scenario matrix approach BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES 100 Other assets and liabilities other than off-balance sheet items and derivatives 110 Off-balance sheet items 120 Derivatives Memorandum items: CURRENCY POSITIONS 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 135 Delta plus approach - non-continuous options and warrants 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 overshootingsduring previous 250 working days VaR Multiplication Factor (mc) SVaR Multiplication Factor (ms) ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY (VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt-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 (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY(VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt-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} C 32.01 - PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) FAIR-VALUED ASSETS AND LIABILITIES FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 4(1) THRESHOLD OF WHICH: TRADING BOOK EXACTLY MATCHING HEDGE ACCOUNTING PRUDENTIAL FILTERS OTHER COMMENTS FOR OTHER OF WHICH:TRADING BOOK 0010 0020 0030 0040 0050 0060 0070 0080 0090 0010 1 TOTAL FAIR-VALUED ASSETS AND LIABILITIES 0020 1.1 TOTAL FAIR-VALUED ASSETS 0030 1.1.1 FINANCIAL ASSETS HELD FOR TRADING 0040 1.1.2 TRADING FINANCIAL ASSETS 0050 1.1.3 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS 0060 1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 0070 1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME 0080 1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS 0090 1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY 0100 1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS 0110 1.1.9 DERIVATIVES - HEDGE ACCOUNTING 0120 1.1.10 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK 0130 1.1.11 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES 0140 1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE 0150 1.2 TOTAL FAIR-VALUED LIABILITIES 0160 1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING 0170 1.2.2 TRADING FINANCIAL LIABILITIES 0180 1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 0190 1.2.4 DERIVATIVES - HEDGE ACCOUNTING 0200 1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK 0210 1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) CATEGORY LEVEL AVA TOTAL AVA UPSIDE UNCERTAINTY FAIR-VALUED ASSETS AND LIABILITIES QTD REVENUE IPV DIFFERENCE FAIR VALUE ADJUSTMENTS DAY 1 P&L EXPLANATION DESCRIPTION MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCENTRATED POSITIONS FUTURE ADMINISTRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK FAIR-VALUED ASSETS FAIR-VALUED LIABILITIES MARKETPRICEUNCER-TAINTY CLOSE-OUT COSTS MODELRISK CONCEN-TRATEDPOSITIONS UNEARNED CREDIT SPREADS INVESTING ANDFUNDING COSTS FUTURE ADMINIS-TRATIVE COSTS EARLY TERMI-NATION OPERA- TIONALRISK OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0010 1 TOTAL CORE APPROACH 0020 OF WHICH: TRADING BOOK 0030 1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVERSIFICATION 0040 1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION 0050 1.1.1 OF WHICH: UNEARNED CREDIT SPREADS AVA 0060 1.1.1** OF WHICH: INVESTMENT AND FUNDING COSTS AVA 0070 1.1.1*** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) 0080 1.1.1**** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3) 0090 1.1.1.1 INTEREST RATES 0100 1.1.1.2 FOREIGN EXCHANGE 0110 1.1.1.3 CREDIT 0120 1.1.1.4 EQUITIES 0130 1.1.1.5 COMMODITIES 0140 1.1.2 (-) DIVERSIFICATION BENEFITS 0150 1.1.2.1 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1 0160 1.1.2.2 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2 0170 1.1.2.2* MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2 0180 1.2 PORTFOLIOS UNDER THE FALL-BACK APPROACH 0190 1.2.1 100% OF NET UNREALISED PROFIT 0200 1.2.2 10% OF NOTIONAL VALUE 0210 1.2.3 25% OF INCEPTION VALUE C 32.03 - PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) RANK MODEL RISK CATEGORY PRODUCT OBSER-VABILITY MODEL RISK AVA AGGREGATED AVA CALCULATED UNDER METHOD 2 FAIR-VALUED ASSETS AND LIABILITIES IPV DIFFERENCE (OUTPUT TESTING) IPV COVERAGE (OUTPUT TESTING) FAIR VALUE ADJUSTMENTS DAY1 P&L OF WHICH: USING EXPERT APPROACH OF WHICH: AGGRE-GATED USING METHOD 2 FV ASSETS FV LIABILITIES MODEL RISK EARLY TERMINATION 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 C 32.04 - PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) RANK RISK CATEGORY PRODUCT UNDERLYING CONCEN-TRATED POSITIONSIZE SIZE MEASURE MARKET VALUE PRUDENT EXIT PERIOD CONCEN-TRATED POSITIONS AVA CONCEN-TRATED POSITIONFAIR VALUE ADJUSTMENT IPV DIFFERENCE 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV) Country: Direct exposures Memorandum item: credit derivatives sold on general government exposures Exposure value Risk weighted exposure amount On-balance sheet exposures Accumulated impairment Accumulated negative changes in fair value due to credit risk Derivatives Off-balance sheet exposures Total gross carrying amount of non-derivative financial assets Total carrying amount of non-derivative financial assets (net of short positions) Non-derivative financial assets by accounting portfolios Short positions Derivatives with positive fair value Derivatives with negative fair value Nominal amount Provisions Accumulated negative changes in fair value due to credit risk Derivatives with positive fair value - Carrying amount Derivatives with negative fair value - Carrying amount Financial assets held for trading Trading financial assets Non-trading financial assets mandatorily at fair value through profit or loss Financial assets designated at fair value through profit or loss Non-trading non-derivative financial assets measured at fair value through profit or loss Financial assets at fair value through other comprehensive income Non-trading non-derivative financial assets measured at fair value to equity Financial assets at amortised cost Non-trading non-derivative financial assets measured at a cost-based method Other non-trading non-derivative financial assets Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Carrying amount Notional amount Carrying amount Notional amount 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 010 Total exposures BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: 020 Exposures under the credit risk framework 030 Standardised Approach 040 Central governments 050 Regional governments or local authorities 060 Public sector entities 070 International Organisations 075 Other general government exposures subject to Standardised Approach 080 IRB Approach 090 Central governments 100 Regional governments or local authorities [Central governments] 110 Regional governments or local authorities [Institutions] 120 Public sector entities [Central governments] 130 Public sector entities [Institutions] 140 International Organisations [Central governments] 155 Other general government exposures subject to IRB approach 160 Exposures under the market risk framework BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: 170 [ 0 - 3M [ 180 [ 3M - 1Y [ 190 [ 1Y - 2Y [ 200 [ 2Y - 3Y [ 210 [3Y - 5Y [ 220 [5Y - 10Y [ 230 [10Y - more ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS Table of Contents PART I: GENERAL INSTRUCTIONS 1. STRUCTURE AND CONVENTIONS 1.1. STRUCTURE 1.2. NUMBERING CONVENTION 1.3. SIGN CONVENTION 1.4. ABBREVIATIONS PART II: TEMPLATE RELATED INSTRUCTIONS 1. CAPITAL ADEQUACY OVERVIEW (CA) 1.1. GENERAL REMARKS 1.2. C 01.00 — OWN FUNDS (CA1) 1.2.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 1.3. C 02.00 — OWN FUNDS REQUIREMENTS (CA2) 1.3.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 1.4. C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 1.4.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 1.5. C 04.00 — MEMORANDUM ITEMS (CA4) 1.5.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5) 1.6.1. GENERAL REMARKS 1.6.2. C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) 1.6.2.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 1.6.3. C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 1.6.3.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 2.1. GENERAL REMARKS 2.2. DETAILED GROUP SOLVENCY INFORMATION 2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY 2.4. 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 TEMPLATES 3.1. GENERAL REMARKS 3.1.1. REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT 3.1.2. REPORTING OF COUNTERPARTY CREDIT RISK 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 3.2.2. SCOPE OF THE CR SA TEMPLATE 3.2.3. ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH 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’ 3.2.4.2. EXPOSURE CLASS ‘COVERED BONDS’ 3.2.4.3. EXPOSURE CLASS ‘COLLECTIVE INVESTMENT UNDERTAKINGS’ 3.2.5. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 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 3.3.2. BREAKDOWN OF THE CR IRB TEMPLATE 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 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) 3.4. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN 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 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 3.4.3. C 09.04 – BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB) 3.4.3.1. GENERAL REMARKS 3.4.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 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 3.5.2. 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 REMARKS 3.6.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 3.7. C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) 3.7.1. GENERAL REMARKS 3.7.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 3.8. C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) 3.8.1. GENERAL REMARKS 3.8.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 3.9. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 3.9.1. GENERAL REMARKS 3.9.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 4. OPERATIONAL RISK TEMPLATES 4.1. C 16.00 – OPERATIONAL RISK (OPR) 4.1.1. GENERAL REMARKS 4.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 4.2. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS) 4.2.1. GENERAL REMARKS 4.2.2. C 17.01: OPERATIONAL RISK LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1) 4.2.2.1. GENERAL REMARKS 4.2.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 4.2.3. C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2) 4.2.3.1. GENERAL REMARKS 4.2.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 5. MARKET RISK TEMPLATES 5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) 5.1.1. GENERAL REMARKS 5.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 5.2. C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 5.2.1. GENERAL REMARKS 5.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 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 5.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 5.4. C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) 5.4.1. GENERAL REMARKS 5.4.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 5.5. C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 5.5.1. GENERAL REMARKS 5.5.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 5.6. C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 5.6.1. GENERAL REMARKS 5.6.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 5.7. C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM) 5.7.1. GENERAL REMARKS 5.7.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 5.8. C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA) 5.8.1. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 6. PRUDENT VALUATION (PRUVAL) 6.1. C 32.01 — PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) 6.1.1. GENERAL REMARKS 6.1.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 6.2. C 32.02 — PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) 6.2.1. GENERAL REMARKS 6.2.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 6.3. C 32.03 — PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) 6.3.1. GENERAL REMARKS 6.3.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 6.4 C 32.04 — PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) 6.4.1. GENERAL REMARKS 6.4.2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS 7. C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV) 7.1. GENERAL REMARKS 7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’ 7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS PART I: GENERAL INSTRUCTIONS 1. STRUCTURE AND CONVENTIONS 1.1. STRUCTURE 1. 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. 2. For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of the Implementing Technical Standard.. 3. Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements. 1.2. NUMBERING CONVENTION 4. The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules. 5. The following general notation is followed in the instructions: {Template;Row;Column}. 6. In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}. 7. In the case of templates with only one column, only rows are referred to. {Template;Row} 8. An asterisk sign is used to express that the validation is done for the rows or columns specified before. 1.3. SIGN CONVENTION 9. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item. 1.4. ABBREVIATIONS 9a. For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as ‘CRR’, and Directive 2013/36/EU of the European Parliament and of the Council is referred to as ‘CRD’. PART II: TEMPLATE RELATED INSTRUCTIONS 1. CAPITAL ADEQUACY OVERVIEW (CA) 1.1. GENERAL REMARKS 10. CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates: (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 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. 11. The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount. 12. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2). 13. 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. 14. The treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD 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 funds Articles 4(1)(118) and 72 of CRR The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital. 015 1.1. Tier 1 capital Article 25 of CRR The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital 020 1.1.1. Common Equity Tier 1 capital Article 50 of CRR 030 1.1.1.1. Capital instruments eligible as CET1 capital Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR 040 1.1.1.1.1. Paid up capital instruments Articles 26(1) point (a) and 27 to 31 of CRR Capital 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 situations Article 31 of CRR Capital 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 eligible Article 28(1) points (b), (l) and (m) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments 060 1.1.1.1.3. Share premium Articles 4(1)(124), 26(1) point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. 070 1.1.1.1.4. (-) Own CET1 instruments Articles 36(1) point (f) and 42 of CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5. 080 1.1.1.1.4.1. (-) Direct holdings of CET1 instruments Articles 36(1) point (f) and 42 of CRR Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR. 090 1.1.1.1.4.2. (-) Indirect holdings of CET1 instruments Articles 4(1)(114), 36(1) point (f) and 42 of CRR 091 1.1.1.1.4.3. (-) Synthetic holdings of CET1 instruments Articles 4(1)(126), 36(1) point (f) and 42 of CRR 092 1.1.1.1.5. (-) Actual or contingent obligations to purchase own CET1 instruments Articles 36(1) point (f) and 42 of CRR According to Article 36(1) point (f) of CRR, ‘own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation’ shall be deducted. 130 1.1.1.2. Retained earnings Articles 26(1) point (c) and 26(2) of CRR Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits 140 1.1.1.2.1. Previous years retained earnings Articles 4(1)(123) and 26(1) c) of CRR Article 4(1)(123) of CRR defines retained earnings as ‘Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework’. 150 1.1.1.2.2. Profit or loss eligible Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR. 160 1.1.1.2.2.1. Profit or loss attributable to owners of the parent Articles 26(2) and 36(1) point (a) of CRR The amount to be reported shall be the profit or loss reported in the accounting income statement. 170 1.1.1.2.2.2. (-) Part of interim or year-end profit not eligible Article 26(2) of CRR This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1. If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends) Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends. 180 1.1.1.3. Accumulated other comprehensive income Articles 4(1)(100) and 26(1) point (d) of CRR The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014. 200 1.1.1.4. Other reserves Articles 4(1)(117) and 26(1) point (e) of CRR Other reserves are defined in CRR as ‘Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings’. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. 210 1.1.1.5. Funds for general banking risk Articles 4(1)(112) and 26(1) point (f) of CRR Funds for general banking risk are defined in article 38 of Directive 86/635/EEC as ‘Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking’ The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. 220 1.1.1.6. Transitional adjustments due to grandfathered CET1 Capital instruments Articles 483(1) to (3), and 484 to 487 of CRR Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5. 230 1.1.1.7. Minority interest given recognition in CET1 capital Article 4(120) and 84 of CRR Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1. 240 1.1.1.8. Transitional adjustments due to additional minority interests Articles 479 and 480 of CRR Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5. 250 1.1.1.9. Adjustments to CET1 due to prudential filters Articles 32 to 35 of CRR 260 1.1.1.9.1. (-) Increases in equity resulting from securitised assets Article 32(1) of CRR The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard. For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation. 270 1.1.1.9.2. Cash flow hedge reserve Article 33(1) point (a) of CRR The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. The amount shall be net of any tax charge foreseeable at the moment of the calculation. 280 1.1.1.9.3. Cumulative gains and losses due to changes in own credit risk on fair valued liabilities Article 33(1) point (b) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. 285 1.1.1.9.4. Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities Article 33(1) point (c) and 33(2) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. 290 1.1.1.9.5. (-) Value adjustments due to the requirements for prudent valuation Articles 34 and 105 of CRR Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR 300 1.1.1.10. (-) Goodwill Articles 4(1)(113), 36(1) point (b) and 37 of CRR 310 1.1.1.10.1. (-) Goodwill accounted for as intangible asset Articles 4(1)(113) and 36(1) point (b) of CRR Goodwill has the same meaning as under the applicable accounting standard. The amount to be reported here shall be the same that is reported in the balance sheet. 320 1.1.1.10.2. (-) Goodwill included in the valuation of significant investments Article 37 point (b) and 43 of CRR 330 1.1.1.10.3. Deferred tax liabilities associated to goodwill Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard 340 1.1.1.11. (-) Other intangible assets Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. 350 1.1.1.11.1. (-) Other intangible assets before deduction of deferred tax liabilities Articles 4(1)(115) and 36(1) point (b) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill. 360 1.1.1.11.2. Deferred tax liabilities associated to other intangible assets Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard 370 1.1.1.12. (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Articles 36(1) point (c) and 38 of CRR 380 1.1.1.13. (-) IRB shortfall of credit risk adjustments to expected losses Articles 36(1) point (d), 40, 158 and 159 of CRR The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses’ (Article 40 of CRR) 390 1.1.1.14. (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) and 41 of CRR 400 1.1.1.14.1. (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) of CRR Defined benefit pension fund assets are defined as ‘the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan’ The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately). 410 1.1.1.14.2. Deferred tax liabilities associated to defined benefit pension fund assets Articles 4(1)(108) and (109), and 41(1) point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard. 420 1.1.1.14.3. Defined benefit pension fund assets which the institution has an unrestricted ability to use Articles 4(1)(109) and 41(1) point (b) of CRR This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted. The assets included in this row shall receive a risk weight for credit risk requirements. 430 1.1.1.15. (-) Reciprocal cross holdings in CET1 Capital Articles 4(1)(122), 36(1) point (g) and 44 of CRR Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items. 440 1.1.1.16. (-) Excess of deduction from AT1 items over AT1 Capital Article 36(1) point (j) of CRR The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1. 450 1.1.1.17. (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1,250 % risk weight Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR Qualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking’. According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %. 460 1.1.1.18. (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR in the version applicable on 31 December 2018 or Articles 244(1) point (b), 245(1) point (b), 253 (1) and 268(4) of CRR, as applicable. Securitisation positions, which are subject to a 1 250 % risk weight, but alternatively are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR, shall be reported in this item. 470 1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (iii) and 379(3) of CRR Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item. 471 1.1.1.20. (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (iv) and 153(8) of CRR According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %. 472 1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1,250 % risk weight Articles 36(1) point (k) (v) and 155(4) of CRR According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %. 480 1.1.1.22. (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1 See alternatives to deduction when consolidation is applied (Article 49(2) and (3)) 490 1.1.1.23. (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR. 500 1.1.1.24. (-) CET1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR. See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)). 510 1.1.1.25. (-) Amount exceeding the 17,65 % threshold Article 48(1) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(1) of CRR. 520 1.1.1.26. Other transitional adjustments to CET1 Capital Articles 469 to 472, 478 and 481 of CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5. 524 1.1.1.27. (-) Additional deductions of CET1 Capital due to Article 3 CRR Article 3 CRR 529 1.1.1.28. CET1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524. This cell shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of CRR). 530 1.1.2. ADDITIONAL TIER 1 CAPITAL Article 61 of CRR 540 1.1.2.1. Capital instruments eligible as AT1 Capital Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR 550 1.1.2.1.1. Paid up capital instruments Articles 51 point (a) and 52 to 54 of CRR The amount to be reported shall not include the share premium related to the instruments 560 1.1.2.1.2 () Memorandum item: Capital instruments not eligible Article 52(1) points (c), (e) and (f) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments 570 1.1.2.1.3. Share premium Article 51 point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. 580 1.1.2.1.4. (-) Own AT1 instruments Articles 52(1) point (b), 56 point (a) and 57 of CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5. 590 1.1.2.1.4.1. (-) Direct holdings of AT1 instruments Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group. 620 1.1.2.1.4.2. (-) Indirect holdings of AT1 instruments Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR 621 1.1.2.1.4.3. (-) Synthetic holdings of AT1 instruments Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR 622 1.1.2.1.5. (-) Actual or contingent obligations to purchase own AT1 instruments Articles 56 point (a) and 57 of CRR According to Article 56 point (a) of CRR, ‘own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted. 660 1.1.2.2. Transitional adjustments due to grandfathered AT1 Capital instruments Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5. 670 1.1.2.3. Instruments issued by subsidiaries that are given recognition in AT1 Capital Articles 83, 85 and 86 of CRR Sum 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 1.1.2.4. Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5. 690 1.1.2.5. (-) Reciprocal cross holdings in AT1 Capital Articles 4(1)(122), 56 point (b) and 58 of CRR Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items. 700 1.1.2.6. (-) AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1 710 1.1.2.7. (-) AT1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 56 point (d), 59 and 79 of CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted 720 1.1.2.8. (-) Excess of deduction from T2 items over T2 Capital Article 56 point (e) of CRR The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1). 730 1.1.2.9. Other transitional adjustments to AT1 Capital Articles 474, 475, 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5. 740 1.1.2.10. Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Article 36(1) point (j) of CRR Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1. With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure. 744 1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR Article 3 CRR 748 1.1.2.12. AT1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744. This cell shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of CRR). 750 1.2. TIER 2 CAPITAL Article 71 of CRR 760 1.2.1. Capital instruments and subordinated loans eligible as T2 Capital Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR 770 1.2.1.1. Paid up capital instruments and subordinated loans Articles 62 point (a), 63 and 65 of CRR The amount to be reported shall not include the share premium related to the instruments 780 1.2.1.2 () Memorandum item: Capital instruments and subordinated loans not eligible Article 63 points (c), (e) and (f); and article 64 of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments 790 1.2.1.3. Share premium Articles 62 point (b) and 65 of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the ‘Paid up capital instruments’. 800 1.2.1.4. (-) Own T2 instruments Article 63 point (b) (i), 66 point (a), and 67 of CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR. Holdings on shares included as ‘Capital instruments not eligible’ shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5. 810 1.2.1.4.1. (-) Direct holdings of T2 instruments Articles 63 point (b), 66 point (a) and 67 of CRR Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group. 840 1.2.1.4.2. (-) Indirect holdings of T2 instruments Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR 841 1.2.1.4.3. (-) Synthetic holdings of T2 instruments Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR 842 1.2.1.5. (-) Actual or contingent obligations to purchase own T2 instruments Articles 66 point (a) and 67 of CRR According to Article 66 point (a) of CRR, ‘own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted. 880 1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5. 890 1.2.3. Instruments issued by subsidiaries that are given recognition in T2 Capital Articles 83, 87 and 88 of CRR Sum 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 1.2.4. Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5. 910 1.2.5. IRB Excess of provisions over expected losses eligible Article 62 point (d) of CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital. 920 1.2.6. SA General credit risk adjustments Article 62 point (c) of CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital. 930 1.2.7. (-) Reciprocal cross holdings in T2 Capital Articles 4(1)(122), 66 point (b) and 68 of CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items. 940 1.2.8. (-) T2 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2. 950 1.2.9. (-) T2 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted. 960 1.2.10. Other transitional adjustments to T2 Capital Articles 476 to 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5. 970 1.2.11. Excess of deduction from T2 items over T2 Capital (deducted in AT1) Article 56 point (e) of CRR Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1. With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure. 974 1.2.12. (-) Additional deductions of T2 Capital due to Article 3 CRR Article 3 CRR 978 1.2.13. T2 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974. This cell shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of CRR). 1.3. C 02.00 — OWN FUNDS REQUIREMENTS (CA2) 1.3.1. Instructions concerning specific positions Row Legal references and instructions 010 1. TOTAL RISK EXPOSURE AMOUNT Articles 92(3), 95, 96 and 98 of CRR 020 1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR For investment firms under Article 95(2) and Article 98 of CRR 030 1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR For investment firms under Article 96(2) and Article 97 of CRR 040 1.1. RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Article 92(3) points (a) and (f) of CRR 050 1.1.1. Standardised approach (SA) CR SA and SEC SA templates at the level of total exposures 060 1.1.1.1. SA exposure classes excluding securitisations positions CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions. 070 1.1.1.1.01. Central governments or central banks See CR SA template 080 1.1.1.1.02. Regional governments or local authorities See CR SA template 090 1.1.1.1.03. Public sector entities See CR SA template 100 1.1.1.1.04. Multilateral Development Banks See CR SA template 110 1.1.1.1.05. International Organisations See CR SA template 120 1.1.1.1.06. Institutions See CR SA template 130 1.1.1.1.07. Corporates See CR SA template 140 1.1.1.1.08. Retail See CR SA template 150 1.1.1.1.09. Secured by mortgages on immovable property See CR SA template 160 1.1.1.1.10. Exposures in default See CR SA template 170 1.1.1.1.11. Items associated with particular high risk See CR SA template 180 1.1.1.1.12. Covered bonds See CR SA template 190 1.1.1.1.13. Claims on institutions and corporate with a short-term credit assessment See CR SA template 200 1.1.1.1.14. Collective investments undertakings (CIU) See CR SA template 210 1.1.1.1.15. Equity See CR SA template 211 1.1.1.1.16. Other items See CR SA template 220 1.1.1.2. Securitisations positions SA CR SEC SA template at the level of total securitisation types 230 1.1.1.2.* Of which: resecuritisation CR SEC SA template at the level of total securitisation types 240 1.1.2. Internal ratings based Approach (IRB) 250 1.1.2.1. IRB approaches when neither own estimates of LGD nor Conversion Factors are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used) 260 1.1.2.1.01. Central governments and central banks See CR IRB template 270 1.1.2.1.02. Institutions See CR IRB template 280 1.1.2.1.03. Corporates — SME See CR IRB template 290 1.1.2.1.04. Corporates – Specialised Lending See CR IRB template 300 1.1.2.1.05. Corporates – Other See CR IRB template 310 1.1.2.2. IRB approaches when own estimates of LGD and/or Conversion Factor are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used) 320 1.1.2.2.01. Central governments and central banks See CR IRB template 330 1.1.2.2.02. Institutions See CR IRB template 340 1.1.2.2.03. Corporates — SME See CR IRB template 350 1.1.2.2.04. Corporates – Specialised Lending See CR IRB template 360 1.1.2.2.05. Corporates – Other See CR IRB template 370 1.1.2.2.06. Retail – secure by real estate SME See CR IRB template 380 1.1.2.2.07. Retail – secure by real estate non-SME See CR IRB template 390 1.1.2.2.08. Retail – Qualifying revolving See CR IRB template 400 1.1.2.2.09. Retail – Other SME See CR IRB template 410 1.1.2.2.10. Retail – Other non-SME See CR IRB template 420 1.1.2.3. Equity IRB See CR EQU IRB template 430 1.1.2.4. Securitisations positions IRB CR SEC IRB template at the level of total securitisation types 440 1.1.2.4* Of which: resecuritisation CR SEC IRB template at the level of total securitisation types 450 1.1.2.5. Other non credit-obligation assets The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR. 460 1.1.3. Risk exposure amount for contributions to the default fund of a CCP Articles 307 to 309 of CRR 490 1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR 500 1.2.1. Settlement/delivery risk in the non-Trading book See CR SETT template 510 1.2.2. Settlement/delivery risk in the Trading book See CR SETT template 520 1.3. TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR 530 1.3.1. Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) 540 1.3.1.1. Traded debt instruments MKR SA TDI template at the level of total currencies. 550 1.3.1.2. Equity MKR SA EQU template at the level of total national markets. 555 1.3.1.3. Particular approach for position risk in CIUs Articles 348(1), 350 (3) c) and 364 (2) a) CRR Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3)(c) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. If the particular approach according to the first sentence of Article 348(1) of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5. 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, multiplied by 12,5 respectively. 556 1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk. 557 1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown. 560 1.3.1.4. Foreign Exchange See MKR SA FX template 570 1.3.1.5. Commodities See MKR SA COM template 580 1.3.2. Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template 590 1.4. TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) Article 92(3) point (e) and 92(4) point (b) of CRR For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero. 600 1.4.1. OpR Basic Indicator approach (BIA) See OPR template 610 1.4.2. OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template 620 1.4.3. OpR Advanced measurement approaches (AMA) See OPR template 630 1.5. ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5. Investment firms under Article 95 of CRR shall report: — If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero. — If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former. 640 1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Article 92(3) point (d) of CRR See CVA template. 650 1.6.1. Advanced method Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template. 660 1.6.2. Standardised method Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template. 670 1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template. 680 1.7. TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Articles 92(3) point (b) (ii) and 395 to 401 of CRR 690 1.8. OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7. Institutions shall report the amounts needed to comply with the following: Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR Additional risk exposure amounts due to Article 3 CRR This item does not have a link to a details template. 710 1.8.2. Of which: Additional stricter prudential requirements based on Art 458 Article 458 of CRR 720 1.8.2* Of which: requirements for large exposures Article 458 of CRR 730 1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 of CRR 740 1.8.2*** Of which: due to intra financial sector exposures Article 458 of CRR 750 1.8.3. Of which: Additional stricter prudential requirements based on Art 459 Article 459 of CRR 760 1.8.4. Of which: Additional risk exposure amount due to Article 3 CRR Article 3 CRR The additional risk exposure amount has to be reported. It 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). 770 – 900 1.8.5 Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework Institutions shall fill in information in rows 770 – 900 on reporting reference dates that are after 1 January 2019. Rows 770 – 900 present the risk weighted exposure amounts for credit risk for those securitisation positions, the risk weighted exposure amount of which shall be calculated according to the provisions of CRR. The amounts reported shall correspond to the total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5 of CRR, taking into account the total risk weight imposed in accordance with Article 247(6) CRR and the caps referred to in Part Three, Title II, Chapter 5, section 3, subsection 4 of CRR. 770 1.8.5. Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework) Articles 92(3)(a) and Part Three, Title II, Chapter 5 of CRR. 780 1.8.5.1. Internal ratings-based approach (SEC-IRBA) Articles 254(1)(a), 259, 260 of CRR. 790 1.8.5.1.1. Securitisations not qualifying for differentiated capital treatment Articles 254(1)(a), 259 of CRR. 800 1.8.5.1.2. STS securitisations qualifying for differentiated capital treatment Articles 254(1)(a), 259, 260 of CRR. Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row. 810 1.8.5.2 Standardised approach (SEC-SA) Articles 254(1)(b), (6), 261, 262, 269 of CRR. 820 1.8.5.2.1. Securitisations not qualifying for differentiated capital treatment Articles 254(1)(b), (6), 261, 269 of CRR. 830 1.8.5.2.2. STS securitisations qualifying for differentiated capital treatment Articles 254(1)(b), 261, 262 of CRR. Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row. 840 1.8.5.3. External ratings-based approach (SEC-ERBA) Articles 254(1)(c), (2), (3), (4), 263, 264 of CRR 850 1.8.5.3.1. Securitisations not qualifying for differentiated capital treatment Articles 254(1)(c), (2), (3), (4), 263 of CRR 860 1.8.5.3.2. STS securitisations qualifying for differentiated capital treatment Articles 254(1)(c), (2), (3), (4), 263, 264 of CRR Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row. 870 1.8.5.4. Internal assessment approach (IAA) Articles 254(5), 265, 266 of CRR 880 1.8.5.4.1. Securitisations not qualifying for differentiated capital treatment Articles 254(5), 265, 266 of CRR 890 1.8.5.4.2. STS securitisations qualifying for differentiated capital treatment Articles 254(5), 265, 266 of CRR Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row. 900 1.8.5.5. Other (RW = 1 250 %) Article 254(7) of CRR 910 – 1040 1.8.6 Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework) Institutions shall fill in information in rows 910 – 1040 on reporting reference dates that are after 1 January 2019. Rows 910 – 1040 shall include the risk weighted exposure amounts for those securitisation positions in the trading book, the total risk exposure amounts of which shall be calculated in accordance with the provisions of CRR. However, securitisation positions subject to own funds requirements for the correlation trading portfolio in accordance with Article 338 of the amended CRR shall not be reported in these rows, but in template MKR SA CTP. The amounts reported shall correspond to the total risk exposure amount, being the result of the multiplication of the own funds requirements calculated in accordance with Article 337 of CRR by 12.5. The amount reported shall take into account the applicable total risk weight according to Article 337(3) of CRR as well as the cap of the own funds requirement for a net position in accordance with Article 335 of CRR. In line with the determination of risk weights according to Article 337 of CRR, the approach applied for the calculation of the own funds requirements for instruments in the trading book that are securitisation positions shall be determined as the approach the institution would apply to the position in its non-trading book. 910 1.8.6. Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework) Articles 92(3)(b)(i), (4), 335, 337 of CRR 920 1.8.6.1. Internal ratings-based approach (SEC-IRBA) Articles 254(1)(a), 259, 260, 337 of CRR 930 1.8.6.1.1. Securitisations not qualifying for differentiated capital treatment Articles 254(1)(a), 259, 337 of CRR 940 1.8.6.1.2. STS securitisations qualifying for differentiated capital treatment Articles 254(1)(a), 259, 260, 337 of CRR Both STS securitisations qualifying for differentiated capital treatment according to Article 243 CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 CRR shall be reported in this row. 950 1.8.6.2. Standardised approach (SEC-SA) Articles 254(1)(b), (6), 261, 262, 269, 337 of CRR 960 1.8.6.2.1. Securitisations not qualifying for differentiated capital treatment Articles 254(1)(b), (6), 261, 269, 337 of CRR 970 1.8.6.2.2. STS securitisations qualifying for differentiated capital treatment Articles 254(1)(b), 261, 262, 337 of CRR Both STS securitisations qualifying for differentiated capital treatment according to Article 243 CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 CRR shall be reported in this row. 980 1.8.6.3. External ratings-based approach (SEC-ERBA) Articles 254(1)(c), (2), (3), (4), 263, 264, 337 of CRR 990 1.8.6.3.1. Securitisations not qualifying for differentiated capital treatment Articles 254(1)(c), (2), (3), (4), 263, 337 of CRR 1000 1.8.6.3.2. STS securitisations qualifying for differentiated capital treatment Articles 254(1)(c), (2), (3), (4), 263, 264, 337 of CRR Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row. 1010 1.8.6.4. Internal assessment approach (IAA) Articles 254(5), 265, 266, 337 of CRR 1020 1.8.6.4.1. Securitisations not qualifying for differentiated capital treatment Articles 254(5), 265, 266, 337 of CRR 1030 1.8.6.4.2. STS securitisations qualifying for differentiated capital treatment Articles 254(5), 265, 266, 337 of CRR Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row. 1040 1.8.6.5. Other (RW = 1 250 %) Articles 254(7), 337 of CRR 1.4. C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) 1.4.1. Instructions concerning specific positions Rows 010 1 CET1 Capital ratio Article 92(2) point (a) of CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount. 020 2 Surplus(+)/Deficit(-) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 030 3 T1 Capital ratio Article 92(2) point (b) of CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount. 040 4 Surplus(+)/Deficit(-) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 050 5 Total capital ratio Article 92(2) point (c) of CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount. 060 6 Surplus(+)/Deficit(-) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 130 13 Total SREP capital requirement (TSCR) ratio The sum of (i) and (ii) as follows: (i) the total capital ratio (8 %) as specified in Article 92(1)(c) of CRR; (ii) the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL). This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 of the EBA SREP GL. If no additional own funds requirements were communicated by the competent authority, then only point (i) should be reported. 140 13* TSCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the CET1 capital ratio (4,5 %) as per Article 92(1)(a) of CRR; (ii) the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital. If no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, then only point (i) should be reported. 150 13** TSCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the Tier 1 capital ratio (6 %) as per Article 92(1)(b) of CRR; (ii) the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital. If no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) should be reported. 160 14 Overall capital requirement (OCR) ratio The sum of (i) and (ii) as follows: (i) the TSCR ratio referred to in row 130; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD. This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP GL. If no buffer requirement is applicable, only point (i) shall be reported. 170 14* OCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the TSCR ratio to be made up of CET1 capital referred to in row 140; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD. If no buffer requirement is applicable, only point (i) shall be reported. 180 14** OCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the TSCR ratio to be made up of Tier 1 capital referred to in row 150; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD. If no buffer requirement is applicable, only point (i) shall be reported. 190 15 Overall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio The sum of (i) and (ii) as follows: (i) the OCR ratio referred to in row 160; (ii) where applicable, the Pillar 2 Guidance (P2G) as defined in the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority. If no P2G is communicated by the competent authority, then only point (i) should be reported. 200 15* OCR and P2G: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the OCR ratio to be made up of CET1 capital referred to in row 170; (ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority. If no P2G is communicated by the competent authority, then only point (i) should be reported. 210 15** OCR and P2G: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: (i) the OCR ratio to be made up of Tier 1 capital referred to in row 180; (ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority. If no P2G is communicated by the competent authority, then only point (i) should be reported. 1.5. C 04.00 — MEMORANDUM ITEMS (CA4) 1.5.1. Instructions concerning specific positions Rows 010 1. Total deferred tax assets The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet. 020 1.1. Deferred tax assets that do not rely on future profitability Article 39(2) of CRR Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight. 030 1.2. Deferred tax assets that rely on future profitability and do not arise from temporary differences Articles 36(1) point (c) and 38 of CRR Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1). 040 1.3. Deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 of CRR. 050 2 Total deferred tax liabilities The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet. 060 2.1. Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability Article 38(3) and (4) of CRR Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2. 070 2.2. Deferred tax liabilities deductible from deferred tax assets that rely on future profitability Article 38 of CRR 080 2.2.1. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences Article 38(3), (4) and (5) of CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR 090 2.2.2. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Article 38(3), (4) and (5) of CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR 093 2A Tax overpayments and tax loss carry backs Article 39(1) CRR The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights. 096 2B Deferred Tax Assets subject to a risk weight of 250 % Article 48(4) CRR The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight. 097 2C Deferred Tax Assets subject to a risk weight of 0 % Article 469(1) lit. d, 470, 472 (5) and 478 CRR The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Articles 469(1) lit. d and 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight. 100 3. IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR This item shall only be reported by IRB institutions. 110 3.1. Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount Article 159 of CRR This item shall only be reported by IRB institutions. 120 3.1.1. General credit risk adjustments Article 159 of CRR This item shall only be reported by IRB institutions. 130 3.1.2. Specific credit risk adjustments Article 159 of CRR This item shall only be reported by IRB institutions. 131 3.1.3. Additional value adjustments and other own funds reductions Articles 34, 110 and 159 of CRR This item shall only be reported by IRB institutions. 140 3.2. Total expected losses eligible Articles 158(5), (6) and (10), and 159 of CRR This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported. 145 4 IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR This item shall only be reported by IRB institutions. 150 4.1. Specific credit risk adjustments and positions treated similarily Article 159 of CRR This item shall only be reported by IRB institutions. 155 4.2. Total expected losses eligible Articles 158(5), (6) and (10), and 159 of CRR This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported. 160 5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 Article 62 point (d) of CRR For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB approach. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap. 170 6 Total gross provisions eligible for inclusion in T2 capital Article 62 point (c) of CRR This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap. The amount to be reported shall be gross of tax effects. 180 7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Article 62 point (c) of CRR According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap. 190 8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment Article 46(1) point (a) of CRR This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.. 200 9 10 % CET1 threshold Article 48(1) points (a) and (b) of CRR This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %. 210 10 17,65 % CET1 threshold Article 48(1) of CRR This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold. The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions. 225 11.1. Eligible capital for the purposes of qualifying holdings outside the financial sector Article 4(1)(71)(a) 226 11.2. Eligible capital for the purposes of large exposures Article 4(1)(71)(b) 230 12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 44 to 46 and 49 of CRR 240 12.1. Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 45, 46 and 49 of CRR 250 12.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 46 and 49 of CRR Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding: 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; and c) 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 CRR Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 270 12.2. Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 44 and 45 of CRR 280 12.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 44 and 45 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included 290 12.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 291 12.3.1. Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 44 and 45 of CRR 292 12.3.2. Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 44 and 45 of CRR 293 12.3.3. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 45 of CRR 300 13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 58 to 60 of CRR 310 13.1. Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58, 59 and 60(2) of CRR 320 13.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58 and 60(2) of CRR Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) 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 CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 340 13.2. Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 58 and 59 of CRR 350 13.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 58 and 59 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included 360 13.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 59 of CRR Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 361 13.3. Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 58 and 59 of CRR 362 13.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 58 and 59 of CRR 363 13.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 59 of CRR 370 14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 68 to 70 of CRR 380 14.1. Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68, 69 and 70(2) of CRR 390 14.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68 and 70(2) of CRR Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer; and b) 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 CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 410 14.2. Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Article 4(1)(114), 68 and 69 of CRR 420 14.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 68 and 69 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included 430 14.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 431 14.3. Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 68 and 69 of CRR 432 14.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 68 and 69 of CRR 433 14.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 69 of CRR 440 15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 44, 45, 47 and 49 of CRR 450 15.1. Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 of CRR 460 15.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 of CRR Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding: 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; and c) 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 CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 480 15.2. Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 44 and 45 of CRR 490 15.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 44 and 45 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included. 500 15.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 501 15.3. Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 44 and 45 of CRR 502 15.3.1. Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 44 and 45 of CRR 503 15.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 45 of CRR 510 16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 58 and 59 of CRR 520 16.1. Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 58 and 59 of CRR 530 16.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Article 58 of CRR Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (Article 56 point (d); and b) 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 CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 550 16.2. Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 58 and 59 of CRR 560 16.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 58 and 59 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included. 570 16.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1)(114) and 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 571 16.3. Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 58 and 59 of CRR 572 16.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 58 and 59 of CRR 573 16.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 59 of CRR 580 17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 68 and 69 of CRR 590 17.1. Direct holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 68 and 69 of CRR 600 17.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment Article 68 of CRR Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding: a) Underwriting positions held for 5 working days or fewer (Article 66 point (d); and b) 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 CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 620 17.2. Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 68 and 69 of CRR 630 17.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 68 and 69 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included 640 17.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114), 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year. 641 17.3. Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 68 and 69 of CRR 642 17.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 68 and 69 of CRR 643 17.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 69 of CRR 650 18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital Article 46(4), 48(4) and 49(4) of CRR 660 19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital Article 60(4) of CRR 670 20 Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital Article 70(4) of CRR 680 21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 12.1. 690 22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 15.1. 700 23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 13.1. 710 24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 16.1. 720 25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 14.1. 730 26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 17.1. 740 27 Combined buffer requirement Article 128 point (6) of CRD 750 Capital conservation buffer Articles 128 point (1) and 129 of CRD According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell. 760 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State Article 458(2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported. The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 770 Institution specific countercyclical capital buffer Articles 128 point (2), 130, 135-140 of CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 780 Systemic risk buffer Articles 128 point (5), 133 and 134 of CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 800 Global Systemically Important Institution buffer Articles 128 point (3) and 131 of CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 810 Other Systemically Important Institution buffer Articles 128 point (4) and 131 of CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 820 28 Own funds requirements related to Pillar II adjustments Article 104(2) of CRD. If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell. 830 29 Initial capital Articles 12, 28 to 31of CRD and Article 93 of CRR 840 30 Own funds based on Fixed Overheads Articles 96(2) point (b), 97 and 98(1) point (a) of CRR 850 31 Non-domestic original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. 860 32 Total original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of this Regulation. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. 870 Adjustments to total own funds Article 500(4) of CRR The difference between the amount reported in position 880 and the total own funds pursuant to CRR has to be reported in this position. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty. 880 Own funds fully adjusted for Basel I floor Article 500(4) of CRR Total own funds pursuant to CRR adjusted as required by Article 500(4) of CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Directive 93/6/EEC and Directive 2000/12/EC as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Part Three, Title II, Chapter 3, of CRR) have to be reported in this position. If the SA alternative (Article 500(2) CRR) is applied, this row shall be empty. 890 Own funds requirements for Basel I floor Article 500(1) point (b) of CRR The amount of own funds required by Article 500(1)(b) of CRR to be hold (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC as that Directive and Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions as those Directives stood prior to January 2007) has to be reported in this position. 900 Own funds requirements for Basel I floor — SA alternative Article 500(2) and (3) of CRR The amount of own funds required by Article 500(2) of CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2, and Part Three, Title III, Chapter 2 or 3 of CRR, as applicable, instead of in accordance with Part Three, Title II, Chapter 3, or Part Three, Title III, Chapter 4 of CRR, as applicable) has to be reported in this position. 910 Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative Articles 500(1) point (b) and 500 (2) CRR This row has to be filled with: — if Article 500(1)(b) CRR is applied and row 880 < row 890: the difference between row 890 and row 880 — or if Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00 1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5) 1.6.1. General remarks 15. CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR. 16. 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. 17. Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060. 18. Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply. 19. Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1. 1.6.2. C 05.01 — Transitional Provisions (Ca5.1) 20. Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR. 21. Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2. 22. Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR). 23. In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions. 24. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available. 1.6.2.1. Instructions concerning specific positions Columns 010 Adjustments to CET1 020 Adjustments to AT1 030 Adjustments to T2 040 Adjustments included in RWAs Column 040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) of CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Art. 92 (4) of CRR. This means that transitional amounts subject to provisions of Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12.5. Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items. 050 Applicable percentage 060 Eligible amount without transitional provisions Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments. Rows 010 1. Total adjustments This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments 020 1.1. Grandfathered instruments Articles 483 to 491 of CRR This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital. 030 1.1.1. Grandfathered instruments: Instruments constituting state aid Article 483 CRR 040 1.1.1.1. Instruments that qualified as own funds according to 2006/48/EC Article 483(1) (2), (4) and (6) of CRR 050 1.1.1.2. Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme Article 483(1), (3), (5), (7) and (8) of CRR 060 1.1.2. Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of table CA 5.2. 070 1.2. Minority interests and equivalents Articles 479 and 480 of CRR This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2. 080 1.2.1. Capital instruments and items that do not qualify as minority interests Articles 479 of CRR The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation. 090 1.2.2. Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. 091 1.2.3. Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital Article 85 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. 092 1.2.4. Transitional recognition in consolidated own funds of qualifying Tier 2 capital Article 87 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions. 100 1.3. Other transitional adjustments Articles 467 to 478 and 481 of CRR This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments. 110 1.3.1. Unrealised gains and losses Articles 467 and 468 of CRR This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value. 120 1.3.1.1. Unrealised gains Article 468(1) of CRR 130 1.3.1.2. Unrealised losses Article 467(1) of CRR 133 1.3.1.3. Unrealised gains on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39 Article 468 of CRR 136 1.3.1.4. Unrealised loss on exposures to central governments classified in the ‘Available for sale’ category of EU-endorsed IAS39 Article 467 of CRR 138 1.3.1.5. Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities Article 468 of CRR 140 1.3.2. Deductions Articles 36(1), 469 to 478 of CRR This row reflects the overall effect of transitional provisions on deductions. 150 1.3.2.1. Losses for the current financial year Articles 36(1) point (a), 469 (1), 472 (3) and 478 of CRR The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR. Where firms have only been required to deduct material losses: — where the total interim net loss was ‘material’, the full residual amount would be deducted from Tier 1, or — where the whole total interim net loss was not ‘material’, no deduction of residual amount would be made. 160 1.3.2.2. Intangible assets Articles 36(1) point (b), 469 (1), 472 (4) and 478 of CRR When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR. The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(b) of CRR. 170 1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences Articles 36(1) point (c), 469 (1), 472 (5) and 478 of CRR When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities. The amount to be reported in column 060 of this row: Total amount according to Article 469(1) of CRR. 180 1.3.2.4. IRB shortfall of provisions to expected losses Articles 36(1) point (d), 469 (1), 472 (6) and 478 of CRR When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR. The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(d) of CRR 190 1.3.2.5. Defined benefit pension fund assets Articles 33(1) point (e), 469 (1), 472 (7), 473 and 478 of CRR When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR. The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(e) of CRR 194 1.3.2.5.* of which: Introduction of amendments to IAS 19 – positive item Article 473 of CRR 198 1.3.2.5.** of which: Introduction of amendments to IAS 19 – negative item Article 473 of CRR 200 1.3.2.6. Own instruments Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR 210 1.3.2.6.1. Own CET1 instruments Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR. Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to ‘direct’ and ‘indirect’ holdings. The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(f) of CRR. 211 1.3.2.6.1** of which: Direct holdings Article 469(1)(b), 472 (8) (a) of CRR 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. 212 1.3.2.6.1* of which: Indirect holdings Article 469(1)(b), 472 (8) (b) of CRR The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation. 220 1.3.2.6.2. Own AT1 instruments Articles 56 point (a), 474, 475(2) and 478 of CRR When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR. Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Additional Tier 1 holdings. The amount to be reported in column 060 of this row: Original deduction according to Article 56 (a) of CRR. 221 1.3.2.6.2** of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 474 (b) and 475 (2) (a) of CRR. 222 1.3.2.6.2* of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 474 (b), 475 (2) (b) of CRR. 230 1.3.2.6.3. Own T2 instruments Articles 66 point (a), 476, 477(2) and 478 of CRR When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR. Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Tier 2 holdings. The amount to be reported in column 060 of this row: Original deduction0 according to Article 66 (a) of CRR. 231 of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (a) of CRR 232 of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (b) of CRR 240 1.3.2.7. Reciprocal cross holdings Given that the treatment of the ‘residual amount’ differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments. 250 1.3.2.7.1. Reciprocal cross holdings in CET1 Capital Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(g) of CRR 260 1.3.2.7.1.1. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR 270 1.3.2.7.1.2. Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR 280 1.3.2.7.2. Reciprocal cross holdings in AT1 Capital Articles 56 point (b), 474, 475(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 56 (b) of CRR 290 1.3.2.7.2.1. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR 300 1.3.2.7.2.2. Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR 310 1.3.2.7.3. Reciprocal cross holdings in T2 Capital Articles 66 point (b), 476, 477(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (b) of CRR 320 1.3.2.7.3.1. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR 330 1.3.2.7.3.2. Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR 340 1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment 350 1.3.2.8.1. CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(h) of CRR 360 1.3.2.8.2. AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 56 point (c), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 56 (c) of CRR 370 1.3.2.8.3. T2 instruments of financial sector entities where the institution does not have a significant investment Articles 66 point (c), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (c) of CRR 380 1.3.2.9. Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment Article 470(2) and (3) of CRR The amount to be reported in column 060 of this row: Article 470(1) of CRR 385 Deferred tax assets that are dependent on future profitability and arise from temporary differences Article 469(1)(c), 478 and 472(5) CRR. Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2) lit. (a) CRR. 390 1.3.2.10. Own funds instruments of financial sector entities where the institution has a significant investment 400 1.3.2.10.1. CET1 instruments of financial sector entities where the institution has a significant investment Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 36(1)(i) of CRR 410 1.3.2.10.2. AT1 instruments of financial sector entities where the institution has a significant investment Articles 56 point (d), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 56 (d) of CRR 420 1.3.2.10.2. T2 instruments of financial sector entities where the institution has a significant investment Articles 66 point (d), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction according to Article 66 (d) of CRR 425 1.3.2.11. Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items Article 471 of CRR 430 1.3.3. Additional filters and deductions Article 481 of CRR This row reflects the overall effect of transitional provisions on additional filters and deductions. 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. 440 1.3.4. Adjustments due to IFRS 9 transitional arrangements Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions. 1.6.3. C 05.02 — Grandfathered Instruments: Instruments Not Constituing State Aid (Ca5.2) 25. 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 premium Article 484(3) to (5) of CRR Instruments which are eligible for each respective row, including their related share premiums. 020 Base for calculating the limit Articles 486(2) to (4) of CRR 030 Applicable percentage Article 486(5) of CRR 040 Limit Article 486(2) to (5) of CRR 050 (-) Amount that exceeds the limits for grandfathering Article 486(2) to (5) of CRR 060 Total grandfathered amount The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1. Rows 010 1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC Article 484(3) of CRR The amount to be reported shall include the related share premium accounts. 020 2. Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 Article 484(4) of CRR 030 2.1. Total instruments without a call or an incentive to redeem Article 484(4) and 489 of CRR The amount to be reported shall include the related share premium accounts. 040 2.2. Grandfathered instruments with a call and incentive to redeem Article 489 of CRR 050 2.2.1. Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of CRR after the date of effective maturity Articles 489(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts. 060 2.2.2. Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity Articles 489(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts. 070 2.2.3. Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of CRR after the date of effective maturity Articles 489(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts 080 2.3. Excess on the limit of CET1 grandfathered instruments Article 487(1) of CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments. 090 3. Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 Article 484(5) of CRR 100 3.1. Total items without an incentive to redeem Article 490 of CRR 110 3.2. Grandfathered items with an incentive to redeem Article 490 of CRR 120 3.2.1. Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts. 130 3.2.2. Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts. 140 3.2.3. Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts. 150 3.3. Excess on the limit of AT1 grandfathered instruments Article 487(2) of CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments. 2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) 2.1. GENERAL REMARKS 26. 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; 27. Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400. 28. The figures reported take into account all applicable transitional provisions of CRR which are applicable at the respective reporting date. 2.2. DETAILED GROUP SOLVENCY INFORMATION 29. The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes. 30. In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts. 2.3. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY 31. The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other. 32. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds. 33. As this third part of the template refers to ‘contributions’, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information. 34. The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in ‘Group Solvency’ template. In cases where the 1 % threshold is not exceeded a direct link to the CA template is not possible. 35. The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk. 36. 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. 37. An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group. 2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – Total (GS Total) Columns Instructions 250-400 ENTITIES WITHIN SCOPE OF CONSOLIDATION See instructions for C 06.02 410-480 CAPITAL BUFFERS See instructions for C 06.02 Rows Instructions 010 TOTAL The 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 CONSOLIDATION This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR. 010 NAME Name of the entity within the scope of consolidation. 020 CODE This 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 CODE LEI 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 CRR and CRD or provisions at least equivalent to Basel provisions. ‘NO’ shall be reported otherwise. Minority interests: Articles 81(1) point (a) (ii) and 82(1) point (a) (ii) of CRR 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. 035 TYPE OF ENTITY The type of entity shall be reported based on the following categories: (a) credit institution Article 4(1) (1) CRR; (b) investment firm Article 4(1) (2) CRR; (c) financial institution (other) Articles 4(1) (20), (21) and (26) CRR Financial institutions within the meaning of Article 4(1) (26) CRR which are not included in any of the categories (d), (f) or (g); (d) (mixed) financial holding company Articles 4(1) (20) and (21) CRR; (e) ancillary services undertaking Article 4(1) (18) CRR; (f) securitisation special purpose entity (SSPE), Article 4(1) (66) CRR; (g) covered bond company Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above; (h) other type of entity Entity other than those referred to in points (a) to (g) Where an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis. 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 CODE Institutions 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 REQUIREMENT The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030). Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located. The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules. Reporting of fixed overheads of investment firms: Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR. The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template. 070 TOTAL RISK EXPOSURE AMOUNT The sum of the columns 080 to 110 shall be reported. 080 CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 ‘RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES’ and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of the template CA2. 090 POSITION, FX AND COMMODITY RISKS The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of the template CA2. 100 OPERATIONAL RISK The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2. Fixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of the template CA2. 110 OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2. 120-240 DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating. 120 OWN FUNDS The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 ‘OWN FUNDS’ of the template CA1. 130 OF WHICH: QUALIFYING OWN FUNDS Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. 140 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 87(1)(b) of CRR 150 TOTAL TIER 1 CAPITAL Article 25 of CRR 160 OF WHICH: QUALIFYING TIER 1 CAPITAL Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. 170 RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS Article 85(1)(b) of CRR 180 COMMON EQUITY TIER 1 CAPITAL Article 50 of CRR 190 OF WHICH: MINORITY INTERESTS Article 81 of CRR This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. 200 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Article 84(1)(b) of CRR 210 ADDITIONAL TIER 1 CAPITAL Article 61 of CRR 220 OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in Article 85(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. 230 TIER 2 CAPITAL Article 71 of CRR 240 OF WHICH: QUALIFYING TIER 2 CAPITAL Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in Article 87(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting. 250-400 INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP 250-290 CONTRIBUTION TO RISKS The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution. 250 TOTAL RISK EXPOSURE AMOUNT The sum of the columns 260 to 290 shall be reported. 260 CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation. 270 POSITION, FX AND COMMODITY RISKS Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report. 280 OPERATIONAL RISK In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification. Fixed overheads shall be included in this column. 290 OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. 300-400 CONTRIBUTION TO OWN FUNDS This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity. Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital and/or qualifying own funds. Subject to the threshold defined in the last paragraph of Part II, chapter 2.3 above, columns 360 to 400 shall be reported for all consolidated entities which contribute to the consolidated own funds. Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves. The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution. 300-350 QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS The amount to be reported as ‘QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS’ shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities. 300 QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS Article 87 of CRR 310 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL Article 85 of CRR 320 MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL Article 84 of CRR The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to CRR. 330 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL Article 86 of CRR The amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to CRR. 340 QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL Article 88 of CRR The amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to CRR. 350 MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL 360-400 CONSOLIDATED OWN FUNDS Article 18 CRR The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ is the amount as derived from the balance sheet, excluding any fund brought in by other group entities. 360 CONSOLIDATED OWN FUNDS 370 OF WHICH: COMMON EQUITY TIER 1 380 OF WHICH: ADDITIONAL TIER 1 390 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests. 400 OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here. 410-480 CAPITAL BUFFERS The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national transposition measures of CRD and on CRR, including any transitional provisions provided for therein. 410 COMBINED BUFFER REQUIREMENT Article 128 point (6) of CRD 420 CAPITAL CONSERVATION BUFFER Article 128 point (1) and 129 of CRD According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell. 430 INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Article 128 point (2), Article 130 and 135-140 of CRD In this cell the concrete amount of the countercyclical buffer shall be reported. 440 CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE Article 458(2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported. 450 SYSTEMIC RISK BUFFER Articles 128 point (5), 133 and 134 of CRD In this cell the amount of the systemic risk buffer shall be reported. 470 GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Articles 128 point (3) and 131 of CRD In this cell the amount of the Global Systemically Important Institution buffer shall be reported. 480 OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Articles 128 point (4) and 131 of CRD In this cell the amount of the Other Systemically Important Institution buffer shall be reported. 3. CREDIT RISK TEMPLATES 3.1. GENERAL REMARKS 38. There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded. 3.1.1. Reporting of CRM techniques with substitution effect 39. Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection. 40. Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority. 41. Articles 196, 197 and 200 of CRR regulate the funded credit protection. 42. Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class. 43. The exposure type does not change because of unfunded credit protection. 44. If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class. 45. The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template. 3.1.2. Reporting of Counterparty Credit Risk 46. Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items. 3.2. C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) 3.2.1. General remarks 47. The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on: 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 48. According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements. 49. The information in CR SA is required 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. 50. 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. 51. 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. 52. The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class. 53. 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. 54. 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). 55. The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA. 56. 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 where the obligors would have been reported in the exposure classes ‘Central governments or central banks’, ‘Regional governments or local authorities’, ‘Public sector entities’, ‘Institutions’, ‘Corporates’ and ‘Retail’ of CR SA, if those exposures were not assigned to the exposure classes ‘in default’ or ‘secured by immovable property’. 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. 57. E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, 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 58. In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied: (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. 59. The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. 60. For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property). 61. Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in 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. 62. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in 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. 63. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process. 64. 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. 65. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (‘CIU’). 66. In the case of ‘nth’ to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) of CRR. 67. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider. DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR Original exposure pre conversion factors Does it fit for being assigned to the exposure class of Article 112 (m)? YES Securitisation positions NO Does it fit for being assigned to the exposure class of Article 112point (k)? YES Items associated with particular high risk (also see Article 128) NO Does it fit for being assigned to the exposure class of Article 112 point (p)? YES Equity exposures (also see Article 133) NO Does it fit for being assigned to the exposure class of Article 112 point (j)? YES Exposures in default NO Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)? YES 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 Does it fit for being assigned to the exposure class of Article 112 point (i)? YES Exposures secured by mortgages on immovable property (also see Article 124) NO Does it fit for being assigned to the exposure class of Article 112 point (q)? YES Other items NO Does it fit for being assigned to the exposure class of Article 112 point (n)? YES Exposures to institutions and corporates with a short-term credit assessment NO The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. 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 corporates Retail 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’ 68. Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows: 69. Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures. 70. According Article 113(6) and (7) of CRR ‘an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.’ This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class. 3.2.4.2. Exposure Class ‘Covered Bonds’ 71. The assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows: 72. Bonds as defined in Article 52(4) of Directive 2009/65/EC shall fulfil the requirements of Article 129(1) to (2) of CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class ‘Covered Bonds’ because of Article 129(6) of CRR. 3.2.4.3. Exposure class ‘Collective Investment Undertakings’ 73. Where the possibility according to Article 132(5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111(1) sentence 1 of CRR. 3.2.5. Instructions concerning specific positions Columns 010 ORIGINAL EXPOSURE PRE CONVERSION FACTORS Exposure value according to Article 111 of CRR 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 exposure Article 24 and 111 of CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to. 040 Exposure net of value adjustments and provisions Sum of columns 010 and 030. 050 - 100 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM. If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. Items to be reported here: — collateral, incorporated according to Financial Collateral Simple Method; — eligible unfunded credit protection. Please also see instructions of point 4.1.1. 050 - 060 Unfunded credit protection: adjusted values (Ga) Article 235 of CRR Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection. 050 Guarantees Article 203 of CRR Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives. 060 Credit derivatives Article 204 of CRR. 070 – 080 Funded credit protection These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors). Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral. 070 Financial collateral: simple method Article 222(1) to (2) of CRR. 080 Other funded credit protection Article 232 of CRR. 090 - 100 SUBSTITUTION OF THE EXPOSURE DUE TO CRM Articles 222(3), Article 235(1) to (2) and Article 236 of CRR. Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. This amount shall be considered as an Inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. 110 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE 120-140 CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR) Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR. 120 Volatility adjustment to the exposure Article 223(2) to (3) of CRR. The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = EHe 130 (-) Financial collateral adjusted value (Cvam) Article 239(2) of CRR. For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR. The amount to be reported corresponds to Cvam = C(1-Hc-Hfx)(t-t)/(T-t). For a definition of C, Hc, Hfx, t, T and t see part 3 title II chapter 4 section 4 and 5 of CRR. 140 (-) Of which: Volatility and maturity adjustments Article 223(1) of CRR and Article 239(2) of CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)(t-t)/(T-t)-1], where the impact of volatility adjustment is (Cva-C) = C[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)[(t-t)/(T-t)-1] 150 Fully adjusted exposure value (E) Article 220(4), Article 223(2) to (5) and Article 228(1) of CRR. 160 - 190 Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor. 200 Exposure value Article 111 of CRR and Part 3 title II chapter 4 section 4 of CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR. 210 Of which: Arising from Counterparty Credit Risk For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR. 215 Risk weighted exposure amount pre SME-supporting factor Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR. 220 Risk weighted exposure amount after SME-supporting factor Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR. 230 Of which: with a credit assessment by a nominated ECAI Article 112 a) to d), f), g), l), n) o) and q) of CRR 240 Of which: with a credit assessment derived from central government Article 112 b) to d), f), g), l) and o) of CRR Rows Instructions 010 Total exposures 015 of which: Defaulted exposures Article 127 CRR This row shall only be reported in exposure classes ‘Items associated with a particular high risk’ and ‘Equity exposures’. If an exposure is either listed in Article 128(2) of CRR or meets the criteria set in Articles 128(3) or 133 of CRR, it shall be assigned to the exposure class ‘Items associated with particular high risk’ or ‘Equity exposures’. Consequently, there shall be no other allocation, even if the exposure is defaulted according to Article 127 of CRR. 020 of which: SME All exposures to SME shall be reported here. 030 of which: Exposures subject to the SME-supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here. 040 of which: Secured by mortgages on immovable property — Residential property Article 125 of CRR. Only reported in exposure class ‘Secured by mortgages on immovable property’ 050 of which: Exposures under the permanent partial use of the standardised approach Exposures treated under Article 150(1) of CRR 060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation Exposures treated under Article 148(1) of CRR 070-130 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution's ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Reporting institution's ‘trading book’ counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 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 risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 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 risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items. 090-130 Exposures/Transactions subject to counterparty credit risk 090 Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR. 100 Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR. Trade exposures to a CCP according to Article 4(91) of CRR 110 Derivatives and Long Settlement Transactions Derivatives comprise those contract listed in Annex II of CRR. Long Settlement Transactions as defined in Article 272(2) of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row. 120 Of which: centrally cleared through a QCCP Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR Trade exposures to a CCP according to Article 4(91) of CRR 130 From Contractual Cross Product Netting Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR) cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions, shall be included in this row. 140-280 BREAKDOWN OF EXPOSURES BY RISK WEIGHTS 140 0 % 150 2 % Article 306(1) of CRR 160 4 % Article 305(3) of CRR 170 10 % 180 20 % 190 35 % 200 50 % 210 70 % Article 232(3) point (c) of CRR. 220 75 % 230 100 % 240 150 % 250 250 % Articles 133(2) and 48(4) CRR 260 370 % Article 471 of CRR 270 1 250 % Articles 133(2), 379 of CRR 280 Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Article 113(1) to (5) of CRR. Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class ‘Other items’. See also Article 124(2) and Article 152(2) point (b) of CRR. 290-320 Memorandum Items See also the explanation of the purpose of the memorandum items in the general section of the CR SA. 290 Exposures secured by mortgages on commercial immovable property Article 112 point (i) of CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate. 300 Exposures in default subject to a risk weight of 100 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default. 310 Exposures secured by mortgages on residential property Article 112 point (i) of CRR. This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property. 320 Exposures in default subject to a risk weight of 150 % Article 112 point (j) of CRR. Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default. 3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB) 3.3.1. Scope of the CR IRB template 74. 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; — Dilution risk for purchased receivables; ii. Counterparty credit risk in the trading book; iii. Free deliveries resulting from all business activities.. 75. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach). 76. 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. 77. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class: ‘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 78. The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes: 1. 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 FACTORS Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors. The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166(1) and (2) and (4) to (7) of CRR. The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure. 030 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. 040-080 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’. 040-050 UNFUNDED CREDIT PROTECTION Unfunded credit protection: Values as they are defined in Article 4(59) of CRR. If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. 040 GUARANTEES: 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 160 Regarding exposures subject to the double default treatment the value of unfunded credit protection shall be reported in column 220. 060 OTHER FUNDED CREDIT PROTECTION If 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 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 CRM Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. 090 EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. 100, 120 Of which: Off Balance Sheet Items See CR-SA instructions 110 EXPOSURE VALUE The value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported. For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied. For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’. 130 Of which: Arising from counterparty Credit Risk See CR SA instructions. 140 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. 150-210 CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of CRR Where own estimates of LGD are used: — Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of CRR. For retail exposures Article 164(2) of CRR. — Regarding funded credit protection collateral taken into account in the LGD estimates according to points (e) and (f) of Article 181(1) of CRR. 150 GUARANTEES See instructions to column 040. 160 CREDIT DERIVATIVES See instructions to column 050. 170 OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 of CRR. 180 ELIGIBLE FINANCIAL COLLATERAL For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragraph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral. When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported. When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral. 190-210 OTHER ELIGIBLE COLLATERAL Where own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR. Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. 190 REAL ESTATE Where own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR. When own estimates of LGD are used the amount to be reported shall be the estimated market value. 200 OTHER PHYSICAL COLLATERAL Where own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR. Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral. 210 RECEIVABLES When own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported. When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral. 220 SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ‘Guarantees’ and 050 ‘Credit derivatives’. 230 EXPOSURE WEIGHTED AVERAGE LGD (%) All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR. For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered. The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting). For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E, the fully adjusted value of the exposure, and then reflected in LGD according to Article 228(2) CRR. The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110. If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR. The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority. Data shall not be reported for specialized lending exposures referred to in Article 153(5). Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240. 240 EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Exposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. 250 EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class ‘retail’. 255 RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR. The SME-supporting factor according to Article 501 of CRR shall not be taken into account. 260 RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR. The SME-supporting factor according to Article 501 of CRR shall be taken into account. 270 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. 280 EXPECTED LOSS AMOUNT For the definition of Expected Loss see Article 5(3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority. 290 (-) VALUE ADJUSTMENTS AND PROVISIONS Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades. 300 NUMBER OF OBLIGORS Articles 172(1) and (2) of CRR. For all exposure classes with the exception of the exposure class retail and the cases mentioned in Article 172(1) lit. e, second sentence CRR, 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 or if separate exposures to the same obligor are assigned to different obligor grades in accordance with Article 172(1) lit. e, second sentence CRR in other exposure classes, 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 factor Only 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 risk Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030. 030 Off balance sheet items subject to credit risk Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items. 040-060 Exposures/Transactions subject to counterparty credit risk 040 Securities Financing Transactions Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘The Application of Basel II to Trading Activities and the Treatment of Double Default Effects’, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) of CRR. Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row. 050 Derivatives and Long Settlement Transactions Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row. 060 From Contractual Cross Product Netting See CR SA instructions 070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR. For retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A master scale is not used. Instead, institutions shall determine the scale to be used themselves. 080 SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL Article 153(5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes. 090-150 BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: 120 Of which: In category 1 Article 153(5) table 1 of CRR. 160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Articles 193(1) and (2), 194 (1) to (7) and 230 (3) of CRR. 170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in Article 379(2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to Article 379(2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153(8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row. 180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES See Article 4(53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) of CRR. According to Article 166(6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation. 3.3.4. C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template) Column Instructions 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 79. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information broken down by country 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’. 80. The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects 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. 81. Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor. 3.4.1. C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1) 3.4.1.1. Instructions concerning specific positions Columns 010 ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 010 of CR SA template 020 Defaulted exposures Original exposure pre conversion factors for those exposures which have been classified as ‘exposures in default’ and for defaulted exposures assigned to the exposure classes ‘exposures associated with particularly high risk’ or ‘equity exposures’. This ‘memorandum item’ provides additional information about the obligor structure of defaulted exposures. Exposures classified as ‘exposures in default’ in accordance with Article 112 point (j) CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes ‘exposures in default’. This information is a ‘memorandum item’ – hence does not affect the calculation of risk weighted exposure amounts of exposure classes ‘exposures in default’, ‘exposures associated with particularly high risk’ or ‘equity exposures’ according to Article 112 points (j), (k) respectively (p) of CRR. 040 Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. 050 General credit risk adjustments Credit risk adjustments according to Article 110 of CRR. This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in Article 62 (c) of CRR. The amount to be reported shall be gross of tax effects. 055 Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR. 060 Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)]. 070 Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission. 075 Exposure value Same definition as for column 200 of CR SA template 080 RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 215 of CR SA template 090 RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 220 of CR SA template Rows 010 Central governments or central banks Article 112 point (a) of CRR. 020 Regional governments or local authorities Article 112 point (b) of CRR. 030 Public sector entities Article 112 point (c) of CRR. 040 Multilateral developments banks Article 112 point (d) of CRR. 050 International organisations Article 112 point (e) of CRR. 060 Institutions Article 112 point (f) of CRR. 070 Corporates Article 112 point (g) of CRR. 075 of which: SME Same definition as for row 020of CR SA template 080 Retail Article 112 point (h) of CRR. 085 of which: SME Same definition as for row 020of CR SA template 090 Secured by mortgages on immovable property Article 112 point (i) of CRR. 095 of which: SME Same definition as for row 020of CR SA template 100 Exposures in default Article 112 point (j) of CRR. 110 Items associated with particularly high risk Article 112 point (k) of CRR. 120 Covered bonds Article 112 point (l) of CRR. 130 Claims on institutions and corporates with a short-term credit assessment Article 112 point (n) of CRR. 140 Collective investments undertakings (CIU) Article 112 point (o) of CRR. 150 Equity exposures Article 112 point (p) of CRR. 160 Other exposures Article 112 point (q) of CRR. 170 Total exposures 3.4.2. C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) 3.4.2.1. Instructions concerning specific positions Columns 010 ORIGINAL EXPOSURE PRE CONVERSION FACTORS Same definition as for column 020 of CR IRB template 030 Of which defaulted Original exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178. 040 Observed new defaults for the period The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. 050 General credit risk adjustments Credit risk adjustments according to Article 110of CRR. 055 Specific credit risk adjustments Credit risk adjustments according to Article 110 of CRR. 060 Write-offs Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)]. 070 Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission. 080 INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 010 of CR IRB template 090 EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Provisions laid down in Article 181(1) point (h) of CRR shall apply. Data shall not be reported for specialized lending exposures referred to in Article 153(5). 100 Of which: defaulted Exposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR. 105 Exposure value Same definition as for column 110 of CR IRB template. 110 RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Same definition as for column 255 of CR IRB template 120 Of which defaulted Risk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR. 125 RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR Same definition as for column 260 of CR IRB template 130 EXPECTED LOSS AMOUNT Same definition as for column 280 of CR IRB template Rows 010 Central banks and central governments (Article 147(2)(a) CRR) 020 Institutions (Article 147(2) point (b) CRR) 030 Corporates (All corporates according to Article 147(2) point (c).) 042 Of which: Specialized lending (excl. SL subject to slotting criteria) (Article 147(8) a CRR) Data shall not be reported for specialized lending exposures referred to in Article 153(5). 045 Of which: Specialized lending subject to slotting criteria Articles 147(8) lit. a and 153(5) CRR 050 Of which: SME (Article 147(2) point (c) CRR) 060 Retail All Retail exposures according to Article 147(2) point (d) 070 Retail – Secured by real estate property Exposures reflecting Article 147(2) point (d) CRR which are secured by real estate. 080 SME Retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR which are secured by real estate. 090 non-SME Retail exposures reflecting Article 147(2) point (d) CRR which are secured by real estate. 100 Retail – Qualifying revolving (Article 147(2) point (d) in conjunction with Article 154(4) CRR). 110 Other Retail Other retail exposures according to Article 147(2) point (d) not reported in rows 070 - 100. 120 SME Other retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR. 130 non-SME Other retail exposures reflecting Article 147(2) point (d) CRR. 140 Equity Equity exposures reflecting Article 147(2) point (e) CRR. 150 Total exposures 3.4.3. C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB) 3.4.3.1. General remarks 82. This table aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures). 83. Information in template C 09.04 shall be reported for the ‘Total’ of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension. 84. The threshold set in Article 5 (a) (4) of this Regulation shall not apply for the reporting of this breakdown. 85. In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template. 3.4.3.2. Instructions concerning specific positions Columns 010 Amount The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row. 020 Percentage 030 Qualitative Information This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the ‘Total’ of all countries. Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row. Rows 010-020 Relevant credit exposures – Credit risk Relevant credit exposures defined in accordance with Article 140(4)(a) CRD. 010 Exposure value under the Standardised Approach Exposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD. The exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050. 020 Exposure value under the IRB Approach Exposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD. The exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060 030-040 Relevant credit exposures – Market risk Relevant credit exposures defined in accordance with Article 140(4)(b) CRD. 030 Sum of long and short positions of trading book exposures for standardised approaches Sum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 CRR: — exposures to debt instruments other than securitisation, — exposures to securitisation positions in the trading book, — exposures to correlation trading portfolios, — exposures to equity securities, and — exposures to CIUs if capital requirements are calculated according to Article 348 CRR. 040 Value of trading book exposures under internal model approaches For relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported: — Fair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR. — Notional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD. 050-060 Relevant credit exposures – Securitisation positions in the banking book Relevant credit exposures defined in accordance with Article 140(4)(c) CRD. 050 Exposure value of securitisation positions in the banking book under the Standardised Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD. 060 Exposure value of securitisation positions in the banking book under the IRB Approach Exposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD. 070-110 Own funds requirements and weights 070 Total own funds requirements for CCB The sum of rows 080, 090 and 100. 080 Own funds requirements for relevant credit exposures – Credit risk Own funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of CRD, in the country in question. Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100. The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of CRR. 090 Own funds requirements for relevant credit exposures – Market risk Own funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR. 100 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR. 110 Own funds requirements weights The weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows: 1. Numerator: The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet], 2. Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070; c010; ‘Total’]. Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries. 120-140 Countercyclical buffer rates 120 Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Article 136, 137, 138 and 139 CRD. This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘Total’ of all countries. 130 Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘Total’ of all countries. 140 Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable. The weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘Total’ of all countries and not for each country separately. 150 - 160 Use of the 2 % threshold 150 Use of 2 % threshold for general credit exposure In accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014. If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell. 160 Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures. If the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries. If an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell. 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 86. 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. 87. 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. 88. 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). 89. 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. 90. In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR: — the Simple Risk Weight approach, — the PD/LGD approach, or — the Internal Models approach. Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template 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))). 91. The following equity claims shall not be reported in the CR EQU IRB template: — Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR). — Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including: — Grandfathered equity exposures according to Article 495(1) of CRR, — Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR), — Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR). — Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of ‘other non credit-obligation assets’ (in accordance with Article 155(1) of CRR). — Equity claims deducted from own funds in accordance with Articles 46 and 48 of 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 FACTORS Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments. Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’). Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR. 030-040 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR. 050 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR. 060 EXPOSURE VALUE Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR). As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR). 070 EXPOSURE WEIGHTED AVERAGE LGD (%) Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR. 080 RISK WEIGHTED EXPOSURE AMOUNT Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR. In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR). 090 MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR. 92. 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: TOTAL Institutions applying the PD/LGD approach (Article 155(3) of CRR) shall report the required 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) shall report the required information according to the characteristics of the underlying exposures in rows 050 to 090. CR EQU IRB 1 — row 100 INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) of CRR) shall report the required information in row 100. CR EQU IRB 1 — row 110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example, — the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of CRR, as well as — equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 110. CR EQU IRB 2 BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) of CRR) shall report the required 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 93. 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. 94. 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. 95. 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. 96. 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. 97. Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements. 98. 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. 99. Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB). 3.6.2. Instructions concerning specific positions Columns 010 UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices. All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date. 020 PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution. Only unsettled transactions at a loss after the due settlement date shall be reported in column 020 030 OWN FUNDS REQUIREMENTS Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR. 040 TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount. Rows 010 Total unsettled transactions in the Non-trading Book Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR). Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR). 020 to 060 Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. 070 Total unsettled transactions in the Trading Book Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR). Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR). 080 to 120 Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. 3.7. C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) 3.7.1. General remarks 100. The information in this template shall be submitted with regard to 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. On reporting reference dates that are after 1 January 2019, securitisations the risk weighted exposure amount of which is determined based on the revised securitisation framework shall not be reported in this template, but only in template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions, which are subject to a 1 250 % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00. 100a. For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018. 100b. The information to be reported is contingent on the role of the institution in the context of a securitisation. As such, specific reporting items are applicable for originators, sponsors and investors. 101. The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively. 3.7.2. Instructions concerning specific positions Columns 010 TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported. In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR. 020-040 SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch. 020 (-) FUNDED CREDIT PROTECTION (CVA) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR. 030 (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G) Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under this column shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection) The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G) is established in Article 233(3) of CRR. 040 NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection. 050 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Securitisation positions held by the reporting institution, calculated according to Article 246(1)(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 PROVISIONS Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items. 070 EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors. This piece of information is related to column 040 of the CR SA Total template. 080-110 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Article 4(57) and Part Three, Title II, Chapter 4 of CRR. This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). See CR SA instructions (Reporting of CRM techniques with substitution effect). 080 (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection is defined in Article 4(59) and regulated in Article 235 of CRR. See CR SA instructions (Reporting of CRM techniques with substitution effect). 090 (-) FUNDED CREDIT PROTECTION Funded credit protection is defined in Article 4(58) and regulated in Articles 195, 197 and 200 of CRR. Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral. See CR SA instructions (Reporting of CRM techniques with substitution effect). 100-110 SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported. 100 (-) TOTAL OUTFLOWS Articles 222(3) and 235 (1) and (2). Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor’s exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, when relevant, risk weight or obligor grade. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, risk weights or obligor grades. This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template. 110 TOTAL INFLOWS Securitisation positions which are debt securities and are eligible financial collateral according to Article 197(1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column. This piece of information is related to column 100 (Total Inflows) of the CR SA Total template. 120 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’. This piece of information is related to column 110 of the CR SA Total template. 130 (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) This item also includes credit linked notes (Article 218 of CRR). This piece of information is related to columns 120 and 130 of the CR SA Total template. 140 FULLY ADJUSTED EXPOSURE VALUE (E) Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point (c) of CRR. This piece of information is related to column 150 of the CR SA Total template. 150-180 BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in CRR. See columns 160 to 190 of the CR SA Total template. For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %,]0 %, 20 %],]20 %, 50 %] and]50 %, 100 %]. 190 EXPOSURE VALUE Securitisation positions according to Article 246 of CRR. This piece of information is related to column 200 of the CR SA Total template. 200 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1 250 % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position. 210 EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds. 220-320 BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS 220-260 RATED Article 242(8) of CRR defines rated positions. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR. 270 1 250 % (UNRATED) Article 242(7) of CRR defines unrated positions. 280 LOOK-THROUGH Articles 253, 254 and 256(5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). 290 LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR. Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme. 300 LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided. 310 INTERNAL ASSESSMENT APPROACH (IAA) Articles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach. 320 IAA: AVERAGE RISK WEIGHT (%) Exposure value weighted average risk weight shall be provided. 330 RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. 340 OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch. 350 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Articles 14(2), 406(2) and 407 of CRR 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 1 250 %) 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 MISMATCHES For maturity mismatches in synthetic securitisations RW-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. 370-380 TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (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 CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions. 102. 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. 103. Positions treated according to the ratings based method and unrated positions (exposures at reporting date) shall also be broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. Rows 010 TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows. 020 OF WHICH: RE-SECURITISATIONS Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR. 030 ORIGINATOR: TOTAL EXPOSURES This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR. 040-060 ON-BALANCE SHEET ITEMS Article 246(1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments. On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060). 070-090 OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR. 100 EARLY AMORTISATION This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR. 110 INVESTOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. 120-140 ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here. 150-170 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here. 180 SPONSOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows the information regarding its own securitised assets. 190-210 ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here. 220-240 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here. 250-290 BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions treated according to the ratings based method and unrated 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, 210 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 104. The information in this template is required 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. On reporting reference dates that are after 1 January 2019, securitisations the risk weighted exposure amounts of which is determined based on the revised securitisation framework shall not be reported in this template, but only template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions, which are subject to a 1 250 % risk weight in accordance with the revised securitisation framework and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of CRR, shall not be reported in this template, but only in template C 01.00. 104a. For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR shall be read as references to CRR in the version applicable on 31 December 2018. 105. 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. 106. The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book. 3.8.2. Instructions concerning specific positions Columns 010 TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date. See column 010 of CR SEC SA. 020-040 SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 249 and 250 of CRR. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure. 020 (-) FUNDED CREDIT PROTECTION (CVA) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR. 030 (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G) Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under column 030 of the CR SEC IRB template shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection). The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G) is established in Article 233(3) of CRR. 040 NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection. 050 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Securitisation positions held by the reporting institution, calculated according to Article 246(1)(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 EXPOSURE See Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR. This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). 060 (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection is defined in Article 4(1)(59) of CRR. Article 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority. This piece of information is related to columns 040 and 050 of the CR IRB template. 070 (-) FUNDED CREDIT PROTECTION Funded credit protection is defined in Article 4(1)(58) of CRR. Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column. This piece of information is related to column 060 of the CR IRB template. 080-090 SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported. 080 (-) TOTAL OUTFLOWS Article 236 of CRR. Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor’s exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, when relevant, risk weight or obligor grade. This amount shall be considered as an Inflow into the protection provider’s exposure class and, when relevant, risk weights or obligor grades. This piece of information is related to column 070 of the CR IRB template. 090 TOTAL INFLOWS This piece of information is related to column 080 of the CR IRB template. 100 EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’. This piece of information is related to column 090 of the CR IRB template. 110 (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR). 120 FULLY ADJUSTED EXPOSURE VALUE (E) Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point (c) of CRR. 130-160 BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified. In this respect, Article 4(1)(56) of CRR defines conversion factor. For reporting purposes, fully adjusted exposure values (E) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %]. 170 EXPOSURE VALUE Securitisation positions according to Article 246 of CRR. This piece of information is related to column 110 of the CR IRB template. 180 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS Article 266(3) of CRR foresees that in case of a securitisation position in respect of which a 1 250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position. 190 EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 200-320 RATINGS BASED METHOD (CREDIT QUALITY STEPS) Article 261 of CRR. IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR. 330 SUPERVISORY FORMULA METHOD For the Supervisory Formula Method (SFM), Article 262 of CRR. The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided. 340 SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the ‘effective risk weight’ of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100). When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the ‘T’ adjusted according to what is established in Article 264(3) of CRR. Weighted average risk weights shall be reported in this column. 350 LOOK-THROUGH The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool). Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated. The undrawn amount of the liquidity facilities shall be reported under ‘Off balance sheet items and derivatives’. As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR. For early amortisations see Articles 256(5) and 265 of CRR. 360 LOOK-THROUGH: AVERAGE RISK WEIGHT Exposure value weighted average risk weight shall be provided. 370 INTERNAL ASSESSMENT APPROACH Article 259(3) and (4) of CRR envisages the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes. 380 IAA: AVERAGE RISK WEIGHT Weighted average risk weights shall be reported in this column. 390 (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR. Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items. 400 RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. 410 RWEA OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch. 420 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Articles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR. 430 ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES For maturity mismatches in synthetic securitisations RW-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % 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. 440-450 TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered. 460 MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions. 107. 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. 108. Positions treated according to the ratings based method and unrated positions (exposures at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. Rows 010 TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows. 020 OF WHICH: RE-SECURITISATIONS Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR. 030 ORIGINATOR: TOTAL EXPOSURES This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR. 040-090 ON-BALANCE SHEET ITEMS Article 246(1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made. On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR. 100-150 OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified. Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR. 160 EARLY AMORTISATION This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR. 170 INVESTOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. 180-230 ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here. 240-290 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here. 300 SPONSOR: TOTAL EXPOSURES This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets. 310-360 ON-BALANCE SHEET ITEMS The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here. 370-420 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here. 430-540 BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION These rows gather information on outstanding positions treated according to the ratings based method and unrated 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, 190 to 320 and columns 400 to 410. 3.9. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) 3.9.1. General remarks 109. This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported. 110. 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 ( 3 ), 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). 111. This template shall be reported by consolidated groups and stand-alone institutions ( 4 ) 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. 112. 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. 113. 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 NUMBER The 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 CODE Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation. 020 IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the 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 in accordance with IFRS 9.3.2.16 – 3.2.21. 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. 075 STS SECURITISATION Article 18 of Regulation (EU) 2017/2402 Report one of the following abbreviations Y – Yes N – No 080-100 RETENTION Articles 404 to 410 of CRR. 080 TYPE OF RETENTION APPLIED For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR: A — Vertical slice (securitisation positions): ‘retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors’. V — Vertical 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. B — Revolving 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’. C — On-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’. D — First 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’. E — Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR. N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR. U — In 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 DATE The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date). Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not 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: Y – Yes; N – No. 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 PROGRAMS Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130. 120 ORIGINATION DATE (mm/yyyy) The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: ‘mm/yyyy’. For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. 130 TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date. In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. 140-220 SECURITISED EXPOSURES Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity. 140 TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. 150 INSTITUTION’S SHARE (%) It shall be reported the institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms). This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. 160 TYPE This column gathers information on the type of assets (‘1’ to ‘8’) or liabilities (‘9’ and ‘10’) of the securitised portfolio. The institution must report one of the following number codes: 1 — Residential mortgages; 2 — Commercial mortgages; 3 — Credit card receivables; 4 — Leasing; 5 — Loans to corporates or SMEs (treated as corporates); 6 — Consumer loans; 7 — Trade receivables; 8 — Other assets; 9 — Covered bonds; 10 — Other liabilities. 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 EXPOSURES Article 261(1) of CRR. This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘I’ in column 170). The institution shall report the 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 COUNTRY Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘other countries’ shall be reported. 200 ELGD (%) The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘I’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. 210 (-) VALUE ADJUSTMENTS AND PROVISIONS 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. This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. 220 OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (Kirb), as a percentage (with two decimals) on the total of securitised exposures at origination date. Kirb is defined in Article 242(4) of CRR. This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column. 230-300 SECURITISATION STRUCTURE This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity. In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported. 230-250 ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss). 230 SENIOR On reporting reference dates that are after 1 January 2019, for securitisation positions the exposure values of which are calculated in accordance with CRR: A securitisation position as defined in Article 242(6) of CRR. For all other securitisation positions: All tranches that do not qualify as mezzanine or first loss in accordance with CRR in the version applicable on 31 December 2018 shall be included in this category. 240 MEZZANINE On reporting reference dates that are after 1 January 2019, for securitisation positions the exposure values of which are calculated according to CRR: — all positions as defined in Article 242(18) of the CRR; — all positions which are not subject to Articles 242(6) or (17) of the CRR. For all other securitisation positions: see Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR in the version applicable on 31 December 2018. 250 FIRST LOSS On reporting reference dates that are after 1 January 2019, for securitisation positions the exposure values of which are calculated according to CRR: a securitisation position as defined in Article 242(17) of CRR. For all other securitisation positions: first loss tranche is defined in Article 242(15) of CRR in the version applicable on 31 December 2018. 260-280 OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss). The same criteria of classification among tranches used for on-balance sheet items shall be applied here. 290 FIRST FORESEEABLE TERMINATION DATE The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates: (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 DATE The 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 FACTORS This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date. 310-330 ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for columns 230 to 250 shall be applied here. 340-360 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for columns 260 to 280 shall be applied here. 370-400 MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360). 370 DIRECT CREDIT SUBSTITUTES (DCS) This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS: — Guarantees having the character of credit substitutes. — Irrevocable standby letters of credit having the character of credit substitutes. 380 IRS/CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR. 390 ELIGIBLE LIQUIDITY FACILITIES Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-). 400 OTHER (INCLUDING NON-ELIGIBLE LF) This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR). 410 EARLY AMORTISATION: CONVERSION FACTOR APPLIED Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors’ interest (in order to calculate risk-weighted exposure amounts). This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations). According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread. In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template. 420 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template. A negative figure shall be reported in this column. 430 TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported. 440 TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported. 445 APPROACH In this column, the approach to determining the total risk exposure amount as reported in column 440 shall be reported. The approach shall be one of the following ones: For securitisation positions the risk weighted exposure amounts of which are calculated according to CRR in the version applicable on 31 December 2018 — Other (original securitisation framework) On reporting reference dates that are after 1 January 2019, for securitisation positions the risk weighted exposure amounts of which are calculated according to CRR: — SEC-IRBA — SEC-SA — SEC-ERBA — IAA — 1 250 % for positions not subject to any method (Article 254(7) CRR) — Multiple approaches In line with the determination of risk weights according to Article 337 CRR, for instruments in the trading book that are securitisation positions, the approach shall be determined as the approach the institution would apply to the position in its non-trading book. ‘Multiple approaches’ shall be used if the institution is involved in or exposed to a securitisation transaction in multiple ways and applies different approaches to the calculation of own funds requirements in its different roles or for its different exposures. 446 SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT On reporting reference dates that are after 1 January 2019, Articles 243 and 270 of CRR Report one of the following abbreviations Y – Yes N – No ‘Yes’ shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 of the CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 of the CRR. 450-510 SECURITISATION POSITIONS — TRADING BOOK 450 CTP OR NON-CTP? Report the following abbreviations: C — Correlation Trading Portfolio (CTP); N — Non-CTP 460-470 NET POSITIONS — LONG/SHORT See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively. 480 TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively. 4. OPERATIONAL RISK TEMPLATES 4.1. C 16.00 – OPERATIONAL RISK (OPR) 4.1.1. General Remarks 114. 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 cannot apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level 115. 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 are expected to 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. 116. 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. 117. 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. 118. By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA. 119. This template shall be submitted by all institutions subject to operational risk own funds requirement. 4.1.2. Instructions concerning specific positions Columns 010-030 RELEVANT INDICATOR Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks. Hereafter, the term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the financial year as defined in Article 316 point 1, Table1 of CRR. If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore if there are no historical data on ‘relevant indicator’ available the institution may use forward-looking business estimates. 040-060 LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION) These columns shall be used to report the amounts of the loans and advances for business lines ‘Commercial banking’ and ‘Retail banking’, as referred to in Article 319(1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319(1) point (a) of CRR). For the ‘commercial banking’ business line, securities held in the non-trading book shall also be included. 070 OWN FUND REQUIREMENT The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070. 071 TOTAL OPERATIONAL RISK EXPOSURE AMOUNT Article 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5. 080 OF WHICH: DUE TO AN ALLOCATION MECHANISM Article 18(1) of CRR (related to the inclusion, in the application referred to in Article 312(2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company. 090-120 AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE 090 OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below). 100 (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322(2) point (a) of CRR) is reported. 110 (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a ‘perfect dependence’ situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than ‘perfect dependence’ between the risk classes). The ‘perfect dependence’ situation occurs in the ‘default case’, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the ‘default case’ and that obtained after applying the correlations structure between the risk classes. The value reflects the ‘diversification capacity’ of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported. 120 (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported. Rows 010 BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR). 020 BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported. 030-100 SUBJECT TO TSA In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR. 110-120 SUBJECT TO ASA Institutions using the ASA (Article 319 of CRR) shall report for the respective years 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 AMA The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported. In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks. 4.2. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS) 4.2.1. General Remarks 120. Template C 17.01 (OPR DETAILS 1) 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. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the last year. 121. Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02. 122. In case of a combined use of different approaches for the calculation of own funds requirements for operational risk according to Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02 irrespective of the approach applied to calculate own funds requirements. 123. ‘Gross loss’ means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of CRR — before recoveries of any type, without prejudice to ‘rapidly recovered loss events’ as defined below. 124. ‘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. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries. 125. ‘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. 126. ‘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). 127. Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (‘root-event’) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts respectively amounts of loss adjustments shall be summed up. 128. 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 January to 30 June of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported as of June and December, ‘previous reporting reference periods’ means all reporting reference periods until and including the one ending at the preceding calendar year end. 129. In order to verify the conditions envisaged by Article 5 (b) (2) (b) (i) of this Regulation, 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’. In order to verify the conditions envisaged by Article 5 (b) 2 (b) (iii), the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used. 4.2.2. C 17.01: Operational risk losses and recoveries by business lines and event types in the last year (OPR DETAILS 1) 4.2.2.1. General Remarks 130. In template C 17.01, the information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317, Table 2 of CRR including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR) and event types (as defined in Article 324 CRR), being possible that the losses corresponding to one event are distributed amongst several business lines. 131. 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. 132. Rows present the business lines, and within each business line, information on the number of events (new events), the gross loss amount (new events), the number of events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms). 133. For the total business lines, data on the number of events and the gross loss amount is also required for certain ranges based on set thresholds, 10,000, 20,000, 100,000, and 1 000 000 . 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. 4.2.2.2. Instructions concerning specific positions Columns 0010-0070 EVENT TYPES Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 CRR. Institutions that calculate their own funds requirement according to BIA may report those losses for which the event type is not identified in column 080 only. 0080 TOTAL EVENT TYPES In column 080, for each business line, institutions report the total ‘number of events (new events)’, the total of ‘gross loss amount (new events)’, the total ‘number of events subject to loss adjustments’, the total of ‘loss adjustments relating to previous reporting periods’, the ‘maximum single loss’, the ‘sum of the five largest losses’, the total of ‘total direct loss recovery’ and the total of ‘total recovery from insurance and other risk transfer mechanisms’. Provided that the institution has identified the event types for all losses, column 080 shows the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the ‘loss adjustments relating to previous reporting periods’ reported in columns 010 to 070. The ‘maximum single loss’ reported in column 080 is the maximum single loss within a business line and identical to the maximum of the ‘maximum single losses’ reported in columns 010 to 070, provided that the institution has identified the event types for all losses. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported. 0090-0100 MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c), last sentence 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 0010-0880 BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS For each business line as defined in Article 317(4), table 2 CRR, including the additional business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, and for each event type, the institution shall report, according to the internal thresholds the following information: number of events (new events), gross loss amount (new events), the number of events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms. For a loss event that affects more than one business line the ‘gross loss amount’ is distributed among all the affected business lines. Institutions that calculate their own funds requirement according to BIA can report those losses for which the business line is not identified in rows 910-980 only. 0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810 Number of events (new events) The number of events is the number of operational risk events for which gross losses were accounted for within the reporting reference period. The number of events shall refer to ‘new events’, i.e. operational risk events (i) ‘accounted for the first time’ within the reporting reference period or (ii) ‘accounted for the first time’ within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period. ‘New events’ do not include operational risk events ‘accounted for the first time’ within a previous reporting reference period, which had been included already in previous supervisory reports. 0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820 Gross loss amount (new events) The gross loss amount is the gross loss amounts pertinent to operational risk events (e.g. direct charges, provisions, settlements). All losses related to a single event which are accounted for within the reporting reference period are summed up and considered as the gross loss for that event for that reporting reference period. The reported gross loss amount shall refer to ‘new events’ as defined in the row above. For events ‘accounted for the first time’ within a previous reporting reference period which had not been included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date. The amounts to be reported do not take into account obtained recoveries. 0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830 Number of loss events subject to loss adjustments The number of loss events subject to loss adjustments is the number of operational risk events ‘accounted for the first time’ in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period. If more than one loss adjustment was made for an event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period. 0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840 Loss adjustments relating to previous reporting periods Loss adjustments relating to previous reporting reference periods is the sum of the following elements (positive or negative): (i) the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events ‘accounted for the first time’ and reported in previous reporting reference periods; (ii) the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk events ‘accounted for the first time’ and reported in previous reporting reference periods. If more than one loss adjustment was made for an event within the reporting reference period, the amounts of all those loss adjustments are summed up, taking into account the sign of the adjustments (positive, negative). This sum is considered as the loss adjustment for that event for that reporting reference period. If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself. The amounts to be reported do not take into account obtained recoveries. 0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850 Maximum single loss The Maximum single loss is the larger of (i) the largest gross loss amount related to an event reported for the first time within the reporting reference period and (ii) the largest positive loss adjustment amount (as defined above) related to an event reported for the first time within a previous reporting reference period. The amounts to be reported do not take into account obtained recoveries. 0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860 Sum of the five largest losses The sum of the five largest losses is the sum of the five largest amounts among (i) the gross loss amounts for events reported for the first time within the reporting reference period and (ii) the positive loss adjustment amounts (as defined for rows 040, 140, …, 840 above) relating to events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones is the amount of the loss adjustment itself, not the total loss associated with the respective event before or after the loss adjustment. The amounts to be reported do not take into account obtained recoveries. 0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870 Total direct loss recovery Direct recoveries are all recoveries obtained except those which are subject to Article 323 CRR as reported in the row below. The total direct loss recovery is the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk events accounted for the first time within the reporting reference period or in previous reporting reference periods. 0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880 Total recovery from insurance and other risk transfer mechanisms Recoveries from insurance and other risk transfer mechanisms are those recoveries which are subject to Article 323 CRR. The total recovery from insurance and other risk transfer mechanisms is the sum of all the recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted within the reporting reference period and pertinent to operational risk events accounted for the first time within the reporting reference period or in previous reporting reference periods. 0910-0980 TOTAL BUSINESS LINES For each event type (column 010 to 080), the information (Article 322(3) lit. b), c) and e) of CRR on total business lines has to be reported. 0910-0914 Number of Events In 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. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case. In rows 911 – 914, the number of events with a gross loss amount within the ranges defined in the pertinent rows shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080: — The total number of events reported in rows 910 to 914 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 figure reported in column 080, 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. 0920-0924 Gross loss amount (new events) Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, the gross loss amount (new events) reported in row 920 is the simple aggregation of the gross loss amounts of new events for each business line. In rows 921 – 924, the gross loss amount for events with a gross loss amount within the ranges defined in the pertinent rows shall be reported. 0930, 0935, 0936 Number of loss events subject to loss adjustments In row 930, the total of the numbers of events subject to loss adjustments as defined for rows 030, 130, …, 830 shall be reported. This figure may be lower than the aggregation of the number of events subject to loss adjustments by business lines since events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case. The number of loss events subject to loss adjustments shall be broken down into the number of events for which a positive loss adjustment was made within the reporting reference period and the number of events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign). 0940, 0945, 0946 Loss adjustments relating to previous reporting periods In row 940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as defined for rows 040, 140, …, 840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 of CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) of CRR, the amount reported in row 940 is the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines. The amount of loss adjustments shall be broken down into the amount related to events for which a positive loss adjustment was made in the reporting reference period (row 945, reported with as positive figure) and the amount related to events for which a negative loss adjustment was made within the reporting period (row 946, reported as negative figure). If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself. 0950 Maximum single loss Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, 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. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080: — The maximum single loss reported shall be equal to the highest of the values reported in columns 010 – 070 of this row. — If there are events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of ‘Maximum single loss’ per business line reported in other rows of column 080. 0960 Sum of the five largest losses 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 of the number of losses. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, for column 080, the sum of the five largest losses shall be 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 row 960 nor the maximum value of ‘sum of the five largest losses’ in column 080. 0970 Total direct loss recovery Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, the total direct loss recovery is the simple aggregation of the total direct loss recovery for each business line. 0980 Total recovery from insurance and other risk transfer mechanisms Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘Corporate items’ as referred to in Article 322(3) point (b) CRR, the total recovery from insurance and other risk transfer mechanisms is the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line. 4.2.3. C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2) 4.2.3.1. General Remarks 134. In template C 17.02, information on individual loss events shall be provided (one row per event). 135. The information reported in this template shall refer to ‘new events’, i.e. operational risk events (a) ‘accounted for the first time’ within the reporting reference period or (b) ‘accounted for the first time’ within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.. 136. Only events entailing a gross loss amount of 100,000 EUR or more shall be reported. 1. Subject to that threshold, (a) the largest event for each event type, provided that the institution has identified the event types for losses and (b) at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template. (c) Events are ranked based on the gross loss attributed to them. (d) An event shall only be considered once. 4.2.3.2. Instructions concerning specific positions Columns 0010 Event ID The event ID is a row identifier and shall be unique for each row in the table. Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc. 0020 Date of Accounting Date of accounting means the date when a loss or reserve/provision against an operational risk loss was first recognized in the Profit and Loss statement. 0030 Date of occurrence Date of occurrence is the date when the operational risk event happened or first began. 0040 Date of discovery Date of discovery is the date on which the institution became aware of the operational risk event. 0050 Event Type Event types as defined in Article 324 CRR 0060 Gross loss Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above 0070 Gross loss net of direct recoveries Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above net of direct recoveries pertinent to that loss event 0080 - 0160 Gross loss by business line The gross loss as reported in column 060 shall be allocated to the relevant business lines as defined in Articles 317 and 322 (3) point (b) CRR. 0170 Legal Entity name Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. 0180 Legal Entity ID LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. 0190 Business Unit Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred. 0200 Description Narrative description of the event, where necessary in an generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the event, where known. 5. MARKET RISK TEMPLATES 137. 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. 138. 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 139. 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 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.. 140. 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, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies. 5.1.2. Instructions concerning specific positions Columns 010-020 ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR. 030-040 NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR. 050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. 060 OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR. 070 TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. Rows 010-350 TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used. 011 GENERAL RISK. 012 Derivatives Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable. 013 Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. 020-200 MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of CRR and the correspondent own funds requirements set up in Article 339(9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments. 210-240 GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach according to Article 340(1) to (6) of CRR and the correspondent own funds requirements set up in Article 340(7) of CRR. The position shall be split by zones 1, 2 and 3. 250 SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92(3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327(1) of CRR. 251-321 Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332(1) point (e) para 1 and 2 CRR – ‘look-through’). N-th-to-default credit derivatives which are rated externally (Article 332(1) point (e) para 3 CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129(3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity. If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied. 325 Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI. 330 Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI. 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 141. 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. On reporting reference dates that are after 1 January 2019, securitisations held in the trading book, the own funds requirement for specific risk of which is determined based on CRR, i.e where the own funds requirement is calculated in accordance with the revised securitisation framework, shall not be reported in this template, but only in template C 02.00. Equally, on reporting reference dates that are after 1 January 2019, securitisation positions which are subject to a 1 250 % risk weight in accordance with the CRR and which are deducted from CET1 in accordance with Article 36(1) point (k) (ii) of the CRR, shall not be reported in this template, but only in template C 01.00. 141a. For the purposes of this template, all references to the Articles of Part Three, Title II, chapter 5 of CRR and Article 337 CRR shall be read as references to CRR in the version applicable on 31 December 2018. 142. 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. 143. Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1. 5.2.2. Instructions concerning specific positions Columns 010-020 ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR. 030-040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 258 of CRR. 050-060 NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR. 070-520 BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions. 230-240 and 460-470 1 250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. 250-260 and 480-490 SUPERVISORY FORMULA METHOD Article 337(2) of CRR in connection with Article 262 of CRR. These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche. 270 and 500 LOOK THROUGH SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR. 280-290/510-520 INTERNAL ASSESSMENT APPROACH Article 109(1) sentence 2 and Article 259(3) and (4) of CRR. These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI’s methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception. 530-540 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS Article 337(3) of CRR in connection with Article 407 of CRR. Article 14(2) of CRR 550-570 BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss. 580-600 AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS Article 337 of CRR taking into account the discretion of Article 335 of CRR. 610 TOTAL OWN FUNDS REQUIREMENTS According to Article 337(4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (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 EXPOSURES Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor. 040,070 and 100 SECURITISATIONS Article 4(61) and (62) of CRR. 020,050, 080 and110 RE-SECURITISATIONS Article 4(63) of CRR. 030-050 ORIGINATOR Article 4(13) of CRR 060-080 INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor 090-110 SPONSOR Article 4(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 TYPES Article 337(4), last sentence of CRR. The breakdown of the underlying assets follows the classification used in the SEC Details template (Column ‘Type’): — 1-residential mortgages; — 2-commercial mortgages; — 3-credit card receivables; — 4-leasing; — 5-loans to corporates or SMEs (treated as corporates); — 6-consumer loans; — 7-trade receivables; — 8-other assets; — 9-covered bonds; — 10-other liabilities. For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type. 5.3. C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 5.3.1. General Remarks 144. 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. 145. 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. 146. 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’. 147. Positions which receive a risk weight of 1,250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1. 5.3.2. Instructions concerning specific positions Columns 010-020 ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338(2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR. 030-040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 258 of CRR. 050-060 NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR. 070-400 BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB) Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. 160 and 330 OTHER Other risk weights not explicitly mentioned in the previous columns. For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or – if they are incorporated into the CTP – shall be assigned to the column of the respective risk weight. 170-180 and 360-370 1 250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. 190 -200 and 340 -350 SUPERVISORY FORMULA METHOD Article 337(2) of CRR in connection with Article 262 of CRR. 210/380 LOOK THROUGH SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR. 220-230 and 390-400 INTERNAL ASSESSMENT APPROACH Article 259(3) and (4) of CRR. 410-420 BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS Article 338 without taking into account the discretion of Article 335 of CRR. 430-440 AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS Article 338 taking into account the discretion of Article 335 of CRR. 450 TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440). Rows 010 TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor. 020-040 ORIGINATOR Article 4(13) of CRR 050-070 INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor 080-100 SPONSOR Article 4(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 SECURITISATIONS The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338(2) and (3) of CRR. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘Other CTP positions’. 110 N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives. 040, 070, 100 and 120 OTHER CTP POSITIONS The positions in: — Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions; — 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 148. 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. 149. 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’ (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014). 5.4.2. Instructions concerning specific positions Columns 010-020 ALL POSITIONS (LONG AND SHORT) Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). 030-040 NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 of CRR. 050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures according to the second sentence of Article 344(4) CRR shall not be included in this column. 060 OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR. 070 TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. Rows 010-130 EQUITIES IN TRADING BOOK Own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR. 020-040 GENERAL RISK Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR. Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements. 021 Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable. 022 Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions. 030 Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344(1) 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 diversified Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR. 050 SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR. 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 150. 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. 151. Rows 100 to 480 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. In those memorandum items, all the positions in the reporting currency are included, irrespective of the extent to which they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the 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 CHARGE Articles 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 in non-reporting currencies 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 090 OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR. 100 TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5. Rows 010 TOTAL POSITIONS All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements according to Article 92(3) point (c) (i) and Article 352(2) and (4) of CRR (for conversion into the reporting currency). 020 CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR. 025 Currencies closely correlated: of which: reporting currency Positions in the reporting currency which contribute to the calculation of the capital requirements according to Article 354 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 GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR. 050 - 090 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 352(5) and (6) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. 100-120 Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items. 100 Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here. 110 Off-balance sheet items Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting. 120 Derivatives Positions valued according to Articles 352 CRR. 130-480 MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled out separately for All currencies of the Member States of the 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 152. 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 CHARGE Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge. 060 OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR. 070 TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5. Rows 010 TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk according to Article 92(3) point (c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR. 020-060 POSITIONS BY CATEGORY OF COMMODITY For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR. 070 MATURITY LADDER APPROACH Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR. 080 EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR 090 SIMPLIFIED APPROACH Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR. 100-140 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation 5.7. C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM) 5.7.1. General Remarks 153. 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. 154. Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR/Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome. 5.7.2. Instructions concerning specific positions Columns 030-040 VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon. 030 Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Articles 364(1) point (a) (ii) and 365 (1) of CRR. 040 Previous day VaR (VaRt-1) Articles 364(1) point (a) (i) and 365 (1) of CRR. 050-060 Stressed VaR It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio. 050 Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Articles 364(1) point (b) (ii) and 365 (1) of CRR. 060 Latest available (SVaRt-1) Articles 364(1) point (b) (i) and 365 (1) of CRR. 070-080 INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364(2) point (b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR. 070 12 weeks average measure Article 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR. 080 Last Measure Article 364(2) point (b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR. 090-110 ALL PRICE RISKS CAPITAL CHARGE FOR CTP 090 FLOOR Article 364(3) point (c) of CRR. = 8 % of the capital charge that would be calculated in accordance with Article 338(1) of CRR for all positions in the ‘all price risks’ capital charge. 100-110 12 WEEKS AVERAGE MEASURE AND LAST MEASURE Article 364(3) point (b). 110 LAST MEASURE Article 364(3) point (a) 120 OWN FUNDS REQUIREMENTS Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364(2) of CRR. 130 TOTAL RISK EXPOSURE AMOUNT Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5. 140 Number of overshootings (during previous 250 working days) Referred to in Article 366 of CRR. The number of overshootings based on which the addend is determined shall be reported. 150-160 VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 of CRR. 170-180 ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364(3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss. Rows 010 TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of CRR linked to the risk factors specified in Article 367(2) of CRR. Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items. 020 TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367(2) of CRR. 030 TDI – GENERAL RISK General risk defined in Article 362 of CRR. 040 TDI – SPECIFIC RISK Specific risk defined in Article 362 of CRR. 050 EQUITIES Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367(2) of CRR. 060 EQUITIES – GENERAL RISK General risk defined in Article 362 of CRR. 070 EQUITIES – SPECIFIC RISK Specific risk defined in Article 362 of CRR. 080 FOREIGN EXCHANGE RISK Articles 363(1) and 367 (2) of CRR. 090 COMMODITY RISK Articles 363(1) and 367 (2) of CRR. 100 TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable). 110 TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable). 5.8. C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA) 5.8.1. Instructions concerning specific positions Columns 010 Exposure value Article 271 of CRR in accordance with article 382 of CRR Total EAD from all transactions subject to CVA charge 020 Of which: OTC derivatives Article 271 of CRR in accordance with Article 382(1) of CRR The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set 030 Of which: SFT Article 271 of CRR in accordance with Article 382(2) of CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set 040 MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 of CRR in accordance with Article 363(1)(d) of CRR VaR calculation based on internal models for market risk 050 PREVIOUS DAY (VaRt-1) See instructions referring to column 040 060 MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions referring to column 040 070 LATEST AVAILABLE (SVaRt-1) See instructions referring to column 040 080 OWN FUNDS REQUIREMENTS Article 92(3) d) of CRR Own funds requirements for CVA Risk calculated via the chosen method 090 TOTAL RISK EXPOSURE AMOUNT Article 92(4) b) of CRR Own funds requirements multiplied by 12,5. Memorandum items 100 Number of counterparties Article 382 of CRR Number of counterparties included in calculation of own funds for CVA risk Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party. 110 Of which: proxy was used to determine credit spread number of counterparties where the credit spread was determined using a proxy instead of directly observed market data 120 INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties 130 SINGLE NAME CDS Article 386(1) lit. a of CRR Total notional amounts of single name CDS used as hedge for CVA risk 140 INDEX CDS Article 386(1) lit. b) of CRR Total notional amounts of index CDS used as hedge for CVA risk Rows 010 CVA risk total Sum of rows 020-040 as applicable 020 According to Advanced method Advanced CVA risk method as prescribed by Article 383 of CRR 030 According to Standardised method Standardised CVA risk method as prescribed by Article 384 of CRR 040 Based on OEM Amounts subject to the application of Article 385 of CRR 6. PRUDENT VALUATION (PRUVAL) 6.1. C 32.01 — PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1) 6.1.1. General remarks 154a. This template shall be completed by all institutions, whether or not they have adopted the simplified approach for the determination of Additional Valuation Adjustments (‘AVAs’). It is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether or not the conditions set out in Article 4 of Delegated Regulation (EU) 2016/101 on prudent valuation for using the simplified approach for the determination of AVAs are met. 154b. With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds under Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101 on prudent valuation, which shall be reported accordingly in row 290 of C 01.00. 6.1.2. Instructions concerning specific positions Columns 0010 FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation, before any deduction pursuant to Article 4(2) is performed. 0020 OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book. 0030-0070 FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 Absolute value of fair-valued assets and liabilities excluded pursuant to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0030 Exactly matching Exactly matching, offsetting fair-valued assets and liabilities excluded according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0040 Hedge accounting For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0050 PRUDENTIAL Filters Absolute value of fair-valued assets and liabilities excluded according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation due to the transitional filters referred to in Articles 467 and 468 of CRR. 0060 Other Any other positions excluded according to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation due to adjustments to their accounting value having only a proportional effect on CET1 capital. This row shall only be populated in rare cases where elements excluded pursuant to Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation cannot be assigned to columns 30 , 40 or 50 of this template. 0070 Comment for other The main reasons why the positions reported in column 60 were excluded shall be provided. 0080 FAIR-VALUED Assets and Liabilities included in ART. 4(1) threshold Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0090 OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in column 80 , corresponding to positions held in the trading book. Rows 0010 – 0210 The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2. 0010 1 TOTAL FAIR-VALUED ASSETS AND LIABILITIES Total of fair-valued assets and liabilities reported in rows 20 to 210. 0020 1.1 TOTAL FAIR-VALUED ASSETS Total of fair-valued assets reported in rows 30 to 140 . Relevant cells of rows 30 to 130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Regulation depending on the institution’s applicable standards: — IFRS as endorsed by the Union in application of Regulation (EU) No 1606/2002 (‘EU IFRS’) — National accounting standards compatible with EU IFRS (‘National GAAP compatible IFRS’) or — National GAAP based on Directive 86/635/EC, the Bank Accounting Directive (FINREP ‘National GAAP based on BAD’). 0030 1.1.1 FINANCIAL ASSETS HELD FOR TRADING IFRS 9.Appendix A. The information reported in this row shall correspond to row 050 of template F 01.01 of Annexes III and IV to this Regulation. 0040 1.1.2 TRADING FINANCIAL ASSETS BAD Article 32-33; Annex V. Part 1.17. The information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this Regulation. 0050 1.1.3 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(ii); IFRS 9.4.1.4. The information reported in this row shall correspond to row 096 of template F 01.01 of Annexes III and IV to this Regulation. 0060 1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IFRS 9.4.1.5; Accounting Directive art 8(1)(a), (6). The information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this Regulation. 0070 1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2 A. The information reported in this row shall correspond to row 141 of template F 01.01 of Annexes III and IV to this Regulation. 0080 1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS BAD art 36(2). The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Regulation. 0090 1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY Accounting Directive art 8(1)(a), (8). The information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Regulation. 0100 1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS BAD art 37; Accounting Directive Article 12(7); Annex V. Part 1.20. The information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Regulation. 0110 1.1.9 DERIVATIVES — HEDGE ACCOUNTING IFRS 9.6.2.1; Annex V. Part 1.22; Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V. Part 1.22. The information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this Regulation. 0120 1.1.10 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(a); IFRS 9.6.5.8; Accounting Directive art 8(5), (6). The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Regulation. 0130 1.1.11 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES IAS 1.54(e); Annex V. Part 1.21, Part 2.4; BAD art 4.Assets(7)-(8); Accounting Directive art 2(2). The information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Regulation. 0140 1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE Annex V Part 1.29. The information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Regulation. 0150 1.2 TOTAL FAIR-VALUED LIABILITIES Total of fair-valued liabilities reported in rows 160 to 210 . Relevant cells of rows 150 to 190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Regulation depending on the institution’s applicable standards: — IFRS as endorsed by the Union in application of Regulation (EU) No 1606/2002 (‘EU IFRS’) — National accounting standards compatible with EU IFRS (‘National GAAP compatible IFRS’) — or National GAAP based on Directive 86/635/EC, the Bank Accounting Directive (FINREP ‘National GAAP based on BAD’). 0160 1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING IFRS 7.8 (e) (ii); IFRS 9.BA.6. The information reported in this row shall correspond to row 010 of template F 01.02 of Annexes III and IV to this Regulation. 0170 1.2.2 TRADING FINANCIAL LIABILITIES Accounting Directive art 8(1)(a),(3),(6). The information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this Regulation. 0180 1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8 (e)(i); IFRS 9.4.2.2; Accounting Directive art 8(1)(a), (6); IAS 39.9. The information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Regulation. 0190 1.2.4 DERIVATIVES — HEDGE ACCOUNTING IFRS 9.6.2.1; Annex V. Part 1.26; Accounting Directive art 8(1)(a), (6), (8)(a). The information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this Regulation. 0200 1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(b), IFRS 9.6.5.8; Accounting Directive art 8(5), (6); Annex V. Part 2.8. The information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Regulation. 0210 1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE Annex V Part 1.29 The information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Regulation. 6.2. C 32.02 — PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) 6.2.1. General remarks 154c. The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs. 154d. This template shall be completed by all institutions that: (a) are required to use the Core approach because they exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation, either on an individual basis or on a consolidated basis as set out in Article 4(3) the Delegated Regulation (EU) 2016/101 on prudent valuation or (b) have chosen to apply the Core approach despite not exceeding the threshold. 154e. For the purposes of this template, ‘upside uncertainty’ shall be defined as follows: As determined by Article 8(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, AVAs are calculated as the difference between the fair value and a prudent valuation that is defined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or ‘upside uncertainty’ is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA. 6.2.2. Instructions concerning specific positions Columns 0010 - 0100 CATEGORY LEVEL AVA The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9 to 11 and 14 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation respectively. For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out under Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of the Delegated Regulation (EU) 2016/101 on prudent valuation are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template]. For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as defined in Articles 9(5)(b), 10(6)(b) and 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation shall be separately reported in columns 20 , 40 and 60 . 0010 MARKET PRICE UNCERTAINTY Article 105(10) CRR. Market price uncertainty AVAs computed according to Article 9 of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0020 OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Market price uncertainty AVAs computed according to Article 9(5)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0030 CLOSE-OUT COSTS Article 105(10) CRR. Close-out costs AVAs computed according to Article 10 of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0040 OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Close-out costs AVAs computed according to Article 10(6)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0050 MODEL RISK Article 105(10) CRR Model risk AVAs computed according to Article 11 of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0060 OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH Model risk AVAs computed according to Article 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0070 CONCENTRATED POSITIONS Article 105(11) CRR Concentrated positions AVAs as computed under Article 14 of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0080 FUTURE ADMINISTRATIVE COSTS Article 105(10) CRR Future administrative costs AVAs as computed under Article 15 of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0090 EARLY TERMINATION Article 105(10) CRR Early termination AVAs as computed under Article 16 of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0100 OPERATIONAL RISK Article 105(10) CRR Operational risk AVAs as computed under Article 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0110 TOTAL AVA Row 10 : total AVA to be deducted from own funds under Articles 34 and 105 CRR and reported accordingly in row 290 of C 01.00. The total AVA shall be the sum of rows 30 and 180 . Row 20 : Share of the total AVA reported in row 10 stemming from trading book positions (absolute value). Rows 30 to 160 : Sum of columns 10 , 30 , 50 and 70 to 100 . Rows 180 to 210 : Total AVA stemming from portfolios under the fall-back approach. 0120 UPSIDE UNCERTAINTY Article 8(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 110 , but substituting a 10 % level of certainty for the 90 % used when determining the total AVA. 0130 -0140 FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 10 to 130 and row 180 . For some rows, in particular rows 90 to 130 , these amounts may have to be approximated or allocated based on expert judgement. Row 10 : Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 70 and 80 . Row 10 is the sum of row 30 and row 180 . Row 20 : share of total absolute value of fair-valued assets and liabilities reported in row 10 stemming from trading book positions (absolute value). Row 30 : Absolute value of fair-valued assets and liabilities corresponding to the portfolios under Articles 9 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 70 and 80 . Row 30 shall be the sum of rows 90 to 130 . Row 50 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore. Row 60 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore. Row 70 : Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation. Row 80 : Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of t the Delegated Regulation (EU) 2016/101 on prudent valuation. Rows 90 to 130 : Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) according to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 70 and 80 . Row 180 : Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach 0130 FAIR-VALUED ASSETS Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above. 0140 FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above. 0150 QTD REVENUE The quarter-to-date revenues (‘QTD revenue’) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment. 0160 IPV DIFFERENCE The sum across all positions and risk factors of unadjusted difference amounts (‘IPV difference’) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) of CRR, with respect to the best available independent data for the relevant position or risk factor. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. 0170 - 0250 FAIR VALUE ADJUSTMENTS Adjustments, sometimes also referred to as ‘reserves’, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding Deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique, that are in a form of a risk premium or exit cost and are compliant with the definition of Fair value. They should nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88) 0170 MARKET PRICE UNCERTAINTY Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA. 0180 CLOSE-OUT COSTS Adjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the Close-out costs AVA. 0190 MODEL RISK Adjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (‘valuation model’) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations, and thus that can be identified as addressing the same source of valuation uncertainty as the Model risk AVA. 0200 CONCENTRATED POSITIONS Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based, and thus that can be identified as addressing the same source of valuation uncertainty as the Concentrated positions AVA. 0210 UNEARNED CREDIT SPREADS Adjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment ‘CVA’ at institution level). 0220 INVESTING AND FUNDING COSTS Adjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment). 0230 FUTURE ADMINISTRATION COSTS Adjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA. 0240 EARLY TERMINATION Adjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model, and thus that can be identified as addressing the same source of valuation uncertainty as the Early termination AVA. 0250 OPERATIONAL RISK Adjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus that can be identified as addressing the same source of valuation uncertainty as the Operational risk AVA. 0260 DAY 1 P&L Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A). 0270 EXPLANATION DESCRIPTION Description of the positions treated under Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation and the reason why it was not possible to apply Articles 9 to 17 thereof. Rows 0010 1. TOTAL CORE APPROACH Article 7(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation For each relevant category of AVAs referred to in columns 10 to 110 , total AVAs computed under the Core approach as set out in Chapter 3 of t the Delegated Regulation (EU) 2016/101 on prudent valuation for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the diversification benefits reported in row 140 in accordance with Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0020 OF WHICH: TRADING BOOK Article 7(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation For each relevant category of AVAs referred to in columns 10 to 110 , share of total AVAs reported in row 10 stemming from trading book positions (absolute value). 0030 1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 — TOTAL CATEGORY LEVEL POST-DIVERSIFICATION Article 7(2)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation For each relevant category of AVAs referred to in columns 10 to 110 , total AVAs computed according to Articles 9 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation, except fair-valued assets and liabilities subject to the treatment described in Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the AVAs computed in accordance with Articles 12 and 13 of the Delegated Regulation (EU) 2016/101 on prudent valuation that are reported in rows 50 and 60 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the diversification benefits reported in row 140 in accordance with Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation. Row 30 is therefore expected to be the difference between rows 40 and 140 . 0040 - 0130 1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION For rows 90 to 130 , institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation (trading book and non-trading book) according to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. To this end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information, which correspond to the allocated business lines or trading desks, shall then be allocated to the same relevant risk category, in order to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 40 being the sum of rows 50 to 130 for columns 10 to 100 . Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments). The breakdown in rows 90 to 130 excludes the AVAs computed in accordance with Articles 12 and 13 of the Delegated Regulation (EU) 2016/101 on prudent valuation that are reported in rows 50 and 60 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation. Diversification benefits are reported in row 140 in accordance with Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation and are therefore excluded from rows 40 to 130 . 0050 OF WHICH: UNEARNED CREDIT SPREADS AVA Article 105(10) CRR, Article 12 of the Delegated Regulation (EU) 2016/101 on prudent valuation The total AVA calculated for unearned credit spreads (‘AVA on CVA’) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of the Delegated Regulation (EU) 2016/101 on prudent valuation. Column 110 : The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 130 and 140 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore. 0060 OF WHICH: INVESTMENT AND FUNDING COSTS AVA Article 105(10) CRR, Article 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of the Delegated Regulation (EU) 2016/101 on prudent valuation. Column 110 : The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 130 and 140 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore. 0070 OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0080 OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3) Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0090 1.1.1.1 INTEREST RATES 0100 1.1.1.2 FOREIGN EXCHANGE 0110 1.1.1.3 CREDIT 0120 1.1.1.4 EQUITIES 0130 1.1.1.5 COMMODITIES 0140 1.1.2 (-) Diversification BenefitS Total diversification benefit. Sum of rows 150 and 160 . 0150 1.1.2.1 (-) Diversification Benefit calculated using Method 1 For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of the Delegated Regulation (EU) 2016/101 on prudent valuation, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation. 0160 1.1.2.2 (-) Diversification Benefit calculated using Method 2 For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of the Delegated Regulation (EU) 2016/101 on prudent valuation, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation. 0170 1.1.2.2 Memorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2 In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV). 0180 1.2 Portfolios calculated under the fall-back approach Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation For portfolios subject to the fall-back approach under Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA shall be computed as a sum of rows 190 , 200 and 210 . Relevant balance sheet and other contextual information shall be provided in columns 0130 - 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation shall be provided in column 270 . 0190 1.2.1 Fall-back approach; 100 % unrealised profit Article 7(2)(b)(i) of the Delegated Regulation (EU) 2016/101 on prudent valuation 0200 1.2.2 Fall-back approach; 10 % notional value Article 7(2)(b)(ii) of the Delegated Regulation (EU) 2016/101 on prudent valuation 0210 1.2.3 Fall-back approach; 25 % of inception value Article 7(2)(b)(iii) of the Delegated Regulation (EU) 2016/101 on prudent valuation 6.3. C 32.03 — PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3) 6.3.1. General remarks 154f. This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level. 154g. This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of the Delegated Regulation (EU) 2016/101 on prudent valuation. This information corresponds to the information reported in column 50 of template C 32.02. 154h. The top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs. 154i. Products corresponding to these top individual model risk AVAs shall be reported using the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 154j. Where products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution. 6.3.2. Instructions concerning specific positions Columns 0005 RANK The rank is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on. 0010 MODEL Internal name (alpha-numerical) of the model used by the institution to identify the model. 0020 RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment. Institutions shall report the following codes: IR – interest rates FX – foreign exchange CR – credit EQ – equities CO – commodities 0030 PRODUCT Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation, that is valued using the model. 0040 OBSERVABILITY Number of price observations for the product or group of products in the last 12 months that meet either of the following criteria: — The price observation is a price at which the institution has conducted a transaction — It is a verifiable price for an actual transaction between third parties — The price is obtained from a committed quote. Institutions shall report one of the following values: ‘none’, ‘1-6’, ‘6-24’, ‘24-100’, ‘100+’. 0050 MODEL RISK AVA Article 11(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation Individual model risk AVA before diversification benefit, but after portfolio netting where relevant. 0060 OF WHICH: USING EXPERT-BASED APPROACH Amounts in column 50 that have been calculated under the expert-based approach as defined in Article 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0070 OF WHICH: AGGREGATED USING METHOD 2 Amounts in column 0050 that have been aggregated under Method 2 of Annex to the Delegated Regulation (EU) 2016/101 on prudent valuation. This corresponds to FV – PV in the terminology of the Annex. 0080 AGGREGATED AVA CALCULATED UNDER METHOD 2 The contribution towards the total category level AVA for model risk, as computed according to Article 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation, of individual model risk AVAs that are aggregated using Method 2 of the Annex to the Delegated Regulation (EU) 2016/101 on prudent valuation. This corresponds to APVA in the terminology of the Annex. 0090 -0100 FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework. 0090 FAIR-VALUED ASSETS Absolute value of fair-valued assets valued using the model reported in column 10 as stated in the financial statements under the applicable framework. 0100 FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework. 0110 IPV DIFFERENCE (OUTPUT TESTING) The sum of unadjusted difference amounts (‘IPV difference’) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Art 105(8) of CRR, with respect to the best available independent data for the corresponding product or group of products. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included. 0120 IPV COVERAGE (OUTPUT TESTING) The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 110 . 0130 – 0140 FAIR VALUE ADJUSTMENTS Fair Value adjustments as defined in columns 190 and 240 of template C 32.02 that have been applied to the positions mapped to the model in column 10 . 0150 DAY 1 P&L Adjustments as defined in column 260 of template C 32.02 that have been applied to the positions mapped to the model in column 10 . 6.4 C 32.04 — PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4) 6.4.1. General remarks 154k. This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation at their level. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level. 154l. This template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of the Delegated Regulation (EU) 2016/101 on prudent valuation. This information shall correspond to the information reported in column 70 of template C 32.02. 154m. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs. 154n. Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 154o. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible in order to maximise the coverage of this template. 6.4.2. Instructions concerning specific positions Columns 0005 RANK The rank is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on. 0010 RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position. Institutions shall report the following codes: IR – Interest Rates FX – Foreign exchange CR – Credit EQ – Equities CO – Commodities 0020 PRODUCT Internal name for the product or group of products in line with the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0030 UNDERLYING Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives. 0040 CONCENTRATED POSITION SIZE Size of the individual concentrated valuation position identified according to Article 14(1)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation, expressed in the unit described in column 50 . 0050 SIZE MEASURE Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 40 . In the case of positions in bonds or equity, please report the unit used for internal risk management, such as ‘number of bonds’, ‘number of shares’ or ‘market value’. In the case of position in derivatives, please report the unit used for internal risk management, such as ‘PV01; EUR per 1 basis point parallel yield curve shift’. 0060 MARKET VALUE Market value of the position. 0070 PRUDENT EXIT PERIOD The prudent exit period in number of days estimated under Art 14(1)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation. 0080 CONCENTRATED POSITIONS AVA The concentrated positions AVA amount calculated according to Article 14(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation for the individual concentrated valuation position concerned. 0090 CONCENTRATED POSITION FAIR VALUE ADJUSTMENT The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based. The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned. 0100 IPV DIFFERENCE The sum of unadjusted difference amounts (‘IPV difference’) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Art 105(8) of CRR, with respect to the best available independent data for the individual concentrated valuation position concerned. Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. 7. C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV) 7.1. GENERAL REMARKS 155. The information for the purpose of template C 33.00 shall cover all exposures to ‘General governments’ as defined in paragraph 42 (b) of Annex V. 156. Exposures to ‘General governments’ are included in different exposure classes in accordance with Article 112 and Article 147 of CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02. 157. Table 2 (Standardised approach) and Table 3 (IRB approach), included in Part 3 of Annex 5, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector ‘General governments’. 158. Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis. 159. The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction includes the incidence of credit risk mitigation techniques, including substitution effects. 160. The reporting of information on exposures to ‘General governments’ by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds in Article 5 (b) point 3 of this Regulation. 7.2. SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’ 161. The scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to ‘General governments’ in the banking and trading book. In addition a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested. 162. An exposure is a direct exposure when the immediate counterparty is an entity covered by the definition of ‘General governments’. 163. The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity 7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS Columns Instructions 010-260 DIRECT EXPOSURES 010-140 ON-BALANCE SHEET EXPOSURES 010 Total gross carrying amount of non-derivative financial assets Aggregate of gross carrying amount, as determined in accordance with paragraph 34 in Annex V, Part 1, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on Directive 86/635/EEC (Bank Accounting Directive, ‘BAD’) defined in paragraphs 15 to 22 in Annex V, Part 1 and listed in columns 030 to 120. Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value. 020 Total carrying amount of non-derivative financial assets (net of short positions) Aggregate of the carrying amount, in accordance with paragraph 27 in Annex V, Part 1, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 in Annex V, Part 1 and listed in columns 030 to 120, net of short positions. When the institution has a short position for the same residual maturity, the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. This net amount shall be considered as zero when it is a negative amount. The sum of the columns 030 to 120 minus column 130 must be reported. If this amount is lower than zero, the amount to be reported shall be zero. 030-120 NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS Aggregate carrying amount of non-derivative financial assets, as defined above, to General governments by accounting portfolio under the applicable accounting framework. 030 Financial assets held for trading IFRS 7.8(a)(ii); IFRS 9 Appendix A 040 Trading financial assets BAD Articles 32-33; Annex V. Part 1.16; Accounting Directive Article 8(1)(a) Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 050 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 060 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 and Accounting Directive Article 8(1)(a), (6) 070 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD Article 36(2); Accounting Directive Article 8(1)(a) Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 080 Financial assets at fair value through other comprehensive income IFRS 7.8(d); IFRS 9.4.1.2 A 090 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive Article 8(1)(a), (8) Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 100 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2; Annex V. Part 1.15 110 Non-trading non-derivative financial assets measured at a cost-based method BAD Article 35; Accounting Directive Article 6(1)(i) and Article 8(2); Annex V. Part 1.16 Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 120 Other non-trading non-derivative financial assets BAD Article 37; Accounting Directive Article 12(7); Annex V. Part 1.16 Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 130 Short positions Carrying amount of short positions, as defined in IFRS 9 BA.7(b) when the direct counterparty is a General government as defined in paragraph 1. Short positions arise when the institution sells securities acquired in a reverse repurchase loan, or borrowed in a securities lending transaction, which direct counterparty is a General government. The carrying amount is the fair value of the short positions. Short positions must be reported by residual maturity bucket, as defined in row 170 to 230, and by immediate counterparty. Short positions will be then used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120. 140 Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, which direct counterparty is a General government, that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040). Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column. 150 Accumulated impairment Aggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120. [Annex V, Part 2, paragraphs 70 and 71] 160 Accumulated impairment — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 080 and 090. 170 Accumulated negative changes in fair value due to credit risk Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060, 070, 080 and 090. [Annex V, Part 2, paragraph 69] 180 Accumulated negative changes in fair value due to credit risk — of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060 and 070. 190 Accumulated negative changes in fair value due to credit risk — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 080 and 090. 200-230 DERIVATIVES Direct derivative positions are to be reported in columns 200 to 230. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown. 200-210 Derivatives with positive fair value All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether they are used in a qualifying hedging relationship, are held for trading or are included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140). 200 Derivatives with positive fair value: Carrying amount Carrying amount of the derivatives accounted for as financial assets at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments. 210 Derivatives with positive fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reporting reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is positive for the institution at the reporting reference date. 220-230 Derivatives with negative fair value All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether they are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (Annex V, Part 2, paragraphs 120, 124, 125 and 137 to 140). 220 Derivatives with negative fair value: Carrying amount Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments. 230 Derivatives with negative fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in Annex V, Part 2, paragraphs 133 to 135, of all derivative contracts concluded and not yet settled at the reference date whose counterparty is a General government, as defined above in paragraph 1, when its fair value is negative for the institution. 240-260 OFF-BALANCE SHEET EXPOSURES 240 Nominal amount When the direct counterparty of the off-balance sheet item is a General government as defined above in paragraph 1, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (Annex V, Part 2, paragraphs 102-119). In accordance with Annex V, Part 1, paragraphs 43 and 44, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution. 250 Provisions BAD Article 4 Liabilities (6)(c), Off balance sheet items, Article 27(11), Article 28(8), Article 33; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Annex V Part 2.11. Provisions on all off-balance sheet exposures regardless how they are measured except those that are measured at fair value through profit or loss in accordance with IFRS 9. Under IFRS, the impairment of a loan commitment given shall be reported in column 150 when the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 250. 260 Accumulated negative changes in fair value due to credit risk For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (Annex V, Part 2, paragraph110) 270-280 Memorandum item: credit derivatives sold on general government exposures Credit derivatives that do not meet the definition of financial guarantees that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government must be reported. These columns will not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160). The exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures. 270 Derivatives with positive fair value — Carrying amount Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date. For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a positive fair value at the reference reporting date, independently how they are accounted for. 280 Derivatives with negative fair value — Carrying amount Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial liabilities at the reporting date. For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently how they are accounted for. 290 Exposure value Exposure value for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see Article 111 of CRR. For exposures under the IRB approach: see Article 166 and Article 230(1) sentence 2 of CRR. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges see instructions for the row breakdown. 300 Risk weighted exposure amount Risk weighted exposure amount for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see Article 113(1) to (5) of CRR. For exposures under the IRB approach: see Article 153(1) and (3) of CRR. For the reporting of direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown. Rows Instructions BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH 010 Total exposures Aggregate of exposures to General governments, as defined in paragraph 1 020-155 Exposures under the credit risk framework Aggregate of exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row. 030 Standardised Approach Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 2 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk. 040 Central governments Exposures to General governments that are central governments. These exposures are allocated to the ‘Central governments or central banks’ exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 050 Regional governments or local authorities Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the ‘Regional governments or local authorities’ exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 060 Public sector entities Exposures to General governments that are public sector entities. These exposures are allocated to the ‘Public sector entities’ exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 070 International Organisations Exposures to General governments that are international organisations. These exposures are allocated to the ‘International Organisations’ exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 075 Other general government exposures subject to Standardised Approach Exposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements. 080 IRB Approach Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk. 090 Central governments Exposures to General governments that are central governments and that are allocated to the ‘Central governments and central banks’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.. 100 Regional governments or local authorities [Central governments and central banks] Exposures to General governments that are regional governments or local authorities and that are allocated to the ‘Central governments and central banks’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 110 Regional governments or local authorities [Institutions] Exposures to General governments that are regional governments or local authorities and that are allocated to the ‘Institutions’ exposure class in accordance with Article 147(4)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 120 Public sector entities [Central governments and central banks] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the ‘Central governments and central banks’ exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 130 Public sector entities [Institutions] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the ‘Institutions’ exposure class in accordance with Article 147(4)(b) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 140 International Organisations [Central governments and central banks] Exposures to General governments that are International Organisations and that are allocated to the ‘Central governments and central banks’ exposure class in accordance with Article 147(3)(c) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply. 155 Other general government exposures subject to IRB approach Exposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements. 160 Exposures subject to market risk Market risk exposures cover positions for which own funds requirements are calculated according to Title IV of Part Three CRR. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row. 170-230 BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions. Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows: — [0 - 3M [: Less than 90 days — [3M - 1Y [: Equal or greater than 90 days and less than 365 days — [1Y – 2Y [: Equal or greater than 365 days and less than 730 days — [2Y – 3Y [: Equal or greater than 730 days and less than 1,095 days — [3Y – 5Y [: Equal or greater than 1,095 days and less than 1,825 days — [5Y – 10Y [: Equal or greater than 1,825 days and less than 3,650 days — [10Y – more: Equal or greater than 3,650 days ▼M8 ANNEX III REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS FINREP TEMPLATES FOR IFRS TEMPLATE NUMBER TEMPLATE CODE NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE PART 1 [QUARTERLY FREQUENCY] Balance Sheet Statement [Statement of Financial Position] 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 Breakdown of financial assets by instrument and by counterparty sector 4.1 F 04.01 Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading 4.2.1 F 04.02.1 Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss 4.2.2 F 04.02.2 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss 4.3.1 F 04.03.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income 4.4.1 F 04.04.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost 4.5 F 04.05 Subordinated financial assets 5.1 F 05.01 Breakdown of non-trading Loans and advances by product 6.1 F 06.01 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes F 07.00 Financial assets subject to impairment that are past due 7.1 F 07.01 Financial assets subject to impairment that are past due Breakdown of financial liabilities 8.1 F 08.01 Breakdown of financial liabilities by product and by counterparty sector 8.2 F 08.02 Subordinated financial liabilities Loan commitments, financial guarantees and other commitments 9.1.1 F 09.01.1 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 and economic hedges Hedge accounting 11.1 F 11.01 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge 11.3 F 11.03 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge 11.4 F 11.04 Hedged items in fair value hedges Movements in allowances and provisions for credit losses 12.1 F 12.01 Movements in allowances and provisions for credit losses 12.2 F 12.02 Transfers between impairment stages (gross basis presentation) Collateral and guarantees received 13.1 F 13.01 Breakdown of collateral and guarantees by loans and advances other than held for trading 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 Breakdown of selected statement of profit or loss items 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 and trading financial assets and trading financial liabilities by instrument 16.4 F 16.04 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk 16.4.1 F 16.04.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument 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 non-financial assets Reconciliation between accounting and CRR scope of consolidation: Balance Sheet 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] Geographical breakdown 20.1 F 20.01 Geographical breakdown of assets by location of the activities 20.2 F 20.02 Geographical breakdown of liabilities by location of the activities 20.3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities 20.4 F 20.04 Geographical breakdown of assets by residence of the counterparty 20.5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty 20.6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty 20.7.1 F 20.07.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes 21 F 21.00 Tangible and intangible assets: assets subject to operating lease Asset management, custody and other service functions 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] Off-balance sheet activities: interests in unconsolidated structured entities 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 Related parties 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] Group structure 40.1 F 40.1 Group structure: "entity-by-entity" 40.2 F 40.02 Group structure: "instrument-by-instrument" Fair value 41.1 F 41.01 Fair value hierarchy: financial instruments at amortised cost 41.2 F 41.02 Use of the Fair Value Option 42 F 42.00 Tangible and intangible assets: carrying amount by measurement method 43 F 43.00 Provisions Defined benefit plans and employee benefits 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] Breakdown of selected items of statement of profit or loss 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 and investments in subsidiaries, joint ventures and associates 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] 1.1 Assets References Breakdown in table Carrying amount Annex V.Part 1.27 010 010 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 9.Appendix A 060 Derivatives IFRS 9.Appendix A 10 070 Equity instruments IAS 32.11 4 080 Debt securities Annex V.Part 1.31 4 090 Loans and advances Annex V.Part 1.32 4 096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 4 097 Equity instruments IAS 32.11 4 098 Debt securities Annex V.Part 1.31 4 099 Loans and advances Annex V.Part 1.32 4 100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 4 120 Debt securities Annex V.Part 1.31 4 130 Loans and advances Annex V.Part 1.32 4 141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 4 142 Equity instruments IAS 32.11 4 143 Debt securities Annex V.Part 1.31 4 144 Loans and advances Annex V.Part 1.32 4 181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 4 182 Debt securities Annex V.Part 1.31 4 183 Loans and advances Annex V.Part 1.32 4 240 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 11 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a); IFRS 9.6.5.8 260 Investments in subsidiaries, joint ventures and associates IAS 1.54(e); Annex V.Part 1.21, Part 2.4 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(1)(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 2.7 380 TOTAL ASSETS IAS 1.9(a), IG 6 1.2 Liabilities References Breakdown in table Carrying amount Annex V.Part 1.27 010 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 8 020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 10 030 Short positions IFRS 9.BA7(b) 8 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 050 Debt securities issued Annex V.Part 1.37 8 060 Other financial liabilities Annex V.Part 1.38-41 8 070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 8 080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 090 Debt securities issued Annex V.Part 1.37 8 100 Other financial liabilities Annex V.Part 1.38-41 8 110 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 8 120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 130 Debt securities issued Annex V.Part 1.37 8 140 Other financial liabilities Annex V.Part 1.38-41 8 150 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26 11 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b), IFRS 9.6.5.8 170 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 2.9 43 190 Other long term employee benefits IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 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 IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 9 12 43 230 Other provisions IAS 37.14 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 2.12 280 Other liabilities Annex V.Part 2.13 290 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 300 TOTAL LIABILITIES IAS 1.9(b);IG 6 1.3 Equity 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 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 2.18-19 46 060 Equity component of compound financial instruments IAS 32.28-29; Annex V.Part 2.18 070 Other equity instruments issued Annex V.Part 2.19 080 Other equity IFRS 2.10; Annex V.Part 2.20 090 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, IG6; IAS 19.120(c) 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.IG6; IAS 28.10 320 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21 330 Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22 340 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22 350 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a);Annex V.Part 2.57 360 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23 128 Items that may be reclassified to profit or loss IAS 1.82A(a) (ii) 130 Hedge of net investments in foreign operations [effective portion] IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24 140 Foreign currency translation IAS 21.52(b); IAS 21.32, 38-49 150 Hedging derivatives. Cash flow hedges reserve [effective portion] IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25 155 Fair value changes of debt instruments measured at fair value through other comprehensive income IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26 165 Hedging instruments [not designated elements] IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24 E (b)(c); Annex V.Part 2.60 170 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.IG6; IAS 28.10 190 Retained earnings CRR art 4(1)(123) 200 Revaluation reserves IFRS 1.30, D5-D8; Annex V.Part 2.28 210 Other reserves IAS 1.54; IAS 1.78(e) 220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method IAS 28.11; Annex V.Part 2.29 230 Other Annex V.Part 2.29 240 (-) Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30 46 250 Profit or loss attributable to owners of the parent IAS 1.81B (b)(ii) 2 260 (-) Interim dividends IAS 32.35 270 Minority interests [Non-controlling interests] IAS 1.54(q) 280 Accumulated Other Comprehensive Income CRR art 4(1)(100) 46 290 Other items 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; Annex V.Part 2.31 16 020 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 025 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1 030 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 041 Financial assets at fair value through other comprehensive income IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A 051 Financial assets at amortised cost IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2 070 Derivatives - Hedge accounting, interest rate risk IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35 080 Other assets Annex V.Part 2.36 085 Interest income on liabilities IFRS 9.5.7.1, Annex V.Part 2.37 090 (Interest expenses) IAS 1.97; Annex V.Part 2.31 16 100 (Financial liabilities held for trading) IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 110 (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); IFRS 9.5.7.2 130 (Derivatives - Hedge accounting, interest rate risk) IAS 39.9; Annex V.Part 2.35 140 (Other liabilities) Annex V.Part 2.38 145 (Interest expense on assets) IFRS 9.5.7.1, Annex V.Part 2.39 150 (Expenses on share capital repayable on demand) IFRIC 2.11 160 Dividend income Annex V.Part 2.40 31 170 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40 175 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40 191 Financial assets at fair value through other comprehensive income IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41 192 Investments in subsidiaries, joint ventures and associates accounted for using other than equity method Annex V Part 2 .42 200 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 Annex V.Part 2.45 16 231 Financial assets at fair value through other comprehensive income IFRS 9.4.12A; IFRS 9.5.7.10-11 241 Financial assets at amortised cost IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2 260 Financial liabilities measured at amortised cost IFRS 7.20(a)(v); IFRS 9.5.7.2 270 Other 280 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 16 287 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46 290 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 16, 45 300 Gains or (-) losses from hedge accounting, net Annex V.Part 2.47 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; Annex V. Part 2.48 45 340 Other operating income Annex V.Part 2.314-316 45 350 (Other operating expenses) Annex V.Part 2.314-316 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) 425 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 426 Financial assets at fair value through other comprehensive income IFRS 7.35J 427 Financial assets at amortised cost IFRS 7.35J 430 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 9 12 43 440 (Commitments and guarantees given) IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50 450 (Other provisions) 460 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53 12 481 (Financial assets at fair value through other comprehensive income) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8 12 491 (Financial assets at amortised cost) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8 12 510 (Impairment or (-) reversal of impairment of investments in subsidiaries, 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 accounted for using the equity method Annex V.Part 2.54 600 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 2.55 610 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(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 650 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 1.81B (b)(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, IG6 020 Other comprehensive income IAS 1.7, IG6 030 Items that will not be reclassified to profit or loss IAS 1.82A(a)(i) 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 19.120(c) 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.IG6; IAS 28.10 081 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d) 083 Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57 084 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57 085 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57 086 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f) 090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.66 100 Items that may be reclassified to profit or loss IAS 1.82A(a)(ii) 110 Hedge of net investments in foreign operations [effective portion] IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58 120 Valuation gains or (-) losses taken to equity IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58 130 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59 140 Other reclassifications Annex V.Part 2.65 150 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 Annex V.Part 2.65 190 Cash flow hedges [effective portion] IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); 200 Valuation gains or (-) losses taken to equity IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a) 210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59 220 Transferred to initial carrying amount of hedged items IAS 1.IG6;IFRS 9.6.5.11(d)(i) 230 Other reclassifications Annex V.Part 2.65 231 Hedging instruments [not designated elements] IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.60 232 Valuation gains or (-) losses taken to equity IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c) 233 Transferred to profit or loss IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61 234 Other reclassifications Annex V.Part 2.65 241 Debt instruments at fair value through other comprehensive income IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 251 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4 261 Transferred to profit or loss IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64 270 Other reclassifications IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65 280 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.IG6; IAS 28.10 330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.66 340 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 4.1 Financial assets held for trading References Carrying amount Annex V.Part 1.27 010 005 Derivatives 010 Equity instruments IAS 32.11, Annex V.Part 1.44(b) 030 of which: credit institutions Annex V.Part 1.42(c) 040 of which: other financial corporations Annex V.Part 1.42(d) 050 of which: non-financial corporations Annex V.Part 1.42(e) 060 Debt securities Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) 190 FINANCIAL ASSETS HELD FOR TRADING IFRS 9.Appendix A 4.2.1 Non-trading financial assets mandatorily at fair value through profit or loss References Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27 Annex V.Part 2.69 010 020 010 Equity instruments IAS 32.11, Annex V.Part 1.44(b) 020 of which: credit institutions Annex V.Part 1.42(c) 030 of which: other financial corporations Annex V.Part 1.42(d) 040 of which: non-financial corporations Annex V.Part 1.42(e) 050 Debt securities Annex V.Part 1.31, 44(b) 060 Central banks Annex V.Part 1.42(a) 070 General governments Annex V.Part 1.42(b) 080 Credit institutions Annex V.Part 1.42(c) 090 Other financial corporations Annex V.Part 1.42(d) 100 Non-financial corporations Annex V.Part 1.42(e) 110 Loans and advances Annex V.Part 1.32, 44(a) 120 Central banks Annex V.Part 1.42(a) 130 General governments Annex V.Part 1.42(b) 140 Credit institutions Annex V.Part 1.42(c) 150 Other financial corporations Annex V.Part 1.42(d) 160 Non-financial corporations Annex V.Part 1.42(e) 170 Households Annex V.Part 1.42(f) 180 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(ii); IFRS 9.4.1.4 4.2.2 Financial assets designated at fair value through profit or loss References Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27 Annex V.Part 2.69 010 020 060 Debt securities Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) 190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IFRS 9.4.1.5 4.3.1 Financial assets at fair value through other comprehensive income References Carrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(b), 71 Accumulated partial write-offs Accumulated total write-offs Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) of which: instruments with low credit risk Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16A IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16A IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 010 015 020 030 040 050 060 070 080 090 010 Equity instruments IAS 32.11; Annex V.Part 1.44(b) 020 of which: credit institutions Annex V.Part 1.42(c) 030 of which: other financial corporations Annex V.Part 1.42(d) 040 of which: non-financial corporations Annex V.Part 1.42(e) 050 Debt securities Annex V.Part 1.31, 44(b) 060 Central banks Annex V.Part 1.42(a) 070 General governments Annex V.Part 1.42(b) 080 Credit institutions Annex V.Part 1.42(c) 090 Other financial corporations Annex V.Part 1.42(d) 100 Non-financial corporations Annex V.Part 1.42(e) 110 Loans and advances Annex V.Part 1.32, 44(a) 120 Central banks Annex V.Part 1.42(a) 130 General governments Annex V.Part 1.42(b) 140 Credit institutions Annex V.Part 1.42(c) 150 Other financial corporations Annex V.Part 1.42(d) 160 Non-financial corporations Annex V.Part 1.42(e) 170 Households Annex V.Part 1.42(f) 180 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2A 190 of which: purchased credit-impaired financial assets IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77 4.4.1 Financial assets at amortised cost References Carrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(a), 71 Accumulated partial write-offs Accumulated total write-offs Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) of which: instruments with low credit risk Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.5; IFRS7.35H(a) IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i) IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii) IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 010 015 020 030 040 050 060 070 080 090 010 Debt securities Annex V.Part 1.31, 44(b) 020 Central banks Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) 070 Loans and advances Annex V.Part 1.32, 44(a) 080 Central banks Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) 130 Households Annex V.Part 1.42(f) 140 FINANCIAL ASSETS AT AMORTISED COST IFRS 7.8(f); IFRS 9.4.1.2 150 of which: purchased credit-impaired financial assets IFRS 9.5.13 and IFRS 7.35M(c); Annex V.Part 2.77 4.5 Subordinated financial assets References Carrying amount Annex V.Part 1.27 010 010 Loans and advances Annex V.Part 1.32 020 Debt securities Annex V.Part 1.31 030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Annex V.Part 2.78, 100 5. Breakdown of non-trading Loans and advances by product 5.1 Loans and advances other than held for trading and trading assets by product References Gross carrying amount Carrying amount Annex V.Part 1.27 Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households Annex V.Part 1.34 Annex V.Part 1.42(a) Annex V.Part 1.42(b) Annex V.Part 1.42(c) Annex V.Part 1.42(d) Annex V.Part 1.42(e) Annex V.Part 1.42(f) 005 010 020 030 040 050 060 By product 010 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 020 Credit card debt Annex V.Part 2.85(b) 030 Trade receivables Annex V.Part 2.85(c) 040 Finance leases Annex V.Part 2.85(d) 050 Reverse repurchase loans Annex V.Part 2.85(e) 060 Other term loans Annex V.Part 2.85(f) 070 Advances that are not loans Annex V.Part 2.85(g) 080 LOANS AND ADVANCES Annex V.Part 1.32, 44(a) By collateral 090 of which: Loans collateralized by immovable property Annex V.Part 2.86(a), 87 100 of which: other collateralized loans Annex V.Part 2.86(b), 87 By purpose 110 of which: credit for consumption Annex V.Part 2.88(a) 120 of which: lending for house purchase Annex V.Part 2.88(b) By subordination 130 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8) 6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes 6.1 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes References Non-financial corporations Annex V.Part 1.42(e), Part 2.91 Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures Gross carrying amount of which: loans and advances subject to impairment Of which: non-performing Annex V.Part 1.34 Annex V.Part 2.93 Annex V.Part 2. 213-232 Annex V.Part 2.70-71 Annex V.Part 2.69 010 011 012 021 022 010 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 105 K Financial and insurance activities NACE Regulation, Annex V.Part 2.92 110 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 1.32, Part 2.90 7. Financial assets subject to impairment that are past due 7.1 Financial assets subject to impairment that are past due References Carrying amount Annex V.Part 1.27 Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96 010 020 030 040 050 060 070 080 090 060 Debt securities Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) 190 TOTAL DEBT INSTRUMENTS Annex V Part 2.94-95 Loans and advances by product, by collateral and by subordination 200 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 210 Credit card debt Annex V.Part 2.85(b) 220 Trade receivables Annex V.Part 2.85(c) 230 Finance leases Annex V.Part 2.85(d) 240 Reverse repurchase loans Annex V.Part 2.85(e) 250 Other term loans Annex V.Part 2.85(f) 260 Advances that are not loans Annex V.Part 2.85(g) 270 of which: Loans collateralized by immovable property Annex V.Part 2.86(a), 87 280 of which: other collateralized loans Annex V.Part 2.86(b), 87 290 of which: credit for consumption Annex V.Part 2.88(a) 300 of which: lending for house purchase Annex V.Part 2.88(b) 310 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8) 8. Breakdown of financial liabilities 8.1 Breakdown of financial liabilities by product and by counterparty sector References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 Accumulated changes in fair value due to credit risk Held for trading Designated at fair value through profit or loss Amortised cost Hedge accounting IFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7 IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 IFRS 7.24A(a); IFRS 9.6 CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101 010 020 030 037 040 010 Derivatives IFRS 9.BA.7(a) 020 Short positions FRS 9.BA.7(b) 030 Equity instruments IAS 32.11 040 Debt securities Annex V.Part 1.31 050 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 060 Central banks Annex V.Part 1.42(a), 44(c) 070 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 080 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 090 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 100 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 110 General governments Annex V.Part 1.42(b), 44(c) 120 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 130 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 140 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 150 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 160 Credit institutions Annex V.Part 1.42(c),44(c) 170 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 180 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 190 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 200 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 210 Other financial corporations Annex V.Part 1.42(d),44(c) 220 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 230 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 240 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 250 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 260 Non-financial corporations Annex V.Part 1.42(e), 44(c) 270 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 280 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 290 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 300 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 310 Households Annex V.Part 1.42(f), 44(c) 320 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 330 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 340 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 350 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 360 Debt securities issued Annex V.Part 1.37, Part 2.98 370 Certificates of deposits Annex V.Part 2.98(a) 380 Asset-backed securities CRR art 4(1)(61) 390 Covered bonds CRR art 129 400 Hybrid contracts Annex V.Part 2.98(d) 410 Other debt securities issued Annex V.Part 2.98(e) 420 Convertible compound financial instruments IAS 32.AG 31 430 Non-convertible 440 Other financial liabilities Annex V.Part 1.38-41 450 FINANCIAL LIABILITIES 8.2 Subordinated financial liabilities References Carriyng amount Designated at fair value through profit or loss At amortized cost IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 010 020 010 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 020 Debt securities issued Annex V.Part 1.37 030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.99-100 9. Loan commitments, financial guarantees and other commitments 9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References National GAAP compatible IFRS Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118 Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109 Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4 Commitments and financial guarantees measured at fair value Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Nominal amount Provision Nominal amount Accumulated negative changes in fair value due to credit risk on non-performing commitments IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii) IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118 IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111 IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118 Annex V Part 2.69 010 020 030 040 050 060 100 110 120 130 010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 021 of which: non-performing Annex V.Part 2.117 030 Central banks Annex V.Part 1.42(a) 040 General governments Annex V.Part 1.42(b) 050 Credit institutions Annex V.Part 1.42(c) 060 Other financial corporations Annex V.Part 1.42(d) 070 Non-financial corporations Annex V.Part 1.42(e) 080 Households Annex V.Part 1.42(f) 090 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 101 of which: non-performing Annex V.Part 2.117 110 Central banks Annex V.Part 1.42(a) 120 General governments Annex V.Part 1.42(b) 130 Credit institutions Annex V.Part 1.42(c) 140 Other financial corporations Annex V.Part 1.42(d) 150 Non-financial corporations Annex V.Part 1.42(e) 160 Households Annex V.Part 1.42(f) 170 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 181 of which: non-performing Annex V.Part 2.117 190 Central banks Annex V.Part 1.42(a) 200 General governments Annex V.Part 1.42(b) 210 Credit institutions Annex V.Part 1.42(c) 220 Other financial corporations Annex V.Part 1.42(d) 230 Non-financial corporations Annex V.Part 1.42(e) 240 Households Annex V.Part 1.42(f) 9.2 Loan 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 2.119 Annex V.Part 2.119 010 020 010 Loan commitments received IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113 020 Central banks Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) 070 Households Annex V.Part 1.42(f) 080 Financial guarantees received IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114 090 Central banks Annex V.Part 1.42(a) 100 General governments Annex V.Part 1.42(b) 110 Credit institutions Annex V.Part 1.42(c) 120 Other financial corporations Annex V.Part 1.42(d) 130 Non-financial corporations Annex V.Part 1.42(e) 140 Households Annex V.Part 1.42(f) 150 Other Commitments received Annex V.Part 1.44(h), Part 2.102-103, 115 160 Central banks Annex V.Part 1.42(a) 170 General governments Annex V.Part 1.42(b) 180 Credit institutions Annex V.Part 1.42(c) 190 Other financial corporations Annex V.Part 1.42(d) 200 Non-financial corporations Annex V.Part 1.42(e) 210 Households Annex V.Part 1.42(f) 10. Derivatives - Trading and economic hedges By type of risk / By product or by type of market References Carrying amount Notional amount Financial assets Held for trading and trading Financial liabilities Held for trading and trading Total Trading of which: sold Annex V.Part 2.120, 131 IFRS 9.BA.7 (a); Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135 010 020 030 040 010 Interest rate Annex V.Part 2.129(a) 020 of which: economic hedges Annex V.Part 2.137-139 030 OTC options Annex V.Part 2.136 040 OTC other Annex V.Part 2.136 050 Organized market options Annex V.Part 2.136 060 Organized market other Annex V.Part 2.136 070 Equity Annex V.Part 2.129(b) 080 of which: economic hedges Annex V.Part 2.137-139 090 OTC options Annex V.Part 2.136 100 OTC other Annex V.Part 2.136 110 Organized market options Annex V.Part 2.136 120 Organized market other Annex V.Part 2.136 130 Foreign exchange and gold Annex V.Part 2.129(c) 140 of which: economic hedges Annex V.Part 2.137-139 150 OTC options Annex V.Part 2.136 160 OTC other Annex V.Part 2.136 170 Organized market options Annex V.Part 2.136 180 Organized market other Annex V.Part 2.136 190 Credit Annex V.Part 2.129(d) 195 of which: economic hedges with use of the fair value option IFRS 9.6.7.1; Annex V.Part 2.140 201 of which: other economic hedges Annex V.Part 2.137-140 210 Credit default swap 220 Credit spread option 230 Total return swap 240 Other 250 Commodity Annex V.Part 2.129(e) 260 of which: economic hedges Annex V.Part 2.137-139 270 Other Annex V.Part 2.129(f) 280 of which: economic hedges Annex V.Part 2.137-139 290 DERIVATIVES IFRS 9.Appendix A 300 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 310 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) 320 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c) 11. Hedge accounting 11.1 Derivatives - 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 IFRS 7.24A; Annex V.Part 2.120, 131 IFRS 7.24A; Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135 010 020 030 040 010 Interest rate Annex V.Part 2.129(a) 020 OTC options Annex V.Part 2.136 030 OTC other Annex V.Part 2.136 040 Organized market options Annex V.Part 2.136 050 Organized market other Annex V.Part 2.136 060 Equity Annex V.Part 2.129(b) 070 OTC options Annex V.Part 2.136 080 OTC other Annex V.Part 2.136 090 Organized market options Annex V.Part 2.136 100 Organized market other Annex V.Part 2.136 110 Foreign exchange and gold Annex V.Part 2.129(c) 120 OTC options Annex V.Part 2.136 130 OTC other Annex V.Part 2.136 140 Organized market options Annex V.Part 2.136 150 Organized market other Annex V.Part 2.136 160 Credit Annex V.Part 2.129(d) 170 Credit default swap Annex V.Part 2.136 180 Credit spread option Annex V.Part 2.136 190 Total return swap Annex V.Part 2.136 200 Other Annex V.Part 2.136 210 Commodity Annex V.Part 2.129(e) 220 Other Annex V.Part 2.129(f) 230 FAIR VALUE HEDGES IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a) 240 Interest rate Annex V.Part 2.129(a) 250 OTC options Annex V.Part 2.136 260 OTC other Annex V.Part 2.136 270 Organized market options Annex V.Part 2.136 280 Organized market other Annex V.Part 2.136 290 Equity Annex V.Part 2.129(b) 300 OTC options Annex V.Part 2.136 310 OTC other Annex V.Part 2.136 320 Organized market options Annex V.Part 2.136 330 Organized market other Annex V.Part 2.136 340 Foreign exchange and gold Annex V.Part 2.129(c) 350 OTC options Annex V.Part 2.136 360 OTC other Annex V.Part 2.136 370 Organized market options Annex V.Part 2.136 380 Organized market other Annex V.Part 2.136 390 Credit Annex V.Part 2.129(d) 400 Credit default swap Annex V.Part 2.136 410 Credit spread option Annex V.Part 2.136 420 Total return swap Annex V.Part 2.136 430 Other Annex V.Part 2.136 440 Commodity Annex V.Part 2.129(e) 450 Other Annex V.Part 2.129(f) 460 CASH FLOW HEDGES IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b) 470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c) 480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.71, 81A, 89A, AG 114-132 490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39.71 500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.24A; IAS 39.9; IFRS 9.6.1 510 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 520 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) 530 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c) 11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge References Carrying amount Fair value hedge Cash flow hedge Hedge of net investment in a foreign operation Annex V.Part 2.145 Annex V.Part 2.145 Annex V.Part 2.145 010 020 030 010 Non-derivative financial assets IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 020 of which: Financial assets held for trading IFRS 9.Appendix A 030 of which: Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii) 040 of which: Financial assets designated at fair value through profit or loss IFRS 9.4.1.5; IFRS 7.8(a)(i) 050 Non-derivative financial liabilities IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 060 Financial liabilities held for trading IFRS 9.Appendix A 070 Financial liabilities designated at fair value through profit or loss IFRS 9.4.2.1; IFRS 9.6.2.2 080 Financial assets at amortised cost IFRS 9.4.2.1; IFRS 9.6.2.2 F11.4 Hedged items in fair value hedges References Micro-hedges Micro-hedges - Net position hedge Hedge adjustments on micro-hedges Macro hedges Carrying amount Assets or liabilities included in hedge of a net position (before netting) Hedge adjustments included in the carrying amount of assets/liabilities Remaining adjustments for discontinued micro hedges including hedges of net positions Hedged items in portfolio hedge of interest rate risk IFRS 7.24B(a), Annex V.Part 2.146, 147 IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151 IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149 IFRS 7.24B(a)(v); Annex V.Part 2.148, 150 IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152 010 020 030 040 050 ASSETS 010 Financial assets measured at fair value through other comprehensive income IFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151 020 Interest rate Annex V.Part 2.129(a) 030 Equity Annex V.Part 2.129(b) 040 Foreign exchange and gold Annex V.Part 2.129(c) 050 Credit Annex V.Part 2.129(d) 060 Commodity Annex V.Part 2.129(e) 070 Other Annex V.Part 2.129(f) 080 Financial assets measured at amortised cost IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151 090 Interest rate Annex V.Part 2.129(a) 100 Equity Annex V.Part 2.129(b) 110 Foreign exchange and gold Annex V.Part 2.129(c) 120 Credit Annex V.Part 2.129(d) 130 Commodity Annex V.Part 2.129(e) 140 Other Annex V.Part 2.129(f) LIABILITIES 150 Financial liabilities measured at amortised costs IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151 160 Interest rate Annex V.Part 2.129(a) 170 Equity Annex V.Part 2.129(b) 180 Foreign exchange and gold Annex V.Part 2.129(c) 190 Credit Annex V.Part 2.129(d) 200 Commodity Annex V.Part 2.129(e) 210 Other Annex V.Part 2.129(f) 12. Movements in allowances and provisions for credit losses 12.1 Movements in allowances and provisions for credit losses References Opening balance Increases due to origination and acquisition Decreases due to derecognition Changes due to change in credit risk (net) Changes due to modifications without derecognition (net) Changes due to update in the institution's methodology for estimation (net) Decrease in allowance account due to write-offs Other adjustments Closing balance Recoveries of previously written-off amounts recorded directly to the statement of profit or loss Amounts written-off directly to the statement of profit or loss IFRS 7.35I; Annex V.Part 2.159, 164(b) IFRS 7.35I; Annex V.Part 2.160, 164(b) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162 IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163 IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165 IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166 IFRS 9.5.4.4; Annex V.Part 2.165 010 020 030 040 050 070 080 090 100 110 120 010 Allowances for financial assets without increase in credit risk since initial recognition (Stage 1) IFRS 9.5.5.5 020 Debt securities Annex V.Part 1.31, 44(b) 030 Central banks Annex V.Part 1.42(a) 040 General governments Annex V.Part 1.42(b) 050 Credit institutions Annex V.Part 1.42(c) 060 Other financial corporations Annex V.Part 1.42(d) 070 Non-financial corporations Annex V.Part 1.42(e) 080 Loans and advances Annex V.Part 1.32, 44(a) 090 Central banks Annex V.Part 1.42(a) 100 General governments Annex V.Part 1.42(b) 110 Credit institutions Annex V.Part 1.42(c) 120 Other financial corporations Annex V.Part 1.42(d) 130 Non-financial corporations Annex V.Part 1.42(e) 140 Households Annex V.Part 1.42(f) 160 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 170 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 180 Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) IFRS 9.5.5.3 190 Debt securities Annex V.Part 1.31, 44(b) 200 Central banks Annex V.Part 1.42(a) 210 General governments Annex V.Part 1.42(b) 220 Credit institutions Annex V.Part 1.42(c) 230 Other financial corporations Annex V.Part 1.42(d) 240 Non-financial corporations Annex V.Part 1.42(e) 250 Loans and advances Annex V.Part 1.32, 44(a) 260 Central banks Annex V.Part 1.42(a) 270 General governments Annex V.Part 1.42(b) 280 Credit institutions Annex V.Part 1.42(c) 290 Other financial corporations Annex V.Part 1.42(d) 300 Non-financial corporations Annex V.Part 1.42(e) 310 Households Annex V.Part 1.42(f) 330 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 340 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 350 of which: non-performing Annex V.Part 2.213-232 360 Allowances for credit-impaired debt instruments (Stage 3) IFRS 9.5.5.1, 9. Appendix A 370 Debt securities Annex V.Part 1.31, 44(b) 380 Central banks Annex V.Part 1.42(a) 390 General governments Annex V.Part 1.42(b) 400 Credit institutions Annex V.Part 1.42(c) 410 Other financial corporations Annex V.Part 1.42(d) 420 Non-financial corporations Annex V.Part 1.42(e) 430 Loans and advances Annex V.Part 1.32, 44(a) 440 Central banks Annex V.Part 1.42(a) 450 General governments Annex V.Part 1.42(b) 460 Credit institutions Annex V.Part 1.42(c) 470 Other financial corporations Annex V.Part 1.42(d) 480 Non-financial corporations Annex V.Part 1.42(e) 490 Households Annex V.Part 1.42(f) 500 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 510 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 520 Total allowance for debt instruments IFRS 7.B8E 530 Commitments and financial guarantees given (Stage 1) IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157 540 Commitments and financial guarantees given (Stage 2) IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157 550 of which: non-performing Annex V.Part 2.117 560 Commitments and financial guarantees given (Stage 3) IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157 570 Total provisions on commitments and financial guarantees given IFRS 7.B8E; Annex V.Part 2.157 12.2 Transfers between impairment stages (gross basis presentation) References Gross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170 Transfers between Stage 1 and Stage 2 Transfers between Stage 2 and Stage 3 Transfers between Stage 1 and Stage 3 To Stage 2 from Stage 1 To Stage 1 from Stage 2 To Stage 3 from Stage 2 To Stage 2 from Stage 3 To Stage 3 from Stage 1 To Stage 1 from Stage 3 Annex V.Part 2.168-169 010 020 030 040 050 060 010 Debt securities Annex V.Part 1.31, 44(b) 020 Central banks Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) 070 Loans and advances Annex V.Part 1.32, 44(a) 080 Central banks Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) 130 Households Annex V.Part 1.42(f) 140 Total debt instruments 150 Commitments and financial guarantees given IFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5 13. Collateral and guarantees received 13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading Guarantees and collateral References Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 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 2.173(a) Annex V.Part 2.173(a) Annex V.Part 2.173(b) Annex V.Part 2.173(b) Annex V.Part 2.173(c) 010 020 030 040 050 010 Loans and advances Annex V.Part 1.32, 44(a) 020 of which: Other financial corporations Annex V.Part 1.42(d) 030 of which: Non-financial corporations Annex V.Part 1.42(e) 040 of which: Households Annex V.Part 1.42(f) 050 of which: lending for house purchase Annex V.Part 2.88(b) 13.2 Collateral obtained by taking possession during the period [held at the reporting date] References Carrying amount Annex V.Part 2.175 010 010 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 13.3 Collateral obtained by taking possession [tangible assets] accumulated References Carrying amount 010 010 Foreclosure [tangible assets] IFRS 7.38(a); Annex V.Part 2.176 14. Fair value hierachy: financial instruments at fair value References Fair value hierarchy IFRS 13.93 (b) Change in fair value for the period Annex V.Part 2.178 Accumulated change in fair value before taxes Annex V.Part 2.179 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);IFRS 9.Appendix A 020 Derivatives IFRS 9.Appendix A 030 Equity instruments IAS 32.11, 040 Debt securities Annex V.Part 1.31 050 Loans and advances Annex V.Part 1.32 056 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii) 057 Equity instruments IAS 32.11 058 Debt securities Annex V.Part 1.31 059 Loans and advances Annex V.Part 1.32 060 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 080 Debt securities Annex V.Part 1.31 090 Loans and advances Annex V.Part 1.32 101 Financial assets at fair value through other comprehensive income IFRS 7.8 (h); IFRS 9.4.1.2A 102 Equity instruments IAS 32.11 103 Debt securities Annex V.Part 1.31 104 Loans and advances Annex V.Part 1.32 140 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 LIABILITIES 150 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 160 Derivatives IFRS 9.BA.7(a) 170 Short positions IFRS 9.BA.7(b) 180 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 190 Debt securities issued Annex V.Part 1.37 200 Other financial liabilities Annex V.Part 1.38-41 210 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e) (i); IFRS 9.4.1.5 220 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 230 Debt securities issued Annex V.Part 1.37 240 Other financial liabilities Annex V.Part 1.38-41 250 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26 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 liabilities ITS V.Part 2.181 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), Annex V.Part 1.27 IFRS 7.42D(e); CRR art 4(1)(61) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181 CRR art 109; Annex V.Part 2.182 010 020 030 040 050 060 070 080 090 100 110 010 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9. Appendix A 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.31 040 Loans and advances Annex V.Part 1.32 045 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4 046 Equity instruments IAS 32.11 047 Debt securities Annex V.Part 1.31 048 Loans and advances Annex V.Part 1.32 050 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 070 Debt securities Annex V.Part 1.31 080 Loans and advances Annex V.Part 1.32 091 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 092 Equity instruments IAS 32.11 093 Debt securities Annex V.Part 1.31 094 Loans and advances Annex V.Part 1.32 131 Financial assets at amortised cost IFRS 7.8 (f); IFRS 9.4.1.2 132 Debt securities Annex V.Part 1.31 133 Loans and advances Annex V.Part 1.32 190 Total 16. Breakdown of selected statement of profit or loss items 16.1 Interest income and expenses by instrument and counterparty sector References Current period Income Expenses Annex V.Part 2.187, 189 Annex V.Part 2.188, 190 010 020 010 Derivatives -Trading IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193 015 of which: interest income from derivatives in economic hedges Annex V.Part 2.193 020 Debt securities Annex V.Part 1.31, 44(b) 030 Central banks Annex V.Part 1.42(a) 040 General governments Annex V.Part 1.42(b) 050 Credit institutions Annex V.Part 1.42(c) 060 Other financial corporations Annex V.Part 1.42(d) 070 Non-financial corporations Annex V.Part 1.42(e) 080 Loans and advances Annex V.Part 1.32, 44(a) 090 Central banks Annex V.Part 1.42(a) 100 General governments Annex V.Part 1.42(b) 110 Credit institutions Annex V.Part 1.42(c) 120 Other financial corporations Annex V.Part 1.42(d) 130 Non-financial corporations Annex V.Part 1.42(e) 140 Households Annex V.Part 1.42(f) 150 Other assets Annex V.Part 2.5 160 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 170 Central banks Annex V.Part 1.42(a) 180 General governments Annex V.Part 1.42(b) 190 Credit institutions Annex V.Part 1.42(c) 200 Other financial corporations Annex V.Part 1.42(d) 210 Non-financial corporations Annex V.Part 1.42(e) 220 Households Annex V.Part 1.42(f) 230 Debt securities issued Annex V.Part 1.37 240 Other financial liabilities Annex V.Part 1.32-34, Part 2.191 250 Derivatives - Hedge accounting, interest rate risk Annex V.Part 2.192 260 Other Liabilities Annex V.Part 1.38-41 270 INTEREST IAS 1.97 280 of which: interest-income on credit impaired financial assets IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194 16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument References Current period Annex V. Part 2.195-196 010 020 Debt securities Annex V.Part 1.31 030 Loans and advances Annex V.Part 1.32 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 050 Debt securities issued Annex V.Part 1.37 060 Other financial liabilities Annex V.Part 1.38-41 070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET Annex V.Part 2.45 16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument References Current period Annex V. Part 2.197-198 010 010 Derivatives IFRS 9.Appendix A, .BA.1, .BA.7(a) 015 of which: Economic hedges with use of the fair value option IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.31 040 Loans and advances Annex V.Part 1.32 050 Short positions IFRS 9.BA.7(b) 060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 070 Debt securities issued Annex V.Part 1.37 080 Other financial liabilities Annex V.Part 1.38-41 090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i) 095 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.5.6.2; annex V.Part 2.199 16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk References Current period 010 010 Interest rate instruments and related derivatives Annex V.Part 2.200(a) 020 Equity instruments and related derivatives Annex V.Part 2.200(b) 030 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.200(c) 040 Credit risk instruments and related derivatives Annex V.Part 2.200(d) 050 Derivatives related with commodities Annex V.Part 2.200(e) 060 Other Annex V.Part 2.200(f) 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 7.20(a)(i) 16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument References Current period Annex V.Part 2.201 010 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.31 040 Loans and advances Annex V.Part 1.32 090 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET IFRS 7.20(a)(i) 100 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.6.5.2; Annex V.Part 2.202 16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument References Current period Changes in fair value due to credit risk Annex V.Part 2.203 Annex V.Part 2.203 010 020 020 Debt securities Annex V.Part 1.31 030 Loans and advances Annex V.Part 1.32 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 050 Debt securities issued Annex V.Part 1.37 060 Other financial liabilities Annex V.Part 1.38-41 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET IFRS 7.20(a)(i) 071 of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204 072 of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204 16.6 Gains or losses from hedge accounting References Current period Annex V.Part 2.205 010 010 Fair value changes of the hedging instrument [including discontinuation] IFRS 7.24A(c);IFRS 7.24C(b)(vi) 020 Fair value changes of the hedged item attributable to the hedged risk IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206 030 Ineffectiveness in profit or loss from cash flow hedges IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi) 040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi) 050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET 16.7 Impairment on non-financial assets References Current period Additions Reversals Accumulated impairment Annex V.Part 2.208 Annex V.Part 2.208 010 020 040 060 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 17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet 17.1 Assets References Accounting scope of consolidation [Carrying amount] Annex V.Part 1.27, Part 2.209 010 010 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);IFRS 9.Appendix A 060 Derivatives IFRS 9.Appendix A 070 Equity instruments IAS 32.11 080 Debt securities Annex V.Part 1.31 090 Loans and advances Annex V.Part 1.32 096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4 097 Equity instruments IAS 32.11 098 Debt securities Annex V.Part 1.31 099 Loans and advances Annex V.Part 1.32 100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 120 Debt securities Annex V.Part 1.31 130 Loans and advances Annex V.Part 1.32 141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 142 Equity instruments IAS 32.11 143 Debt securities Annex V.Part 1.31 144 Loans and advances Annex V.Part 1.32 181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 182 Debt securities Annex V.Part 1.31 183 Loans and advances Annex V.Part 1.32 240 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a); IFRS 9.6.5.8 260 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210 270 Assets under reinsurance and insurance contracts IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 280 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 17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References Accounting scope of consolidation [Nominal amount] Annex V.Part 2.118, 209 010 010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 020 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 040 OFF-BALANCE SHEET EXPOSURES 17.3 Liabilities and equity References Accounting scope of consolidation [Carrying amount] Annex V.Part 1.27, Part 2.209 010 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 030 Short positions IFRS 9.BA7(b) 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 050 Debt securities issued Annex V.Part 1.37 060 Other financial liabilities Annex V.Part 1.38-41 070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 090 Debt securities issued Annex V.Part 1.37 100 Other financial liabilities Annex V.Part 1.38-41 110 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 130 Debt securities issued Annex V.Part 1.37 140 Other financial liabilities Annex V.Part 1.38-41 150 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b), IFRS 9.6.5.8 170 Liabilities under insurance and reinsurance contracts IFRS 4.IG20(a); Annex V.Part 2.212 180 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 2.12 230 Other liabilities Annex V.Part 2.13 240 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 250 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 2.18-19 290 Other equity IFRS 2.10; Annex V.Part 2.20 300 Accumulated other comprehensive income CRR art 4(1)(100) 310 Retained earnings CRR art 4(1)(123) 320 Revaluation reserves IFRS 1.33, 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 2.28 350 Profit or loss attributable to owners of the parent IFRS 10.B94 360 (-) Interim dividends IAS 32.35 370 Minority interests [Non-controlling interests] IAS 1.54(q); IFRS 10.22, .B94 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 / Nominal amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing Non-performing Performing exposures - Accumulated impairment and provisions Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Not past due or Past due <= 30 days Past due > 30 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 <= 5 years Past due > 5 years 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 < = 5 year Past due > 5 years Collateral received on non-performing exposues Financial guarantees received on non-performing exposures 010 020 030 055 060 070 080 090 100 105 110 120 130 140 150 160 170 180 190 195 200 210 Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.238(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.238(a) Annex V. Part 2. 238 Annex V. Part 2. 238 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 239 Annex V. Part 2. 239 010 Debt securities Annex V.Part 1.31, 44(b) 020 Central banks Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) 070 Loans and advances Annex V.Part 1.32, 44(a) 080 Central banks Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) 130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87 150 Households Annex V.Part 1.42(f) 160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 170 Of which: Credit for consumption Annex V.Part 2.88(a) 180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.233(a) 181 Debt securities Annex V.Part 1.31, 44(b) 182 Central banks Annex V.Part 1.42(a) 183 General governments Annex V.Part 1.42(b) 184 Credit institutions Annex V.Part 1.42(c) 185 Other financial corporations Annex V.Part 1.42(d) 186 Non-financial corporations Annex V.Part 1.42(e) 191 Loans and advances Annex V.Part 1.32, 44(a) 192 Central banks Annex V.Part 1.42(a) 193 General governments Annex V.Part 1.42(b) 194 Credit institutions Annex V.Part 1.42(c) 195 Other financial corporations Annex V.Part 1.42(d) 196 Non-financial corporations Annex V.Part 1.42(e) 197 Households Annex V.Part 1.42(f) 201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.233(b) 211 Debt securities Annex V.Part 1.31, 44(b) 212 Central banks Annex V.Part 1.42(a) 213 General governments Annex V.Part 1.42(b) 214 Credit institutions Annex V.Part 1.42(c) 215 Other financial corporations Annex V.Part 1.42(d) 216 Non-financial corporations Annex V.Part 1.42(e) 221 Loans and advances Annex V.Part 1.32, 44(a) 222 Central banks Annex V.Part 1.42(a) 223 General governments Annex V.Part 1.42(b) 224 Credit institutions Annex V.Part 1.42(c) 225 Other financial corporations Annex V.Part 1.42(d) 226 Non-financial corporations Annex V.Part 1.42(e) 227 Households Annex V.Part 1.42(f) 231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.233(c), 234 330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217 335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.220 340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 224 350 Central banks Annex V.Part 1.42(a) 360 General governments Annex V.Part 1.42(b) 370 Credit institutions Annex V.Part 1.42(c) 380 Other financial corporations Annex V.Part 1.42(d) 390 Non-financial corporations Annex V.Part 1.42(e) 400 Households Annex V.Part 1.42(f) 410 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116, 225 420 Central banks Annex V.Part 1.42(a) 430 General governments Annex V.Part 1.42(b) 440 Credit institutions Annex V.Part 1.42(c) 450 Other financial corporations Annex V.Part 1.42(d) 460 Non-financial corporations Annex V.Part 1.42(e) 470 Households Annex V.Part 1.42(f) 480 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116, 224 490 Central banks Annex V.Part 1.42(a) 500 General governments Annex V.Part 1.42(b) 510 Credit institutions Annex V.Part 1.42(c) 520 Other financial corporations Annex V.Part 1.42(d) 530 Non-financial corporations Annex V.Part 1.42(e) 540 Households Annex V.Part 1.42(f) 550 OFF-BALANCE SHEET EXPOSURES Annex V.Part 2.217 19. Information forborne exposures References Gross carrying amount / nominal amount of exposures with forbearance measures Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing exposures with forbearance measures Non-performing exposures with forbearance measures Perfoming exposures with forbearance measures - Accumulated impairment and provisions Non-performing exposures with forbearance measures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Instruments with modifications in their terms and conditions Refinancing of which: Performing forborne exposures under probation reclassified from non-performing Instruments with modifications in their terms and conditions Refinancing of which: Defaulted of which: Impaired of which: Forbearance of exposures non-performing prior to forbearance 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 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 256, 259-262 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 259-263 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 CRR art 178; Annex V. Part 2.264(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a) Annex V. Part 2. 231, 252(a), 263 Annex V. Part 2. 267 Annex V. Part 2. 207 Annex V. Part 2. 207 Annex V. Part 2. 241(a), 267 Annex V. Part 2. 241(b), 267 Annex V. Part 2. 268 Annex V. Part 2. 268 010 Debt securities Annex V.Part 1.31, 44(b) 020 Central banks Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) 070 Loans and advances Annex V.Part 1.32, 44(a) 080 Central banks Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) 130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87 150 Households Annex V.Part 1.42(f) 160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 170 Of which: Credit for consumption Annex V.Part 2.88(a) 180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.249(a) 181 Debt securities Annex V.Part 1.31, 44(b) 182 Central banks Annex V.Part 1.42(a) 183 General governments Annex V.Part 1.42(b) 184 Credit institutions Annex V.Part 1.42(c) 185 Other financial corporations Annex V.Part 1.42(d) 186 Non-financial corporations Annex V.Part 1.42(e) 191 Loans and advances Annex V.Part 1.32, 44(a) 192 Central banks Annex V.Part 1.42(a) 193 General governments Annex V.Part 1.42(b) 194 Credit institutions Annex V.Part 1.42(c) 195 Other financial corporations Annex V.Part 1.42(d) 196 Non-financial corporations Annex V.Part 1.42(e) 197 Households Annex V.Part 1.42(f) 201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.249(b) 211 Debt securities Annex V.Part 1.31, 44(b) 212 Central banks Annex V.Part 1.42(a) 213 General governments Annex V.Part 1.42(b) 214 Credit institutions Annex V.Part 1.42(c) 215 Other financial corporations Annex V.Part 1.42(d) 216 Non-financial corporations Annex V.Part 1.42(e) 221 Loans and advances Annex V.Part 1.32, 44(a) 222 Central banks Annex V.Part 1.42(a) 223 General governments Annex V.Part 1.42(b) 224 Credit institutions Annex V.Part 1.42(c) 225 Other financial corporations Annex V.Part 1.42(d) 226 Non-financial corporations Annex V.Part 1.42(e) 227 Households Annex V.Part 1.42(f) 231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.249(c) 330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.246 335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.247 340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246 20. Geographical breakdown 20.1 Geographical breakdown of assets by location of the activities References Carrying amount Annex V.Part 1.27 Domestic activitivies Non-domestic activities Annex V.Part 2.270 Annex V.Part 2.270 010 020 010 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 9. Appendix A 060 Derivatives IFRS 9. Appendix A 070 Equity instruments IAS 32.11 080 Debt securities Annex V.Part 1.31 090 Loans and advances Annex V.Part 1.32 096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 097 Equity instruments IAS 32.11 098 Debt securities Annex V.Part 1.31 099 Loans and advances Annex V.Part 1.32 100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 120 Debt securities Annex V.Part 1.31 130 Loans and advances Annex V.Part 1.32 141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 142 Equity instruments IAS 32.11 143 Debt securities Annex V.Part 1.31 144 Loans and advances Annex V.Part 1.32 181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 182 Debt securities Annex V.Part 1.31 183 Loans and advances Annex V.Part 1.32 240 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a); IFRS 9.6.5.8 260 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 1.21, 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, Annex V.Part 2.7 320 ASSETS IAS 1.9(a), IG 6 20.2 Geographical breakdown of liabilities by location of the activities References Carrying amount Annex V.Part 1.27 Domestic activitivies Non-domestic activities Annex V.Part 2.270 Annex V.Part 2.270 010 020 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 030 Short positions IFRS 9.BA7(b) 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 050 Debt securities issued Annex V.Part 1.37 060 Other financial liabilities Annex V.Part 1.38-41 070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 090 Debt securities issued Annex V.Part 1.37 100 Other financial liabilities Annex V.Part 1.38-41 110 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 130 Debt securities issued Annex V.Part 1.37 140 Other financial liabilities Annex V.Part 1.38-41 150 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b), IFRS 9.6.5.8 170 Provisions IAS 37.10; IAS 1.54(l) 180 Tax liabilities IAS 1.54(n-o) 190 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 200 Other liabilities Annex V.Part 2.13 210 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 220 LIABILITIES IAS 1.9(b);IG 6 20.3 Geographical breakdown of statement of profit or loss items by location of the activities References Current period Domestic activitivies Non-domestic activities Annex V.Part 2.270 Annex V.Part 2.270 010 020 010 Interest income IAS 1.97; Annex V.Part 2.31 020 (Interest expenses) IAS 1.97; Annex V.Part 2.31 030 (Expenses on share capital repayable on demand) IFRIC 2.11 040 Dividend income Annex V.Part 2.40 050 Fee and commission income IFRS 7.20(c) 060 (Fee and commission expenses) IFRS 7.20(c) 070 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net Annex V.Part 2.45 080 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 083 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.5.7.1 090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 100 Gains or (-) losses from hedge accounting, net Annex V.Part 2.47-48 110 Exchange differences [gain or (-) loss], net IAS 21.28, 52 (a) 130 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 140 Other operating income Annex V.Part 2.314-316 150 (Other operating expenses) Annex V.Part 2.314-316 155 TOTAL OPERATING INCOME, NET 160 (Administrative expenses) 170 (Depreciation) IAS 1.102, 104 171 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 180 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(a)(viii); Annex V Part 2.51, 53 200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) IAS 28.40-43 210 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 220 Negative goodwill recognised in profit or loss IFRS 3.Appendix B64(n)(i) 230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates Annex V.Part 2.54 240 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 2.55 250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 260 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 1.82(d); IAS 12.77 270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS IAS 1, IG 6 280 Profit or (-) loss after tax from discontinued operations IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 290 PROFIT OR (-) LOSS FOR THE YEAR IAS 1.81A(a) 20.4 Geographical breakdown of assets by residence of the counterparty z-axis Country of residence of the counterparty References Gross carrying amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures Of which: held for trading or trading of which: financial assets subject to impairment Of which: debt forbearance Of which: non-perfoming Annex V.Part 1.34, Part 2.271, 275 Annex V.Part 1.15(a), Part 2.273 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.275 Annex V.Part 2.274 Annex V.Part 2.274 010 011 012 022 025 031 040 010 Derivatives IFRS 9 Appendix A, Annex V.Part 2.272 020 Of which: credit institutions Annex V.Part 1.42(c) 030 Of which: other financial corporations Annex V.Part 1.42(d) 040 Equity instruments IAS 32.11 050 Of which: credit institutions Annex V.Part 1.42(c) 060 Of which: other financial corporations Annex V.Part 1.42(d) 070 Of which: non-financial corporations Annex V.Part 1.42(e) 080 Debt securities Annex V.Part 1.31, 44(b) 090 Central banks Annex V.Part 1.42(a) 100 General governments Annex V.Part 1.42(b) 110 Credit institutions Annex V.Part 1.42(c) 120 Other financial corporations Annex V.Part 1.42(d) 130 Non-financial corporations Annex V.Part 1.42(e) 140 Loans and advances Annex V.Part 1.32, 44(a) 150 Central banks Annex V.Part 1.42(a) 160 General governments Annex V.Part 1.42(b) 170 Credit institutions Annex V.Part 1.42(c) 180 Other financial corporations Annex V.Part 1.42(d) 190 Non-financial corporations Annex V.Part 1.42(e) 200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 210 Of which: Loans collateralized by commercial immovable property Annex V.Part 2.86(a), 87 220 Households Annex V.Part 1.42(f) 230 Of which: Loans collateralized by residential immovable property Annex V.Part 2.86(a), 87 240 Of which: Credit for consumption Annex V.Part 2.88(a) 20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty z-axis Country of residence of the counterparty References Nominal amount Provisions for commitments and guarantees given Of which: debt forbearance Of which: non-perfoming Annex V.Part 2.118, 271 Annex V.Part 2.240-258 Annex V.Part 2.275 Annex V.Part 2.276 010 022 025 030 010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 020 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 20.6 Geographical breakdown of liabilities by residence of the counterparty z-axis Country of residence of the counterparty References Carrying amount Annex V.Part 1.27, 2.271 010 010 Derivatives IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272 020 Of which: credit institutions Annex V.Part 1.42(c) 030 Of which: other financial corporations Annex V.Part 1.42(d) 040 Short positions IFRS 9.BA7(b); Annex V.Part 1.44(d) 050 Of which: credit institutions Annex V.Part 1.42(c) 060 Of which: other financial corporations Annex V.Part 1.42(d) 070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 080 Central banks Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) 130 Households Annex V.Part 1.42(f) 20.7.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes z-axis Country of residence of the counterparty References Non-financial corporations Annex V. Part 2.271, 277 Gross carrying amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which: loans and advances subject to impairment Of which: non-performing Annex V.Part 1.34, Part 2.275 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.274 Annex V.Part 2.274 010 011 012 021 022 010 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 ans storage NACE Regulation 090 I Accommodation and food service activities NACE Regulation 100 J Information and communication NACE Regulation 105 K Financial and insurance activities 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 1.32 21. Tangible and intangible assets: assets subject to operating lease References Carrying amount Annex V.Part 2.278-279 010 010 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 22.1 Fee and commission income and expenses by activity References Current period Annex V.Part 2.280 IFRS 7.20(c ) 010 010 Fee and commission income Annex V.Part 2.281-283 020 Securities 030 Issuances Annex V.Part 2.284(a) 040 Transfer orders Annex V.Part 2.284(b) 050 Other Annex V.Part 2.284(c) 060 Clearing and settlement Annex V.Part 2.284(d) 070 Asset management Annex V.Part 2.284(e); 285(a) 080 Custody [by type of customer] Annex V.Part 2.284(e); 285(b) 090 Collective investment 100 Other 110 Central administrative services for collective investment Annex V.Part 2.284(e); 285(c) 120 Fiduciary transactions Annex V.Part 2.284(e); 285(d) 130 Payment services Annex V.Part 2.284(e), 285(e) 140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.285(f) 150 Collective investment 160 Insurance products 170 Other 180 Structured Finance Annex V.Part 2.284(f) 190 Loan servicing activities Annex V.Part 2.284(g) 200 Loan commitments given IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(h) 210 Financial guarantees given IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(h) 220 Other Annex V.Part 2.284(j) 230 (Fee and commission expenses) Annex V.Part 2.113-115 240 (Clearing and settlement) Annex V.Part 2.284(d) 250 (Custody) Annex V.Part 2.285(b) 260 (Loan servicing activities) Annex V.Part 2.284(g) 270 (Loan commitments received) Annex V.Part 2.284(i) 280 (Financial guarantees received) Annex V.Part 2.284(i) 290 (Other) Annex V.Part 2.284(j) 22.2 Assets involved in the services provided Reference Amount of the assets involved in the services provided Annex V.Part 2.285(g) 010 010 Asset management [by type of customer] Annex V.Part 2.285(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 2.285(b) 070 Collective investment 080 Other 090 Of which: entrusted to other entities 100 Central administrative services for collective investment Annex V.Part 2.285(c) 110 Fiduciary transactions Annex V.Part 2.285(d) 120 Payment services Annex V.Part 2.285(e) 130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.285(f) 140 Collective investment 150 Insurance products 160 Other 30. Off-balance sheet activities: Interests in unconsolidated structured entities 30.1 Interests 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 exposures 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 2.286 IFRS 12.29(a) IFRS 12.B26(e) IFRS 12 B26(b); Annex V.Part 2.287 010 020 030 040 050 060 080 010 Total 30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities By nature of the activities References Carrying amount Securitisation Special Purpose Entities Asset management Other activities CRR art 4(1)(66) Annex V.Part 2.285(a) IFRS 12.24, 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 2.213-239 030 Derivatives IFRS 9 Appendix A; Annex V.Part 2.272 040 Equity instruments IAS 32.11 050 Debt securities Annex V.Part 1.31 060 Loans and advances Annex V.Part 1.32 070 Selected equity and financial liabilites recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 080 Equity instruments issued IAS 32.11 090 Derivatives IFRS 9 Appendix A; Annex V.Part 2.272 100 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 110 Debt securities issued Annex V.Part 1.37 Nominal amount 120 Off-balance sheet exposures given by the reporting institution IFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 131 of which: non-performing Annex V.Part 2.117 31. Related parties 31.1 Related parties: amounts payable to and amounts receivable from References Annex V.Part 2.288-291 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 2.289 IAS 24.19(d),(e); Annex V.Part 2.289 IAS 24.19(f) IAS 24.19(g) 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 1.31 040 Loans and advances Annex V.Part 1.32 050 of which: non-performing Annex V. Part 2.213-239 060 Selected financial liabilities IAS 24.18(b) 070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 080 Debt securities issued Annex V.Part 1.37 090 Nominal amount of loan commitments, financial guarantees and other commitments given IAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 100 of which: non-performing IAS 24.18(b); Annex V. Part 2.117 110 Loan commitments, financial guarantees and other commitments received IAS 24.18(b); Annex V.Part 2.290 120 Notional amount of derivatives Annex V.Part 2.133-135 131 Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures IAS 24.1(c); Annex V.Part 2.69-71, 291 132 Provisions on non-performing off-balance sheet exposures Annex V.Part 2.11, 106, 291 31.2 Related parties: expenses and income generated by transactions with References Annex V.Part 2.288-289, 292-293 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) 010 020 030 040 050 010 Interest income IAS 24.18(a); Annex V.Part 2.31 020 Interest expenses IAS 24.18(a); IAS 1.97; Annex V.Part 2.31 030 Dividend income IAS 24.18(a); Annex V.Part 2.40 040 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 de-recognition of financial assets and liabilities not measured at fair value through profit or loss IAS 24.18(a) 070 Gains or (-) losses on de-recognition of other than financial assets IAS 24.18(a); Annex V.Part 2.292 080 Impairment or (-) reversal of impairment on non-performing exposures IAS 24.18(d); Annex V.Part 2.293 090 Provisions or (-) reversal of provisions on non-performing exposures Annex V. Part 2.50, 293 40. Group structure 40.1 Group structure: ‘entity-by-entity’ LEI code Entity code Entity name Entry date Share capital of investee 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 2.294-295, 296(a) Annex V.Part 2.294-295, 296(b) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(c) Annex V.Part 2.294-295, 296(d) Annex V.Part 2.294-295, 296(e) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(g) Annex V.Part 2.294-295, 296(h) Annex V.Part 2.294-295, 296(i) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(j) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k) IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(l) IFRS 12.21(b); Annex V.Part 2.294-295, 296(m) CRR art 18; Annex V.Part 2.294-295, 296(n) Annex V.Part 2.294-295, 296(0) Annex V.Part 2.294-295, 296(p) Annex V.Part 2.294-295, 296(q) IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(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 2.297(a) Annex V.Part 2.296(b), 297(c) Annex V.Part 2.297(b) Annex V.Part 2.297(b) Annex V.Part 2.296(j), 297(c) Annex V.Part 2.296(o), 297(c) Annex V.Part 2.296(p), 297(c) 010 020 030 040 050 060 070 080 41. Fair value 41.1 Fair value hierarchy: financial instruments at amortised cost References Annex V.Part 2.298 Fair value IFRS 7.25-26 Fair value hierarchy IFRS 13.97, 93(b) Level 1 IFRS 13.76 Level 2 IFRS 13.81 Level 3 IFRS 13.86 ASSETS 010 020 030 040 015 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 016 Debt securities Annex V.Part 1.31 017 Loans and advances Annex V.Part 1.32 LIABILITIES 070 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 090 Debt securities issued Annex V.Part 1.37 100 Other financial liabilities Annex V.Part 1.38-41 41.2 Use of the Fair Value Option References Carrying amount Annex V.Part 1.27 Accounting mismatch Managed on a fair value basis Hybrid contracts Managed for credit risk IFRS 9.B4.1.29 IFRS 9.B4.1.33 IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300 IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301 ASSETS 010 020 030 040 010 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 030 Debt securities Annex V.Part 1.31 040 Loans and advances Annex V.Part 1.32 LIABILITIES 050 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 070 Debt securities issued Annex V.Part 1.37 080 Other financial liabilities Annex V.Part 1.38-41 42. Tangible and intangible assets: carrying amount by measurement method References Annex V.Part 2.302 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 2.303 080 Revaluation model IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 38.74 43. Provisions References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 Pensions and other post employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 Other provisions IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 IAS 37.70-83 IAS 37.14 IAS 37; IFRS 4; Annex V. Part 2.304-305 IAS 37.14 010 020 030 040 055 060 010 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 44.1 Components of net defined benefit plan assets and liabilities References Amount Annex V.Part 2.306-307 010 010 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 2.308 100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.9 110 Memo item: Fair value of any right to reimbursement recognised as an asset IAS 19.140(b) 44.2 Movements in defined benefit obligations References Defined benefit obligations Annex V.Part 2.306, 309 010 010 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 2.310 44.3 Memo items [related to staff expenses] References Current period 010 010 Pension and similar expenses Annex V.Part 2.311(a) 020 Share based payments IFRS 2.44; Annex V.Part 2.311(b) 45 Breakdown of selected items of statement of profit or loss 45.1 Gains 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 Annex V.Part 2.312 010 020 010 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.1.5 020 Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.2.2 030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.20(a)(i) 45.2 Gains or losses on derecognition of non-financial assets References Current period Annex V.Part 2.313 010 020 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 45.3 Other 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 2.314 020 Investment property IAS 40.75(f); Annex V.Part 2.314 030 Operating leases other than investment property IAS 17.50, 51, 56(b); Annex V.Part 2.315 040 Other Annex V.Part 2.316 050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.314-316 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 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(r) IAS 1.106, 78(e) IAS 1.106, Annex V.Part 2.18-19 IAS 1.106; Annex V.Part 2.20 IAS 1.106 CRR art 4(1)(123) IFRS 1.30 D5-D8 IAS 1.106, 54(c) IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30 IAS 1.106(a) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a) IAS 1.54(q), 106(a) IAS 1.9(c), IG6 010 020 030 040 050 060 070 080 090 100 110 120 130 140 010 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); Annex V.Part 2.318 170 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] ANNEX IV REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS FINREP TEMPLATES FOR GAAP TEMPLATE NUMBER TEMPLATE CODE NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE PART 1 [QUARTERLY FREQUENCY] Balance Sheet Statement [Statement of Financial Position] 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 Breakdown of financial assets by instrument and by counterparty sector 4.1 F 04.01 Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading 4.2.1 F 04.02.1 Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss 4.2.2 F 04.02.2 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss 4.3.1 F 04.03.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income 4.4.1 F 04.04.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost 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 non-derivative financial assets 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 5.1 F 05.01 Breakdown of non-trading Loans and advances by product 6.1 F 06.01 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes F 07.00 Financial assets subject to impairment that are past due 7.1 F 07.01 Financial assets subject to impairment that are past due 7.2 F 07.02 Financial assets subject to impairment that are past due under national GAAP Breakdown of financial liabilities 8.1 F 08.01 Breakdown of financial liabilities by product and by counterparty sector 8.2 F 08.02 Subordinated financial liabilities Loan commitments, financial guarantees and other commitments 9.1 F 09.01 Off-balance sheet exposures under national GAAP: loan commitments, financial guarantees and other commitments given 9.1.1 F 09.01.1 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 and economic hedges Hedge accounting 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 11.3 F 11.03 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge 11.3.1 F 11.03.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio 11.4 F 11.04 Hedged items in fair value hedges Movements in allowances and provisions for credit losses 12 F 12.00 Movements in allowances for credit losses and impairment of equity instruments under national GAAP 12.1 F 12.01 Movements in allowances and provisions for credit losses 12.2 F 12.02 Transfers between impairment stages (gross basis presentation) Collateral and guarantees received 13.1 F 13.01 Breakdown of collateral and guarantees by loans and advances other than held for trading 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 Breakdown of selected statement of profit or loss items 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 and trading financial assets and trading financial liabilities by instrument 16.4 F 16.04 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk 16.4.1 F 16.04.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument 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 non-financial assets Reconciliation between accounting and CRR scope of consolidation: Balance Sheet 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] Geographical breakdown 20.1 F 20.01 Geographical breakdown of assets by location of the activities 20.2 F 20.02 Geographical breakdown of liabilities by location of the activities 20.3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities 20.4 F 20.04 Geographical breakdown of assets by residence of the counterparty 20.5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty 20.6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty 20.7.1 F 20.07.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes 21 F 21.00 Tangible and intangible assets: assets subject to operating lease Asset management, custody and other service functions 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] Off-balance sheet activities: interests in unconsolidated structured entities 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 Related parties 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] Group structure 40.1 F 40.1 Group structure: ‘entity-by-entity’ 40.2 F 40.02 Group structure: ‘instrument-by-instrument’ Fair value 41.1 F 41.01 Fair value hierarchy: financial instruments at amortised cost 41.2 F 41.02 Use of the Fair Value Option 42 F 42.00 Tangible and intangible assets: carrying amount by measurement method 43 F 43.00 Provisions Defined benefit plans and employee benefits 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] Breakdown of selected items of statement of profit or loss 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 and investments in subsidiaries, joint ventures and associates 45.3 F 45.03 Other operating income and expenses 46 F 46.00 Statement of changes in equity COLOUR CODE IN TEMPLATES: Parts for National GAAP reporters Cell not to be submitted for reporting institutions subject to the relevant accounting framework 1. Balance Sheet Statement [Statement of Financial Position] 1.1 Assets References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount Annex V.Part 1.27-28 010 010 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 Annex V.Part 2.3 5 050 Financial assets held for trading Accounting Directive art 8(1)(a), (5); IAS 39.9 IFRS 9.Appendix A 060 Derivatives CRR Annex II IFRS 9.Appendix A 10 070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 4 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 4 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 4 091 Trading financial assets BAD Article 32-33; Annex V.Part 1.17 092 Derivatives CRR Annex II; Annex V.Part 1.17, 27 10 093 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 094 Debt securities Annex V.Part 1.31 4 095 Loans and advances Annex V.Part 1.32 4 096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 4 097 Equity instruments IAS 32.11 4 098 Debt securities Annex V.Part 1.31 4 099 Loans and advances Annex V.Part 1.32 4 100 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 4 110 Equity instruments IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 4 120 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 4 130 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 4 141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 4 142 Equity instruments IAS 32.11 4 143 Debt securities Annex V.Part 1.31 4 144 Loans and advances Annex V.Part 1.32 4 171 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2) 4 172 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 173 Debt securities Annex V.Part 1.31 4 174 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 4 175 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8) 4 176 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 177 Debt securities Annex V.Part 1.31 4 178 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 4 181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 4 182 Debt securities Annex V.Part 1.31 4 183 Loans and advances Annex V.Part 1.32 4 231 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 4 390 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 232 Debt securities Annex V.Part 1.31 4 233 Loans and advances Annex V.Part 1.32 4 234 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 4 235 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 236 Debt securities Annex V.Part 1.31 4 237 Loans and advances Annex V.Part 1.32 4 240 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 11 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); IAS 39.89A (a) IAS 39.89A(a); IFRS 9.6.5.8 260 Investments in subsidiaries, joint ventures and associates BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4 IAS 1.54(e); Annex V.Part 1.21, Part 2.4 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(1)(115) IAS 1.54(c); CRR art 4(1)(115) 310 Goodwill BAD art 4.Assets(9); CRR art 4(1)(113) IFRS 3.B67(d); CRR art 4(1)(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 Accounting Directive art 17(1)(f); CRR art 4(1)(106) IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 360 Other assets Annex V.Part 2.5, 6 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 2.7 375 (-) Haircuts for trading assets at fair value Annex V Part 1.29 380 TOTAL ASSETS BAD art 4 Assets IAS 1.9(a), IG 6 1.2 Liabilities References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount Annex V.Part 1.27-28 010 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 8 020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 10 030 Short positions IFRS 9.BA7(b) 8 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 050 Debt securities issued Annex V.Part 1.37 8 060 Other financial liabilities Annex V.Part 1.38-41 8 061 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 8 062 Derivatives CRR Annex II; Annex V.Part 1.25 10 063 Short positions 8 064 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 065 Debt securities issued Annex V.Part 1.37 8 066 Other financial liabilities Annex V.Part 1.38-41 8 070 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 8 080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 090 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 8 100 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 8 110 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 8 120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 8 140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 8 141 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) 8 142 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 143 Debt securities issued Annex V.Part 1.37 8 144 Other financial liabilities Annex V.Part 1.38-41 8 150 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26 11 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) IAS 39.89A(b), IFRS 9.6.5.8 170 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 2.15 180 Pensions and other post employment defined benefit obligations Annex V.Part 2.9 IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 43 190 Other long term employee benefits Annex V.Part 2.10 IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 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 Article 4 Liabilities (6)(c ), Off balance sheet items, Article 27(11), Article 28(8), Article 33 IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 9 12 43 230 Other provisions BAD Article 4 Liabilities (6)(c ), Off balance sheet items IAS 37.14 43 240 Tax liabilities IAS 1.54(n-o) 250 Current tax liabilities IAS 1.54(n); IAS 12.5 260 Deferred tax liabilities Accounting Directive art 17(1)(f); CRR art 4(1)(108) 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 2.12 280 Other liabilities Annex V.Part 2.13 Annex V.Part 2.13 290 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 295 Haircuts for trading liabilities at fair value Annex V Part 1.29 300 TOTAL LIABILITIES IAS 1.9(b);IG 6 1.3 Equity 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); Annex V.Part 2.17 Annex V.Part 2.14 040 Share premium BAD art 4.Liabilities(10); CRR art 4(1)(124) IAS 1.78(e); CRR art 4(1)(124) 46 050 Equity instruments issued other than capital Annex V.Part 2.18-19 Annex V.Part 2.18-19 46 060 Equity component of compound financial instruments Accounting Directive art 8(6); Annex V.Part 2.18 IAS 32.28-29; Annex V.Part 2.18 070 Other equity instruments issued Annex V.Part 2.19 Annex V.Part 2.19 080 Other equity Annex V.Part 2.20 IFRS 2.10; Annex V.Part 2.20 090 Accumulated other comprehensive income CRR art 4(1)(100) 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, IG6; IAS 19.120(c) 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.IG6; IAS 28.10 320 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21 330 Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22 340 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22 350 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a);Annex V.Part 2.57 360 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23 128 Items that may be reclassified to profit or loss IAS 1.82A(a) (ii) 130 Hedge of net investments in foreign operations [effective portion] Accounting Directive art 8(1)(a), (6)(8) IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24 140 Foreign currency translation BAD art 39(6) IAS 21.52(b); IAS 21.32, 38-49 150 Hedging derivatives. Cash flow hedges reserve [effective portion] Accounting Directive art 8(1)(a), (6)(8) IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25 155 Fair value changes of debt instruments measured at fair value through other comprehensive income IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26 165 Hedging instruments [not designated elements] IAS 1.7(g)(h); IFRS 9.6.5.15,.6.5.16; IFRS 7.24E (b)(c); Annex V.Part 2.60 170 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.IG6; IAS 28.10 190 Retained earnings BAD art 4.Liabilities(13); CRR art 4(1)(123) CRR art 4(1)(123) 200 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.30, D5-D8; Annex V.Part 2.28 201 Tangible assets Accounting Directive art 7(1) 202 Equity instruments Accounting Directive art 7(1) 203 Debt securities Accounting Directive art 7(1) 204 Other Accounting Directive art 7(1) 205 Fair value reserves Accounting Directive art 8(1)(a) 206 Hedge of net investments in foreign operations Accounting Directive art 8(1)(a), (8)(b) 207 Hedging derivatives.Cash flow hedges Accounting Directive art 8(1)(a), (8)(a); CRR article 30(a) 208 Hedging derivatives. Other hedges Accounting Directive art 8(1)(a), (8)(a) 209 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8)(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 2.15 220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method Accounting Directive art 9(7)(a); art 27; Annex V.Part 2.29 IAS 28.11; Annex V.Part 2.29 230 Other Annex V.Part 2.29 Annex V.Part 2.29 235 First consolidation differences Accounting Directive art 24(3)(c) 240 (-) Treasury shares Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30 46 250 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IAS 1.81B (b)(ii) 2 260 (-) Interim dividends CRR Article 26(2b) IAS 32.35 270 Minority interests [Non-controlling interests] Accounting Directive art 24(4) IAS 1.54(q) 280 Accumulated Other Comprehensive Income CRR art 4(1)(100) CRR art 4(1)(100) 46 290 Other items 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 2.31 IAS 1.97; Annex V.Part 2.31 16 020 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 025 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1 030 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 041 Financial assets at fair value through other comprehensive income IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A 051 Financial assets at amortised cost IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2 070 Derivatives - Hedge accounting, interest rate risk IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35 080 Other assets Annex V.Part 2.36 085 Interest income on liabilities Annex V.Part 2.37 IFRS 9.5.7.1, Annex V.Part 2.37 090 (Interest expenses) BAD art 27.Vertical layout(2); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31 16 100 (Financial liabilities held for trading) IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 110 (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); IFRS 9.5.7.2 130 (Derivatives - Hedge accounting, interest rate risk) IAS 39.9; Annex V.Part 2.35 140 (Other liabilities) Annex V.Part 2.38 145 (Interest expense on assets) Annex V.Part 2.39 IFRS 9.5.7.1, Annex V.Part 2.39 150 (Expenses on share capital repayable on demand) IFRIC 2.11 160 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.40 Annex V.Part 2.40 31 170 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40 175 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40 191 Financial assets at fair value through other comprehensive income IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41 192 Investments in subsidiaries, joint ventures and associates accounted for using other than equity method Annex V Part 2 .42 Annex V Part 2 .42 200 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) Annex V.Part 2.45 16 231 Financial assets at fair value through other comprehensive income IFRS 9.4.12A; IFRS 9.5.7.10-11 241 Financial assets at amortised cost IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2 260 Financial liabilities measured at amortised cost IFRS 7.20(a)(v); IFRS 9.5.7.2 270 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); IFRS 9.5.7.1; Annex V.Part 2.43, 46 16 285 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 16 287 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46 290 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 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 Accounting Directive art 8(1)(a), (6), (8) Annex V.Part 2.47 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); Annex V Part 2.56 330 Gains or (-) losses on derecognition of non-financial assets, net Annex V. Part 2.48 IAS 1.34; Annex V. Part 2.48 45 340 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.314-316 Annex V.Part 2.314-316 45 350 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.314-316 Annex V.Part 2.314-316 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) 425 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 426 Financial assets at fair value through other comprehensive income IFRS 7.35J 427 Financial assets at amortised cost IFRS 7.35J 430 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 9 12 43 440 (Commitments and guarantees given) BAD art 27.Vertical layout(11)-(12) IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50 450 (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, Annex V.Part 2.52, 53 IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53 12 481 (Financial assets at fair value through other comprehensive income) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8 12 491 (Financial assets at amortised cost) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8 12 510 (Impairment or (-) reversal of impairment of investments in subsidiaries, 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 Accounting Directive art 24(3)(f) IFRS 3.Appendix B64(n)(i) 590 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity method BAD art 27.Vertical layout(13)-(14) Annex V.Part 2.54 600 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 2.55 610 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(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 650 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 1.81B (b)(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, IG6 020 Other comprehensive income IAS 1.7, IG6 030 Items that will not be reclassified to profit or loss IAS 1.82A(a)(i) 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 19.120(c) 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.IG6; IAS 28.10 081 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d) 083 Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57 084 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57 085 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57 086 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f) 090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.66 100 Items that may be reclassified to profit or loss IAS 1.82A(a)(ii) 110 Hedge of net investments in foreign operations [effective portion] IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58 120 Valuation gains or (-) losses taken to equity IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58 130 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59 140 Other reclassifications Annex V.Part 2.65 150 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 Annex V.Part 2.65 190 Cash flow hedges [effective portion] IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); 200 Valuation gains or (-) losses taken to equity IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a) 210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59 220 Transferred to initial carrying amount of hedged items IAS 1.IG6;IFRS 9.6.5.11(d)(i) 230 Other reclassifications Annex V.Part 2.65 231 Hedging instruments [not designated elements] IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c); Annex V.Part 2.60 232 Valuation gains or (-) losses taken to equity IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c) 233 Transferred to profit or loss IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61 234 Other reclassifications Annex V.Part 2.65 241 Debt instruments at fair value through other comprehensive income IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 251 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4 261 Transferred to profit or loss IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64 270 Other reclassifications IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65 280 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.IG6; IAS 28.10 330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.66 340 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 4.1 Financial assets held for trading References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 010 005 Derivatives 010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11, Annex V.Part 1.44(b) 030 of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 040 of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 050 of which: non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 060 Debt securities Annex V.Part 1.31 Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 190 FINANCIAL ASSETS HELD FOR TRADING Annex V.Part 1.15(a) IFRS 9.Appendix A 4.2.1 Non-trading financial assets mandatorily at fair value through profit or loss References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27 Annex V.Part 2.69 010 020 010 Equity instruments IAS 32.11, Annex V.Part 1.44(b) 020 of which: credit institutions Annex V.Part 1.42(c) 030 of which: other financial corporations Annex V.Part 1.42(d) 040 of which: non-financial corporations Annex V.Part 1.42(e) 050 Debt securities Annex V.Part 1.31, 44(b) 060 Central banks Annex V.Part 1.42(a) 070 General governments Annex V.Part 1.42(b) 080 Credit institutions Annex V.Part 1.42(c) 090 Other financial corporations Annex V.Part 1.42(d) 100 Non-financial corporations Annex V.Part 1.42(e) 110 Loans and advances Annex V.Part 1.32, 44(a) 120 Central banks Annex V.Part 1.42(a) 130 General governments Annex V.Part 1.42(b) 140 Credit institutions Annex V.Part 1.42(c) 150 Other financial corporations Annex V.Part 1.42(d) 160 Non-financial corporations Annex V.Part 1.42(e) 170 Households Annex V.Part 1.42(f) 180 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(ii); IFRS 9.4.1.4 4.2.2 Financial assets designated at fair value through profit or loss References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27 Annex V.Part 2.69 010 020 010 Equity instruments ECB/2013/33 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 1.42(c) Annex V.Part 1.38(c) 040 of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.38(d) 050 of which: non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.38(e) 060 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 4.3.1 Financial assets at fair value through other comprehensive income References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(b), 71 Accumulated partial write-offs Accumulated total write-offs Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) of which: instruments with low credit risk Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.5; IFRS7.35H(a), IFRS 7.16A IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i), IFRS 7.16A IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 010 015 020 030 040 050 060 070 080 090 010 Equity instruments IAS 32.11; Annex V.Part 1.44(b) 020 of which: credit institutions Annex V.Part 1.42(c) 030 of which: other financial corporations Annex V.Part 1.42(d) 040 of which: non-financial corporations Annex V.Part 1.42(e) 050 Debt securities Annex V.Part 1.31, 44(b) 060 Central banks Annex V.Part 1.42(a) 070 General governments Annex V.Part 1.42(b) 080 Credit institutions Annex V.Part 1.42(c) 090 Other financial corporations Annex V.Part 1.42(d) 100 Non-financial corporations Annex V.Part 1.42(e) 110 Loans and advances Annex V.Part 1.32, 44(a) 120 Central banks Annex V.Part 1.42(a) 130 General governments Annex V.Part 1.42(b) 140 Credit institutions Annex V.Part 1.42(c) 150 Other financial corporations Annex V.Part 1.42(d) 160 Non-financial corporations Annex V.Part 1.42(e) 170 Households Annex V.Part 1.42(f) 180 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2A 190 of which: purchased credit-impaired financial assets IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.77 4.4.1. Financial assets at amortised cost References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(a), 71 Accumulated partial write-offs Accumulated total write-offs Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Assets without significant increase in credit risk since initial recognition (Stage 1) of which: instruments with low credit risk Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.5; IFRS7.35H(a) IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i) IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii) IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 010 015 020 030 040 050 060 070 080 090 010 Debt securities Annex V.Part 1.31, 44(b) 020 Central banks Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) 070 Loans and advances Annex V.Part 1.32, 44(a) 080 Central banks Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) 130 Households Annex V.Part 1.42(f) 140 FINANCIAL ASSETS AT AMORTISED COST IFRS 7.8(f); IFRS 9.4.1.2 150 of which: purchased credit-impaired financial assets IFRS 9.5.13 and IFRS 7.35M(f); Annex V.Part 2.77 4.5 Subordinated financial assets References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 010 010 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 020 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Accounting Directive art 8(1)(a); Annex V.Part 2.78, 100 Annex V.Part 2.78, 100 4.6 Trading Financial assets References National GAAP based on BAD Carrying amount Annex V.Part 1.27-28 010 005 Derivatives CRR Annex II; Annex V.Part 1.17, Part 2.68 010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.42(c) 040 of which: other financial corporations Annex V.Part 1.42(d) 050 of which: non-financial corporations Annex V.Part 1.42(e) 060 Debt securities Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) 190 TRADING FINANCIAL ASSETS BAD Article 32-33; Annex V.Part 1.17 4.7 Non-trading non-derivative financial assets measured at fair value through profit or loss References National GAAP based on BAD Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27-28 Annex V.Part 2.69 010 021 010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.42(c) 040 of which: other financial corporations Annex V.Part 1.42(d) 050 of which: non-financial corporations Annex V.Part 1.42(e) 060 Debt securities Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) 190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS BAD art 36(2) 4.8 Non-trading non-derivative financial assets measured at fair value to equity References National GAAP based on BAD Financial assets not subject to impairment Annex V.Part 1.34(d), Part 2.79 Financial assets subject to impairment Annex V.Part 2.79 Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Carrying amount Gross carrying amount Annex V Part 1.34(d) Specific allowances for credit risk General allowances for credit risk affecting carrying amount General allowances for banking risk affecting carrying amount Accumulated partial write-offs Accumulated total write-offs Unimpaired assets Impaired assets Annex V.Part 1.27-28 Annex V.Part 2.69 Annex V.Part 1.27-28 CRR art 4(95) CRR art 4(95), Annex V Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c), 71, 82 CRR art 4(95); Annex V.Part 2.72-74 CRR art 4(95); Annex V.Part 2.72-74 010 030 035 040 050 060 070 080 090 100 010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.42(c) 040 of which: other financial corporations Annex V.Part 1.42(d) 050 of which: non-financial corporations Annex V.Part 1.42(e) 060 Debt securities Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) 190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY Accounting Directive art 8(1)(a), (8)(2) 4.9 Non-trading non-derivative financial assets measured at a cost-based method References National GAAP based on BAD Gross carrying amount Annex V.Part 1.34(c),34(e) Specific allowances for credit risk General allowances for credit risk affecting carrying amount General allowances for banking risk affecting carrying amount Accumulated negative value adjustments on LOCOM assets - market risk induced Accumulated negative value adjustments on LOCOM assets - credit risk induced Accumulated partial write-offs Accumulated total write-offs Carrying amount of which: assets under LOCOM Unimpaired assets of which: assets under LOCOM Impaired assets of which: assets under LOCOM Annex V.Part 2.80 Annex V.Part 1.19 CRR art 4(95), Annex V.Part 2.80 Annex V.Part 1.19 CRR art 4(95); Annex V.Part 2.70(c), 71 CRR art 4(95); Annex V.Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c), 71, 82 Annex V.Part 1.27-28 Annex V.Part 1.19 Annex V.Part 2.80 Annex V.Part 2.80 CRR art 4(95); Annex V.Part 2.72-74 CRR art 4(95); Annex V.Part 2.72-74 010 015 020 025 030 041 045 050 060 070 080 090 100 005 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) 006 of which: unquoted 007 of which: credit institutions Annex V.Part 1.42(c) 008 of which: other financial corporations Annex V.Part 1.42(d) 009 of which: non-financial corporations Annex V.Part 1.42(e) 010 Debt securities Annex V.Part 1.31, 44(b) 020 Central banks Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) 070 Loans and advances Annex V.Part 1.32, 44(a) 080 Central banks Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) 130 Households Annex V.Part 1.42(f) 140 NON-TRADING FINANCIAL ASSETS MEASURED AT A COST-BASED METHOD BAD art 37.1; art 42a(4)(b); Annex V.Part 1.19 4.10 Other non-trading non-derivative financial assets References National GAAP based on BAD Gross carrying amount Annex V.Part 1.34(e),34(f) Specific allowances for credit risk General allowances for credit risk affecting carrying amount General allowances for banking risk affecting carrying amount Accumulated negative value adjustments on LOCOM assets - market risk induced Accumulated negative value adjustments on LOCOM assets - credit risk induced Accumulated partial write-offs Accumulated total write-offs Carrying amount of which: assets under LOCOM Unimpaired assets of which: assets under LOCOM Impaired assets of which: assets under LOCOM Annex V.Part 2.81 Annex V.Part 1.20 Annex V.Part 2.81 CRR art 4(95); Annex V.Part 1.20 CRR art 4(95); Annex V.Part 2.70(c), 71 CRR art 4(95); Annex V.Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c), 71, 82 Annex V.Part 1.27-28 Annex V.Part 1.20 Annex V.Part 2.81 Annex V.Part 2.81 CRR art 4(95); Annex V.Part 2.72-74 CRR art 4(95); Annex V.Part 2.72-74 015 016 020 025 030 040 050 010 070 080 090 100 110 010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V.Part 1.44(b) 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.42(c) 040 of which: other financial corporations Annex V.Part 1.42(d) 050 of which: non-financial corporations Annex V.Part 1.42(e) 060 Debt securities Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) 190 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS Accounting Directive art 8(1)(a), (8)(2); Annex V.Part 1.20 5. Breakdown of non-trading Loans and advances by product 5.1 Loans and advances other than held for trading and trading assets by product References Gross carrying amount Carrying amount Annex V.Part 1.27-28 Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households Annex V.Part 1.34 Annex V.Part 1.42(a) Annex V.Part 1.42(b) Annex V.Part 1.42(c) Annex V.Part 1.42(d) Annex V.Part 1.42(e) Annex V.Part 1.42(f) 005 010 020 030 040 050 060 By product 010 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 020 Credit card debt Annex V.Part 2.85(b) 030 Trade receivables Annex V.Part 2.85(c) 040 Finance leases Annex V.Part 2.85(d) 050 Reverse repurchase loans Annex V.Part 2.85(e) 060 Other term loans Annex V.Part 2.85(f) 070 Advances that are not loans Annex V.Part 2.85(g) 080 LOANS AND ADVANCES Annex V.Part 1.32, 44(a) By collateral 090 of which: Loans collateralized by immovable property Annex V.Part 2.86(a), 87 100 of which: other collateralized loans Annex V.Part 2.86(b), 87 By purpose 110 of which: credit for consumption Annex V.Part 2.88(a) 120 of which: lending for house purchase Annex V.Part 2.88(b) By subordination 130 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8) 6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes 6.1 Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes References Non-financial corporations Annex V.Part 1.42(e), Part 2.91 Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures Gross carrying amount of which: loans and advances subject to impairment Of which: non-performing Annex V.Part 1.34 Annex V.Part 2.93 Annex V.Part 2. 213-232 Annex V.Part 2.70-71 Annex V.Part 2.69 010 011 012 021 022 010 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 105 K Financial and insurance activities NACE Regulation, Annex V.Part 2.92 110 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 1.32, Part 2.90 7. Financial assets subject to impairment that are past due 7.1 Financial assets subject to impairment that are past due References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96 010 020 030 040 050 060 070 080 090 060 Debt securities Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) 190 TOTAL DEBT INSTRUMENTS Annex V Part 2.94-95 Loans and advances by product, by collateral and by subordination 200 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 210 Credit card debt Annex V.Part 2.85(b) 220 Trade receivables Annex V.Part 2.85(c) 230 Finance leases Annex V.Part 2.85(d) 240 Reverse repurchase loans Annex V.Part 2.85(e) 250 Other term loans Annex V.Part 2.85(f) 260 Advances that are not loans Annex V.Part 2.85(g) 270 of which: Loans collateralized by inmovable property Annex V.Part 2.86(a), 87 280 of which: other collateralized loans Annex V.Part 2.86(b), 87 290 of which: credit for consumption Annex V.Part 2.88(a) 300 of which: lending for house purchase Annex V.Part 2.88(b) 310 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8) 7.2 Financial assets subject to impairment that are past due under national GAAP References National GAAP based on BAD Carrying amount Annex V.Part 1.27-28 Past due but not impaired Past due impaired ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days CRR art 4(95); Annex V.Part 2.96 010 020 030 040 050 060 060 Debt securities Annex V.Part 1.31, 44(b) 070 Central banks Annex V.Part 1.42(a) 080 General governments Annex V.Part 1.42(b) 090 Credit institutions Annex V.Part 1.42(c) 100 Other financial corporations Annex V.Part 1.42(d) 110 Non-financial corporations Annex V.Part 1.42(e) 120 Loans and advances Annex V.Part 1.32, 44(a) 130 Central banks Annex V.Part 1.42(a) 140 General governments Annex V.Part 1.42(b) 150 Credit institutions Annex V.Part 1.42(c) 160 Other financial corporations Annex V.Part 1.42(d) 170 Non-financial corporations Annex V.Part 1.42(e) 180 Households Annex V.Part 1.42(f) 190 TOTAL DEBT INSTRUMENTS Annex V Part 2.94-95 Loans and advances by product, by collateral and by subordination 200 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 210 Credit card debt Annex V.Part 2.85(b) 220 Trade receivables Annex V.Part 2.85(c) 230 Finance leases Annex V.Part 2.85(d) 240 Reverse repurchase loans Annex V.Part 2.85(e) 250 Other term loans Annex V.Part 2.85(f) 260 Advances that are not loans Annex V.Part 2.85(g) 270 of which: Loans collateralized by inmovable property Annex V.Part 2.86(a), 87 280 of which: other collateralized loans Annex V.Part 2.86(b), 87 290 of which: credit for consumption Annex V.Part 2.88(a) 300 of which: lending for house purchase Annex V.Part 2.88(b) 310 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8) 8. Breakdown of financial liabilities 8.1 Breakdown of financial liabilities by product and by counterparty sector Carrying amount Annex V.Part 1.27-28 Accumulated changes in fair value due to credit risk 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); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7 IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 IFRS 7.24A(a); IFRS 9.6 CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101 References National GAAP based on BAD Accounting Directive art 8(1)(a), (6); IAS 39.9, AG 14-15 Accounting Directive art 8(1)(a), (6); IAS 39.9 Accounting Directive art 8(3), (6); IAS 39.47 Accounting Directive art 8(3); Annex V.Part 1.25 Accounting Directive art 8(3) Accounting Directive art 8(1)(a), (6), (8)(1)(a) CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.102 010 020 030 034 035 037 040 010 Derivatives CRR Annex II IFRS 9.BA.7(a) 020 Short positions FRS 9.BA.7(b) 030 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 040 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 050 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 060 Central banks Annex V.Part 1.42(a), 44(c) Annex V.Part 1.42(a), 44(c) 070 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 080 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 090 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 100 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 110 General governments Annex V.Part 1.42(b), 44(c) Annex V.Part 1.42(b), 44(c) 120 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 130 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 140 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 150 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 160 Credit institutions Annex V.Part 1.42(c),44(c) Annex V.Part 1.42(c),44(c) 170 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 180 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 190 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 200 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 210 Other financial corporations Annex V.Part 1.42(d),44(c) Annex V.Part 1.42(d),44(c) 220 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 230 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 240 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 250 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 260 Non-financial corporations Annex V.Part 1.42(e), 44(c) Annex V.Part 1.42(e), 44(c) 270 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 280 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 290 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 300 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 310 Households Annex V.Part 1.42(f), 44(c) Annex V.Part 1.42(f), 44(c) 320 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 330 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 340 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 350 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 360 Debt securities issued Annex V.1.37, Part 2.98 Annex V.Part 1.37, Part 2.98 370 Certificates of deposits Annex V.Part 2.98(a) Annex V.Part 2.98(a) 380 Asset-backed securities CRR art 4(61) CRR art 4(1)(61) 390 Covered bonds CRR art 129 CRR art 129 400 Hybrid contracts Annex V.Part 2.98(d) Annex V.Part 2.98(d) 410 Other debt securities issued Annex V.Part 2.98(e) Annex V.Part 2.98(e) 420 Convertible compound financial instruments IAS 32.AG 31 430 Non-convertible 440 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 450 FINANCIAL LIABILITIES 8.2 Subordinated 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); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 References National GAAP Accounting Directive art 8(1)(a), (6); IAS 39.9 Accounting Directive art 8(3), (6); IAS 39.47 Accounting Directive art 8(3) 010 020 030 010 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 020 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.99-100 Annex V.Part 2.99-100 9. Loan commitments, financial guarantees and other commitments 9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118 Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109 Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4 Commitments and financial guarantees measured at fair value References National GAAP compatible IFRS Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Nominal amount Provision Nominal amount Accumulated negative changes in fair value due to credit risk on non-performing commitments IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii) IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118 IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111 IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118 Annex V Part 2.69 010 020 030 040 050 060 100 110 120 130 010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 021 of which: non-performing Annex V.Part 2.117 030 Central banks Annex V.Part 1.42(a) 040 General governments Annex V.Part 1.42(b) 050 Credit institutions Annex V.Part 1.42(c) 060 Other financial corporations Annex V.Part 1.42(d) 070 Non-financial corporations Annex V.Part 1.42(e) 080 Households Annex V.Part 1.42(f) 090 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 101 of which: non-performing Annex V.Part 2.117 110 Central banks Annex V.Part 1.42(a) 120 General governments Annex V.Part 1.42(b) 130 Credit institutions Annex V.Part 1.42(c) 140 Other financial corporations Annex V.Part 1.42(d) 150 Non-financial corporations Annex V.Part 1.42(e) 160 Households Annex V.Part 1.42(f) 170 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 181 of which: non-performing Annex V.Part 2.117 190 Central banks Annex V.Part 1.42(a) 200 General governments Annex V.Part 1.42(b) 210 Credit institutions Annex V.Part 1.42(c) 220 Other financial corporations Annex V.Part 1.42(d) 230 Non-financial corporations Annex V.Part 1.42(e) 240 Households Annex V.Part 1.42(f) 9.1 Off-balance sheet exposures under national GAAP: Loan commitments, financial guarantees and other commitments given Nominal amount Provisions References National GAAP CRR Annex I; Annex V.Part 2.118 CRR Annex I; Annex V.Part 2.11 010 020 010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 021 of which: non-performing Annex V. Part 2.117 030 Central banks Annex V.Part 1.42(a) 040 General governments Annex V.Part 1.42(b) 050 Credit institutions Annex V.Part 1.42(c) 060 Other financial corporations Annex V.Part 1.42(d) 070 Non-financial corporations Annex V.Part 1.42(e) 080 Households Annex V.Part 1.42(f) 090 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 101 of which: non-performing Annex V. Part 2.117 110 Central banks Annex V.Part 1.42(a) 120 General governments Annex V.Part 1.42(b) 130 Credit institutions Annex V.Part 1.42(c) 140 Other financial corporations Annex V.Part 1.42(d) 150 Non-financial corporations Annex V.Part 1.42(e) 160 Households Annex V.Part 1.42(f) 170 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 181 of which: non-performing Annex V. Part 2.117 190 Central banks Annex V.Part 1.42(a) 200 General governments Annex V.Part 1.42(b) 210 Credit institutions Annex V.Part 1.42(c) 220 Other financial corporations Annex V.Part 1.42(d) 230 Non-financial corporations Annex V.Part 1.42(e) 240 Households Annex V.Part 1.42(f) 9.2 Loan commitments, financial guarantees and other commitments received Maximum amount of the guarantee that can be considered Nominal amount References National GAAP compatible IFRS IFRS 7.36 (b); Annex V.Part 2.119 Annex V.Part 2.119 References National GAAP Annex V.Part 2.119 Annex V.Part 2.119 010 020 010 Loan commitments received Annex V.Part 1.44(h), Part 2.102-103, 113 IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113 020 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 070 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 080 Financial guarantees received Annex V.Part 1.44(h), Part 2.102-103, 114 IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114 090 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 100 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 110 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 120 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 130 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 140 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 150 Other Commitments received Annex V.Part 1.44(h), Part 2.102-103, 115 Annex V.Part 1.44(h), Part 2.102-103, 115 160 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 170 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 180 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 190 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 200 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 210 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 10. Derivatives - Trading and economic hedges By type of risk / By product or by type of market Carrying amount Fair value Notional amount Positive value Negative value Total Trading of which: sold Financial assets Held for trading and trading of which: Financial assets measured at a cost-based method / LOCOM Financial liabilities Held for trading and trading of which: Financial liabilities measured at a cost-based method / LOCOM References National GAAP compatible IFRS Annex V.Part 2.120, 131 IFRS 9.BA.7 (a); Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135 References National GAAP based on BAD Annex V.Part 1.17, Part 2.120 Annex V.Part 2.124 Annex V.Part 1.25, Part 2.120 Annex V.Part 2.124 Annex V.Part 2.132 Annex V.Part 2.132 Annex V.Part 2.133-135 Annex V.Part 2.133-135 010 011 020 016 022 025 030 040 010 Interest rate Annex V.Part 2.129(a) Annex V.Part 2.129(a) 020 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 030 OTC options Annex V.Part 2.136 Annex V.Part 2.136 040 OTC other Annex V.Part 2.136 Annex V.Part 2.136 050 Organized market options Annex V.Part 2.136 Annex V.Part 2.136 060 Organized market other Annex V.Part 2.136 Annex V.Part 2.136 070 Equity Annex V.Part 2.129(b) Annex V.Part 2.129(b) 080 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 090 OTC options Annex V.Part 2.136 Annex V.Part 2.136 100 OTC other Annex V.Part 2.136 Annex V.Part 2.136 110 Organized market options Annex V.Part 2.136 Annex V.Part 2.136 120 Organized market other Annex V.Part 2.136 Annex V.Part 2.136 130 Foreign exchange and gold Annex V.Part 2.129(c) Annex V.Part 2.129(c) 140 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 150 OTC options Annex V.Part 2.136 Annex V.Part 2.136 160 OTC other Annex V.Part 2.136 Annex V.Part 2.136 170 Organized market options Annex V.Part 2.136 Annex V.Part 2.136 180 Organized market other Annex V.Part 2.136 Annex V.Part 2.136 190 Credit Annex V.Part 2.129(d) Annex V.Part 2.129(d) 195 of which: economic hedges with use of the fair value option Annex V.Part 2.140 IFRS 9.6.7.1; Annex V.Part 2.140 201 of which: other economic hedges Annex V.Part 2.137-140 Annex V.Part 2.137-140 210 Credit default swap 220 Credit spread option 230 Total return swap 240 Other 250 Commodity Annex V.Part 2.129(e) Annex V.Part 2.129(e) 260 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 270 Other Annex V.Part 2.129(f) Annex V.Part 2.129(f) 280 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 290 DERIVATIVES CRR Annex II; Annex V.Part 1.16(a) IFRS 9.Appendix A 300 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141 (a), 142 Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 310 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) Annex V.Part 1.42(d), 44(e), Part 2.141(b) 320 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c) Annex V.Part 1.44(e), Part 2.141(c) 11. Hedge accounting 11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge By product or by type of market Carrying amount Notional amount Assets Liabilities Total Hedging of which: sold References National GAAP compatible IFRS IFRS 7.24A; Annex V.Part 2.120, 131 IFRS 7.24A; Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135 010 020 030 040 010 Interest rate Annex V.Part 2.129(a) 020 OTC options Annex V.Part 2.136 030 OTC other Annex V.Part 2.136 040 Organized market options Annex V.Part 2.136 050 Organized market other Annex V.Part 2.136 060 Equity Annex V.Part 2.129(b) 070 OTC options Annex V.Part 2.136 080 OTC other Annex V.Part 2.136 090 Organized market options Annex V.Part 2.136 100 Organized market other Annex V.Part 2.136 110 Foreign exchange and gold Annex V.Part 2.129(c) 120 OTC options Annex V.Part 2.136 130 OTC other Annex V.Part 2.136 140 Organized market options Annex V.Part 2.136 150 Organized market other Annex V.Part 2.136 160 Credit Annex V.Part 2.129(d) 170 Credit default swap Annex V.Part 2.136 180 Credit spread option Annex V.Part 2.136 190 Total return swap Annex V.Part 2.136 200 Other Annex V.Part 2.136 210 Commodity Annex V.Part 2.129(e) 220 Other Annex V.Part 2.129(f) 230 FAIR VALUE HEDGES IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a) 240 Interest rate Annex V.Part 2.129(a) 250 OTC options Annex V.Part 2.136 260 OTC other Annex V.Part 2.136 270 Organized market options Annex V.Part 2.136 280 Organized market other Annex V.Part 2.136 290 Equity Annex V.Part 2.129(b) 300 OTC options Annex V.Part 2.136 310 OTC other Annex V.Part 2.136 320 Organized market options Annex V.Part 2.136 330 Organized market other Annex V.Part 2.136 340 Foreign exchange and gold Annex V.Part 2.129(c) 350 OTC options Annex V.Part 2.136 360 OTC other Annex V.Part 2.136 370 Organized market options Annex V.Part 2.136 380 Organized market other Annex V.Part 2.136 390 Credit Annex V.Part 2.129(d) 400 Credit default swap Annex V.Part 2.136 410 Credit spread option Annex V.Part 2.136 420 Total return swap Annex V.Part 2.136 430 Other Annex V.Part 2.136 440 Commodity Annex V.Part 2.129(e) 450 Other Annex V.Part 2.129(f) 460 CASH FLOW HEDGES IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b) 470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c) 480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.71, 81A, 89A, AG 114-132 490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39.71 500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.24A; IAS 39.9; IFRS 9.6.1 510 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 520 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) 530 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c) 11.2 Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk By product or by type of market References National GAAP based on BAD Carrying amount Notional amount Fair value Positive value Negative value Assets of which: assets carried at amortised cost/ LOCOM Liabilities of which: liabilities carried at amortised cost/ LOCOM Total Hedging of which: derivatives carried at amortised cost/ LOCOM of which: sold of which: derivatives carried at amortised cost/ LOCOM Annex V.Part 1.17, Part 2.120 Annex V.Part 2.124 Annex V.Part 1.25, Part 2.120 Annex V.Part 2.124 Annex V.Part 2.133-135 Annex V.Part 2.124 Annex V.Part 2.133-135 Annex V.Part 2.124 Annex V.Part 2.132 Annex V.Part 2.132 005 006 007 008 010 011 020 021 030 040 010 Interest rate Annex V.Part 2.129(a) 020 OTC options Annex V.Part 2.136 030 OTC other Annex V.Part 2.136 040 Organized market options Annex V.Part 2.136 050 Organized market other Annex V.Part 2.136 060 Equity Annex V.Part 2.129(b) 070 OTC options Annex V.Part 2.136 080 OTC other Annex V.Part 2.136 090 Organized market options Annex V.Part 2.136 100 Organized market other Annex V.Part 2.136 110 Foreign exchange and gold Annex V.Part 2.129(c) 120 OTC options Annex V.Part 2.136 130 OTC other Annex V.Part 2.136 140 Organized market options Annex V.Part 2.136 150 Organized market other Annex V.Part 2.136 160 Credit Annex V.Part 2.129(d) 170 Credit default swap Annex V.Part 2.136 180 Credit spread option Annex V.Part 2.136 190 Total return swap Annex V.Part 2.136 200 Other Annex V.Part 2.136 210 Commodity Annex V.Part 2.129(e) 220 Other Annex V.Part 2.129(f) 230 DERIVATIVES-HEDGE ACCOUNTING Annex V.Part 1.22, 26 231 of which: fair value hedges Annex V.Part 2.143 232 of which: cash flow hedges Annex V.Part 2.143 233 of which: cost-price hedges Annex V.Part 2.143, 144 234 of which: hedge in net investments in a foreign operation Annex V.Part 2.143 235 of which: portfolio fair value hedges of interest rate risk Annex V.Part 2.143 236 of which: portfolio cash flow hedges of interest rate risk Annex V.Part 2.143 240 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 250 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) 260 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c) 11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge References National GAAP compatible IFRS Carrying amount Fair value hedge Cash flow hedge Hedge of net investment in a foreign operation Annex V.Part 2.145 Annex V.Part 2.145 Annex V.Part 2.145 010 020 030 010 Non-derivative financial assets IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 020 of which: Financial assets held for trading IFRS 9.Appendix A 030 of which: Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii) 040 of which: Financial assets designated at fair value through profit or loss IFRS 9.4.1.5; IFRS 7.8(a)(i) 050 Non-derivative financial liabilities IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 060 Financial liabilities held for trading IFRS 9.Appendix A 070 Financial liabilities designated at fair value through profit or loss IFRS 9.4.2.1; IFRS 9.6.2.2 080 Financial assets at amortised cost IFRS 9.4.2.1; IFRS 9.6.2.2 F11.3.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio References National GAAP based on BAD Carrying amount Annex V.Part 2.145 010 Non-derivative financial assets 020 of which: Trading financial assets BAD Article 32-33; Annex V.Part 1.17 030 of which: Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2) 040 of which: Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8) 050 of which: Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 060 Non-derivative financial liabilities 070 of which: Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 080 of which: Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) F11.4 Hedged items in fair value hedges References National GAAP compatible IFRS Micro-hedges Micro-hedges - Net position hedge Hedge adjustments on micro-hedges Macro hedges Carrying amount Assets or liabilities included in hedge of a net position (before netting) Hedge adjustments included in the carrying amount of assets/liabilities Remaining adjustments for discontinued micro hedges including hedges of net positions Hedged items in portfolio hedge of interest rate risk IFRS 7.24B(a), Annex V.Part 2.146, 147 IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151 IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149 IFRS 7.24B(a)(v); Annex V.Part 2.148, 150 IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152 010 020 030 040 050 ASSETS 010 Financial assets measured at fair value through other comprehensive income IFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151 020 Interest rate Annex V.Part 2.129(a) 030 Equity Annex V.Part 2.129(b) 040 Foreign exchange and gold Annex V.Part 2.129(c) 050 Credit Annex V.Part 2.129(d) 060 Commodity Annex V.Part 2.129(e) 070 Other Annex V.Part 2.129(f) 080 Financial assets measured at amortised cost IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151 090 Interest rate Annex V.Part 2.129(a) 100 Equity Annex V.Part 2.129(b) 110 Foreign exchange and gold Annex V.Part 2.129(c) 120 Credit Annex V.Part 2.129(d) 130 Commodity Annex V.Part 2.129(e) 140 Other Annex V.Part 2.129(f) LIABILITIES 150 Financial liabilities measured at amortised costs IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151 160 Interest rate Annex V.Part 2.129(a) 170 Equity Annex V.Part 2.129(b) 180 Foreign exchange and gold Annex V.Part 2.129(c) 190 Credit Annex V.Part 2.129(d) 200 Commodity Annex V.Part 2.129(e) 210 Other Annex V.Part 2.129(f) 12. Movements in allowances and provisions for credit losses 12.0 Movements in allowances for credit losses and impairment of equity instruments under national GAAP References National GAAP based on BAD CRR article 442(i); Annex V.Part 2.153 Opening balance Increases due to amounts set aside for estimated loan losses during the period Decreases due to amounts reversed for estimated loan losses during the period Decrease in allowance account due to write-offs 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 Amounts written-off directly to the statement of profit or loss Annex V.Part 2.154 Annex V.Part 2.154 Annex V.Part 2.155 Annex V.Part 2.78 010 020 030 040 050 060 070 080 090 100 010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 330 Specific allowances for credit risk CRR art 428 (g)(ii) 340 Debt securities Annex V.Part 1.31, 44(b) 350 Central banks Annex V.Part 1.42(a) 360 General governments Annex V.Part 1.42(b) 370 Credit institutions Annex V.Part 1.42(c) 380 Other financial corporations Annex V.Part 1.42(d) 390 Non-financial corporations Annex V.Part 1.42(e) 400 Loans and advances Annex V.Part 1.32, 44(a) 410 Central banks Annex V.Part 1.42(a) 420 General governments Annex V.Part 1.42(b) 430 Credit institutions Annex V.Part 1.42(c) 440 Other financial corporations Annex V.Part 1.42(d) 450 Non-financial corporations Annex V.Part 1.42(e) 460 Households Annex V.Part 1.42(f) 470 General alowances for credit risk CRR art 4(95) 480 Debt securities Annex V.Part 1.31 490 Loans and advances Annex V.Part 1.32 500 General allowance for banking risks BAD art 37.2; CRR art 4(95) 510 Debt securities Annex V.Part 1.31 520 Loans and advances Annex V.Part 1.32 530 Total 12.1 Movements in allowances and provisions for credit losses References National GAAP compatible IFRS Opening balance Increases due to origination and acquisition Decreases due to derecognition Changes due to change in credit risk (net) Changes due to modifications without derecognition (net) Changes due to update in the institution's methodology for estimation (net) Decrease in allowance account due to write-offs Other adjustments Closing balance Recoveries of previously written-off amounts recorded directly to the statement of profit or loss Amounts written-off directly to the statement of profit or loss IFRS 7.35I; Annex V.Part 2.159, 164(b) IFRS 7.35I; Annex V.Part 2.160, 164(b) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162 IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163 IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165 IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166 IFRS 9.5.4.4; Annex V.Part 2.165 010 020 030 040 050 070 080 090 100 110 120 010 Allowances for financial assets without increase in credit risk since initial recognition (Stage 1) IFRS 9.5.5.5 020 Debt securities Annex V.Part 1.31, 44(b) 030 Central banks Annex V.Part 1.42(a) 040 General governments Annex V.Part 1.42(b) 050 Credit institutions Annex V.Part 1.42(c) 060 Other financial corporations Annex V.Part 1.42(d) 070 Non-financial corporations Annex V.Part 1.42(e) 080 Loans and advances Annex V.Part 1.32, 44(a) 090 Central banks Annex V.Part 1.42(a) 100 General governments Annex V.Part 1.42(b) 110 Credit institutions Annex V.Part 1.42(c) 120 Other financial corporations Annex V.Part 1.42(d) 130 Non-financial corporations Annex V.Part 1.42(e) 140 Households Annex V.Part 1.42(f) 160 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 170 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 180 Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) IFRS 9.5.5.3 190 Debt securities Annex V.Part 1.31, 44(b) 200 Central banks Annex V.Part 1.42(a) 210 General governments Annex V.Part 1.42(b) 220 Credit institutions Annex V.Part 1.42(c) 230 Other financial corporations Annex V.Part 1.42(d) 240 Non-financial corporations Annex V.Part 1.42(e) 250 Loans and advances Annex V.Part 1.32, 44(a) 260 Central banks Annex V.Part 1.42(a) 270 General governments Annex V.Part 1.42(b) 280 Credit institutions Annex V.Part 1.42(c) 290 Other financial corporations Annex V.Part 1.42(d) 300 Non-financial corporations Annex V.Part 1.42(e) 310 Households Annex V.Part 1.42(f) 330 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 340 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 350 of which: non-performing Annex V.Part 2.213-232 360 Allowances for credit-impaired debt instruments (Stage 3) IFRS 9.5.5.1, 9. Appendix A 370 Debt securities Annex V.Part 1.31, 44(b) 380 Central banks Annex V.Part 1.42(a) 390 General governments Annex V.Part 1.42(b) 400 Credit institutions Annex V.Part 1.42(c) 410 Other financial corporations Annex V.Part 1.42(d) 420 Non-financial corporations Annex V.Part 1.42(e) 430 Loans and advances Annex V.Part 1.32, 44(a) 440 Central banks Annex V.Part 1.42(a) 450 General governments Annex V.Part 1.42(b) 460 Credit institutions Annex V.Part 1.42(c) 470 Other financial corporations Annex V.Part 1.42(d) 480 Non-financial corporations Annex V.Part 1.42(e) 490 Households Annex V.Part 1.42(f) 500 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 510 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 520 Total allowance for debt instruments IFRS 7.B8E 530 Commitments and financial guarantees given (Stage 1) IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157 540 Commitments and financial guarantees given (Stage 2) IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157 550 of which: non-performing Annex V.Part 2.117 560 Commitments and financial guarantees given (Stage 3) IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157 570 Total provisions on commitments and financial guarantees given IFRS 7.B8E; Annex V.Part 2.157 12.2 Transfers between impairment stages (gross basis presentation) References National GAAP compatible IFRS Gross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170 Transfers between Stage 1 and Stage 2 Transfers between Stage 2 and Stage 3 Transfers between Stage 1 and Stage 3 To Stage 2 from Stage 1 To Stage 1 from Stage 2 To Stage 3 from Stage 2 To Stage 2 from Stage 3 To Stage 3 from Stage 1 To Stage 1 from Stage 3 Annex V.Part 2.168-169 010 020 030 040 050 060 010 Debt securities Annex V.Part 1.31, 44(b) 020 Central banks Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) 070 Loans and advances Annex V.Part 1.32, 44(a) 080 Central banks Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) 130 Households Annex V.Part 1.42(f) 140 Total debt instruments 150 Commitments and financial guarantees given IFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5 13. Collateral and guarantees received 13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading Guarantees and collateral Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 References National GAAP based on BAD References National GAAP compatible IFRS 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 2.173(a) Annex V.Part 2.173(a) Annex V.Part 2.173(b) Annex V.Part 2.173(b) Annex V.Part 2.173(c) 010 020 030 040 050 010 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 020 of which: Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 030 of which: Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 040 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 050 of which: lending for house purchase Annex V.Part 2.88(b) Annex V.Part 2.88(b) 13.2 Collateral 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 Annex V.Part 2.175 010 010 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 13.3 Collateral 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 2.176 IFRS 7.38(a); Annex V.Part 2.176 14. Fair value hierachy: financial instruments at fair value Fair value hierarchy IFRS 13.93 (b) Change in fair value for the period Annex V.Part 2.178 Accumulated change in fair value before taxes Annex V.Part 2.179 References National GAAP based on BAD References National GAAP compatible IFRS 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);IFRS 9.Appendix A 020 Derivatives IFRS 9.Appendix A 030 Equity instruments IAS 32.11, 040 Debt securities Annex V.Part 1.31 050 Loans and advances Annex V.Part 1.32 051 Trading financial assets BAD Article 32-33; Annex V.Part 1.17 052 Derivatives CRR Annex II; Annex V.Part 1.17 053 Equity instruments ECB/2013/33; Annex 2.Part 2.4-5 054 Debt securities Annex V.Part 1.31 055 Loans and advances Annex V.Part 1.32 056 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii) 057 Equity instruments IAS 32.11 058 Debt securities Annex V.Part 1.31 059 Loans and advances Annex V.Part 1.32 060 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8(a)(i); IFRS 9.4.1.5 070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 080 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 090 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 101 Financial assets at fair value through other comprehensive income IFRS 7.8 (h); IFRS 9.4.1.2A 102 Equity instruments IAS 32.11 103 Debt securities Annex V.Part 1.31 104 Loans and advances Annex V.Part 1.32 121 Non-trading non-derivative financial assets measured at fair value through profit or loss Accounting Directive art 8(1)(a), (4) 122 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 123 Debt securities Annex V.Part 1.31 124 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 125 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (6),(8) 126 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 127 Debt securities Annex V.Part 1.31 128 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 140 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 LIABILITIES 150 Financial liabilities held for trading Accounting Directive art 4art 8(1)(a), (6); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IFRS 9.BA.6 160 Derivatives CRR Annex II IFRS 9.BA.7(a) 170 Short positions IFRS 9.BA.7(b) 180 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 190 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 200 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 201 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 202 Derivatives CRR Annex II; Annex V.Part 1.25, 27 203 Short positions 204 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 205 Debt securities issued Annex V.Part 1.37 206 Other financial liabilities Annex V.Part 1.38-41 210 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e) (i); IFRS 9.4.1.5 220 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 230 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 240 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 250 Derivatives – Hedge accounting Accounting Directive art art 8(1)(a), (6), (8)(1)(a); IAS 39.9; Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26 15. Derecognition and financial liabilities associated with transferred financial assets 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 liabilities ITS V.Part 2.181 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 References National GAAP compatible IFRS IFRS 7.42D.(e), Annex V.Part 1.27 IFRS 7.42D(e); CRR art 4(1)(61) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181 CRR art 109; Annex V.Part 2.182 References National GAAP based on BAD Annex V.Part 1.27-28 CRR art 4(61) Annex V.Part 2.183-184 CRR art 4(61) Annex V.Part 2.183-184 CRR art 109; Annex V.Part 2.182 010 020 030 040 050 060 070 080 090 100 110 010 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9.Appendix A 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.31 040 Loans and advances Annex V.Part 1.32 041 Trading financial assets Accounting Directive art 8(1)(a), (6); Annex V.Part 1.15 042 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 043 Debt securities Annex V.Part 1.31 044 Loans and advances Annex V.Part 1.32 045 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4 046 Equity instruments IAS 32.11 047 Debt securities Annex V.Part 1.31 048 Loans and advances Annex V.Part 1.32 050 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8(a)(i); IFRS 9.4.1.5 060 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 070 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 080 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 091 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 092 Equity instruments IAS 32.11 093 Debt securities Annex V.Part 1.31 094 Loans and advances Annex V.Part 1.32 121 Non-trading non-derivative financial assets measured at fair value through profit or loss Accounting Directive art 8(1)(a), (4) 122 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 123 Debt securities Annex V.Part 1.31 124 Loans and advances Accounting Directive art 8(1)(a), (4)(b); part 1.14, part 3.35 125 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8)(2) 126 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 127 Debt securities Annex V.Part 1.31 128 Loans and advances Accounting Directive art 8(1)(a), (4)(b);part 1.14, part 3.35 131 Financial assets at amortised cost Accounting Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8 (f); IFRS 9.4.1.2 132 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 133 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 181 Non-trading non-derivative financial assets measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part 1.16 200 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 182 Debt securities Annex V.Part 1.31 183 Loans and advances Annex V.Part 1.32 184 Other non-trading non-derivative financial assets BAD art 35-37 185 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 186 Debt securities Annex V.Part 1.31 187 Loans and advances Annex V.Part 1.32 190 Total 16. Breakdown of selected statement of profit or loss items 16.1 Interest 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 2.187, 189 Annex V.Part 2.188, 190 010 020 010 Derivatives -Trading CRR Annex II; Annex V.Part 2.193 IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193 015 of which: interest income from derivatives in economic hedges Annex V.Part 2.193 Annex V.Part 2.193 020 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 030 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 040 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 050 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 060 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 070 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 080 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 090 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 100 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 110 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 120 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 130 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 140 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 150 Other assets Annex V.Part 1.51 Annex V.Part 2.5 160 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 170 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 180 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 190 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 200 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 210 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 220 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 230 Debt securities issued Annex V.1.37 Annex V.Part 1.37 240 Other financial liabilities Annex V.Part 1.32-34, Part 2.191 Annex V.Part 1.32-34, Part 2.191 250 Derivatives - Hedge accounting, interest rate risk Annex V.Part 2.192 Annex V.Part 2.192 260 Other Liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 270 INTEREST BAD art 27.Vertical layout(1), (2) IAS 1.97 280 of which: interest-income on credit impaired financial assets IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194 16.2 Gains 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 Annex V. Part 2.195-196 010 010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 Annex V.Part 1.28 020 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 030 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 050 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 060 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 070 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); Annex V.Part 2.45 Annex V.Part 2.45 16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument References National GAAP based on BAD References National GAAP compatible IFRS Current period Annex V. Part 2.197-198 010 010 Derivatives IFRS 9.Appendix A, .BA.1, .BA.7(a) 015 of which: Economic hedges with use of the fair value option IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.31 040 Loans and advances Annex V.Part 1.32 050 Short positions IFRS 9.BA.7(b) 060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 070 Debt securities issued Annex V.Part 1.37 080 Other financial liabilities Annex V.Part 1.38-41 090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i) 095 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.5.6.2; annex V.Part 2.199 100 Derivatives CRR Annex II 110 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 120 Debt securities Annex V.Part 1.31 130 Loans and advances Annex V.Part 1.32 140 Short positions 150 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 160 Debt securities issued Annex V.Part 1.37 170 Other financial liabilities Annex V.Part 1.38-41 180 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6); Annex V.Part 1.17 16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities 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 2.200(a) 020 Equity instruments and related derivatives Annex V.Part 2.200(b) 030 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.200(c) 040 Credit risk instruments and related derivatives Annex V.Part 2.200(d) 050 Derivatives related with commodities Annex V.Part 2.200(e) 060 Other Annex V.Part 2.200(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 2.200(a) 090 Equity instruments and related derivatives Annex V.Part 2.200(b) 100 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.200(c) 110 Credit risk instruments and related derivatives Annex V.Part 2.200(d) 120 Derivatives related with commodities Annex V.Part 2.200(e) 130 Other Annex V.Part 2.200(f) 140 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6) 16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument References National GAAP based on BAD References National GAAP compatible IFRS Current period Annex V.Part 2.201 010 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.31 040 Loans and advances Annex V.Part 1.32 090 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET IFRS 7.20(a)(i) 100 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.6.5.2; Annex V.Part 2.202 16.5 Gains 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 2.203 Annex V.Part 2.203 010 020 010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 020 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 030 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 050 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 060 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 070 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) 071 of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204 072 of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204 080 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 090 Debt securities Annex V.Part 1.31 100 Loans and advances Annex V.Part 1.32 110 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 120 Debt securities issued Annex V.Part 1.37 130 Other financial liabilities Annex V.Part 1.38-41 140 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6) 16.6 Gains or losses from hedge accounting References National GAAP based on BAD Annex V.Part 2.207 References National GAAP compatible IFRS Current period Annex V.Part 2.205 010 010 Fair value changes of the hedging instrument [including discontinuation] Accounting Directive art 8(1)(a), (6), (8)(a) IFRS 7.24A(c);IFRS 7.24C(b)(vi) 020 Fair value changes of the hedged item attributable to the hedged risk Accounting Directive art 8(1)(a), (6), (8)(a) IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206 030 Ineffectiveness in profit or loss from cash flow hedges Accounting Directive art 8(1)(a), (6), (8)(a) IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi) 040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations Accounting Directive art 8(1)(a) IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi) 050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET Accounting Directive art 8(1)(a), (6), (8)(a) 16.7 Impairment on non-financial assets Current period References National GAAP based on BAD References National GAAP compatible IFRS Additions Reversals Accumulated impairment Annex V.Part 2.208 Annex V.Part 2.208 010 020 040 060 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 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 17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet 17.1 Assets References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Carrying amount] Annex V.Part 1.27-28, Part 2.209 010 010 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 Annex V.Part 2.3 050 Financial assets held for trading Accounting Directive art 8(1)(a), (5); IAS 39.9 IFRS 7.8(a)(ii);IFRS 9.Appendix A 060 Derivatives CRR Annex II IFRS 9.Appendix A 070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 091 Trading financial assets BAD Article 32-33; Annex V.Part 1.17 092 Derivatives CRR Annex II; Annex V.Part 1.17 093 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 094 Debt securities Annex V.Part 1.31 095 Loans and advances Annex V.Part 1.32 096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4 097 Equity instruments IAS 32.11 098 Debt securities Annex V.Part 1.31 099 Loans and advances Annex V.Part 1.32 100 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 110 Equity instruments IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 120 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 130 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 142 Equity instruments IAS 32.11 143 Debt securities Annex V.Part 1.31 144 Loans and advances Annex V.Part 1.32 171 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2) 172 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 173 Debt securities Annex V.Part 1.31 174 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 175 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8) 176 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 177 Debt securities Annex V.Part 1.31 178 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 182 Debt securities Annex V.Part 1.31 183 Loans and advances Annex V.Part 1.32 231 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 380 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 232 Debt securities Annex V.Part 1.31 233 Loans and advances Annex V.Part 1.32 234 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 235 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 236 Debt securities Annex V.Part 1.31 237 Loans and advances Annex V.Part 1.32 240 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); IAS 39.89A (a) IAS 39.89A(a); IFRS 9.6.5.8 260 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4, 210 IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210 270 Assets under reinsurance and insurance contracts Annex V.Part 2.211 IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 280 Tangible assets BAD art 4.Assets(10) 290 Intangible assets BAD art 4.Assets(9); CRR art 4(1)(115) IAS 1.54(c); CRR art 4(1)(115) 300 Goodwill BAD art 4.Assets(9); CRR art 4(1)(113) IFRS 3.B67(d); CRR art 4(1)(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 Accounting Directive art 17(1)(f); CRR art 4(1)(106) IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 350 Other assets Annex V.Part 2.5, 6 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 2.6 365 (-) Haircuts for trading assets valued at fair value Annex V Part 1.29 370 TOTAL ASSETS BAD art 4 Assets IAS 1.9(a), IG 6 17.2 Off-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] Annex V.Part 2.118, 209 010 010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 020 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 040 OFF-BALANCE SHEET EXPOSURES 17.3 Liabilities and equity References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Carrying amount] Annex V.Part 1.27-28, Part 2.209 010 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 030 Short positions IFRS 9.BA7(b) 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 050 Debt securities issued Annex V.Part 1.37 060 Other financial liabilities Annex V.Part 1.38-41 061 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 062 Derivatives CRR Annex II; Annex V.Part 1.25, 27 063 Short positions 064 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 065 Debt securities issued Annex V.Part 1.37 066 Other financial liabilities Annex V.Part 1.38-41 070 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 090 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 100 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 110 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 141 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) 142 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 143 Debt securities issued Annex V.Part 1.37 144 Other financial liabilities Annex V.Part 1.38-41 150 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) IAS 39.89A(b), IFRS 9.6.5.8 170 Liabilities under insurance and reinsurance contracts Annex V.Part 2.212 IFRS 4.IG20(a); Annex V.Part 2.212 180 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 Accounting Directive art 17(1)(f); CRR art 4(1)(108) 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 2.12 230 Other liabilities Annex V.Part 2.13 Annex V.Part 2.13 240 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 245 Haircuts for trading liabilities valued at fair value Annex V Part 1.29 250 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(1)(124) 280 Equity instruments issued other than capital Annex V.Part 2.18-19 Annex V.Part 2.18-19 290 Other equity Annex V.Part 2.20 IFRS 2.10; Annex V.Part 2.20 300 Accumulated other comprehensive income CRR art 4(1)(100) CRR art 4(1)(100) 310 Retained earnings CRR art 4(1)(123) CRR art 4(1)(123) 320 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.33, D5-D8 325 Fair value reserves Accounting Directive art 8(1)(a) 330 Other reserves BAD art 4.Liabilities (11)-(13) IAS 1.54; IAS 1.78 (e) 335 First consolidation differences Accounting Directive art 24(3)(c) 340 (-) Treasury shares Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.20 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28 350 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IFRS 10.B94 360 (-) Interim dividends CRR Article 26 (2) IAS 32.35 370 Minority interests [Non-controlling interests] Accounting Directive art 24(4) IAS 1.54(q); IFRS 10.22, .B94 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 Gross carrying amount / Nominal amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing Non-performing Performing exposures - Accumulated impairment and provisions Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Not past due or Past due <= 30 days Past due > 30 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 <= 5 years Past due > 5 years 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 < = 5 year Past due > 5 years Collateral received on non-performing exposues Financial guarantees received on non-performing exposures 010 020 030 055 060 070 080 090 100 105 110 120 130 140 150 160 170 180 190 195 200 210 References National GAAP compatible IFRS Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.238(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a) Annex V. Part 2. 238 Annex V. Part 2. 238 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 239 Annex V. Part 2. 239 References National GAAP based on BAD Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.238(b) CRR art 4(95); Annex V.Part 2.237(a) Annex V. Part 2. 238 Annex V. Part 2. 238 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 239 Annex V. Part 2. 239 010 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 020 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 070 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 080 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 150 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 170 Of which: Credit for consumption Annex V.Part 2.88(a) Annex V.Part 2.88(a) 180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.233(a) Annex V.Part 2.233(a) 181 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 182 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 183 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 184 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 185 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 186 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 191 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 192 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 193 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 194 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 195 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 196 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 197 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.233(b) Annex V.Part 2.233(b) 211 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 212 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 213 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 214 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 215 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 216 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 221 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 222 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 223 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 224 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 225 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 226 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 227 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.233(c), 234 Annex V.Part 2.233(c), 234 330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217 Annex V.Part 2.217 335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.220 340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113, 224 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 224 350 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 360 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 370 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 380 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 390 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 400 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 410 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114, 225 IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116, 225 420 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 430 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 440 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 450 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 460 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 470 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 480 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115, 224 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116, 224 490 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 500 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 510 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 520 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 530 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 540 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 550 OFF-BALANCE SHEET EXPOSURES Annex V.Part 2.217 Annex V.Part 2.217 19. Information forborne exposures References National GAAP based on BAD References National GAAP compatible IFRS Gross carrying amount / nominal amount of exposures with forbearance measures Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing exposures with forbearance measures Non-performing exposures with forbearance measures Perfoming exposures with forbearance measures - Accumulated impairment and provisions Non-performing exposures with forbearance measures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Instruments with modifications in their terms and conditions Refinancing of which: Performing forborne exposures under probation reclassified from non-performing Instruments with modifications in their terms and conditions Refinancing of which: Defaulted of which: Impaired of which: Forbearance of exposures non-performing prior to forbearance 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 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 256, 259-262 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 259-263 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 CRR art 178; Annex V. Part 2.264(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a) Annex V. Part 2. 231, 252(a), 263 Annex V. Part 2. 267 Annex V. Part 2. 207 Annex V. Part 2. 207 Annex V. Part 2. 241(a), 267 Annex V. Part 2. 241(b), 267 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 1.34, Part 2. 118, 240-245, 251-255 Annex V. Part 2. 256, 259-262 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 259-263 Annex V. Part 2.241(a), 266 Annex V. Part 2. 241 (b), 265-266 CRR art 178; Annex V. Part 2.264(b) CRR art 4(95); Annex V.Part 2.264(a) Annex V. Part 2. 231, 252(a), 263 Annex V. Part 2. 267 Annex V. Part 2. 207 Annex V. Part 2. 207 Annex V. Part 2. 241(a), 267 Annex V. Part 2. 241(b), 267 Annex V. Part 2. 268 Annex V. Part 2. 268 010 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 020 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 030 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 040 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 050 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 060 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 070 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 080 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 150 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 170 Of which: Credit for consumption Annex V.Part 2.88(a) Annex V.Part 2.88(a) 180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.249(a) Annex V.Part 2.249(a) 181 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 182 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 183 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 184 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 185 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 186 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 191 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 192 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 193 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 194 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 195 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 196 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 197 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.249(b) Annex V.Part 2.249(b) 211 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 212 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 213 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 214 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 215 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 216 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 221 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 222 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 223 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 224 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 225 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 226 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 227 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.249(c) Annex V.Part 2.249(c) 330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.246 Annex V.Part 2.246 335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.247 340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113, 246 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246 20. Geographical breakdown 20.1 Geographical breakdown of assets by location of the activities References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Domestic activitivies Non-domestic activities Annex V.Part 2.270 Annex V.Part 2.270 010 020 010 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 Annex V.Part 2.3 050 Financial assets held for trading Accounting Directive art 8(1)(a), (5); IAS 39.9 IFRS 9. Appendix A 060 Derivatives CRR Annex II IFRS 9. Appendix A 070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 091 Trading financial assets BAD Article 32-33; Annex V.Part 1.17 092 Derivatives CRR Annex II; Annex V.Part 1.17, 27 093 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 094 Debt securities Annex V.Part 1.31 095 Loans and advances Annex V.Part 1.32 096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 097 Equity instruments IAS 32.11 098 Debt securities Annex V.Part 1.31 099 Loans and advances Annex V.Part 1.32 100 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 110 Equity instruments IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 120 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 130 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 142 Equity instruments IAS 32.11 143 Debt securities Annex V.Part 1.31 144 Loans and advances Annex V.Part 1.32 171 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2) 172 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 173 Debt securities Annex V.Part 1.31 174 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 175 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8) 176 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 177 Debt securities Annex V.Part 1.31 178 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 182 Debt securities Annex V.Part 1.31 183 Loans and advances Annex V.Part 1.32 231 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 330 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 232 Debt securities Annex V.Part 1.31 233 Loans and advances Annex V.Part 1.32 234 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 235 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 236 Debt securities Annex V.Part 1.31 237 Loans and advances Annex V.Part 1.32 240 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); IAS 39.89A (a) IAS 39.89A(a); IFRS 9.6.5.8 260 Tangible assets BAD art 4.Assets(10) 270 Intangible assets BAD art 4.Assets(9); CRR art 4(1)(115) IAS 1.54(c); CRR art 4(1)(115) 280 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4 IAS 1.54(e); Annex V.Part 1.21, Part 2.4 290 Tax assets IAS 1.54(n-o) 300 Other assets Annex V.Part 2.5, 6 Annex V.Part 2.5 310 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 315 (-) Haircuts for trading assets valued at fair value Annex V Part 1.29 320 ASSETS BAD art 4 Assets IAS 1.9(a), IG 6 20.2 Geographical breakdown of liabilities by location of the activities References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Domestic activitivies Non-domestic activities Annex V.Part 2.270 Annex V.Part 2.270 010 020 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 030 Short positions IFRS 9.BA7(b) 040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 050 Debt securities issued Annex V.Part 1.37 060 Other financial liabilities Annex V.Part 1.38-41 061 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 062 Derivatives CRR Annex II; Annex V.Part 1.25 063 Short positions 064 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 065 Debt securities issued Annex V.Part 1.37 066 Other financial liabilities Annex V.Part 1.38-41 070 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 090 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 100 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 110 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 141 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) 142 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 143 Debt securities issued Annex V.Part 1.37 144 Other financial liabilities Annex V.Part 1.38-41 150 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) IAS 39.89A(b), IFRS 9.6.5.8 170 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 180 Tax liabilities IAS 1.54(n-o) 190 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 200 Other liabilities Annex V.Part 2.13 Annex V.Part 2.13 210 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 215 Haircuts for trading liabilities valued at fair value Annex V Part 1.29 220 LIABILITIES IAS 1.9(b);IG 6 20.3 Geographical breakdown of statement of profit or loss items by location of the activities References National GAAP based on BAD References National GAAP compatible IFRS Current period Domestic activitivies Non-domestic activities Annex V.Part 2.270 Annex V.Part 2.270 010 020 010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31 020 (Interest expenses) BAD art 27.Vertical layout(2); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31 030 (Expenses on share capital repayable on demand) IFRIC 2.11 040 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.40 Annex V.Part 2.40 050 Fee and commission income BAD art 27.Vertical layout(4) IFRS 7.20(c) 060 (Fee and commission expenses) BAD art 27.Vertical layout(5) IFRS 7.20(c) 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) Annex V.Part 2.45 080 Gains or (-) losses on financial assets and liabilities held for trading, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 083 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.5.7.1 085 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 095 Gains or (-) losses on non-trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 100 Gains or (-) losses from hedge accounting, net Accounting Directive art 8(1)(a), (6), (8) Annex V.Part 2.47-48 110 Exchange differences [gain or (-) loss], net BAD art 39 IAS 21.28, 52 (a) 120 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net BAD art 27.Vertical layout(13)-(14); Annex V Part 2.56 130 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 140 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.314-316 Annex V.Part 2.314-316 150 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.314-316 Annex V.Part 2.314-316 155 TOTAL OPERATING INCOME, NET 160 (Administrative expenses) BAD art 27.Vertical layout(8) 170 (Depreciation) IAS 1.102, 104 171 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 175 (Increases or (-) decreases of the fund for general banking risks, net) BAD art 38.2 180 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) BAD art 35-37, Annex V.Part 2.52, 53 IFRS 7.20(a)(viii); Annex V Part 2.51, 53 200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 210 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 220 Negative goodwill recognised in profit or loss Accounting Directive art 24(3)(f) IFRS 3.Appendix B64(n)(i) 230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) Annex V.Part 2.54 240 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 2.55 250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 260 (Tax expense or (-) income related to profit or loss from continuing operations) BAD art 27.Vertical layout(15) IAS 1.82(d); IAS 12.77 270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS BAD art 27.Vertical layout(16) IAS 1, IG 6 275 Extraordinary profit or (-) loss after tax BAD art 27.Vertical layout(21) 280 Profit or (-) loss after tax from discontinued operations IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 290 PROFIT OR (-) LOSS FOR THE YEAR BAD art 27.Vertical layout(23) IAS 1.81A(a) 20.4 Geographical breakdown of assets by residence of the counterparty z-axis Country of residence of the counterparty Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures Gross carrying amount Of which: held for trading or trading of which: financial assets subject to impairment Of which: debt forbearance Of which: non-perfoming References National GAAP based on BAD References National GAAP compatible IFRS Annex V.Part 1.34, Part 2.271, 275 Annex V.Part 1.15(a), 16(a), 17, Part 2.273 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.275 Annex V.Part 2.274 Annex V.Part 2.274 010 011 012 022 025 031 040 010 Derivatives CRR Annex II; Annex V.Part 2.272 IFRS 9 Appendix A, Annex V.Part 2.272 020 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 030 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 040 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) IAS 32.11 050 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 060 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 070 Of which: non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 080 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 090 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 100 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 110 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 120 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 130 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 140 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 150 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 160 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 170 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 180 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 190 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 210 Of which: Loans collateralized by commercial immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 220 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 230 Of which: Loans collateralized by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 240 Of which: Credit for consumption Annex V.Part 2.88(a) Annex V.Part 2.88(a) 20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty z-axis Country of residence of the counterparty Provisions for commitments and guarantees given Nominal amount Of which: debt forbearance Of which: non-perfoming References National GAAP based on BAD References National GAAP compatible IFRS Annex V.Part 2.118, 271 Annex V.Part 2.240-258 Annex V.Part 2.275 Annex V.Part 2.276 010 022 025 030 010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 020 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 20.6 Geographical breakdown of liabilities by residence of the counterparty z-axis Country of residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28, 2.271 010 010 Derivatives CRR Annex II; Annex V.Part 1.24(a), 25, 26, 44(e), Part 2.272 IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272 020 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 030 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 040 Short positions Annex V.Part 1.44(d) IFRS 9.BA7(b); Annex V.Part 1.44(d) 050 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 060 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 080 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 090 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 100 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 110 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 120 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 130 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 20.7.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes z-axis Country of residence of the counterparty Non-financial corporations Annex V. Part 2.271, 277 References Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures Gross carrying amount of which: loans and advances subject to impairment Of which: non-performing Annex V.Part 1.34, Part 2.275 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.274 Annex V.Part 2.274 010 011 012 021 022 010 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 ans storage NACE Regulation 090 I Accommodation and food service activities NACE Regulation 100 J Information and communication NACE Regulation 105 K Financial and insurance activities 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 1.32 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 2.278-279 010 010 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 22.1 Fee and commission income and expenses by activity References National GAAP based on BAD References National GAAP compatible IFRS Current period Annex V.Part 2.280 BAD art 27.Vertical layout(4), (5) IFRS 7.20(c ) 010 010 Fee and commission income Annex V.Part 2.281-283 020 Securities 030 Issuances Annex V.Part 2.284(a) Annex V.Part 2.284(a) 040 Transfer orders Annex V.Part 2.284(b) Annex V.Part 2.284(b) 050 Other Annex V.Part 2.284(c) Annex V.Part 2.284(c) 060 Clearing and settlement Annex V.Part 2.284(d) Annex V.Part 2.284(d) 070 Asset management Annex V.Part 2.284(e); 285(a) Annex V.Part 2.284(e); 285(a) 080 Custody [by type of customer] Annex V.Part 2.284(e); 285(b) Annex V.Part 2.284(e); 285(b) 090 Collective investment 100 Other 110 Central administrative services for collective investment Annex V.Part 2.284(e); 285(c) Annex V.Part 2.284(e); 285(c) 120 Fiduciary transactions Annex V.Part 2.284(e); 285(d) Annex V.Part 2.284(e); 285(d) 130 Payment services Annex V.Part 2.284(e), 285(e) Annex V.Part 2.284(e), 285(e) 140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.285(f) Annex V.Part 2.285(f) 150 Collective investment 160 Insurance products 170 Other 180 Structured Finance Annex V.Part 2.284(f) Annex V.Part 2.284(f) 190 Loan servicing activities Annex V.Part 2.284(g) Annex V.Part 2.284(g) 200 Loan commitments given Annex V.Part 2.284(h) IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(h) 210 Financial guarantees given Annex V.Part 2.284(h) IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(h) 220 Other Annex V.Part 2.284(j) Annex V.Part 2.284(j) 230 (Fee and commission expenses) Annex V.Part 2.113-115 240 (Clearing and settlement) Annex V.Part 2.284(d) Annex V.Part 2.284(d) 250 (Custody) Annex V.Part 2.285(b) Annex V.Part 2.285(b) 260 (Loan servicing activities) Annex V.Part 2.284(g) Annex V.Part 2.284(g) 270 (Loan commitments received) Annex V.Part 2.284(i) Annex V.Part 2.284(i) 280 (Financial guarantees received) Annex V.Part 2.284(i) Annex V.Part 2.284(i) 290 (Other) Annex V.Part 2.284(j) Annex V.Part 2.284(j) 22.2 Assets 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 2.285(g) 010 010 Asset management [by type of customer] Annex V.Part 2.285(a) Annex V.Part 2.285(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 2.285(b) Annex V.Part 2.285(b) 070 Collective investment 080 Other 090 Of which: entrusted to other entities 100 Central administrative services for collective investment Annex V.Part 2.285(c) Annex V.Part 2.285(c) 110 Fiduciary transactions Annex V.Part 2.285(d) Annex V.Part 2.285(d) 120 Payment services Annex V.Part 2.285(e) Annex V.Part 2.285(e) 130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.285(f) Annex V.Part 2.285(f) 140 Collective investment 150 Insurance products 160 Other 30. Off-balance sheet activities: Interests in unconsolidated structured entities 30.1 Interests in unconsolidated structured entities References National GAAP based on BAD 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 exposures 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 2.286 IFRS 12.29(a) IFRS 12.B26(e) IFRS 12 B26(b); Annex V.Part 2.287 010 020 030 040 050 060 080 010 Total 30.2 Breakdown 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 Carrying amount Securitisation Special Purpose Entities Asset management Other activities CRR art 4(1)(66) Annex V.Part 2.285(a) IFRS 12.24, 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 2.213-239 Annex V.Part 2.213-239 030 Derivatives CRR Annex II; Annex V.Part 2.272 IFRS 9 Appendix A; Annex V.Part 2.272 040 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 050 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 060 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 070 Selected equity and financial liabilites recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 080 Equity instruments issued IAS 32.11 090 Derivatives CRR Annex II; Annex V.Part 1.24(a), 25, 26, Part 2.272 IFRS 9 Appendix A; Annex V.Part 2.272 100 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 110 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 Nominal amount 120 Off-balance sheet exposures given by the reporting institution CRR Annex I; Annex V.Part 2.112, 113-115, 118 IFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 131 of which: non-performing Annex V.Part 2.117 Annex V.Part 2.117 31. Related parties 31.1 Related parties: amounts payable to and amounts receivable from References National GAAP based on BAD References National GAAP compatible IFRS 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 2.289 IAS 24.19(d),(e); Annex V.Part 2.289 IAS 24.19(f) IAS 24.19(g) Accounting Directive art 17(1)(p) Accounting Directive art 17(1)(p); Annex V.Part 2.289 Accounting Directive art 17(1)(p); Annex V.Part 2.289 Accounting Directive art 17(1)(p) Accounting Directive art 17(1)(p) Annex V.Part 2.288-291 Annex V.Part 2.288-291 010 020 030 040 050 010 Selected financial assets IAS 24.18(b) 020 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 030 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 040 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 050 of which: non-performing Annex V. Part 2.213-239 Annex V. Part 2.213-239 060 Selected financial liabilities IAS 24.18(b) 070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 080 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 090 Nominal amount of loan commitments, financial guarantees and other commitments given CRR Annex I; Annex V.Part 2.112, 113-115, 118 IAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 100 of which: non-performing Annex V. Part 2.117 IAS 24.18(b); Annex V. Part 2.117 110 Loan commitments, financial guarantees and other commitments received Annex V.Part 2.102-103, 113-115, 290 IAS 24.18(b); Annex V.Part 2.290 120 Notional amount of derivatives Annex V.Part 2.133-135 Annex V.Part 2.133-135 131 Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 2.69-71, 291 IAS 24.1(c); Annex V.Part 2.69-71, 291 132 Provisions on non-performing off-balance sheet exposures Annex V.Part 2.11, 106, 291 Annex V.Part 2.11, 106, 291 31.2 Related parties: expenses and income generated by transactions with References National GAAP based on BAD References National GAAP compatible IFRS 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 2.288-289, 292-293 Annex V.Part 2.288-289, 292-293 010 020 030 040 050 010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.31 IAS 24.18(a); Annex V.Part 2.31 020 Interest expenses BAD art 27.Vertical layout(2); Annex V.Part 2.31 IAS 24.18(a); IAS 1.97; Annex V.Part 2.31 030 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.40 IAS 24.18(a); Annex V.Part 2.40 040 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 de-recognition 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 de-recognition of other than financial assets Annex V.Part 2.292 IAS 24.18(a); Annex V.Part 2.292 080 Impairment or (-) reversal of impairment on non-performing exposures Annex V. Part 2.293 IAS 24.18(d); Annex V.Part 2.293 090 Provisions or (-) reversal of provisions on non-performing exposures Annex V. Part 2.50, 293 Annex V. Part 2.50, 293 40. Group structure 40.1 Group structure: ‘entity-by-entity’ LEI code Entity code Entity name Entry date Share capital of investee 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 2.294-295, 296(a) Annex V.Part 2.294-295, 296(b) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(c) Annex V.Part 2.294-295, 296(d) Annex V.Part 2.294-295, 296(e) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(f) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(g) Annex V.Part 2.294-295, 296(h) Annex V.Part 2.294-295, 296(i) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(j) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k) IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(l) IFRS 12.21(b); Annex V.Part 2.294-295, 296(m) CRR art 18; Annex V.Part 2.294-295, 296(n) Annex V.Part 2.294-295, 296(0) Annex V.Part 2.294-295, 296(p) Annex V.Part 2.294-295, 296(q) IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(r) Annex V.Part 2.294-295, 296(a) Annex V.Part 2.294-295, 296(b) Annex V.Part 2.294-295, 296(c) Annex V.Part 2.294-295, 296(d) Annex V.Part 2.294-295, 296(e) Annex V.Part 2.294-295, 296(f) Annex V.Part 2.294-295, 296(f) Annex V.Part 2.294-295, 296(f) Annex V.Part 2.294-295, 296(q) Annex V.Part 2.294-295, 296(h) Annex V.Part 2.294-295, 296(i) Annex V.Part 2.294-295, 296(j) Annex V.Part 2.294-295, 296(k) Annex V.Part 2.294-295, 296(l) Annex V.Part 2.294-295, 296(m) CRR art 423(b); Annex V.Part 2.294-295, 296(n) Annex V.Part 2.294-295, 296(0) Annex V.Part 2.294-295, 296(p) Annex V.Part 2.294-295, 296(q) Annex V.Part 2.294-295, 296(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 2.297(a) Annex V.Part 2.296(b), 297(c) Annex V.Part 2.297(b) Annex V.Part 2.297(b) Annex V.Part 2.296(j), 297(c) Annex V.Part 2.296(o), 297(c) Annex V.Part 2.296(p), 297(c) Annex V.Part 2.297(a) Annex V.Part 2.296(b), 297(c) Annex V.Part 2.297(b) Annex V.Part 2.297(b) Annex V.Part 2.296(j), 297(c) Annex V.Part 2.296(o), 297(c) Annex V.Part 2.296(p), 297(c) 010 020 030 040 050 060 070 080 41. Fair value 41.1 Fair value hierarchy: financial instruments at amortised cost References National GAAP based on BAD Annex V.Part 2.298 References National GAAP compatible IFRS Annex V.Part 2.298 Fair value IFRS 7.25-26 Fair value hierarchy IFRS 13.97, 93(b) Level 1 IFRS 13.76 Level 2 IFRS 13.81 Level 3 IFRS 13.86 ASSETS 010 020 030 040 015 Financial assets at amortised cost Accounting Directive art 8(4)(b), (6); IAS 39.9 IFRS 7.8(f); IFRS 9.4.1.2 016 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 017 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 021 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 022 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 023 Debt securities Annex V.Part 1.31 024 Loans and advances Annex V.Part 1.32 031 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 032 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 033 Debt securities Annex V.Part 1.31 034 Loans and advances Annex V.Part 1.32 LIABILITIES 070 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 101 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) 102 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 103 Debt securities issued Annex V.Part 1.37 104 Other financial liabilities Annex V.Part 1.38-41 41.2 Use of the Fair Value Option References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Accounting mismatch Managed on a fair value basis Hybrid contracts Managed for credit risk IFRS 9.B4.1.29 IFRS 9.B4.1.33 IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300 IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301 ASSETS 010 020 030 040 010 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 030 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 040 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 LIABILITIES 050 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 070 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 080 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 42. Tangible and intangible assets: carrying amount by measurement method References National GAAP compatible IFRS Annex V.Part 2.302 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 2.303 080 Revaluation model IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 38.74 43. Provisions References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Pensions and other post employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given under national GAAP Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 Other provisions IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 IAS 37.70-83 IAS 37.14 IAS 37; IFRS 4; Annex V. Part 2.304-305 IAS 37.14 Annex V.Part 2.9 Annex V.Part 2.10 BAD art 24-25, 33(1) 010 020 030 040 050 055 060 010 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 44.1 Components of net defined benefit plan assets and liabilities References National GAAP compatible IFRS Amount Annex V.Part 2.306-307 010 010 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 2.308 100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.9 110 Memo item: Fair value of any right to reimbursement recognised as an asset IAS 19.140(b) 44.2 Movements in defined benefit obligations References National GAAP compatible IFRS Defined benefit obligations Annex V.Part 2.306, 309 010 010 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 2.310 44.3 Memo 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 2.311(a) Annex V.Part 2.311(a) 020 Share based payments Annex V.Part 2.311b) IFRS 2.44; Annex V.Part 2.311(b) 45. Breakdown of selected items of statement of profit or loss 45.1 Gains 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 Annex V.Part 2.312 010 020 010 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.1.5 020 Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.2.2 030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 45.2 Gains or losses on derecognition of non-financial assets References National GAAP based on BAD References National GAAP compatible IFRS Current period Annex V.Part 2.313 010 020 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 45.3 Other 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 2.314 IAS 40.76(d); Annex V.Part 2.314 020 Investment property Annex V.Part 2.314 IAS 40.75(f); Annex V.Part 2.314 030 Operating leases other than investment property Annex V.Part 2.315 IAS 17.50, 51, 56(b); Annex V.Part 2.315 040 Other Annex V.Part 2.316 Annex V.Part 2.316 050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.314-316 Annex V.Part 2.314-316 46. Statement of changes in equity Sources of equity changes References National GAAP based on BAD References National GAAP compatible IFRS Capital Share premium Equity instruments issued other than Capital Other equity Accumulated other comprehensive income Retained earnings Revaluation reserves Fair value reserves 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 IAS 1.106, 54(r) IAS 1.106, 78(e) IAS 1.106, Annex V.Part 2.18-19 IAS 1.106; Annex V.Part 2.20 IAS 1.106 CRR art 4(1)(123) IFRS 1.30 D5-D8 IAS 1.106, 54(c) IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30 IAS 1.106(a) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a) IAS 1.54(q), 106(a) IAS 1.9(c), IG6 BAD art 4.Liabilities(9), BAD art 22 BAD art 4.Liabilities(10); CRR art 4(124) Annex V.Part 2.18-19 Annex V.Part 2.20 Accounting Directive art 8(1)(a), (6) BAD art 4 Liabilities (13); CRR art 4(123) BAD art 4.Liabilities(12) Accounting Directive 24(3)(c) Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30 BAD art 4.Liabilities(14) CRR Article 26(2b) Accounting Directive art 24(4) Accounting Directive art 24(4) 010 020 030 040 050 060 070 075 080 085 090 100 110 120 130 140 010 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); Annex V.Part 2.318 170 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] ▼M10 ANNEX V REPORTING ON FINANCIAL INFORMATION Table of contents GENERAL INSTRUCTIONS 1. References 2. Conventions 3. Consolidation 4. Accounting portfolios of financial instruments 4.1. Financial assets 4.2. Financial liabilities 5. Financial instruments 5.1. Financial assets 5.2. Gross carrying amount 5.3. Financial liabilities 6. Counterparty breakdown TEMPLATE RELATED INSTRUCTIONS 1. Balance sheet 1.1. 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 non-trading loans and advances by product (5) 6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes (6) 7. Financial assets subject to impairment that are past due (7) 8. Breakdown of financial liabilities (8) 9. Loan commitments, financial guarantees and other commitments (9) 10. Derivatives and hedge accounting (10 and 11) 10.1. Classification of derivatives by type of risk 10.2. Amounts to be reported for derivatives 10.3. Derivatives classified as ‘economic hedges’ 10.4. Breakdown of derivatives by counterparty sector 10.5. Hedge accounting under national GAAP (11.2) 10.6. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1) 10.7. Hedged items in fair value hedges (11.4) 11. Movements in allowances and provisions for credit losses (12) 11.1. Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0) 11.2. Movements in allowances and provisions for credit losses under IFRS (12.1) 11.3. Transfers between impairment stages (gross basis presentation) (12.2) 12. Collateral and guarantees received (13) 12.1. Breakdown of collateral and guarantees by loans and advances other than held for trading(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 non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1) 15.6. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) 15.7. Gains or losses from hedge accounting (16.6) 15.8. Impairment on non-financial assets (16.7) 16. Reconciliation between accounting and CRR scope of consolidation (17) 17. Non-performing exposures (18) 18. Forborne exposures (19) 19. Geographical breakdown (20) 19.1. Geographical breakdown by location of activities (20.1-20.3) 19.2. Geographical breakdown by residence of the counterparty (20.4-20.7) 20. Tangible and intangible assets: assets subject to operating lease (21) 21. Asset management, custody and other service functions (22) 21.1. Fee and commission income and expenses by activity (22.1) 21.2. Assets involved in the services provided (22.2) 22. Interests in unconsolidated structured entities (30) 23. Related parties (31) 23.1. Related parties: amounts payable to and amounts receivable from (31.1) 23.2. Related parties: expenses and income generated by transactions with (31.2) 24. Group structure (40) 24.1. Group structure: ‘entity-by-entity’ (40.1) 24.2. Group structure: ‘instrument-by-instrument’ (40.2) 25. Fair value (41) 25.1. Fair value hierarchy: financial instruments at amortised cost (41.1) 25.2. Use of fair value option (41.2) 26. Tangible and intangible assets: carrying amount by measurement method (42) 27. Provisions (43) 28. Defined benefit plans and employee benefits (44) 28.1. Components of net defined benefit plan assets and liabilities (44.1) 28.2. Movements in defined benefit obligations (44.2) 28.3. Memo items [related to staff expenses] (44.3) 29. Breakdown of selected items of statement of profit or loss (45) 29.1. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1) 29.2. Gains or losses on de-recognition of non-financial assets (45.2) 29.3. Other operating income and expenses (45.3) 30. Statement of changes in equity (46) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS PART 1 GENERAL INSTRUCTIONS 1. REFERENCES 1. 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. 2. Institutions that use national accounting standards compatible with IFRS (‘compatible national GAAP’) shall apply the common and IFRS instructions in this Annex, unless otherwise provided. This is without prejudice to the compliance of the compatible national GAAP requirements with the requirements of BAD. Institutions that use national GAAP non-compatible with IFRS or that have not yet been made compatible with the requirements in IFRS 9 shall apply the common and BAD instructions in this Annex, unless provided otherwise. 3. 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. 4. 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. 5. For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply: (a) ‘CRR’: Regulation (EU) No 575/2013 (b) ‘IAS’ or ‘IFRS’: ‘International Accounting Standards’, as defined in Article 2 of the IAS Regulation (EC) No 1606/2002 ( 5 ), which have been adopted by the Commission; (c) ‘ECB BSI Regulation’ or ‘ECB/2013/33’: Regulation (EC) No 1071/2013 of the European Central Bank ( 6 ); (d) ‘NACE Regulation’: Regulation (EC) No 1893/2006 of the European Parliament and of the Council ( 7 ); (e) ‘NACE codes’: codes in NACE Regulation; (f) ‘BAD’: Council Directive 86/635/EEC ( 8 ); (g) ‘Accounting Directive’: Directive 2013/34/EU ( 9 ); (h) ‘National GAAP’: national generally accepted accounting principles developed under BAD; (i) ‘SME’: micro, small and medium-sized enterprises defined in Commission Recommendation C(2003)1422 ( 10 ); (j) ‘ISIN code’: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue; (k) ‘LEI code’: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction; (l) ‘Impairment stages’: categories of impairment as defined in IFRS 9.5.5. ‘Stage 1’ refers to impairment measured in accordance with IFRS 9.5.5.5. ‘Stage 2’ refers to impairment measured in accordance with IFRS 9.5.5.3. ‘Stage 3’ refers to impairment on credit-impaired assets as defined in Appendix A of IFRS 9. 2. CONVENTIONS 6. 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 shall not be submitted by those institutions that follow those references in that row or column. 7. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions. 8. 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. 9. 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’. 10. 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. 11. Schematically, this convention works as in Table 1. Table 1 Credit/debit convention, positive and negative signs Element Credit/Debit Balance/Movement Figure reported Assets Debit Balance on assets Positive (‘Normal’, no sign needed) Increase on assets Positive (‘Normal’, no sign needed) Negative balance on assets Negative (Minus ‘–’ sign needed) Decrease on assets Negative (Minus ‘–’ sign needed) Expenses Balance on expenses Positive (‘Normal’, no sign needed) Increase on expenses Positive (‘Normal’, no sign needed) Negative balance (including reversals) on expenses Negative (Minus ‘–’ sign needed) Decrease on expenses Negative (Minus ‘–’ sign needed) Liabilities Credit Balance on liabilities Positive (‘Normal’, no sign needed) Increase on liabilities Positive (‘Normal’, no sign needed) Negative balance on liabilities Negative (Minus ‘–’ sign needed) Decrease on liabilities Negative (Minus ‘–’ sign needed) Equity Balance on equity Positive (‘Normal’, no sign needed) Increase on equity Positive (‘Normal’, no sign needed) Negative balance on equity Negative (Minus ‘–’ sign needed) Decrease on equity Negative (Minus ‘–’ sign needed) Income Balance on income Positive (‘Normal’, no sign needed) Increase on income Positive (‘Normal’, no sign needed) Negative balance (including reversals) on income Negative (Minus ‘–’ sign needed) Decrease on income Negative (Minus ‘–’ sign needed) 3. CONSOLIDATION 12. 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, joint ventures and associates 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 OF FINANCIAL INSTRUMENTS 13. For the purposes of Annexes III and IV as well as this Annex, ‘accounting portfolios’ means financial instruments aggregated by valuation rules. These aggregations shall 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’. 14. Under national GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in accordance with IFRS shall submit, to the extent that they are applied, the relevant IFRS accounting portfolios. Where the valuation rules for financial instruments that institutions are permitted or required to use under national GAAP based on BAD do refer to the valuation rules in IAS 39, institutions shall submit the accounting portfolios based on BAD for all their financial instruments until the valuation rules they apply refer to the valuation rules in IFRS 9. 4.1. Financial assets 15. The following accounting portfolios based on IFRS shall be used for financial assets: (a) ‘Financial assets held for trading’; (b) ‘Non-trading financial assets mandatorily at fair value through profit or loss’ (c) ‘Financial assets designated at fair value through profit or loss’; (d) ‘Financial assets at fair value through other comprehensive income’; (e) ‘Financial assets at amortised cost’. 16. 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 non-derivative financial assets measured at a cost-based method’; and (e) ‘Other non-trading non-derivative financial assets’. 17. ‘Trading financial assets’ includes all financial assets classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. This classification shall also apply for derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex. 18. Under national GAAP based on BAD, for financial assets, ‘cost-based methods’ shall include those valuation rules by which the debt instrument is measured at cost plus interest accrued less impairment losses. 19. Under national GAAP based on BAD, ‘Non-trading non-derivative financial assets measured at a cost-based method’ includes financial instruments measured at cost-based methods as well as instruments measured at the lower of cost or market (‘LOCOM’) under a non-continuous basis (moderate LOCOM) regardless of their actual measurement as of the reporting reference date. Assets measured at moderate LOCOM are assets for which LOCOM is applied only in specific circumstances. The applicable accounting framework provides for these circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the management intent. 20. 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 LOCOM on a continuous basis (‘strict LOCOM’). Assets measured at strict LOCOM are assets for which the applicable accounting framework either provides for the initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent measurement at LOCOM. 21. Regardless of their measurement method, investments in subsidiaries, joint ventures and associates that are not fully or proportionally consolidated under the regulatory scope of consolidation are reported in ‘Investments in subsidiaries, joint ventures and associates’, except where they are classified as held for sale in accordance with IFRS 5. 22. ‘Derivatives — Hedge accounting’ shall include derivatives with a positive balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book. 4.2. Financial liabilities 23. 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’. 24. The following accounting portfolios based on national GAAP shall be used for financial liabilities: (a) ‘Trading financial liabilities’; (b) ‘Non-trading non-derivative financial liabilities measured at a cost-based method’. 25. ‘Trading financial liabilities’ includes all financial liabilities classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. This classification shall also apply for derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex. 26. ‘Derivatives — Hedge accounting’ shall include derivatives with a negative balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book. 5. FINANCIAL INSTRUMENTS 27. For the purposes of Annexes III and IV as well as this Annex, ‘the carrying amount’ means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives shall be either the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet. 28. If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets or other liabilities. 29. Where applicable under national GAAP based on BAD, ‘Haircuts for trading positions valued at fair value’ shall be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities. 5.1. Financial assets 30. Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’, ‘Debt securities’ and ‘Loans and advances’. 31. ‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation. 32. ‘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 85(g) of Part 2 of this Annex. 33. In FINREP, ‘debt instruments’ shall include ‘loans and advances’ and ‘debt securities’. 5.2. Gross carrying amount 34. Gross carrying amount of debt instruments shall have the following meaning: (a) under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall depend on whether they are classified as performing or non-performing. For performing debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, the gross carrying amount shall be the fair value after adding back any accumulated negative fair value adjustment due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purpose of the measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on the level of single financial instruments; (b) under IFRS for debt instruments at amortised cost or at fair value through other comprehensive income, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance; (c) under national GAAP based on BAD, for debt instruments classified as ‘non-trading non-derivative financial assets measured at a cost-based method’, the gross carrying amount of impaired assets shall be equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for credit risk and general allowances for banking risk, where affecting the carrying amount; (d) under national GAAP based on BAD, the gross carrying amount of debt instruments classified as ‘Non-trading non-derivative financial assets measured at fair value to equity’ shall depend on whether these financial assets are subject to impairment requirements. Where they are subject to impairment requirements, the gross carrying amount shall be the carrying amount before adjusting for any accumulated impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any accumulated amount of fair value adjustment that is considered as impairment loss. When these financial assets are not subject to impairment requirements, the gross carrying amount of these financial assets shall be the fair value for performing exposures, and for non-performing exposures the fair value after adding back any accumulated negative fair value adjustment due to credit risk; (e) under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or moderate LOCOM shall be the cost where measured at cost during the reporting period. Where these debt instruments are measured at market value the gross carrying amount shall be the market value before adjusting for credit-risk induced value adjustments; (f) under national GAAP based on BAD, for debt instruments reported under ‘Other non-trading non-derivative financial assets’ under measurement methods other than LOCOM, the gross carrying amount shall be the carrying amount before taking into account any valuation adjustment that qualifies as impairment; (g) for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and fair valued instruments, the carrying amount of the financial instruments shall be the fair value before these haircuts. 5.3. Financial liabilities 35. Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’. 36. For the purposes of Annexes III and IV as well as this Annex the definition of ‘deposits’ in Annex II, Part 2 of the ECB BSI Regulation applies. 37. ‘Debt securities issued’ shall be debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation. 38. ‘Other financial liabilities’ shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued. 39. Under IFRS ‘Other financial liabilities’ shall include financial guarantees given where they are measured either at fair value through profit or loss [IFRS 9.4.2.1(a)] or at the amount initially recognised less cumulative amortization [IFRS 9.4.2.1(c)(ii)]. Loan commitments given shall be reported as ‘Other financial liabilities’ where they are designated as financial liabilities at fair value through profit or loss [IFRS 9.4.2.1(a)] or they are commitments to provide a loan at a below-market interest rate [IFRS 9.2.3(c), IFRS 9.4.2.1(d)]. 40. Where loan commitments, financial guarantees and other commitments given are measured at fair value through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported as ‘other financial liabilities’ and not as provisions for ‘Commitments and guarantees given’. 41. ‘Other financial liabilities’ shall 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 where payables for transactions are recognised before the payment date. 6. COUNTERPARTY BREAKDOWN 42. 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 ‘credit institutions’, ‘other financial corporations’ or ‘non-financial corporations’ depending on their activity); social security funds; and international organisations, such as institutions of the European Union, 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 (MDBs); (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, financial auxiliaries and captive financial institutions and money lenders; (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 (‘NPISH’) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included. 43. The counterparty sector allocation shall be 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 shall be driven by the characteristics of the more relevant or determinant obligor. 44. The immediate counterparties in the following transactions shall be: (a) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables; (b) for debt securities and equity instruments, the issuer of the securities; (c) for deposits, the depositor; (d) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement; (e) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs; (f) for financial guarantees given, the counterparty shall be the direct counterparty of the guaranteed debt instrument; (g) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution; (h) for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution. PART 2 TEMPLATE RELATED INSTRUCTIONS 1. BALANCE SHEET 1.1. Assets (1.1) 1. ‘Cash on hand’ shall include holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments. 2. ‘Cash balances at central banks’ shall include balances receivable on demand at central banks. 3. ‘Other demand deposits’ shall include balances receivable on demand with credit institutions. 4. ‘Investments in subsidiaries, joint ventures and associates’ shall include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated under the regulatory scope of consolidation, except where they shall be classified as held for sale in accordance with IFRS 5, irrespectively of how they are measured, including where the accounting standards allow for them to be included in the different accounting portfolios used for financial instruments. The carrying amount of investments accounted for using the equity method shall include related goodwill. 5. Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in ‘Other assets’. Other assets shall include, among others, gold, silver and other commodities, even where they are held with trading intent. 6. Under the relevant national GAAP based on BAD, the carrying amount of repurchased own shares shall be reported as ‘other assets’ where presentation as asset is allowed under the relevant national GAAP. 7. ‘Non-current assets and disposal groups classified as held for sale’ shall have the same meaning as under IFRS 5. 1.2. Liabilities (1.2) 8. Under national GAAP based on BAD provisions for contingent losses arising from the ineffective part of portfolio hedge relationship shall be reported in row ‘Derivatives – Hedge accounting’ where the loss arises from the valuation of the hedging derivative, or in row ‘Fair value changes of the hedged items in portfolio hedge of interest rate risk’ where the loss arises from the valuation of the hedged position. Where no distinction between losses arising from the valuation of the hedging derivative and loss arising from the valuation of the hedged position is possible, all provisions for contingent losses arising from the ineffective part of the portfolio hedge relationship shall be reported in row ‘Derivatives – Hedge accounting’. 9. Provisions for ‘Pensions and other post-employment defined benefit obligations’ shall include the amount of net defined benefit liabilities. 10. Under IFRS provisions for ‘Other long-term employee benefits’ shall 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’. 11. Under IFRS, provisions for ‘Commitments and guarantees given’ shall include provisions related to all commitments and guarantees, irrespective of whether their impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are treated as insurance contracts under IFRS 4. Liabilities arising from commitments and financial guarantees measured at fair value through profit or loss shall not be reported as provisions although they are due to credit risk, but as ‘other financial liabilities’ in accordance with paragraph 40 of Part 1 of this Annex. Under national GAAP based on BAD, provisions for ‘Commitments and guarantees given’ shall include provisions related to all commitments and guarantees. 12. ‘Share capital repayable on demand’ shall include 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. 13. 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’. 14. ‘Liabilities included in disposal groups classified as held for sale’ shall have the same meaning as under IFRS 5. 15. Under national GAAP based on BAD ‘Funds for general banking risks’ are amounts that have been assigned in accordance with Article 38 of BAD. Where recognised, they shall appear separately either as liabilities under ‘provisions’ or within equity under ‘other reserves’ in accordance with the relevant national GAAP. 1.3. Equity (1.3) 16. Under IFRS equity instruments that are financial instruments shall include those contracts under the scope of IAS 32. 17. Under the relevant national GAAP based on BAD, ‘Unpaid capital which has been called up’ shall include the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date. If capital increase, not yet paid, is recorded as an increase of share capital, unpaid capital which has been called up shall be reported in ‘Unpaid capital which has been called up’ in template 1.3 as well as in ‘other assets’ in template 1.1. Under the relevant national GAAP based on BAD where capital increase can be recorded only following the receipt of the payment from shareholders, unpaid capital shall not be reported in template 1.3. 18. ‘Equity component of compound financial instruments’ shall include the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an equity component) issued by the institution, where segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives whose values are interdependent). 19. ‘Other equity instruments issued’ shall include equity instruments that are financial instruments other than ‘Capital’ and ‘Equity component of compound financial instruments’. 20. ‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10]. 21. ‘Fair value changes of equity instruments measured at fair value through other comprehensive income’ shall include accumulated gains and losses due to changes in fair value on investments in equity instruments for which the reporting entity has made the irrevocable election to present changes in fair value in other comprehensive income. 22. ‘Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income’ shall comprise the accumulated hedge ineffectiveness arising in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. Hedge ineffectiveness reported in this row shall be the difference between the accumulated variation of the fair value of the equity instrument reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]’ and the accumulated variations of the fair value of the hedging derivative reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]’ [IFRS 9.6.5.3 and IFRS 9.6.5.8]. 23. ‘Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in the credit risk’ shall include accumulated gains and losses recognised in other comprehensive income and related to own credit risk for liabilities designated at fair value through profit or loss, regardless of whether the designation takes place at initial recognition or subsequently. 24. ‘Hedge of net investments in foreign operations [effective portion]’ shall include the foreign currency translation reserve for the effective portion of both on-going hedges of net investments in foreign operations and hedges of net investments in foreign operations that no longer apply while the foreign operations remain recognised in the balance sheet. 25. ‘Hedging derivatives. Cash flow hedges reserve [effective portion]’ shall include the cash flow hedge reserve for the effective portion of the variation in fair value of hedging derivatives in a cash flow hedge, both for on-going cash flow hedges and cash flow hedges that no longer apply. 26. ‘Fair value changes of debt instruments measured at fair value through other comprehensive income’ shall include accumulated gains or losses on debt instruments measured at fair value through other comprehensive income, net of the loss allowance that is measured at the reporting date in accordance with IFRS 9.5.5. 27. ‘Hedging instruments [not designated elements]’ shall include the accumulated changes in fair value of all of the following: (a) the time value of an option where the changes in the time value and the intrinsic value of that option are separated and only the change in the intrinsic value is designated as a hedging instrument [IFRS 9.6.5.15]; (b) the forward element of a forward contract where the forward element and the spot element of that forward contract are separated and only the change in the spot element of the forward contract is designated as hedging instrument; (c) the foreign currency basis spread from a financial instrument where this spread is excluded from the designation of that financial instrument as the hedging instrument [IFRS 9.6.5.15, IFRS 9.6.5.16]. 28. Under IFRS ‘Revaluation reserves’ shall include the amount of reserves resulting from first-time adoption to IAS that have not been released to other type of reserves. 29. ‘Other reserves’ shall be split between ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method’ and ‘Other’. ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method’ shall include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years where they are accounted for using the equity method. ‘Other’ shall include reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve. 30. ‘Treasury shares’ shall cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution while they are not sold or amortised, except where under the relevant national GAAP based on BAD they shall be reported in ‘other assets’. 2. STATEMENT OF PROFIT OR LOSS (2) 31. Interest income and interest expense from financial instruments measured at fair value through profit or loss and from hedging derivatives classified in the category ‘hedge accounting’, 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’). The clean or dirty price approach shall be applied consistently for all financial instruments measured at fair value through profit or loss and for hedging derivatives classified in the category ‘hedge accounting’. 32. Institutions shall report the following items, which include income and expense in relation to related parties not fully or proportionally consolidated under the regulatory scope of consolidation, 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) ‘Modification gains or losses, net’; (f) ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss’. 33. ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’ shall include, where the clean price is used, 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 to present correct interest income and expenses from the financial instruments that are hedged. 34. Where the clean price is used, ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’ shall also include time-apportioned fees and balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion [IFRS 9.6.7]. 35. ‘Interest income. Derivatives – Hedge accounting, interest rate risk’ and ‘Interest expenses. Derivatives – Hedge accounting, interest rate risk’ shall include, where the clean price is used, the amounts related to those derivatives classified in the category ‘hedge accounting’ which cover interest rate risk, including hedges of a group of items with offsetting risk positions (hedges of a net position) whose hedged risk affect different line items in the statement of profit or loss. Where the clean price is used, these amounts 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. With clean price, where the hedged item generates interest income (expense), these amounts shall be reported as an interest income (expense) even where it is a negative (positive) amount. 36. ‘Interest income — other assets’ shall include amounts of interest income not included in the other items, like 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. 37. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial liabilities with a negative effective interest rate shall be reported in ‘Interest income on liabilities’. These liabilities and their interests give rise to a positive yield for an institution. 38. ‘Interest expenses — other liabilities’ shall include amounts of interest expenses not included in the other items, like 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. 39. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial assets with a negative effective interest rate shall be reported in ‘Interest expense on assets’. These assets and their interests give rise to a negative yield for an institution. 40. Dividend income on equity instruments measured at fair value through profit or loss shall be reported either as ‘dividend income’ separately from other gains and losses from these classes of instruments where the clean price is used or as part of gains or losses from these classes of instruments where the dirty price is used. 41. Dividend income on equity instruments designated at fair value through other comprehensive income shall encompass dividends related to instruments derecognised during the period and dividends related to instruments held at the end of the reporting period. 42. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of these investments where they are accounted for using other than the equity method. 43. ‘Gains or (-) losses on financial assets and liabilities held for trading, net’ shall include gains and losses in the remeasurement and derecognition of financial instruments classified as held for trading. This item shall include also gains and losses on credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss, as well as dividend and interest income and expense on financial assets and liabilities held for trading where the dirty price is used. 44. ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss’ shall include also the amount recognised in the statement of profit or loss for the own credit risk of liabilities designated at fair value where recognising own credit risk changes in other comprehensive income creates or enlarges an accounting mismatch [IFRS 9.5.7.8]. This item shall include also gains and losses on the hedged instruments that are designated as measured at fair value through profit or loss where the designation is used to manage credit risk, as well as interest income and expense on financial assets and liabilities designated at fair value through profit or loss where the dirty price is used. 45. ‘Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss’ shall not include gains on equity instruments that a reporting entity chose to measure at fair value through other comprehensive income [IFRS 9.5.7.1(b)]. 46. Where a change in business model leads to the reclassification of a financial asset into a different accounting portfolio, the gains or losses from the reclassification shall be reported in the relevant rows of the accounting portfolio in which the financial asset is reclassified, in accordance with the following: (a) where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through profit or loss accounting portfolio [IFRS 9.5.6.2], gains or losses due to the reclassification shall be reported in ‘Gains or (-) losses on financial assets and liabilities held for trading, net’ or ‘Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net’, as applicable; (b) where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category [IFRS 9.5.6.7], the cumulative gains or losses previously recognised in other comprehensive income reclassified to profit or loss shall be reported in ‘Gains or (-) losses on financial assets and liabilities held for trading, net’ or ‘Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net’, as applicable. 47. ‘Gains or (-) losses from hedge accounting, net’ shall include gains and losses on hedging instruments and on hedged items, including those on hedged items measured at fair value through other comprehensive income other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It shall also include the ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge. The reclassifications of the cash-flow hedges reserve or of the reserve for hedges of net investment in a foreign operation shall be recognised in the same rows of the ‘Statement of profit or loss’ as those impacted by the cash flows from the hedged items.‘Gains or (-) losses from hedge accounting, net’ shall include also the gains and losses from hedges of net investment in foreign operations. This item shall also include gains on hedges of net positions. 48. ‘Gains or losses on derecognition of non-financial assets’ shall include the gains and losses on derecognition of non-financial assets, except where classified as held for sale or as investments in subsidiaries, joint ventures and associates. 49. ‘Modification gains or (-) losses, net’ shall include the amounts arising from adjusting the gross carrying amounts of financial assets to reflect the renegotiated or modified contractual cash flows [IFRS 9.5.4.3 and Appendix A]. The modification gains or losses shall not include the impact of modifications on the amount of expected credit losses, which shall be reported in ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss’. 50. ‘Provisions or (-) reversal of provisions. Commitments and guarantees given’ shall include the net charges in the ‘Statement of profit or loss’ for provisions on all commitments and guarantees in the scope of IFRS 9, IAS 37 or IFRS 4 in accordance with paragraph 11 of this Part, or under national GAAP based on BAD. Under IFRS, any change in the fair value of commitments and financial guarantees measured at fair value shall be reported in ‘Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net’. Provisions therefore include the impairment amount for commitments and guarantees for which impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are treated as insurance contracts under IFRS 4. 51. Under IFRS, ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss’ shall include all impairment gains or losses for debt instruments arising from the application of the impairment rules in IFRS 9.5.5, regardless of whether the expected credit losses in accordance with IFRS 9.5.5 are estimated over a 12-month or a lifetime period, and including the impairment gains or losses for trade receivables, contract assets and lease receivables [IFRS 9.5.5.15]. 52. Under national GAAP based on BAD ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit and loss’ shall include all allowances and reversal of allowances of financial instruments measured at cost based methods due to the change in creditworthiness of the debtor or issuer, as well as, depending on the specifications of the national GAAP, the allowances due to the impairment of financial instruments measured at fair value through equity and other measurement methods, including LOCOM. 53. ‘Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss’ shall also include the amounts written off — as defined in paragraph 72, 74 and 165(b) of this Part of this Annex- that exceed the amount of the loss allowance at the date of write-off and are therefore recognised as a loss directly in profit or loss, as well as recoveries of previously written-off amounts recorded directly to the statement of profit or loss. 54. The share of profit or loss from subsidiaries, associates and joint ventures which are accounted for under the equity method in the regulatory scope of consolidation shall be reported within ‘Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates accounted for using the equity method’. According to IAS 28.10, the carrying amount of the investment shall be reduced by the amount of dividends paid by those entities. The impairment on those investments shall be reported in ‘(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates)’. Gains or losses on de-recognition of these investments shall be reported in accordance with paragraph 55 and 56 of this Part. 55. ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’ shall include profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations. 56. Under IFRS, the gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates shall be reported within ‘Profit or (-) loss before tax from discontinued operations’ where they are considered discontinued operations under IFRS 5. Under national GAAP based on BAD, these gains and losses shall be reported in ‘Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net’. 3. STATEMENT OF COMPREHENSIVE INCOME (3) 57. ‘Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income’ shall include the change in the accumulated hedge ineffectiveness in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. The change in accumulated hedge ineffectiveness reported in this row shall be the difference between the changes in the variation of the fair value of the equity instrument reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item]’ and the changes in the variation of the fair value of the hedging derivative reported in ‘Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument]’. 58. ‘Hedge of net investments in foreign operations [effective portion]’ shall include the change in the accumulated foreign currency translation reserve for the effective portion of both on-going and discontinued hedges of net investments in foreign operations. 59. For hedges of net investment in foreign operations and cash flow hedges the respective amounts reported in ‘Transferred to profit or loss’ shall include amounts transferred because the hedged flows have occurred and are no longer expected to occur. 60. ‘Hedging instruments [not designated elements]’ shall include changes in the accumulated changes in fair value of all of the following where they are not designated as a hedging component: (a) time value of options; (b) forward elements of forward contracts; (c) foreign exchange basis spread of financial instruments. 61. For options, the amounts reclassified to profit or loss and reported in ‘Transferred to profit or loss’ shall include reclassifications due to options that hedge a transaction-related hedged item and options that hedge a time-period related hedge item. 62. ‘Debt instruments at fair value through other comprehensive income’ shall include gains or losses on debt instruments measured at fair value through other comprehensive income other than impairment gains or losses and foreign exchange gains and losses, that shall respectively be reported in ‘(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)’ and in ‘Exchange differences [gain or (-) loss], net’ in template 2. ‘Transferred to profit or loss’ in particular shall include the transfer to profit or loss due to de-recognition or reclassification into the fair value through profit or loss measurement category. 63. Where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through other comprehensive income measurement category [IFRS 9.5.6.4], the gains or losses arising due to the reclassification shall be reported in ‘Debt instruments at fair value through other comprehensive income’. 64. Where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category [IFRS 9.5.6.7] or into the amortised cost measurement category [IFRS 9.5.6.5], the reclassified cumulative gains and losses previously recognised in other comprehensive income shall be respectively reported in ‘Transferred to profit or loss’ and in ‘Other reclassifications’, adjusting in the latter case the carrying amount of the financial asset. 65. For all components of the other comprehensive income, ‘Other reclassifications’ shall include transfers other than the reclassifications from the other comprehensive income to the profit or loss or to the initial carrying amount of hedged items in the case of cash flow hedges. 66. Under IFRS ‘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) 67. Financial assets shall be broken down by accounting portfolio and instrument and – where required – by counterparty. For debt instruments measured at fair value through other comprehensive income and at amortised cost, the gross carrying amount of assets and accumulated impairments shall be broken down by impairment stages. 68. Derivatives reported as trading financial assets under GAAP based on BAD include instruments measured at fair value as well as instruments measured at cost-based methods or LOCOM. 69. For the purposes of Annexes III and IV as well as this Annex, ‘accumulated negative changes in fair value due to credit risk’ means, for non-performing exposures, accumulated changes in fair value due to credit risk where the accumulated net change is negative. The accumulated net change in fair value due to credit risk shall be calculated by adding all negative and positive changes in fair value due to credit risk that have occurred since recognition of the debt instrument. This amount shall only be reported if the addition of positive and negative changes in fair value due to credit risk results in a negative amount. The valuation of the debt instruments shall be performed on the level of single financial instruments. For each debt instrument, ‘Accumulated negative changes in fair value due to credit risk’ shall be reported until the derecognition of the instrument. 70. For the purposes of Annexes III and IV as well as this Annex, ‘accumulated impairment’ means: (a) for debt instruments measured at amortised cost or at a cost-based method, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages. Accumulated impairment reduces the carrying amount of the debt instrument through the use of an allowance account under IFRS and national GAAP based on BAD, or via direct reductions that do not constitute a derecognition event under national GAAP based on BAD; (b) for debt instruments measured at fair value through other comprehensive income under IFRS, accumulated impairment is the sum of expected credit losses and their variations recognised as a reduction of fair value on a given instrument since initial recognition; (c) for debt instruments at fair value through equity under national GAAP based on BAD subject to impairment, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised. The reduction in the carrying amount is either made through use of an allowance account or via direct reductions that do not constitute a derecognition event. 71. Under IFRS, accumulated impairment shall include the allowance for expected credit losses for financial assets under each of the impairment stages specified by IFRS 9. Under national GAAP based on BAD, it shall include specific and general allowance for credit risk, as well as the general allowance for banking risk where it reduces the carrying amount of debt instruments. Accumulated impairment shall also include the credit risk-induced value adjustments on financial assets under LOCOM. 72. ‘Accumulated partial write-offs’ and ‘Accumulated total write-offs’ shall include, respectively, the accumulated partial and total amount as at the reference date of principal and accrued past due interest and fees of any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 because the institution has no reasonable expectations of recovering the contractual cash flows. These amounts shall be reported until the total extinguishment of all the reporting institution’s rights by expiry of the statute-of-limitations period, forgiveness or other causes, or until recovery. Therefore where the written-off amounts are not recovered, they shall be reported while they are subject to enforcement activities. 73. Where a debt instrument is eventually totally written-off as a consequence of successive partial write-offs, the cumulative amount written-off shall be reclassified from the ‘Accumulated partial write-offs’ into the ‘Accumulated total write-offs’ column. 74. Write-offs shall constitute a de-recognition event and relate to a financial asset in its entirety or to a portion of it, including where the modification of an asset leads the institution to give up its right of collecting cash flows on a portion or the entirety of this asset as further explained in paragraph 72. Write-offs shall include amounts caused both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets. 75. The column ‘of which: Instruments with low credit risk’ shall include instruments that are determined to have low credit risk at the reporting date and for which the institution assumes that the credit risk has not increased significantly since initial recognition in accordance with IFRS 9.5.5.10. 76. Trade receivables within the meaning of IAS 1.54(h), contract assets and lease receivables for which the simplified approach of IFRS 9.5.5.15 for the estimation of loss allowances has been applied shall be reported within loans and advances in template 4.4.1. The corresponding loss allowance for those assets shall be reported in either ‘Accumulated impairment on assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)’ or ‘Accumulated impairment on credit-impaired assets (Stage 3)’,depending on whether trade receivables, contract assets or lease receivables under the simplified approach are considered as credit-impaired assets. 77. Purchased or originated financial assets that are credit-impaired at initial recognition shall be separately reported in 4.3.1 and 4.4.1. For these loans, the accumulated impairment shall only include the cumulative changes in lifetime expected credit losses since initial recognition [IFRS 9.5.5.13]. 78. In template 4.5 institutions shall report the carrying amount of ‘Loans and advances’ and ‘Debt securities’ that fall within the definition of ‘subordinated debt’ in paragraph 100 of this Part. 79. In template 4.8, information to be reported depends on whether Non-trading non-derivative financial assets measured at fair value to equity can be subject to impairment requirements in application of the national GAAP based on BAD. Where these financial assets are subject to impairment, institutions shall report information in this template that relates to the carrying amount, the gross carrying amount of unimpaired assets and impaired assets, accumulated impairment and accumulated write-offs. Where these financial assets are not subject to impairment, institutions shall report the accumulated negative changes in fair value due to credit risk for non-performing exposures. 80. In template 4.9, financial assets measured under moderate LOCOM and their associated value adjustments shall be identified separately from other financial assets measured at a cost-based method and their associated impairment. Financial assets under a cost-based method, including financial assets under moderate LOCOM, shall be reported as unimpaired assets where they have no value adjustments or impairment associated with them, and as impaired assets in case they have value adjustments that qualify as impairment or impairment associated with them. Value adjustments that qualify as impairment shall be credit risk-induced value adjustments reflecting the deterioration of the creditworthiness of the counterparty. Financial assets under moderate LOCOM with market-risk induced value adjustments reflecting the impact of changes in the market conditions on the value of the asset shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately. 81. In template 4.10, assets measured at strict LOCOM as well as their associated value adjustments shall be reported separately from assets under other measurement methods. Financial assets under strict LOCOM and financial assets under other measurement methods shall be reported as impaired assets in case they have credit-risk induced value adjustments as defined in paragraph 80 or impairment associated with them. Financial assets under strict LOCOM with market risk induced value adjustments as defined in paragraph 80 shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately. 82. Under national GAAP based on BAD, the amount of general allowances for banking risk to be reported in the applicable templates shall only be the part that affects the carrying amount of debt instruments [BAD Article 37.2]. 5. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5) 83. Loans and advances other than those held for trading or trading assets shall be broken down by type of product and by counterparty sector for the carrying amount and by type of products only for the gross carrying amount. 84. 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 how they are measured. 85. Loans and advances shall be allocated to the following products: (a) ‘on demand (call) and short notice (current account)’ shall include balances receivable on demand (call), at short notice (by close of business on the day following that on which the demand was made), current accounts and similar balances including loans that are overnight deposits for the borrower (loans to be repaid by close of business on the day following that in which it was granted), regardless of their legal form. It shall also include ‘overdrafts’ that are debit balances on current account balances and compulsory reserves held at the central bank; (b) ‘Credit card debt’ shall include credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation]; (c) ‘Trade receivables’ shall 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 shall include all factoring and similar transactions, like acceptances, outright purchase of trade receivables, forfaiting, discounting of invoice, bills of exchange, commercial papers and other claims where the reporting institution buys the trade receivables (both with and without recourse); (d) ‘Finance leases’ shall include the carrying amount of finance lease receivables. Under IFRS ‘finance lease receivables’ are as defined in IAS 17; (e) ‘Reverse repurchase loans’ shall include finance granted in exchange for securities or gold bought under repurchase agreements or borrowed under securities lending agreements as defined in paragraphs 183 and 184 of this Part; (f) ‘Other term loans’ shall include debit balances with contractually fixed maturities or terms that are not included in other items; (g) ‘Advances that are not loans’ shall include advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. This item shall include, 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). 86. Loans and advances shall be classified on the basis of the collateral received as follows: (a) ‘Loans collateralized by immovable property’ shall include loans and advances formally secured by residential or commercial immovable property collateral, independently of their loan/collateral ratio (commonly referred as ‘loan-to-value’) and the legal form of the collateral; (b) ‘Other collateralized loans’ shall include loans and advances formally secured by collateral, independently of their loan/collateral ratio (commonly referred to as ‘loan-to-value’) and the legal form of the collateral, other than ‘Loans collateralised by immovable property’. This collateral shall include pledges of securities, cash, and other collateral independently from the legal form of the collateral. 87. Loans and advances shall be classified based on the collateral and irrespective of the purpose of the loan. The carrying amount of loans and advances secured by more than one type of collateral shall be classified and reported as collateralised by immovable property collateral where they are secured by immovable property collateral regardless of whether they are also secured by other types of collateral. 88. Loans and advances shall be classified on the basis of its purpose as: (a) ‘Credit for consumption’ shall include loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation]; (b) ‘Lending for house purchase’ shall include credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation]. 89. Loans shall be classified on the basis of how they can be recovered. ‘Project finance loans’ shall include loans that meet the characteristics of specialised lending exposures as defined in Article 147(8) of CRR. 6. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6) 90. Gross carrying amount of loans and advances to non-financial corporations other than those included in the held for trading or trading assets portfolios shall be classified by sector of economic activities using NACE Codes on the basis of the principal activity of the counterparty. 91. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 43 of Part 1 of this Annex. 92. Reporting of NACE codes shall be done with the first level of disaggregation (by ‘section’). Institutions shall report loans and advances to non-financial corporations which engage in financial or insurance activities in ‘K – Financial and insurance activities’. 93. Under IFRS, financial assets subject to impairment shall include (i) financial assets at amortised cost, and (ii) financial assets at fair value through other comprehensive income. Under national GAAP based on BAD, financial assets subject to impairment shall include financial assets measured at a cost-based method, including under LOCOM. Depending on the specifications in each national GAAP, they may include (i) financial assets measured at fair value through equity, and (ii) financial assets under other measurement methods. 7. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7) 94. The carrying amount of debt instruments that are included in the accounting portfolios subject to impairment shall be reported in template 7.1 only if they are past due. Past-due instruments shall be allocated to the corresponding past-due buckets on the basis of their individual situation. 95. Accounting portfolios subject to impairment shall be defined as in paragraph 93 of this Part. 96. Financial assets shall qualify as past due where any amount of principal, interest or fee has not been paid at the date it was due. Past due exposures shall be reported for their entire carrying amount. The carrying amounts of such assets shall be reported by impairment stages or impairment status in accordance with the applicable accounting standards and broken down according to the number of days of the oldest past due amount unpaid at the reference date. 8. BREAKDOWN OF FINANCIAL LIABILITIES (8) 97. ‘Deposits’ and the product breakdown shall be defined in the same way as in the ECB BSI Regulation and therefore, 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, shall be classified as deposits redeemable at notice. 98. ‘Debt securities issued’ shall be disaggregated into the following type of products: (a) ‘Certificates of deposits’ shall be 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’ shall comprise contracts with embedded derivatives; (e) ‘Other debt securities issued’ shall include debt securities not recorded in the previous lines and distinguishes convertible compound financial instruments and non-convertible instruments. 99. ‘Subordinated financial liabilities’ issued shall be treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities shall be classified as ‘Debt securities issued’, whereas subordinated liabilities in the form of deposits are classified as ‘Deposits’. 100. Template 8.2 shall include 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]. 101. ‘Accumulated changes in fair value due to changes in own credit risk’ shall include all the said accumulative changes in fair value, regardless of whether they are recognised in profit or loss or in the other comprehensive income. 9. LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9) 102. Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I to CRR. In templates 9.1, 9.1.1 and 9.2 all off-balance sheet exposures as listed in Annex I to CRR shall be broken down in loan commitments, financial guarantees, and other commitments. 103. Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments. 104. Loan commitments, financial guarantees and other commitments given listed in Annex I to CRR may be instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the scope of IAS 37 or IFRS 4. 105. Under IFRS, loan commitments, financial guarantees and other commitments given shall be reported in template 9.1.1 where any of the following conditions are met: (a) they are subject to impairment requirements of IFRS 9; (b) they are designated at fair value through profit or loss under IFRS 9; (c) they are within the scope of IAS 37 or IFRS 4. 106. Liabilities that shall be recognised as credit losses for the financial guarantees and commitments given referred to under points (a) and (c) in paragraph 105 of this Part of this Annex shall be reported as provisions independently of the measurement criteria applied. 107. Institutions under IFRS shall report the nominal amount and provisions of instruments that are subject to the impairment requirements of IFRS 9 including those measured at initial cost less cumulative income recognised, broken down by impairment stages. 108. Only the nominal amount of the commitment shall be reported in template 9.1.1 where a debt instrument includes both an on-balance sheet instrument and an off-balance sheet component. Where the reporting entity is unable to separately identify the expected credit losses on the on-balance sheet and off-balance components, the expected credit losses on the commitment shall be reported together with the accumulated impairment on the on-balance sheet component. Where the combined expected credit losses exceed the gross carrying amount of the debt instrument, the remaining balance of the expected credit losses shall be reported as a provision in the appropriate impairment stage in template 9.1.1 [IFRS 9.5.5.20 and IFRS 7.B8E]. 109. Where a financial guarantee or a commitment to provide a loan at a below-market rate is measured in accordance with IFRS 9.4.2.1(d) and its loss allowance determined in accordance with IFRS 9.5.5 it shall be reported in the appropriate impairment stage. 110. Where loan commitments, financial guarantees and other commitments are measured at fair value in accordance with IFRS 9, institutions shall report in template 9.1.1 the nominal amount and accumulated negative changes in fair value due to credit risk of these financial guarantees and commitments in dedicated columns. ‘Accumulated negative changes in fair value due to credit risk’ shall be reported applying the criteria of paragraph 69 of this Part. 111. The nominal amount and provisions of other commitments or guarantees that are within the scope of IAS 37 or IFRS 4 shall be reported in dedicated columns. 112. Institutions under national GAAP based on BAD shall report in template 9.1 the nominal amount of commitments and financial guarantees referred to in paragraphs 102 and 103, as well as the amount of provisions required to be held against these off-balance sheet exposures. 113. ‘Loan commitments’ shall be 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 to 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. 114. ‘Financial guarantees’ shall be 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 where due in accordance with the original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. Under IFRS these contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I to 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’. 115. ‘Other commitments’ shall include the following items of Annex I to 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’ where 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 to CRR. 116. Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported as off-balance sheet exposures: (a) ‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IFRS 9; (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 IFRS 9; (d) ‘Transactions with recourse’ that do not meet the criteria for de-recognition under IFRS 9; (e) ‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IFRS 9; (f) ‘Asset sale and repurchase agreements as defined in paragraphs (3) and (5) of Article 12 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 on a date to be specified. Therefore, these contracts meet the definition of derivatives under IFRS 9-Appendix A. 117. The item ‘of which: non-performing’ shall include the nominal amount of those loan commitments, financial guarantees and other commitments given that are considered as non-performing in accordance with paragraphs 213-239 of this Part. 118. For financial guarantees, loan commitments and other commitments given, the ‘Nominal amount’ shall be 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 shall be the maximum amount the entity could have to pay if the guarantee is called on. For loan commitments, the nominal amount shall be the undrawn amount that the institution has committed to lend. Nominal amounts shall be the exposure values before applying conversion factors and credit risk mitigation techniques. 119. In template 9.2, for loan commitments received, the nominal amount shall be the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received the nominal amount shall be 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’ shall be the maximum amount the counterparty could have to pay if the guarantee is called on. Where 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 AND HEDGE ACCOUNTING (10 AND 11) 120. For the purpose of templates 10 and 11, derivatives shall be considered either as hedging derivatives where they are used in a qualifying hedging relationship in accordance with IFRS or with the applicable national GAAP under BAD, or as held for trading in other cases. 121. The carrying amount and the notional amount of the derivatives held for trading, including economic hedges, as well as the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market and type of product in templates 10 and 11. Institutions shall report the derivatives held for hedge accounting also broken down by type of hedge. Information on non-derivative hedging instruments shall be reported separately, and broken down by types of hedges. 122. Under the relevant national GAAP based on BAD, all derivatives shall be reported in these templates irrespective of whether they are recognised on the balance sheet or not under the relevant national GAAP. 123. The breakdown of the carrying amount, fair value and notional amount of trading and hedging derivatives by accounting portfolios and types of hedges shall be implemented taking into consideration the accounting portfolios and types of hedges that are applicable in IFRS or national GAAP under BAD, whichever framework applies to the reporting entity. 124. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be separately identified. 125. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where this qualifying hedge relationship is in relation to a net position. Where an institution has elected to keep applying IAS 39 for hedge accounting [IFRS 9.7.2.21], the references and names for the types of hedges and accounting portfolios shall be read as the relevant references and names in IAS 39.9: ‘Financial assets measured at fair value through other comprehensive income’ shall refer to ‘Available for sale assets’, and ‘Assets at amortised cost shall gather “Held to maturity” as well as ‘Loans and receivables’. 126. 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, where the hybrid instrument is measured at fair value through profit or loss, the contract shall be reported as a whole and the embedded derivatives are not reported in templates 10 and 11. 127. Commitments considered as derivatives [IFRS 9.2.3(b)] and credit derivatives that do not meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported in template 10 and template 11 following the same breakdowns as the other derivative instruments, but not be reported in template 9. 128. The carrying amount of non-derivative financial assets or non-derivative financial liabilities that are recognised as hedging instrument in application of IFRS or the relevant national GAAP under BAD shall be reported separately in template 11.3. 10.1. Classification Of Derivatives By Type Of Risk 129. All derivatives shall be classified into one of the following risk categories: (a) interest rate: Interest rate derivatives shall be 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 shall be restricted to those deals where all the legs are exposed to only one currency’s interest rate. Thus it shall exclude 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. The only exception is where cross-currency swaps are used as part of a portfolio hedge of interest rate risk, where they shall be reported in the dedicated rows for these types of hedges. Interest rate contracts shall 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) equity: Equity derivatives shall be 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 gold: These derivatives shall include contracts involving the exchange of currencies in the forward market and the exposure to gold. They therefore shall 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 shall include all deals involving exposure to more than one currency, whether in exchange rates or in interest rates except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. Gold contracts shall include all deals involving exposure to that commodity; (d) credit: Credit derivatives shall be contracts in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit and that do not meet the definition of financial guarantees [IFRS 9]. The contracts shall 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. Credit derivatives that meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported only in template 9; (e) commodity: These derivatives shall be 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) other: These derivatives shall be 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. 130. Where 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) commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category; (b) equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates shall be included in this category; (c) foreign exchange and gold: This category shall include 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 except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. 10.2. Amounts to be reported for derivatives 131. Under IFRS, the ‘carrying amount’ for all derivatives (hedging or trading) shall be the fair value. Derivatives with a positive fair value (above zero) shall be ‘financial assets’ and derivatives with a negative fair value (below zero) shall be ‘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 shall be 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 carrying amount of hedging derivatives shall be their entire fair value, including where applicable the components of this fair value that are not designated as hedging instruments. 132. In addition to carrying amounts as defined in paragraph 27 of Part 1 of this Annex fair values shall be reported by reporting institutions under national GAAP based on BAD for all derivative instruments, whether required to be booked on-balance sheet or off-balance sheet by the national GAAP based on BAD. 133. The ‘Notional amount’ shall be the gross nominal of all deals concluded and not yet settled at the reference date, regardless of whether these deals lead to derivative exposures being booked on-balance sheet. In particular, the following shall be taken into account to determine the notional amount: (a) for contracts with variable nominal or notional principal amounts, the basis for reporting shall be 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 shall be the contract effective notional amount or par value; (c) swaps: The notional amount of a swap shall be 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 shall be 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 shall be 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 shall be 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 shall be defined as either the predefined monetary amount or the fair value of the underlying at the reference date. 134. The column ‘Notional amount’ of derivatives shall include, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives are considered assets or liabilities on the face of the balance sheet or are not booked on-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 shall not be allowed. 135. The ‘Notional amount’ shall be reported by ‘total’ and by ‘of which: sold’ for the line items: ‘OTC options’, ‘Organised market options’, ‘Credit’, ‘Commodity’ and ‘Other’. The item ‘of which sold’ shall include 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). 136. The allocation of a transaction as ‘OTC’ or ‘Organized market’ shall be based on the nature of the market where the transaction takes place and not on whether there is a mandatory clearing obligation for that transaction. An ‘Organised market’ is a regulated market in the meaning of Article 4(92) of CRR. Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing is compulsory, it shall classify that derivative as ‘OTC’ and not as ‘Organised market’. 10.3. Derivatives classified as ‘economic hedges’ 137. Derivatives that are held for hedging purposes but which do not meet the criteria to be effective hedging instruments in accordance with IFRS 9, with IAS 39 where IAS 39 is applied for hedge accounting purposes or with the accounting framework under national GAAP based on BAD shall be reported in template 10 as ‘economic hedges’. This shall apply also to all of the following cases: (a) derivatives hedging unquoted equity instruments for which cost may be an appropriate estimate of fair value; (b) credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7.; (c) derivatives that are classified as ‘held for trading’ in accordance with IFRS 9 Appendix A or trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in Article 4(1)(86) of CRR. 138. ‘Economic hedges’ shall not include derivatives for proprietary trading. 139. Derivatives that meet the definition of ‘economic hedges’ shall be reported separately for each type of risk in template 10. 140. Credit derivatives used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7 shall be reported in a dedicated row in template 10 within credit risk. Other economic hedges of credit risk for which the reporting entity does not apply IFRS 9.6.7 shall be reported separately. 10.4. Breakdown of derivatives by counterparty sector 141. 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’; (c) ‘rest’ comprising all other counterparties. 142. All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties. 10.5. Hedge accounting under national GAAP (11.2) 143. Where national GAAP under BAD require the allocation of hedging derivatives across categories of hedges, the hedging derivatives shall be separately reported for each of the applicable categories:‘fair-value hedges’, ‘cash-flow hedges’, ‘cost-price hedges’, ‘hedge in net investments in a foreign operation’, ‘portfolio fair value hedges of interest rate risk’ and ‘portfolio cash flow hedges of interest rate risk’. 144. Where applicable in accordance with national GAAP based on BAD, ‘Cost price hedges’ shall refer to a hedging category in which the hedging derivative is generally measured at cost. 10.6. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1) 145. For non-derivative hedging instruments the amount to be reported shall be their carrying amount according to the applicable measurement rules for the accounting portfolios to which they belong in IFRS or in GAAP based on BAD. No ‘notional amount’ shall be reported for non-derivative hedging instruments. 10.7. Hedged items in fair value hedges (11.4) 146. The carrying amount of hedged items in a fair value hedge recognised on the statement of financial position shall be broken down by accounting portfolio and type of hedged risk for hedged financial assets and hedged financial liabilities. Where a financial instrument is hedged for more than one risk, it shall be reported in the type of risk in which the hedging instrument shall be reported in accordance with paragraph 129. 147. ‘Micro-hedges’ shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 39.89 A. Micro-hedges include hedges of net positions in accordance with IFRS 9.6.6. 148. ‘Hedge adjustments on micro-hedges’ shall include all hedge adjustments for all the micro-hedges as defined in paragraph 147. 149. ‘Hedge adjustments included in the carrying amount of assets/liabilities’ shall be the accumulated amount of the gains and losses on the hedged items that have adjusted the carrying amount of those items and been recognised in profit or loss. Hedge adjustments for the hedged items that are equities measured at fair value through other comprehensive income shall be reported in template 1.3. Hedge adjustments for unrecognised firm commitments or a component thereof shall not be reported. 150. ‘Remaining adjustments for discontinued micro-hedges including hedges of net positions’ shall include those hedge adjustments which, following the discontinuation of the hedge relationship and the end of the adjustment of hedged items for hedging gains and losses, remain to be amortised to the profit or loss via a recalculated effective interest rate for hedged items measured at amortised cost, or to the amount that represents the previously recognised cumulative hedging gain or loss for hedged assets measured at fair value through other comprehensive income. 151. Where a group of financial assets or financial liabilities, including a group of financial assets or financial liabilities that constitute a net position, is eligible as a hedged item, financial assets and financial liabilities constituting this group shall be reported at their carrying amount on a gross basis, before netting between instruments within the group, in ‘Assets or liabilities included in hedge of a net position (before netting)’. 152. ‘Hedged items in portfolio hedge of interest rate risk’ shall include financial assets and financial liabilities included in a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities. These financial instruments shall be reported at their carrying amount on a gross basis, before netting between instruments within the portfolio. 11. MOVEMENTS IN ALLOWANCES AND PROVISIONS FOR CREDIT LOSSES (12) 11.1. Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0) 153. Template 12.0 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured under cost-based methods, as well as for financial assets under other measurement methods or measured at fair value through equity if the national GAAP under BAD require those assets to be subject to impairment. Value adjustments on assets measured at the lower of cost or market shall not be reported in template 12.0. 154. ‘Increases due to amounts set aside for estimated loan losses during the period’ shall be reported where, for the main category of assets or the counterparty, the estimation of the impairment for the period results 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 where, 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. 155. Changes in the allowance amounts due to repayment and disposals of financial assets shall be reported in ‘Other adjustments’. Write-offs shall be reported in accordance with paragraphs 72 to 74. 11.2. Movements in allowances and provisions for credit losses under IFRS (12.1) 156. Template 12.1 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured at amortised cost and at fair value through other comprehensive income broken down by impairment stages, by instrument and by counterparty. 157. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages. Impairment for loan commitments shall be reported as provisions only where they are not considered together with the impairment of on-balance sheet assets in accordance with IFRS 9.7.B8E and paragraph 108 of this part. Movements in provisions for commitments and financial guarantees measured under IAS 37 and financial guarantees treated as insurance contracts under IFRS 4 shall not be reported in this template but in template 43. Changes in the fair value due to credit risk of commitments and financial guarantees measured at fair value through profit or loss in accordance with IFRS 9 shall not be reported in this template but in item ‘Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net’ in accordance with paragraph 50 if this Part. 158. The items ‘of which: collectively measured allowances’ and ‘of which: individually measured allowances’ shall include the movements in the cumulative amount of impairment related to financial assets which have been respectively measured on a collective or individual basis. 159. ‘Increases due to origination and acquisition’ shall include the amount of increases in expected losses accounted for on the initial recognition of financial assets originated or acquired. This increase of the allowance shall be reported at the first reporting reference date following the origination or acquisition of those financial assets. Increases or decreases in the expected losses on those financial assets after their initial recognition shall be reported in other columns, as applicable. Originated or acquired assets shall include assets resulting from the drawdown of off-balance sheet commitments given. 160. ‘Decreases due to derecognition’ shall include the amount of changes in expected losses due to financial assets de-recognised totally in the reporting period for reasons other than write-offs, which include transfers to third parties or the expiry of the contractual rights due to full repayment, disposal of those financial assets or their transfer in another accounting portfolio. The change in allowance shall be recognised in this column at the first reporting reference date following the repayment, disposal or transfer. For off-balance sheet exposures this item shall also include the decreases in the impairment due to the off-balance sheet item becoming an on-balance sheet asset. 161. ‘Changes due to change in credit risk (net)’ shall include the net amount of changes in expected losses at the end of the reporting period due to an increase or decrease in credit risk since initial recognition irrespectively of whether they led to a transfer of the financial asset to another stage. The impact in the allowance due to the increase or decrease of the amount of financial assets as consequence of the interest income accrued and paid shall be reported in this column. This item shall also include the impact of the passing of time on the expected losses in accordance with IFRS 9.5.4.1(a) and (b). The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall also be reported in this column. Changes in expected losses due to partial repayment of exposures via instalments shall be reported in this column with the exception of the last instalment, which shall be reported in the column ‘Decreases due to derecognition’. 162. All changes in expected credit losses related to revolving exposures shall be reported in ‘Changes due to change in credit risk (net)’, except for those changes related to write-offs and updates in the institution’s methodology for estimation of credit losses. Revolving exposures shall be those for which customers’ outstanding balances are permitted to fluctuate based on their decisions to borrow and repay up to a limit established by the institution. 163. ‘Changes due to update in the institution’s methodology for estimation (net)’ shall include changes due to updates in the institution’s methodology for estimation of expected losses due to changes in the existing models or establishment of new models used to estimate impairment. Methodological updates shall also encompass the impact of the adoption of new standards. Changes in methodology that trigger an asset to change impairment stage shall be considered for a model change in its entirety. The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall not be reported in this column. 164. The reporting of the changes in the expected losses related to modified assets [IFRS 9.5.4.3 and Appendix A] shall depend on the feature of the modification in accordance with the following: (a) where the modification results in the partial or total derecognition of an asset due to a write-off as defined in paragraph 74, the impact on expected losses due to this derecognition shall be reported in ‘Decrease in allowance account due to write-offs’, and any other impact from modification on expected credit losses in other appropriate columns; (b) where the modification results in the complete derecognition of an asset for reasons other than a write-off as defined in paragraph 74 and its substitution by a new asset, the impact of modification on expected credit losses shall be reported in ‘Changes due to derecognition’ for the changes due to the asset derecognised, and in ‘Increases due to origination and acquisition’ for the changes due to the newly recognised modified asset. Derecognition for reasons other than write-offs shall include derecognition where the terms of the modified assets have been subject to substantial changes; (c) where the modification does not result in derecognition of all or part of the modified asset, its impact on expected losses shall be reported in ‘Changes due to modifications without derecognition’. 165. Write-offs shall be reported in accordance with paragraphs 72 to 74 of this Part of this Annex and in accordance with the following: (a) where the debt instrument is partially or totally de-recognised because there is no reasonable expectation of recovery, the decrease in the loss allowance reported due to the amounts written off shall be reported in: ‘Decrease in allowance account due to write-offs; (b) ‘Amounts written-off directly to the statement of profit or loss’ shall be the amounts of financial assets written-off during the reporting period that exceed any allowance account of the respective financial assets at the derecognition date. They shall include all amounts written-off during the reporting period and not only those which are still subject to enforcement activity. 166. ‘Other adjustments’ shall include any amount not reported in the previous columns, including among others the adjustments on expected losses due to foreign exchange differences where it is consistent with the reporting of the impact of foreign exchange in template 2. 11.3. Transfers between impairment stages (gross basis presentation) (12.2) 167. For financial assets the gross carrying amount and for off-balance exposures that are subject to the impairment requirements of IFRS 9 the nominal amount that has been transferred between impairment stages during the reporting period shall be reported in template 12.2. 168. Only the gross carrying amount or the nominal amount of those financial assets or off-balance exposures which are in a different impairment stage at the reporting reference date than they were at the beginning of the financial year or their initial recognition shall be reported. For on-balance exposures for which the impairment reported in template 12.1 includes an off-balance sheet component [IFRS 9.5.5.20 and IFRS 7.B8E], the change in stage of the on-balance sheet and off-balance sheet component shall be considered. 169. For the reporting of the transfers that have taken place during the financial year, financial assets or off-balance exposures that have changed multiple times the impairment stage since the beginning of the financial year or their initial recognition shall be reported as having been transferred from their impairment stage at the opening of the financial year or initial recognition to the impairment stage in which they are included at the reporting reference date. 170. The gross carrying amount or the nominal amount to be reported in template 12.2 shall be the gross carrying amount or the nominal value at the reporting date, regardless of whether this amount was higher or lower at the date of the transfer. 12. COLLATERAL AND GUARANTEES RECEIVED (13) 12.1. Breakdown of collateral and guarantees by loans and advances other than held for trading(13.1) 171. The collateral and guarantees backing the loans and advances, independently of their legal form, shall be reported by type of pledges: loans collateralised by immovable property and other collateralised loans, and by financial guarantees received. The loans and advances shall be broken down by counterparties and purpose. 172. 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 the financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan. 173. For reporting loans and advances according to the type of pledge the following definitions shall be used: (a) within ‘Loans collateralised by immovable property’, ‘Residential’ shall include loans secured by residential immovable property and ‘Commercial’ loans secured by pledges of immovable property other than residential including offices and commercial premises and other types of commercial immovable property. The determination of whether immovable property collateral shall be residential or commercial shall be made in accordance with the CRR; (b) within ‘Other collateralised loans’, ‘Cash [Debt instruments issued]’ shall include (a) deposits in the reporting institution that have been pledged as collateral for a loan and (b) debt securities issued by the reporting institution which have been pledged as collateral for a loan. ‘Rest’ shall include pledges of other securities issued by any third parties or pledges of other assets; (c) ‘Financial guarantees received’ shall include contracts that in accordance with paragraph 114 of this Part of this Annex require the issuer to make specified payments to reimburse the institution of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument. 174. 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. For loans collateralised by immovable property, immovable property collateral shall always be reported first, irrespective of its quality compared to other collateral. Where the ‘Maximum collateral/guarantee that can be considered’ exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality starting from the one with best quality. 12.2. Collateral obtained by taking possession during the period [held at the reporting date] (13.2) 175. This template shall include the carrying amount of the collateral that has been obtained between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. 12.3. Collateral obtained by taking possession [tangible assets] accumulated (13.3) 176. ‘Foreclosure [tangible assets]’ shall be 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) 177. Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by IFRS 13.72. Where national GAAP under BAD also require the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template. 178. ‘Change in fair value for the period’ shall include gains or losses from re-measurements in accordance with IFRS 9, IFRS 13 or national GAAP where applicable, in the period of the instruments that continue to exist at the reporting date. These gains and losses shall be reported as for inclusion in the statement of profit or loss, or where applicable, in the statement of comprehensive income; thus, the amounts reported are before taxes. 179. ‘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) 180. Template 15 shall include 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. 181. 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. 182. The column ‘Amounts derecognised for capital purposes’ shall include the carrying amount of the financial assets recognised for accounting purposes but de-recognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 of CRR. 183. ‘Repurchase agreements’ (‘repos’) shall be 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 shall 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. 184. ‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) shall involve cash received or loaned out by the institution. 185. In a securitisation transaction, where 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) 186. 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) 187. Interest income shall be broken down in accordance with both of the following: (a) interest income on financial and other assets; (b) interest income on financial liabilities with negative effective interest rate. 188. Interest expenses shall be broken down in accordance with both of the following: (a) interest expenses on financial and other liabilities; (b) interest expenses on financial assets with negative effective interest rate. 189. Interest income on financial assets and on financial liabilities with a negative effective interest rate shall include interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt securities issued and other financial liabilities with a negative effective interest rate. 190. Interest expenses on financial liabilities and on financial assets with a negative effective interest rate shall include interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as well as on debt securities and loans and advances with a negative effective interest rate. 191. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios shall be taken into account except those included in the items ‘Derivatives — Hedge accounting’ not used to hedge interest rate risk. 192. ‘Derivatives — Hedge accounting, interest rate risk’ shall include the interest income and expenses on hedging instruments where the hedged items generate interest. 193. Where the clean price is used, interest on derivatives held for trading shall include 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. In such case interest income on economic hedge derivatives shall be reported separately within interest income from trading derivatives. Time-apportioned fees or balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion shall also be reported within interest on derivatives held for trading. 194. Under IFRS, ‘of which: interest-income on impaired financial assets’ means interest income on credit-impaired financial assets, including purchased or originated credit-impaired financial assets. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific impairment allowance for credit risk. 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) 195. 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. 196. Template 16.2 shall apply under IFRS to financial assets and liabilities at amortised cost, and debt instruments measured at fair value through other comprehensive income. Under national GAAP based on BAD, template 16.2 shall apply to financial assets measured at cost-based method, at fair value through equity, and according to other measurement methods such as the lower of cost or market. Gains and losses of financial instruments classified as trading under the relevant national GAAP based on BAD shall not be reported in this template regardless of the valuation rules applicable for these instruments. 15.3. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument (16.3) 197. Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument. 198. Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes and coins, shall be included as trading gains and losses. Gains and losses from precious metal trading or de-recognition and re-measurement shall not be included in trading gains and losses but in ‘Other operating income’ or ‘Other operating expense’ in accordance with paragraph 316 of this Part. 199. The item ‘of which: economic hedges with use of the fair value option’ shall include only gains and losses on credit derivatives measured at fair value through profit or loss and used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion in accordance with IFRS 9.6.7. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the fair value through profit or loss accounting portfolio or into the held for trading portfolio [IFRS 9.5.6.2] shall be reported in ‘of which: gains and losses due to the reclassification of assets at amortised cost’. 15.4. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk (16.4) 200. 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 financial assets and financial liabilities other than derivatives shall be included in the risk categories as follows: (a) interest rate: including trading of loans and advances, deposits and debt securities (held or issued); (b) equity: including trading of shares, quotas of UCITS and other equity instruments; (c) foreign exchange trading: including exclusively trading on foreign exchanges; (d) credit risk: including trading of credit link notes; (e) commodities: this item shall include only derivatives because gains and losses on commodities held with trading intent shall be reported under ‘Other operating income’ or ‘Other operating expense’ in accordance with paragraph 316 of this Part; (f) other: including trading of financial instruments which cannot be classified in other breakdowns. 15.5. Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1) 201. Gains and losses on non-trading financial assets mandatorily at fair value through profit or loss 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. 202. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the non-trading financial assets mandatorily at fair value through profit or loss accounting portfolio [IFRS 9.5.6.2] shall be reported in ‘of which: gains and losses due to the reclassification of assets at amortised cost’. 15.6. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) 203. 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 gains or losses and the amount of change in fair value of financial liabilities in the period due to changes in the credit risk (own credit risk of the borrower or issuer) where own credit risk is not reported within other comprehensive income. 204. Where a credit derivative measured at fair value is used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion, the gains or losses of the financial instrument upon that designation shall be reported in ‘of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net’. Subsequent fair value gains or losses on these financial instruments shall be reported in ‘of which: gains or (-) losses after the designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net’. 15.7. Gains or losses from hedge accounting (16.6) 205. All gains and losses from hedge accounting, except interest income or expense where the clean price is used, 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. Gains and losses on hedging instruments shall not include gains and losses related to elements of the hedging instruments that are not designated as hedging instruments in accordance with IFRS 9.6.2.4. These not designated hedging instruments shall be reported in accordance with paragraph 60 of this Part. Gains and losses from hedge accounting shall also include gains and losses on hedges of a group of items with offsetting risk positions (hedges of a net position). 206. ‘Fair value changes of the hedged item attributable to the hedged risk’ shall also include gains and losses on hedged items where the items are debt instruments measured at fair value through other comprehensive income in accordance with IFRS 9.4.1.2 A [IFRS 9.6.5.8]. 207. Under national GAAP based on BAD, the breakdown by type of hedges as provided for in this template shall be reported to the extent the breakdown is compatible with the applicable accounting requirements. 15.8. Impairment on non-financial assets (16.7) 208. ‘Additions’ shall be reported where, 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 where, 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) 209. ‘Accounting scope of consolidation’ shall include 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 subsidiaries that are insurance undertakings and non-financial corporations. Institutions shall account for the subsidiaries, joint ventures and associates using the same method as in their financial statements. 210. 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. 211. ‘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. 212. ‘Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts issued. 17. NON-PERFORMING EXPOSURES (18) 213. For the purpose of template 18, non-performing exposures shall be 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. 214. 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. 215. Exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3), including purchased or originated credit-impaired assets. Exposures included in impairment stages other than Stage 3 shall be considered as non-performing where they meet the criteria to be considered as non-performing. 216. 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. 217. For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances which shall include also cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures. 218. Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or amortised cost, (b) debt instruments at fair value through other comprehensive income or through equity subject to impairment and (c) debt instruments at strict LOCOM or fair value through profit or loss or through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. Each category shall be broken down by instrument and by counterparty. 219. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items: (a) loan commitments given; (b) financial guarantees given; (c) other commitments given. 220. Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately. 221. In template 18 for debt instruments, ‘gross carrying amount’ shall be reported as defined in paragraph 34 of Part 1 of this Annex. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported. 222. For the purpose of template 18, an exposure is ‘past-due’ where it meets the criteria of paragraph 96 of this Part. 223. For the purpose of template 18, ‘debtor’ means an obligor within the meaning of Article 178 of CRR. 224. A commitment shall be considered as a non-performing exposure for its nominal amount where, 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. 225. 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 guaranteed party, including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 213. 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. 226. Exposures classified as non-performing in accordance with paragraph 213 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 that Article 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. 227. 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. Where 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. 228. Exposures shall be considered to have ceased being non-performing where 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 according to the applicable accounting framework and Article 178 of the CRR respectively; (b) the situation of the debtor has improved to the extent that full repayment, according to the original or where applicable the modified conditions, is likely to be made; (c) the debtor does not have any amount past-due by more than 90 days. 229. An exposure shall remain classified as non-performing while the conditions in points (a), (b) and (c) of paragraph 228 of this Part of this Annex 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. 230. 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. 231. Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in paragraph 262, 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 by the reporting institution according to the applicable accounting framework and Article 178 of the CRR, respectively; (b) one year has passed since the latest between the moment where forbearance measures were applied and the moment where exposures have been classified as non-performing; (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. The specific exit conditions referred to in points (a), (b) and (c) 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. 232. Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the one year period specified in point (b) of that paragraph, the exposure shall continue to be identified as non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on a quarterly basis. 233. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows in template 18: (a) ‘Debt instruments at cost or at amortised cost’ shall encompass debt instruments included in any of the following: (i) ‘financial assets at amortised cost’ (IFRS); (ii) ‘Non-trading non-derivative financial assets at a cost based method’, including debt instruments under moderate LOCOM (national GAAP based on BAD); (iii) ‘Other non-trading non-derivative financial assets’, except debt instruments measured at strict LOCOM (national GAAP based on BAD); (b) ‘Debt instruments at fair value through other comprehensive income or through equity subject to impairment’ shall encompass debt instruments included in any of the following: (i) ‘Financial assets at fair value through other comprehensive income’ (IFRS); (ii) ‘Non-trading non-derivative financial assets measured at fair value to equity’, where instruments in that measurement category can be subject to impairment in accordance with the applicable accounting framework under national GAAP based on BAD; (c) ‘Debt instruments at strict LOCOM, or at fair value through profit or loss or through equity not subject to impairment’ shall encompass debt instruments included in any of the following: (i) ‘Non-trading financial assets mandatorily at fair value through profit or loss’ (IFRS); (ii) ‘Financial assets designated at fair value through profit or loss’ (IFRS); (iii) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national GAAP based on BAD); (iv) ‘Other non-trading non-derivative financial assets’ where debt instruments are measured under strict LOCOM (national GAAP based on BAD); (v) ‘Non-trading non-derivative financial assets measured at fair value through equity’, where debt instruments in that measurement category are not subject to impairment in accordance with the applicable accounting framework under GAAP based on BAD. 234. Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at fair value through profit and loss, the carrying amount of any asset resulting from that designation and measurement at fair value shall be reported in ‘Financial assets designated at fair value through profit or loss’ (IFRS) or ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall not be reported in template F18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9. 235. Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but that are not material in accordance with Article 178 of CRR shall be reported within performing exposures in ‘Past due > 30 days <= 90 days’. 236. 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. 237. The following exposures shall be identified in separate columns: (a) exposures which are considered to be impaired in accordance with the applicable accounting framework; under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets, shall be reported in this column; (b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR. 238. ‘Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions’ figures shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part. 239. Information on collateral held and guarantees received on non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount of the related exposure. 18. FORBORNE EXPOSURES (19) 240. For the purpose of template 19, forborne exposures shall be 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’). 241. For the purpose of template 19, a concession may entail a loss for the lender and shall refer 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. 242. Evidence of a concession shall include at least any of 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. 243. The exercise of clauses which, where 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 where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties. 244. For the purposes of Annexes III and IV as well as this Annex, ‘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. 245. For the purpose of template 19, ‘debtor’ shall include all the legal entities in the debtor’s group which are within the accounting scope of consolidation and natural persons who control that group. 246. For the purpose of template 19, ‘debt’ shall include loans and advances (which include also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given including those loan commitments designated at fair value through profit and loss that are assets at the reporting date. ‘Debt’ shall exclude exposures held for trading. 247. ‘Debt’ shall also include loans and advances and debt securities classified as non-current assets and disposal groups classified as held for sale in accordance with IFRS 5. 248. For the purpose of template 19, ‘exposure’ shall have the same meaning as given for ‘debt’ in paragraph 247 of this Part. 249. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported in template 19 as defined in paragraph 233 of this Part. 250. For the purpose of template 19, ‘institution’ means the institution which applied the forbearance measures. 251. In template 19 for ‘debt’, the ‘gross carrying amount’ shall be reported as defined in paragraph 34 of Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported. 252. 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. Under IFRS, modified financial assets [IFRS 9.5.4.3 and Appendix A] shall be treated as forborne provided that a concession as defined in paragraphs 240 and 241 of this Part of this Annex has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition. Any of 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. 253. A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession. 254. There is a rebuttable presumption that forbearance has taken place in any of 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. 255. Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures. 256. Forborne exposures shall be included within the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 224 and 260 of this Part. The classification as forborne exposure shall be discontinued where 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 period has passed from the date the forborne exposure was considered to be performing (‘probation period’); (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. 257. Where the conditions referred to in paragraph 256 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 at least on a quarterly basis. 258. Forborne exposures which are classified as non-current assets held for sale in accordance with IFRS 5 shall continue to be classified as forborne exposures. 259. A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are 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. 260. Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the exposure becomes more than 30 days past due, it shall be classified as non-performing. 261. ‘Performing exposures with forbearance measures’ (performing forborne exposures) shall 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 256, including where paragraph 259 applies. Performing 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 reclassified from non-performing’. 262. ‘Non-performing exposures with forbearance measures’ (non-performing forborne exposures) shall 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 shall 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 260. 263. Where forbearance measures are extended to exposures which were non-performing prior to the extension of forbearance measures, the amount of those forborne exposures shall be separately identified in the column ‘of which: forbearance of exposures non-performing prior to forbearance measures’. 264. The following non-performing exposures with forbearance measures shall be identified in separate columns: (a) exposures which are considered to be impaired in accordance with the applicable accounting framework. Under IFRS, the amount of credit-impaired assets (Stage 3), including purchased or originated credit-impaired assets shall be reported in this column; (b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR. 265. The column ‘Refinancing’ shall comprise 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. 266. 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. 267. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part. 268. Collateral and guarantees received on exposures with forbearance measures shall be reported for all exposures with forbearance measures, regardless of their performing or non-performing status. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure. 19. GEOGRAPHICAL BREAKDOWN (20) 269. Template 20 shall be reported where the institution exceeds the threshold described in Article 5 (a) (4) of this Regulation. 19.1. Geographical breakdown by location of activities (20.1-20.3) 270. The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between ‘domestic activities’ and ‘non-domestic activities’. For the purposes of this Part,‘location’ means the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, ‘domestic’ shall include the activities recognised in the Member State where the reporting institution is located. 19.2. Geographical breakdown by residence of the counterparty (20.4-20.7) 271. Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the immediate counterparty as defined in paragraph 43 of Part 1 of this Annex. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with international organisations and multilateral development banks shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’. 272. ‘Derivatives’ shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11. 273. Assets held for trading under IFRS and trading assets under GAAP shall be identified separately. Financial assets subject to impairment shall have the same meaning as in paragraph 93 of this Part. Assets measured under LOCOM that have credit risk induced value adjustments shall be considered as impaired. 274. In templates 20.4 and 20.7, ‘Accumulated impairment’ and ‘Accumulated negative changes in fair value due to credit risk on non-performing exposures’ shall be reported as defined in paragraphs 69 to 71 of this Part. 275. In template 20.4 for debt instruments, ‘gross carrying amount’ shall be reported as defined in paragraph 34 of Part 1 of this Annex. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column ‘Of which: Non-performing’ debt instruments shall be reported as defined in paragraphs 213 to 232 of this Part. Debt forbearance comprises all ‘debt’ contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 255 of this Part, are extended. 276. In template 20.5, ‘Provisions for commitments and guarantees given’ shall include provisions measured under IAS 37, the credit losses of financial guarantees treated as insurance contracts under IFRS 4, and the provisions on loan commitments and financial guarantees under the impairment requirements of IFRS 9 and provisions for commitments and guarantees under national GAAP based on BAD in accordance with paragraph 11 of this Part. 277. In template 20.7, loans and advances not held for trading 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’). Loans and advances subject to impairment shall refer to the same portfolios as referred to in paragraph 93 of this Part. 20. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21) 278. For the purposes of the calculation of the threshold in Article 9(e) of this Regulation 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. 279. Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be reported broken down by measurement method. 21. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22) 280. For the purposes of the calculation of the threshold in Article 9(f) of this Regulation, the amount of ‘net fee and commission income’ shall be 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’ shall be the absolute value of the difference between ‘interest income’ and ‘interest expenses’. 21.1. Fee and commission income and expenses by activity (22.1) 281. The fee and commission income and expenses shall be reported by type of activity. Under IFRS, this template shall include fee and commission income and expenses other than both of the following: (a) amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)]; (b) amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)]. 282. 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 shall form part of the initial acquisition/issue value of these instruments and shall be amortised to profit or loss over their residual life using the effective interest rate [see IFRS 9.5.1.1]. 283. Under IFRS, 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’, ‘Gain or losses on non-trading financial assets mandatorily at fair value through profit or loss, net’ and ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net’, depending on the accounting portfolio in which they are classified. They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss. 284. Institutions shall report fee and commission income and expenses according to the following criteria: (a) ‘Securities. Issuances’ shall include 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’ shall include fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities; (c) ‘Securities. Other’ shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution; (d) ‘Clearing and settlement’ shall include fee and commission income (expenses) generated by (charged to) the institution where participating in counterparty, clearing and settlement facilities; (e) ‘Asset management’, ‘Custody’, ‘Central administrative services for collective investment undertakings’, ‘Fiduciary transactions’, ‘Payment services’ shall include fee and commission income (expenses) generated by (charged to) the institution where providing these services; (f) ‘Structured finance’ shall include 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) fees from ‘Loan servicing activities’ shall include, 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’ shall include the amount, recognized as income during the period, of the amortization of the fees and commission for these activities initially recognised as ‘other liabilities’; (i) ‘Loan commitments received’ and ‘Financial guarantees received’ shall include the fee and commission recognised as expense by the institution during the period as a consequence of the charge made to the counterparty that has given the loan commitment or the financial guarantee that is initially recognised as ‘other assets’; (j) ‘Other’ shall include 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. 21.2. Assets involved in the services provided (22.2) 285. Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions: (a) ‘Asset management’ shall refer 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’ shall refer 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’ shall refer 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’ shall refer to the administrative services provided by the institution to collective investment undertakings. It shall include, 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’ shall refer 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’ shall refer 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’ shall refer to products issued by entities outside the prudential 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’ shall include 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 where the fair value is not available. 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, where appropriate. 22. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30) 286. For the purposes of Annexes III and IV as well as this Annex, ‘liquidity support drawn’ means 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. 287. ‘Losses incurred by the reporting institution in the current period’ shall include losses due to impairment and any other losses incurred during the reporting period by a reporting institution relating to its interests in unconsolidated structured entities. 23. RELATED PARTIES (31) 288. 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 in accordance with IAS 24. 289. Intra-group transactions and intra-group outstanding balances of the prudential group 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 wider 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 where proportional consolidation is applied. 23.1. Related parties: amounts payable to and amounts receivable from (31.1) 290. For ‘Loan commitments, financial guarantees and other commitments received’, the amounts that shall be reported shall be the sum of the ‘nominal’ of loan and other commitments received and the ‘maximum amount of the guarantee that can be considered’ of financial guarantees received as defined in paragraph 119 of this Part. 291. ‘Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures’ shall be reported as defined as in paragraphs 69 to 71 in this Part only for non-performing exposures. ‘Provisions on non-performing off-balance sheet exposures’ shall include provisions as defined as in paragraphs 11, 106 and 111 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. 23.2. Related parties: expenses and income generated by transactions with (31.2) 292. ‘Gains or losses on de-recognition of other than 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 any 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’, where reporting under national GAAP based in BAD; (b) ‘Gains or losses on de-recognition of non-financial assets’; (c) ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’; (d) ‘Profit or loss after tax from discontinued operations’. 293. ‘Impairment or (-) reversal of impairment on non-performing exposures’ shall include impairment losses as defined in paragraphs 51 to 53 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. ‘Provisions or (-) reversal of provisions on non-performing exposures’ shall include provision as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. 24. GROUP STRUCTURE (40) 294. Institutions shall provide detailed information as of the reporting date on subsidiaries, joint ventures and associates fully or proportionally consolidated in the accounting scope of consolidation as well as entities reported as ‘Investments in subsidiaries, joint ventures and associates’ in accordance with paragraph 4 of this Part, including also those entities in which investments are held for sale under IFRS 5. All entities regardless the activity they perform shall be reported. 295. Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and own shares of the reporting institution owned by it (‘Treasury shares’), shall be excluded from the scope of this template. 24.1. Group structure: ‘entity-by-entity’ (40.1) 296. The following information shall be reported on a ‘entity-by-entity’ basis and the following definitions apply for the purposes of Annexes III and IV as well as this Annex: (a) ‘LEI code’ shall include the LEI code of the investee. Where a LEI code exists for the investee it shall be reported; (b) ‘Entity code’ shall include 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’ shall include 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 of investee’ 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’ shall 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 42 of Part 1 of this Annex; (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 (%)’ shall be 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 ultimate parent and the investee (parent or entity with joint control of the reporting institution, subsidiary, joint venture or associate); (m) ‘Accounting treatment [Accounting Group]’ shall indicate the relationship between 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 relationship between 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 reporting 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. 24.2. Group structure: ‘instrument-by-instrument’ (40.2) 297. The following information shall be reported on an ‘instrument-by-instrument’ basis: (a) ‘Security code’ shall include the ISIN code of the security. For securities without ISIN code assigned, it shall include another code that uniquely identifies the security. ‘Security code’ and ‘Holding company code’ shall be a composite row identifier, and together shall be unique for each row in template 40.2; (b) ‘Holding company code’ shall be the identification code of the entity within the group that holds the investment. ‘Holding company LEI code’ shall include the LEI code for the company holding the security. Where a LEI code exists for the holding company it shall be reported; (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. 25. FAIR VALUE (41) 25.1. Fair value hierarchy: financial instruments at amortised cost (41.1) 298. Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 13.72, 76, 81, and 86 shall be reported in this template. Where national GAAP under BAD also requires the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template. 25.2. Use of fair value option (41.2) 299. 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. 300. ‘Hybrid contracts’ shall include for liabilities the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it shall include non-separated hybrid instruments in their entirely. 301. ‘Managed for credit risk’ shall include the carrying amount of instruments that are designated at fair value through profit or loss at the occasion of their hedging against credit risk by credit derivatives measured at fair value through profit or loss in accordance with IFRS 9.6.7. 26. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42) 302. ‘Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement. 303. ‘Other intangible assets’ shall include all other intangible assets than goodwill. 27. PROVISIONS (43) 304. This template shall include reconciliation between the carrying amount of the item ‘Provisions’ at the beginning and end of the period by the nature of the movements, except provisions measured under IFRS 9 that shall instead be reported in template 12. 305. ‘Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4’ shall include provisions measured under IAS 37 and the credit losses of financial guarantees treated as insurance contracts under IFRS 4. 28. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44) 306. These templates shall include accumulated information of all defined benefit plans of the institution. Where there is more than one defined benefit plan, aggregated amount of all plans shall be reported. 28.1. Components of net defined benefit plan assets and liabilities (44.1) 307. Template on components of net defined benefit plan assets and liabilities shall show the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights [IAS 19.140 (a), (b)]. 308. ‘Net defined benefit assets’ shall include, in the event of a surplus, the surplus amounts that shall be recognised 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 recognised in the memo item ‘Fair value of any right to reimbursement recognized as asset’ shall be included in the item ‘Other assets’ of the balance sheet. 28.2. Movements in defined benefit obligations (44.2) 309. Template on movements in defined benefit obligations shall show 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 shall be presented separately. 310. 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’. 28.3. Memo items [related to staff expenses] (44.3) 311. For reporting of memorandum items related to staff expenses, the following definitions shall be used: (a) ‘Pension and similar expenses’ shall include 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’ shall include the amount recognized in the period as staff expenses for share based payments. 29. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45) 29.1. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1) 312. ‘Financial liabilities designated at fair value through profit or loss’ shall only include the gains and losses due to the change in the own credit risk of issuers of liabilities designated at fair value through profit or loss where the reporting institution has chosen to recognise them in profit or loss because a recognition in other comprehensive income would create or enlarge an accounting mismatch. 29.2. Gains or losses on de-recognition of non-financial assets (45.2) 313. ‘Gains or losses on de-recognition of non-financial assets’ shall be broken down by type of asset; each line item shall include the gain or the loss on the asset that has been derecognised. ‘Other assets’ shall include other tangible assets, intangible assets and investments not reported elsewhere. 29.3. Other operating income and expenses (45.3) 314. 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. 315. ‘Operating leases other than investment property’ shall include, 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’. 316. Gains or losses from derecognition and re-measurements of holdings of gold, other 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’ 30. STATEMENT OF CHANGES IN EQUITY (46) 317. 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. 318. ‘Transfers among components of equity’ shall include all amounts transferred within equity, including both gains and losses due to own-credit risk of liabilities designated at fair value through profit or loss and the accumulated fair value changes of equity instruments measured at fair value through other comprehensive income that are transferred to other components of equity upon de-recognition. PART 3 MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS 1. The Tables 2 and 3 map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables. Table 2 Standardised 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 These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (c) Public sector entities (2) General governments (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 (d) Multilateral development banks (3) Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (e) International organisations (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (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 These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (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 shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be 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 shall be 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. Table 3 Internal Ratings Based Approach 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 (2) General governments (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 shall be 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, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be 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. ▼B ANNEX VI REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY 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 ▼M9 ANNEX VII INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY 1. 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. 2. All the general instructions included in Part I of Annex II of this regulation shall also apply. 1. Reporting scope 3. 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. 4. The template covers all national markets an institution/group of institution is exposed to (see Article 101(1) CRR). According to Article 101(2) sentence 3 the data shall be reported for each property market within the Union separately. 2. Definitions 5. Definition of loss: ‘Loss’ means ‘economic loss’ as defined in Article 5(2) CRR, including losses stemming from leased property. 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. 6. According to the definition of Article 5(2) CRR, 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. 7. Exposure value: The exposure value follows the rules stipulated 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). 8. Property value: The property value follows the rules stipulated in Part Three, Title II of CRR 9. F/X effect: 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 different currency. 3. Geographical breakdown 10. Following the reporting scope, the CR IP Losses reporting 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 11. Exposures: All exposures that are treated according to Part Three, Title II of CRR and where the collateral is used to reduce the risk-weighted exposure amount 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 CRR), the exposures and losses concerned must not reported. 12. 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. Also estimated losses should 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. 13. Reference date: The exposure value at default should 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 and irrespective of whether the work out is completed during the period or not. Loss data reported as of 30 June shall refer to the period 1 January until 30 June and loss data reported as of 31 December shall refer to the whole calendar year. 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 scenario (ii.) realisation of collateral (observed losses) and scenario (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. I.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported. 14. 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 shall 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 a possible workout from collateral) in cells 010 and 030. 15. 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 was identified. 5. Instructions concerning specific positions Columns 010 Sum of losses stemming from lending up to the reference percentages Article 101(1) points a) and point (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 paragraph 1 of CRR. 020 Of which: immovable property valued with mortgage lending value Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value. 030 Sum of overall losses Article 101(1) point (b) and point (e) 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 paragraph 1 of CRR. 040 Of which: immovable property valued with mortgage lending value Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value 050 Sum of the exposures Article 101(1) point (c) and point (f) 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. In the event of default, the exposure value reported equals the exposure value directly before default. Rows 010 Residential property 020 Commercial immovable property ▼B ANNEX VIII TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK 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 ▼M10 ANNEX IX INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK Table of Contents PART I: GENERAL INSTRUCTIONS 1. Structure and conventions 2. Abbreviations PART II: TEMPLATE RELATED INSTRUCTIONS 1. Scope and level of the LE reporting 2. Structure of the LE template 3. Definitions for the purposes of the LE reporting 4. C 26.00 — LE Limits template 4.1. Instructions concerning specific rows 5. C 27.00 — Identification of the counterparty (LE1) 5.1. Instructions concerning specific columns 6. C 28.00 — Exposures in the non-trading and trading book (LE2) 6.1. Instructions concerning specific columns 7. C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3) 7.1. Instructions concerning specific columns 8. 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 columns 9. 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 PART I: GENERAL INSTRUCTIONS 1. Structure and conventions 1. 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). 2. The instructions include legal references as well as detailed information regarding the data that shall be reported in each template. 3. 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. 4. 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. 5. 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}. 6. 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. 2. Abbreviations 7. For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as ‘CRR’. PART II: TEMPLATE RELATED INSTRUCTIONS 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. 1. Scope and level of the LE reporting 1. 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. 2. 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. 3. 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. 4. 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. 5. 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. 6. 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. 7. 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 8. 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. 9. 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. 10. 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 11. ‘Group of connected clients’ is defined in Article 4(1)(39) of CRR. 12. ‘Unregulated financial sector entities’ are defined in Article 142(1)(5) of CRR. 13. ‘Institutions’ is defined in Article 4(1)(3) of CRR 14. 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. 15. 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. 16. ‘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.] 17. The exposures to groups of connected clients shall be calculated in accordance with Article 390(5). 18. 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. 19. The ‘value of an exposure’ shall be calculated according to Article 390 of CRR. 20. 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. 21. 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 institutions Articles 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 Institutions Articles 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 Code The 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 Name The 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 Code The legal entity identifier code of the counterparty. 040 Residence of the counterparty The 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 counterparty One 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) investment firms as defined in Article 4(1)(2) CRR; (v) Other financial corporations (excluding investment firms); (vi) Non-financial corporations; (vii) Households. For groups of connected clients, no sector shall be reported. 060 NACE code For 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 counterparty Article 394(2) of CRR The 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 Code For 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 individual The 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 assets Article 390(7) of CRR In 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 exposures Articles 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 exposure The 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: defaulted Article 178 of CRR. The institution shall report the part of the total original exposure corresponding to defaulted exposures. 060-110 Direct exposures Direct exposures shall mean the exposures on ‘immediate borrower’ basis. 060 Debt instruments Regulation (EU) No 1071/2013 (‘ECB/2013/33’) 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 ‘debt securities’, according to ECB/2013/33. Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column. 070 Equity instruments ECB/2013/33 Annex II, Part 2, table, categories 4 and 5. The instruments included in this column shall be those qualified as ‘Equity’ or as ‘Investment fund shares/units’ according to ECB/2013/33. 080 Derivatives Article 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 items Annex 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 commitments Annex 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 guarantees Annex 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 commitments Other 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 exposures Article 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 instruments See column 060. 130 Equity instruments See column 070. 140 Derivatives See column 080. 150-170 Off balance sheet items The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied. 150 Loan commitments See column 090. 160 Financial guarantees See column 100. 170 Other commitments See column 110. 180 Additional exposures arising from transactions where there is an exposure to underlying assets Article 390(7) of CRR. Additional exposures that arise from transactions where there is an exposure to underlying assets. 190 (-) Value adjustments and provisions Articles 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 funds Article 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 CRM Article 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 Total The 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 book The amount of the non-trading book from the total exposure before exemptions and CRM. 230 % of eligible capital Articles 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) techniques Articles 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 techniques Article 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 instruments See column 060. 250 (-) Equity instruments See column 070. 260 (-) Derivatives See column 080. 270-290 (-) Off balance sheet items The value of these columns shall be without application of conversion factors. 270 (-) Loan commitments See column 090. 280 (-) Financial guarantees See column 100. 290 (-) Other commitments See column 110. 300 (-) Funded credit protection other than substitution effect Article 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 estate Article 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 exempted Article 400 of CRR. The institution shall report the amounts exempted from the LE regime. 330-350 Exposure value after application of exemptions and CRM Article 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 Total This 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 book The 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 capital The 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 Code Columns 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 code Columns 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 assets See column 030 of template LE2. 040 Type of connection The 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 Code The 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 exposure Article 394(2)(e) of CRR The 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 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 Annex XXIII to this Regulation). 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. In case an exposure or a part of an exposure is to be regarded as defaulted and is reported as such in template C 28.00 (LE 2, column 050) and C 29.00 (LE 3, column 060), the expected run-off of the defaulted exposure must be allocated to the respective maturity buckets as follows: — When the reporting entity, in spite of the default, has a clear calendar of expected repayments of the exposure, it shall allocate them into the respective buckets accordingly. — When the reporting entity does not have a reasoned view of when defaulted amounts will be repaid (if ever), it shall allocate them into the category ‘undefined maturity’. 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 Code Columns 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 code Columns 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 exposures See columns 020-250 of template LE4. ▼M6 ANNEX X REPORTING ON LEVERAGE LEVERAGE RATIO REPORTING TEMPLATES Template code Template code Name of the template Short name 47 C 47.00 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 Alternative breakdown of leverage ratio exposure measure components LR4 44 C 44.00 General information LR5 C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1) Row Column 010 020 040 050 070 075 085 120 Accounting balance sheet value Accounting value assuming no netting or other CRM Add-on for SFTs Add-on under the mark-to market method (assuming no netting or other CRM) Notional amount/ nominal value Capped notional amount Capped notional amount (same reference name) Leverage ratio exposure amount hypothetically exempted 010 Derivatives 020 Credit derivatives (protection sold) 030 Credit derivatives (protection sold), which are subject to a close out clause 040 Credit derivatives (protection sold), which are not subject to a close out clause 050 Credit derivatives (protection bought) 060 Financial derivatives 070 SFTs covered by a master netting agreement 080 SFTs 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 210 Cash collateral received in derivatives transactions 220 Receivables for cash collateral posted in derivatives transactions 230 Securities received in an SFT that are recognised as an asset 240 SFT cash conduit lending (cash receivables) 250 Exposures that can benefit from treatment under Article 113(6) of the CRR 260 Exposures that meet the conditions in points (a) to (c) of Article 429(14) of the CRR 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 non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the 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 ≤ 1 250 % 100 Exposures in default 110 (memo item) Low risk off-balance sheet items and off-balance sheet items attracting a 0 % conversion factor under the solvency ratio 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 055 Asset amount deducted — from CET1 items — fully phased-in definition 065 Asset amount deducted — from CET1 items — transitional definition 075 Asset amount deducted — from own funds items — fully phased-in definition 085 Asset amount deducted — from own funds items — transitional definition C 43.00 — ALTERNATIVE 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 065 Exposure amounts resulting from the additional treatment for credit derivatives 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 90 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, MDBs, international organisations and PSEs 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 on immovable properties; of which 200 Secured by mortgages of residential properties 210 Retail exposures; of which 220 Retail SME 230 Corporate; of which 240 Financial 250 Non-financial; of which 260 SME exposures 270 Exposures other than SME exposures 280 Exposures in default 290 Other exposures; 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 Institution's company structure 020 Derivatives treatment 040 Institution type C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc) Column LR Exposure: Reporting reference date Row Exposure Values 010 010 SFTs: Exposure in accordance with Article 429(5) and 429(8) of the CRR 020 SFTs: Add-on for counterparty credit risk 030 Derogation for SFTs: Add-on in accordance with Article 429b(4) and 222 of the CRR 040 Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR 050 (-) Exempted CCP leg of client-cleared SFT exposures 060 Derivatives: Current replacement cost 070 (-) Eligible cash variation margin received offset against derivatives market value 080 (-) Exempted CCP leg of client-cleared trade exposures (replacement costs) 090 Derivatives: Add-on under the mark-to-market method 100 (-) Exempted CCP leg of client-cleared trade exposures (potential future exposure) 110 Derogation for derivatives: original exposure method 120 (-) Exempted CCP leg of client-cleared trade exposures (original exposure method) 130 Capped notional amount of written credit derivatives 140 (-) Eligible purchased credit derivatives offset against written credit derivatives 150 Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR 160 Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR 170 Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR 180 Off-balance sheet items with a 100 % CCF in accordance with Article 429(10) of the CRR 190 Other assets 200 Gross up for derivatives collateral provided 210 (-) Receivables for cash variation margin provided in derivatives transactions 220 (-) Exempted CCP leg of client-cleared trade exposures (initial margin) 230 Adjustments for SFT sales accounting transactions 240 (-) Fiduciary assets 250 (-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR 260 (-) Exposures exempted in accordance with Article 429(14) of the CRR 270 (-) Asset amount deducted — Tier 1 capital — fully phased-in definition 280 (-) Asset amount deducted — Tier 1 capital — transitional definition 290 Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital 300 Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital Row Capital 310 Tier 1 capital — fully phased-in definition 320 Tier 1 capital — transitional definition Row Leverage Ratio 330 Leverage Ratio — using a fully phased-in definition of Tier 1 capital 340 Leverage Ratio — using a transitional definition of Tier 1 capital ▼M10 ANNEX XI REPORTING ON LEVERAGE PART I: GENERAL INSTRUCTIONS 1. Template labelling and other conventions 1.1. Template labelling 1.2. Numbering convention 1.3. Abbreviations 1.4. Sign convention PART II: TEMPLATE RELATED INSTRUCTIONS 1. Structure and frequency 2. Formulas for leverage ratio calculation 3. Materiality thresholds for derivatives 4. C47.00 – Leverage ratio calculation (LRCalc) 5. C40.00 – Alternative treatment of the Exposure Measure (LR1) 6. C41.00 – On- and off-balance sheet items – additional breakdown of exposures (LR2) 7. C42.00 – Alternative definition of capital (LR3) 8. C43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4) 9. C44.00 – General information (LR5) PART I: GENERAL INSTRUCTIONS 1. Template labelling and other conventions 1.1. Template labelling 1. This Annex contains additional instructions for the templates (hereinafter ‘LR’) included in Annex X of this Regulation. 2. Overall, the framework consists of six templates: — C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation; — C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure; — C41.00: Leverage Ratio Template 2 (LR2): On and off-balance sheet items – additional breakdown of exposures; — C42.00: Leverage Ratio Template 3 (LR3): Alternative definition of capital; — C43.00: Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components; and — C44.00: Leverage Ratio Template 5 (LR5): General information. 3. For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting. 1.2. Numbering convention 4. The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules. 5. The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to refer to the whole row or column. 6. 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}. 7. 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 cells is mandatory unless otherwise specified. 1.3. Abbreviations 8. For the purposes of this annex and related templates the following abbreviations are used: a. CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013; b. SFT, which is an abbreviation of Securities Financing Transaction and shall mean ‘repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction’ as referred to in Regulation (EU) No 575/2013; c. CRM, which is an abbreviation for Credit Risk Mitigation. 1.4. Sign convention 9. All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010}, {LR3;040;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010}. Thereby note that {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010} only take negative values. Also note that, apart from extreme cases, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010} and {LR3;040;010} only take positive values. PART II: TEMPLATE RELATED INSTRUCTIONS 1. Structure and frequency 1. 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 in accordance with the first subparagraph of Article 430(1) of the CRR, while Part B comprises all the data items that institutions shall submit in accordance with the second subparagraph of Article 430(1) of the CRR (i.e. for the purposes of the report referred to in Article 511 of the CRR). 2. When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(13) of the CRR. 2. Formulas for leverage ratio calculation 3. The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from Part A. 4. Leverage Ratio – fully phased-in definition = {LRCalc;310;010}/{LRCalc;290;010}. 5. Leverage Ratio – transitional definition = {LRCalc;320;010}/{LRCalc;300;010}. 3. Materiality thresholds for derivatives 6. 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: 7. . 8. Where total exposure measure is equal to: {LRCalc;290;010}. 9. Total notional value referenced by derivatives = {LR1; 010;070}. This is a cell that institutions shall always report. 10. Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells that institutions shall always report. 11. Institutions are required to report the cells referred to in paragraph 14 in the next reporting period, if any of the following conditions is met: — the derivatives share referred to in paragraph 7 is more than 1,5 % on two consecutive reporting reference dates; — the derivatives share referred to in paragraph 7 exceeds 2,0 %. 12. Institutions for which the total notional value referenced by derivatives as defined in paragraph 9 exceeds 10 billion EUR shall report the cells referred to in paragraph 14, even though their derivatives share does not fulfil the conditions described in paragraph 11. 13. Institutions are required to report the cells referred to in paragraph 15 if any of the following conditions is met: — the credit derivatives volume referred to in paragraph 10 is more than 300 million EUR on two consecutive reporting reference dates; — the credit derivatives volume referred to in paragraph 10 exceeds 500 million EUR. 14. The cells which are required to be reported by institutions in accordance with paragraph 11 are the following: {LR1;010;010}, {LR1;010;020}, {LR1;010;050}, {LR1;020;010}, {LR1;020;020}, {LR1;020;050}, {LR1;030;050}, {LR1;030;070}, {LR1;040;050}, {LR1;040;070}, {LR1;050;010}, {LR1;050;020}, {LR1;050;050}, {LR1;060;010}, {LR1;060;020}, {LR1;060;050} and {LR1;060;070}. 15. The cells which are required to be reported by institutions in accordance with paragraph 13 are the following: {LR1;020;075}, {LR1;050;075} and {LR1;050;085}. 4. C 47.00 – Leverage ratio calculation (LRCalc) 16. This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Articles 429, 429a and 429b of the CRR. 17. Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value ‘at reporting reference date’ shall be the value at the last calendar day of the third month of the respective quarter. 18. Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and {150;010} to {190;010} as if the exemptions referred to in {050;010}, {080;010}, {100;010}, {120;010}, and {220;010} did not apply. 19. Institutions shall report {010;010} to {240;010} as if the exemptions referred to in {250;010} and {260;010} did not apply. 20. Any amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the leverage ratio exposure 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. Legal references and instructions Row and column Exposure Values {010;010} SFTs: Exposure in accordance with Articles 429(5) and 429(8) of the CRR Articles 429(5)(d) and 429(8) of the CRR The exposure for SFTs calculated in accordance with Article 429(5)(d) and (8) of the CRR. Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c). Institutions shall not include in this cell 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 {190,010}. Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR. {020;010} SFTs: Add-on for counterparty credit risk Article 429b(1) of the CRR The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with Article 429b(2) or (3) of the CRR, as applicable. Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c). Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR. Institutions shall instead include those items in {040;010}. {030;010} Derogation for SFTs: Add-on in accordance with Articles 429b(4) and 222 of the CRR Article 429b(4) and 222 of the CRR The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 of the CRR, subject to a 20 % floor for the applicable risk weight. Institutions shall consider in this cell transactions in accordance with Article 429b(6)(c) of the CRR. Institutions shall not consider in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method defined in Article 429b(1) of the CRR. {040;010} Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR Article 429b(6)(a), (2) and (3) of the CRR The exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR, consists only of the add-on determined in accordance with Article 429b(2) or (3) of the CRR, as applicable. Institutions shall not include in this cell transactions in accordance with Article 429b(6)(c). Institutions shall instead include those items in {010;010} and {020;010} or {010;010} and {030;010}, as applicable. {050;010} (-) Exempted CCP leg of client-cleared SFT exposures Articles 429(11) and 306(1)(c) of the CRR The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. Where the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a re-pledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) of the CRR) is included at full value. Institutions shall, as if no exemption applies, also include the amount reported in this cell in {010;010}, {020;010} and {030;010}, and, if the condition in the second half of the previous sentence is met, in {190;010}. Where there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {190;010} and not reported in {020;010} or {030;010}, then the institution can report it in this cell. {060;010} Derivatives: Current replacement cost Articles 429a, 274, 295, 296, 297 and 298 of the CRR. The current replacement cost as specified in Article 274(1) of the CRR of contracts listed in Annex II of the CRR and credit derivatives including those that are off-balance sheet reported gross of variation margin received. As determined by Article 429a(1) of the CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR. Institutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR. {070;010} (-) Eligible cash variation margin received offset against derivatives market value Article 429a(3) of the CRR Variation margin received in cash from the counterparty eligible for offsetting against the replacement cost portion of the derivatives exposure in accordance with Article 429a(3) of the CRR. Any cash variation margin received on an exempted CCP leg in accordance with Article 429(11) of the CRR shall not be reported. {080;010} (-) Exempted CCP leg of client-cleared trade exposures (replacement costs) Article 429(11) of the CRR The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. This amount shall be reported gross of cash variation margin received on this leg. Institutions shall include the amount reported in this cell also in {060;010} as if no exemption applied. {090;010} Derivatives: Add-on under the mark-to-market method Articles 429a, 274, 295, 296, 297, 298 and 299(2) of the CRR This cell provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives including those that are off-balance sheet 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 429a(1) of the CRR. In determining the exposure value of those contracts, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR. In accordance with the second subparagraph of Article 429a(1) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2)(a) of the CRR to all their credit derivatives, not just those assigned to the trading book. Institutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR. {100;010} (-) Exempted CCP leg of client-cleared trade exposures (potential future exposure) Article 429(11) of the CRR The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. Institutions shall include the amount reported in this cell also in {090;010} as if no exemption applied. {110;010} Derogation for derivatives: original exposure method Articles 429a(8) and 275 of the CRR This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II of the CRR calculated in accordance with the original exposure method set out in Article 275 of the CRR. Institutions that apply the original exposure method shall not reduce the exposure measure by the amount of variation margin received in cash in accordance with Article 429a(8) of the CRR. Institutions that do not use the original exposure method shall not report this cell. Institutions shall not consider in this cell contracts measured by application of the mark-to-market method in accordance with Articles 429a(1) and 274 of the CRR. {120;010} (-) Exempted CCP leg of client-cleared trade exposures (original exposure method) Article 429(11) of the CRR The exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 275 of the CRR, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. Institutions shall include the amount reported in this cell also in {110;010} as if no exemption applied. {130;010} Capped notional amount of written credit derivatives Article 429a(5) to (7) of the CRR Capped notional value of written credit derivatives (i.e. where the institution is providing credit protection to a counterparty) as set out in Article 429a(5) to (7) of the CRR. {140;010} (-) Eligible purchased credit derivatives offset against written credit derivatives Article 429a(5) to (7) of the CRR Capped notional value of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in {130;010} for each reference name. {150;010} Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR Articles 429(10), 111(1)(d) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(d) of the CRR, of low risk off-balance sheet items that would be assigned a 0 % credit conversion factor referred to in points 4(a) to (c) of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value). That is commitments which may be cancelled unconditionally at any time by the institution without prior notice (UCC), or that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness. As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {160;010} Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR Articles 429(10), 111(1)(c) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(c) of the CRR, of medium/low risk off-balance-sheet items that would be assigned a 20 % credit conversion factor referred to in points 3(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {170;010} Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR Articles 429(10), 111(1)(b) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(b) of the CRR, of medium risk off-balance sheet items that would be assigned a 50 % credit conversion factor as defined in the Standardised Approach to credit risk referred to in points 2(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 of the CRR is 50 % regardless of the maturity. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {180;010} Off-balance sheet items with a 100 % CCF in accordance with CRR 429 (10) Articles 429(10), 111(1)(a) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(a) of the CRR, of high risk off-balance sheet items that would be assigned a 100 % credit conversion factor referred to in points 1(a) to (k) of Annex I of the CRR (as a reminder the exposure value here shall be 100 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. This cell includes liquidity facilities and other commitments to securitisations. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {190;010} Other assets Article 429(5) of the CRR All assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs (e.g. amongst others assets to be reported in this cell are accounting receivables for cash variation margin provided where recognised under the operative accounting framework, liquid assets as defined under the liquidity coverage ratio, failed and unsettled transactions). Institutions shall base valuation on the principles set out in Article 429(5) of the CRR. Institutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Furthermore, institutions shall recognise items that are deducted from CET1 and Additional Tier 1 items (e.g. intangibles, deferred tax assets etc.) here. {200;010} Gross-up for derivatives collateral provided Article 429a(2) of the CRR The amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429a(2) of the CRR. Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429a(3) of the CRR. {210;010} (-) Receivables for cash variation margin provided in derivatives transactions Third subparagraph of Article 429a(3) of the CRR The receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429a(3) of the CRR are met. The amount reported shall also be included in the other assets reported in {190, 010}. {220;010} (-) Exempted CCP leg of client-cleared trade exposures (initial margin) Article 429(11) of the CRR The initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. The amount reported shall also be included in the other assets reported in {190, 010}. {230;010} Adjustments for SFT sales accounting transactions Article 429b(5) of the CRR The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework. {240;010} (-) Fiduciary assets Article 429(13) of the CRR The value of fiduciary assets that meet the IAS 39 criteria for derecognition and, where applicable, IFRS 10 for deconsolidation, in accordance with Article 429(13) of the CRR, assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). The amount reported shall also be included in the other assets reported in {190, 010}. {250;010} (-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR Articles 429(7) and 113(6) of the CRR Exposures that have not been consolidated on the applicable level of consolidation, that can benefit from the treatment laid down in Article 113(6) of the CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied. {260;010} (-) Exposures exempted in accordance with Article 429(14) of the CRR Article 429(14) of the CRR Exposures exempted in accordance with 429(14) of the CRR subject to the therein stated conditions being met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied. {270;010} (-) Asset amount deducted — Tier 1 capital — fully phased-in definition Articles 429(4)(a) and 499(1)(a) of the CRR It includes all the adjustments that target the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, or — Articles 56 to 60 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I 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 {010;010} to {260;010}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure. {280;010} (-) Asset amount deducted — Tier 1 capital — transitional definition Articles 429(4)(a) and 499(1)(b) of the CRR It includes all the adjustments that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, or — Articles 56 to 60 of the CRR’ as applicable. Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Title I 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 {010;010} to {260;010}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure. {290;010} Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital Institutions shall report the following amount: {LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;270;010}. {300;010} Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital Institutions shall report the following amount: {LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} - {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;280;010}. Row and column Capital {310;010} Tier 1 capital — fully phased-in definition Articles 429(3) and 499(1) of the CRR This is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR. {320;010} Tier 1 capital — transitional definition Articles 429(3) and 499(1) of the CRR This is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR. Row and column Leverage Ratio {330;010} Leverage Ratio – using a fully phased-in definition of Tier 1 capital Articles 429(2) and 499(1) of the CRR This is the leverage ratio as calculated under paragraph 4 of Part II of this Annex. {340;010} Leverage Ratio – using a transitional definition of Tier 1 capital Articles 429(2) and 499(1) of the CRR This is the leverage ratio as calculated under paragraph 5 of Part II of this Annex. 5. C 40.00 – Alternative treatment of the Exposure Measure (LR1) 21. This part of the reporting collects data on an alternative treatment of derivatives, SFTs and off-balance sheet items. 22. 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 no netting or other CRM’ refers to the accounting balance sheet value not taking into account any effects of netting or other credit risk mitigation. 23. Apart from {250;120} and {260;120}, institutions shall report LR1 as if the exemptions referred to in LRCalc cells {050;010}, {080;010}, {100;010}, {120;010}, {220;010}, {250;010} and {260;010} did not apply. Row and column Legal references and instructions {010;010} Derivatives – Accounting balance sheet value This is the sum of {020;010}, {050;010} and {060;010}. {010;020} Derivatives – Accounting value assuming no netting or other CRM This is the sum of {020;020}, {050;020} and {060;020}. {010;050} Derivatives – Add-on under the mark-to-market method (assuming no netting or other CRM) This is the sum of {020;050}, {050;050} and {060;050}. {010;070} Derivatives – Notional amount This is the sum of {020;070}, {050;070} and {060;070}. {020;010} Credit derivatives (protection sold) – Accounting balance sheet value Article 4(1)(77) of the CRR The 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;020} Credit derivatives (protection sold) – Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The 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 other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). {020;050} Credit derivatives (protection sold) – Add-on under the mark-to-market method (assuming no netting or other CRM) This is the sum of {030;050} and {040;050}. {020;070} Credit derivatives (protection sold) – Notional amount This is the sum of cells {030;070} and {040;070}. {020;075} Credit derivatives (protection sold) – Capped notional amount This cell provides the notional amount referenced by the credit derivatives (protection sold) as in {020; 070} after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative. {030;050} Credit derivatives (protection sold), which are subject to a close-out clause – Add-on under the mark-to-market method (assuming no netting or other CRM) Article 299(2) of the CRR This cell 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 other CRM. Institutions shall not include in this cell 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 {LR1;040;050}. 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;070} Credit derivatives (protection sold), which are subject to a close-out clause – Notional amount This cell provides the notional amount referenced by 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;050} Credit derivatives (protection sold), which are not subject to a close-out clause – Add-on under the mark-to-market method (assuming no netting or other CRM) Article 299(2) of the CRR This cell provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty not subject to a ‘close-out clause’ assuming no netting or other CRM. 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;070} Credit derivatives (protection sold), which are not subject to a close-out clause – Notional amount This cell provides the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty not 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 {050;010} Credit derivatives (protection bought) – Accounting balance sheet value Article 4(1)(77) of the CRR The 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;020} Credit derivatives (protection bought) – Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The 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 CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Institutions shall consider all credit derivatives, not just those assigned to the trading book. {050;050} Credit derivatives (protection bought) – Add-on under the mark-to-market method (assuming no netting or other CRM) Article 299(2) of the CRR This cell provides the potential future exposure of credit derivatives where the institution is buying credit protection from a counterparty assuming no netting or other CRM. Institutions shall consider all credit derivatives, not just those assigned to the trading book {050;070} Credit derivatives (protection bought) – Notional amount This cell provides the notional amount referenced by 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;075} Credit derivatives (protection bought) – Capped notional amount This cell provides the notional amount referenced by credit derivatives (protection bought) as in {050;050} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative. {050;085} Credit derivatives (protection bought) – Capped notional amount (same reference name) The notional amount referenced by 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 cell 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 cell shall not exceed the amounts reported in {020;075} and {050;075}. {060;010} Financial derivatives – Accounting balance sheet value Article 4(1)(77) of the CRR The 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;020} Financial derivatives – Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The 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 other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). {060;050} Financial derivatives – Add-on under the mark-to-market method (assuming no netting or other CRM) Article 274 of the CRR This cell provides the regulatory potential future exposure of contracts listed in Annex II of the CRR assuming no netting or other CRM. {060;070} Financial derivatives — Notional amount This cell provides the notional amount referenced by contracts listed in Annex II of the CRR. {070;010} SFTs covered by a master netting agreement – Accounting balance sheet value Articles 4(1)(77) and 206 of the CRR The accounting balance sheet value of SFTs under the applicable accounting framework that are covered by a master netting agreement eligible under Article 206 of the CRR. Institutions shall not include in this cell 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 {090,010}. {070;020} SFTs covered by a master netting agreement – Accounting value assuming no netting or other CRM Articles 4(77) and 206 of the CRR The accounting balance sheet value under the applicable accounting framework of SFTs that are covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). 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 cell 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 {090,020}. {070;040} Securities financing transactions covered by a master netting agreement – Add-on for SFT Articles 206 of the CRR For SFTs, including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206 of the CRR, 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 CCE = max{(Σi E i – Σi C i); 0} Where i = each transaction included in the netting set. Ei = for transaction i, the value Ei as defined in Article 220(3) of the CRR. Ci = for transaction i, the value Ci as defined in Article 220(3) of the CRR. Institutions shall aggregate the outcome of this formula for all netting sets and report the result in this cell. {080;010} SFTs not covered by a master netting agreement – Accounting balance sheet value Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet. Institutions shall not include in this cell 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 {090,010}. {080;020} SFTs not covered by a master netting agreement — Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). 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 cell 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 {090,020}. {080;040} SFTs not covered by a master netting agreement – Add-on for SFT Articles 206 of the CRR For SFTs, including those that are off-balance sheet, that are not covered by a master netting agreement eligible under Article 206 of the CRR, institutions shall form sets that consist of all assets included in a transaction (i.e. each SFT is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) in accordance with the formula CCE = max {(E – C); 0} Where E=, the value Ei as defined in Article 220(3) of the CRR. C=, the value Ci as defined in Article 220(3) of the CRR. Institutions shall aggregate the outcome of this formula for all of above-mentioned sets and report the result in this cell. {090;010} Other assets – Accounting balance sheet value Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs. {090;020} Other assets – Accounting value assuming no netting or other CRM Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). {100;070} Low risk off-balance sheet items in the RSA; of which – nominal value Article 111 of the CRR This cell 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. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {110;070} Revolving retail exposures; of which – Nominal value Articles 111 and 154(4) of the CRR This cell 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 value shall not be reduced by specific credit risk adjustments. This covers all exposures that are to individuals, are revolving and unconditionally cancellable as described in point (b) of Article 149 of the CRR, and are in total limited to EUR 100 000 per obligor. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {120;070} Unconditionally cancellable credit cards commitments – Nominal value Articles 111 and 154(4) of the CRR This cell 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. This value shall not be reduced by specific credit risk adjustments. Institutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness but are not UCC. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {130;070} Non revolving unconditionally cancellable commitments – Nominal value Articles 111 and 154(4) of the CRR It 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. This value shall not be reduced by specific credit risk adjustments. Institutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness but are not UCC. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {140;070} Medium/low risk off-balance sheet items under the RSA – Nominal value Article 111 of the CRR This cell 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. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {150;070} Medium risk off-balance sheet items under the RSA – Nominal value Article 111 of the CRR This cell 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. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {160;070} Full risk off-balance sheet items under the RSA – Nominal value Article 111 of the CRR This cell 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. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR. {170;070} (memo item) Drawn amounts of revolving retail exposures – Nominal value Article 154(4) of the CRR This cell provides the nominal value of amounts drawn on off-balance sheet revolving retail exposures. This value shall not be reduced by specific credit risk adjustments. {180;070} (memo item) Drawn amounts on unconditionally cancellable credit card commitments – Nominal value Articles 111 and 154(4) of the CRR This cell provides the nominal value of amounts drawn on unconditionally cancellable credit card commitments. This value shall not be reduced by specific credit risk adjustments. {190;070} (memo item) Drawn amounts on non-revolving unconditionally cancellable commitments – Nominal value Articles 111 and 154(4) of the CRR This cell provides the nominal value of amounts drawn on non-revolving unconditionally cancellable commitments. This value shall not be reduced by specific credit risk adjustments. {210;020} Cash collateral received in derivatives transactions – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). For the purpose of this cell, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is included 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 cell. {220;020} Receivables for cash collateral posted in derivatives transactions – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). 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 shall reverse out the netting and report the net cash receivable. {230;020} Securities received in an SFT that are recognised as an asset – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of securities received in an SFT that are recognised as an asset under the applicable accounting framework assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). {240;020} SFT cash conduit lending (cash receivables) – Accounting value assuming no netting or other CRM 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 other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). For the purpose of this cell, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this cell 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 all the following conditions: (a) both of the individual transactions which comprise the qualifying CCLT shall be 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 shall have 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 shall not give rise to maturity mismatches for the institution; the institution shall have 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; (d) it does not give rise to any other incremental exposures. {250;120} Exposures that can benefit from treatment under Article 113(6) of the CRR – Leverage ratio exposure amount hypothetically exempted The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures for which all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and for which approval laid down in Article 113(6) of the CRR has been provided. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;250;010}. {260;120} Exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR – Leverage ratio exposure amount hypothetically exempted The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;260;010}. 6. C 41.00 – On- and off-balance sheet items – additional breakdown of exposures (LR2) 24. Template LR2 provides information on additional breakdown items of all on- and off-balance sheet exposures ( 11 ) belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is in accordance with 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. 25. For exposures supported by CRM 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 IRB Approach, 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 IRB Approach, exposures classified as in default shall be excluded from {020;010} to {090;010} and included in {100;010}. Under the Standardised Approach, exposures falling under Article 112(j) of the CRR shall be excluded from {020;020} to {090;020} and included in {100;020}. 26. Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250 % risk weight. Row Legal references and instructions 010 Total on- and off-balance sheet exposures belonging to the non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight): This is the sum of {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 default Under the Standardised Approach, exposures falling under Article 112(j) of the CRR. Under the IRB approach, all exposures with a PD of 100 % are exposures in default. 110 (memo item) Low-risk off-balance sheet items or off-balance sheet items attracting a 0 % conversion factor under the solvency ratio Low risk off-balance sheet items in accordance with Article 111 of the CRR and off-balance sheet items attracting a 0 % conversion factor in accordance with Article 166 of the CRR. Column Legal references and instructions 010 On- and off-balance sheet exposures (SA exposures) On- and off-balance sheet exposure values after taking into account value adjustments, all CRM and credit conversion factors, as calculated under Title II, Chapter 2, Part Three of the CRR. 020 On and off-balance sheet exposures (IRB exposures) On- and off-balance sheet exposures values in accordance with Article 166 of the CRR and the first sentence of the second subparagraph of Article 230(1) 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. 030 Nominal value Exposure values of off-balance sheet items as defined in Articles 111 and 166 of the CRR without the application of conversion factors. 7. C 42.00 – Alternative definition of capital (LR3) 27. Template LR3 provides information on the capital measures needed for the review of Article 511 of the CRR. Row and column Legal references and instructions {010;010} Common Equity Tier 1 capital – fully phased-in definition Article 50 of the CRR This is the amount of CET1 capital as defined in 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;010} Common Equity Tier 1 capital – transitional definition Article 50 of the CRR This is the amount of CET1 capital as calculated defined in 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;010} Total own funds – fully phased-in definition Article 72 of the CRR This is the amount of own funds as defined 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;010} Total own funds – transitional definition Article 72 of the CRR This is the amount of own fund as defined 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. {055;010} Asset amount deducted – from CET1 items – fully phased-in definition It includes the amount of regulatory adjustments to CET1 items that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, as applicable Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, 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 {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure. {065;010} Asset amount deducted – from CET1 items – transitional definition It includes the amount of regulatory adjustments from CET1 that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, 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 {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure. {075;010} Asset amount deducted – from own funds items – fully phased-in definition It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, or — Articles 56 to 60 of the CRR, or — Articles 66 to 70 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, 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 {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure. {085,010} Asset amount deducted – from own funds items – transitional definition It includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by: — Articles 32 to 35 of the CRR, or — Articles 36 to 47 of the CRR, or — Articles 56 to 60 of the CRR, or — Articles 66 to 70 of the CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, 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 {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these adjustments reduce the total own funds, they shall be reported as a negative figure. 8. C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4) 28. Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions, as applicable, referred to in the following LRCalc cells: {050;010}, {080;010}, {100;010}, {120;010}, {220; 010}, {250;010} and {260;010}. 29. In order to avoid double-counting, institutions shall uphold the equation referred to in the following paragraph: 30. The equation that institutions shall uphold according to paragraph 29 is: [{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010}] = [{LR4;010;010} + {LR4;040;010} + {LR4;050;010} + {LR4;060;010} + {LR4;065;010} + {LR4;070;010} + {LR4;080;010} + {LR4;080;020} + {LR4;090;010} + {LR4;090;020} + {LR4;140;010} + {LR4;140;020} + {LR4;180;010} + {LR4;180;020} + {LR4;190;010} + {LR4;190;020} + {LR4;210;010} + {LR4;210;020} + {LR4;230;010} + {LR4;230;020} + {LR4;280;010} + {LR4;280;020} + {LR4;290;010} + {LR4;290;020}]. Row and column Legal references and instructions {010;010} Off-balance sheet items; of which – Leverage Ratio Exposure Value The leverage ratio exposure value calculated as the sum of {LRCalc;150;010}, {LRCalc;160;010}, {LRCalc;170;010} and {LRCalc;180;010} excluding the respective intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR. {010;020} Off-balance sheet items; of which – RWA The risk-weighted exposure amount of off-balance sheet items – excluding SFTs and derivatives – as in the Standardised Approach and the IRB 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 IRB Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3, Title II, Part Three of the CRR. {020;010} Trade Finance; of which – Leverage Ratio Exposure Value The 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;020} Trade Finance; of which – RWA The risk-weighted exposure value of off-balance sheet items – excluding SFTs 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;010} Under official export credit insurance scheme – Leverage Ratio Exposure Value The 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;020} Under official export credit insurance scheme – RWA The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – 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. {040;010} Derivatives and SFTs subject to a cross-product netting agreement – Leverage Ratio Exposure Value The leverage ratio exposure value of derivatives and SFTs if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. {040;020} Derivatives and SFTs subject to a cross-product netting agreement – RWA The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II of Part Three of the CRR of derivatives and SFTs, 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;010} Derivatives not subject to a cross-product netting agreement – Leverage Ratio Exposure Value The leverage ratio exposure value of derivatives if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. {050;020} Derivatives not subject to a cross-product netting agreement – RWA The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as calculated under Title II of 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;010} SFTs not subject to a cross-product netting agreement – Leverage Ratio Exposure Value The leverage ratio exposure value of exposures of SFTs if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR. {060;020} SFTs not subject to a cross-product netting agreement – RWA The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of 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. {065;010} Exposure amounts resulting from the additional treatment for credit derivatives – Leverage Ratio Exposure Value This cell shall equal the difference between {LRCalc;130;010} and {LRCalc;140;010} excluding the respective intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR. {070;010} Other assets belonging to the trading book – Leverage Ratio Exposure Value The leverage ratio exposure value of items reported in {LRCalc;190;010} excluding non-trading book items. {070;020} Other assets belonging to the trading book – RWA Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three of the CRR. {080;010} Covered bonds – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 129 of the CRR. Institutions shall report net of defaulted exposures. {080;020} Covered bonds – Leverage Ratio Exposure Value – IRB exposures The 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. Institutions shall report net of defaulted exposures. {080;030} Covered bonds – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 129 of the CRR. Institutions shall report net of defaulted exposures. {080;040} Covered bonds – RWA – IRB exposures The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 161(1)(d) of the CRR. Institutions shall report net of defaulted exposures. {090,010} Exposures treated as sovereigns – Leverage Ratio Exposure Value – SA exposures This is the sum of cells from {100,010} to {130,010}. Institutions shall report net of defaulted exposures. {090;020} Exposures treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures This is the sum of cells from {100,020} to {130,020}. Institutions shall report net of defaulted exposures. {090;030} Exposures treated as sovereigns – RWA – SA exposures This is the sum of cells from {100,030} to {130,030}. Institutions shall report net of defaulted exposures. {090;040} Exposures treated as sovereigns – RWA – IRB exposures This is the sum of cells from {100,040} to {130,040}. Institutions shall report net of defaulted exposures. {100;010} Central governments and central banks – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR. Institutions shall report net of defaulted exposures. {100;020} Central governments and central banks – Leverage Ratio Exposure Value – IRB exposures The 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. Institutions shall report net of defaulted exposures. {100;030} Central governments and central banks – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR. Institutions shall report net of defaulted exposures. {100;040} Central governments and central banks – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. {110;010} Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The 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. Institutions shall report net of defaulted exposures. {110;020} Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The 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. Institutions shall report net of defaulted exposures. {110;030} Regional governments and local authorities treated as sovereigns – RWA – SA exposures The 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. Institutions shall report net of defaulted exposures. {110;040} Regional governments and local authorities treated as sovereigns – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. {120;010} MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The 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. Institutions shall report net of defaulted exposures. {120;020} MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR. Institutions shall report net of defaulted exposures. {120;030} MDBs and international organisations treated as sovereigns – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR. Institutions shall report net of defaulted exposures. {120;040} MDBs and international organisations treated as sovereigns – RWA – IRB exposures The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR. Institutions shall report net of defaulted exposures. {130;010} PSEs treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. Institutions shall report net of defaulted exposures. {130;020} PSEs treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR. Institutions shall report net of defaulted exposures. {130;030} PSEs treated as sovereigns – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. Institutions shall report net of defaulted exposures. {130;040} PSEs treated as sovereigns – RWA – IRB exposures The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR. Institutions shall report net of defaulted exposures. {140;010} Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures This is the sum of cells from {150,010} to {170,010}. Institutions shall report net of defaulted exposures. {140;020} Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures This is the sum of cells from {150,020} to {170,020}. Institutions shall report net of defaulted exposures. {140;030} Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWA – SA exposures This is the sum of cells from {150,030} to {170,030}. Institutions shall report net of defaulted exposures. {140;040} Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWA – IRB exposures This is the sum of cells from {150,040} to {170,040}. Institutions shall report net of defaulted exposures. {150;010} Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The 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. Institutions shall report net of defaulted exposures. {150;020} Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The 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. Institutions shall report net of defaulted exposures. {150;030} Regional governments and local authorities not treated as sovereigns – RWA – SA exposures The 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. Institutions shall report net of defaulted exposures. {150;040} Regional governments and local authorities not treated as sovereigns – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. {160;010} MDBs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR. Institutions shall report net of defaulted exposures. {160;020} MDBs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The 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. Institutions shall report net of defaulted exposures. {160;030} MDBs not treated as sovereigns – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR. Institutions shall report net of defaulted exposures. {160;040} MDBs not treated as sovereigns – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. {170;010} PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures The 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.. Institutions shall report net of defaulted exposures. {170;020} PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures The 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. Institutions shall report net of defaulted exposures. {170;030} PSEs not treated as sovereigns – RWA – SA exposures The 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. Institutions shall report net of defaulted exposures. {170;040} PSEs not treated as sovereigns – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. {180;010} Institutions – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR. Institutions shall report net of defaulted exposures. {180;020} Institutions – Leverage Ratio Exposure Value – IRB exposures The 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(1)(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR. Institutions shall report net of defaulted exposures. {180;030} Institutions – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR. Institutions shall report net of defaulted exposures. {180;040} Institutions – RWA – IRB exposures The 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(1)(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR. Institutions shall report net of defaulted exposures. {190;010} Secured by mortgages on immovable properties; of which – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR. Institutions shall report net of defaulted exposures. {190;020} Secured by mortgages on immovable properties; of which – Leverage Ratio Exposure Value – IRB exposures The 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. Institutions shall report net of defaulted exposures. {190;030} Secured by mortgages on immovable properties; of which – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR. Institutions shall report net of defaulted exposures. {190;040} Secured by mortgages on immovable properties; of which – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. {200;010} Secured by mortgages of residential properties – Leverage Ratio Exposure Value – SA exposures The 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. Institutions shall report net of defaulted exposures. {200;020} Secured by mortgages of residential properties – Leverage Ratio Exposure Value – IRB exposures The 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. Institutions shall report net of defaulted exposures. {200;030} Secured by mortgages of residential properties – RWA – SA exposures The 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. Institutions shall report net of defaulted exposures. {200;040} Secured by mortgages of residential properties – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. {210;010} Retail exposures; of which – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are retail exposures that fall under Article 123 of the CRR. Institutions shall report net of defaulted exposures. {210;020} Retail exposures; of which – Leverage Ratio Exposure Value – IRB exposures The 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. Institutions shall report net of defaulted exposures. {210;030} Retail exposures; of which – RWA – SA exposures The risk-weighted exposure amount of assets that are retail exposures that fall under Article 123 of the CRR. Institutions shall report net of defaulted exposures. {210;040} Retail exposures; of which – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. {220;010} Retail SME – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. {220;020} Retail SME – Leverage Ratio Exposure Value – IRB exposures The 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. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. {220;030} Retail SME – RWA – SA exposures The risk-weighted exposure amount of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. {220;040} Retail SME – RWA – IRB exposures The 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. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. {230;010} Corporate; of which – Leverage Ratio Exposure Value – SA exposures This is the sum of {240,010} and {250,010}. Institutions shall report net of defaulted exposures. {230;020} Corporate; of which – Leverage Ratio Exposure Value – IRB exposures This is the sum of {240,020} and {250,020}. Institutions shall report net of defaulted exposures. {230;030} Corporate; of which – RWA – SA exposures This is the sum of {240,030} and {250,030}. Institutions shall report net of defaulted exposures. {230;040} Corporate; of which – RWA – IRB exposures This is the sum of {240,040} and {250,040}. Institutions shall report net of defaulted exposures. {240;010} Financial – Leverage Ratio Exposure Value – SA exposures The 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 {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures. {240;020} Financial – Leverage Ratio Exposure Value – IRB exposures The 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 {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures. {240;030} Financial – RWA – SA exposures The 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 {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures. {240;040} Financial – RWA – IRB exposures The 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 {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures. {250;010} Non-financial; of which – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR. This is the sum of {260,010} and {270,010}. Institutions shall report net of defaulted exposures. {250;020} Non-financial; of which – Leverage Ratio Exposure Value – IRB exposures The 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. This is the sum of {260,020} and {270,020}. Institutions shall report net of defaulted exposures. {250;030} Non-financial; of which – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR. This is the sum of {260,030} and {270,030}. Institutions shall report net of defaulted exposures. {250;040} Non-financial; of which – RWA – IRB exposures The 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. This is the sum of {260,040} and {270,040}. Institutions shall report net of defaulted exposures. {260;010} SME exposures – Leverage Ratio Exposure Value – SA exposures The 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. For the purpose of this cell, a small and medium enterprise is in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. {260;020} SME exposures – Leverage Ratio Exposure Value – IRB exposures The 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. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. {260;030} SME exposures – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 of the CRR. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. {260;040} SME exposures – RWA – IRB exposures The 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. For the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR. Institutions shall report net of defaulted exposures. {270;010} Exposures other than SME exposures – Leverage Ratio Exposure Value – SA exposures The 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 {230;040} and {250;040}. Institutions shall report net of defaulted exposures. {270;020} Exposures other than SME exposures – Leverage Ratio Exposure Value – IRB exposures The 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 {230;040} and {250;040}. Institutions shall report net of defaulted exposures. {270;030} Exposures other than SME exposures – RWA – SA exposures The 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 {230;040} and {250;040}. Institutions shall report net of defaulted exposures. {270;040} Exposures other than SME exposures – RWA – IRB exposures The 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 {230;040} and {250;040}. Institutions shall report net of defaulted exposures. {280;010} Exposures in default – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are exposures in default and thus fall under Article 127 of the CRR. {280;020} Exposures in default – Leverage Ratio Exposure Value – IRB exposures The 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. {280;030} Exposures in default – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 of the CRR. {280;040} Exposures in default – RWA – IRB exposures The 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. {290;010} Other exposures; of which – Leverage Ratio Exposure Value – SA exposures The 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. Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {; 030} and {; 040}. Institutions shall report net of defaulted exposures. {290;020} Other exposures; of which – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure amount of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR. Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {; 030} and {; 040}. Institutions shall report net of defaulted exposures. {290;030} Other exposures; of which – RWA – SA exposures The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR. Institutions shall report net of defaulted exposures. {290;040} Other exposures; of which – RWA – IRB exposures The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR. Institutions shall report net of defaulted exposures. {300;010} Securitisation exposures – Leverage Ratio Exposure Value – SA exposures The leverage ratio exposure value of assets that are exposures to securitisations that fall under Article 112(m) of the CRR. Institutions shall report net of defaulted exposures. {300;020} Securitisation exposures – Leverage Ratio Exposure Value – IRB exposures The leverage ratio exposure value of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR. Institutions shall report net of defaulted exposures. {300;030} Securitisation exposures – RWA – SA exposures The risk-weighted exposure amount of assets that are exposures to securitisations that fall under Article 112(m) of the CRR. Institutions shall report net of defaulted exposures. {300;040} Securitisation exposures – RWA – IRB exposures The risk-weighted exposure amount of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR. Institutions shall report net of defaulted exposures. {310;010} Trade finance (memo item); of which – Leverage Ratio Exposure Value – SA exposures The 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. Institutions shall report net of defaulted exposures. {310;020} Trade finance (memo item); of which – Leverage Ratio Exposure Value – IRB exposures The leverage ratio 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. Institutions shall report net of defaulted exposures. {310;030} Trade finance (memo item); of which – RWA – SA exposures The risk-weighted 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. Institutions shall report net of defaulted exposures. {310;040} Trade finance (memo item); of which – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. {320;010} Under official export credit insurance scheme – Leverage Ratio Exposure Value – SA exposures The 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. Institutions shall report net of defaulted exposures. {320;020} Under official export credit insurance scheme – Leverage Ratio Exposure Value – IRB exposures The leverage ratio 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. Institutions shall report net of defaulted exposures. {320;030} Under official export credit insurance scheme – RWA – SA exposures The risk-weighted 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. Institutions shall report net of defaulted exposures. {320;040} Under official export credit insurance scheme – RWA – IRB exposures The 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. Institutions shall report net of defaulted exposures. 9. C 44.00 – General information (LR5) 31. 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;010} Institution’s company structure The institution shall classify its company structure in accordance with the categories given below: — Joint stock company; — Mutual/cooperative; — Other non-joint stock company. {020;010} Derivatives treatment The institution shall specify the regulatory derivatives treatment in accordance with the categories given below: — Original exposure method; — Mark-to-market method. {040;010} Institution type The institution shall classify its institution type in accordance with the categories given below: — Universal banking (retail/commercial and investment banking); — Retail/commercial banking; — Investment banking; — Specialised lender — Other business model. ▼B ANNEX XII REPORTING ON LIQUIDITY 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 ANNEX XIII REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS) 1. Liquid assets 1.1. General remarks 1. 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. 2. Assets shall be reported in one of six sections in this template: 3. 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. 4. 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. 5. Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013 6. 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. 7. Treatment for jurisdictions with insufficient liquid assets 8. Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i). 1.2. Specific remarks 9. For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030. 10. 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. 11. For item 1.5 institutions shall report the relevant undrawn amount in column 040. 12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040. 13. 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. 14. 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. 15. 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. 16. 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. 17. 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. 18. 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 19. 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 20. 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 21. 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 575/2013 Assets 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 1.1 Cash Article 416(1)(a) of REGULATION (EU) NO 575/2013 Total 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 1.2 Exposures to central banks Articles 416(1)(a) REGULATION (EU) NO 575/2013 Total amount of exposures to central banks. 030 1.2.1 Exposures that can be withdrawn in times of stress Article 416(1)(a) REGULATION (EU) NO 575/2013 040-110 1.3 Other transferable assets representing claims on or guaranteed by Article 416.1(c) REGULATION (EU) NO 575/2013 040-050 1.3.1 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 liquid assets Article 416(1)(c)(i) REGULATION (EU) NO 575/2013 040 1.3.1.1 representing claims Assets specified in 1.3.1 that represent claims on the above counterparties, according to Article 416(1)(c)(i) 050 1.3.1.2 guaranteed by Assets specified in 1.3.1 guaranteed by the above counterparties, according to Article 416(1)(c)(i) 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) REGULATION (EU) NO 575/2013 060 1.3.2.1 representing claims Assets specified in 1.3.2 that represent claims on the above counterparties, according to Article 416(1)(c)(ii) 070 1.3.2.2 guaranteed by Assets specified in 1.3.2 guaranteed by the above counterparties, according to Article 416(1)(c)(ii) 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) REGULATION (EU) NO 575/2013 080 1.3.3.1 representing claims Assets specified in 1.3.3 that represent claims on the above counterparties, according to Article 416(1)(c)(iii) 090 1.3.3.2 guaranteed by Assets specified in 1.3.3 guaranteed by the above counterparties, according to Article 416(1)(c)(iii) 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) REGULATION (EU) NO 575/2013 100 1.3.4.1 representing claims Assets specified in 1.3.4 that represent claims on the above counterparties, according to Article 416(1)(c)(iv) 110 1.3.4.2 guaranteed by Assets 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 1.4.1 underlying assets in point (a) of Article 416(1) 130 1.4.2 underlying assets in point (b) and (c) of Article 416(1) 140 1.4.3 underlying assets in point (d) of Article 416(1) 150 1.5 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 Article 416(1)(e) REGULATION (EU) NO 575/2013 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 REGULATION (EU) NO 575/2013, to the extent that this funding is not collateralized by liquid assets Article 416(1)(f) REGULATION (EU) NO 575/2013 if 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 1.6.1 deposits 170 1.6.2 contractually available funding 180 1.7 Assets issued by a credit institution which has been set up by a Member State central or regional government Article 416(2)(a)(iii) REGULATION (EU) NO 575/2013 190-210 1.8 non-financial corporate bonds Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013 Non-financial corporate bonds shall be reported according to their credit quality as per Article 122 REGULATION (EU) NO 575/2013. 190 1.8.1 credit quality step 1 200 1.8.2 credit quality step 2 210 1.8.3 credit 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 575/2013 Bonds 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 1.9.1 credit quality step 1 230 1.9.2 credit quality step 2 240 1.9.3 credit 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 575/2013 Those 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 1.10.1 credit quality step 1 260 1.10.2 credit quality step 2 270 1.10.3 credit quality step 3 280-300 1.11 Residential mortgage backed instruments of the instruments reported in lines 1.10.1, 1.10.2, 1.10.3 Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Those 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 1.11.1 credit quality step 1 290 1.11.2 credit quality step 2 300 1.11.3 credit quality step 3 310-330 1.12 bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9 Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 129(4) or 129(5) of REGULATION (EU) NO 575/2013 310 1.12.1 credit quality step 1 320 1.12.2 credit quality step 2 330 1.12.3 credit quality step 3 340-360 1.13 Other transferable assets that are of extremely high liquidity and credit quality Article 416.1(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 Only items that are not specified in the rows above shall be reported here. 340 1.13.1 credit quality step 1 350 1.13.2 credit quality step 2 360 1.13.3 credit quality step 3 1.14 Other transferable assets that are of high liquidity and credit quality Article 416.1(d) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Chapter 2,Title 2, Part III of REGULATION (EU) NO 575/2013 Only items that are not specified in the rows above shall be reported here. 370 1.14.1 credit quality step 1 380 1.14.2 credit quality step 2 390 1.14.3 credit 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 575/2013 Items shall only be reported in one of the below sub-categories, also in case both provisions are not met. 400 2.1 Assets not controlled by a liquidity management function Article 417(c) of REGULATION (EU) NO 575/2013 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 REGULATION (EU) NO 575/2013 420-610 3. Items subject to supplementary reporting of liquid assets 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. 420 3.1 Cash Annex III Point 1 REGULATION (EU) NO 575/2013 Total 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 3.2 Central bank exposures, to the extent that these exposures can be drawn down in times of stress Annex III, Point 2 REGULATION (EU) NO 575/2013 Total 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 3.3 transferable securities with a 0 % risk weight and not an obligation of an institution or any of its affiliated entities Annex III, Point 3 REGULATION (EU) NO 575/2013 Securities 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 3.3.1 representing claims on sovereigns Annex III, Point 3 REGULATION (EU) NO 575/2013 450 3.3.2 claims guaranteed by sovereigns Annex III, Point 3 REGULATION (EU) NO 575/2013 460 3.3.3 representing claims on or guaranteed by central banks Annex III, Point 3 REGULATION (EU) NO 575/2013 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, Point 3 REGULATION (EU) NO 575/2013 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 bank Annex III, Point 3 REGULATION (EU) NO 575/2013 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 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 country Annex III, Point 4 REGULATION (EU) NO 575/2013 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, Point 5 REGULATION (EU) NO 575/2013 Securities 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 3.5.1 representing claims on sovereigns Annex III, Point 5 REGULATION (EU) NO 575/2013 510 3.5.2 claims guaranteed by sovereigns Annex III, Point 5 REGULATION (EU) NO 575/2013 520 3.5.3 representing claims on or guaranteed by central banks Annex III, Point 5 REGULATION (EU) NO 575/2013 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, Point 5 REGULATION (EU) NO 575/2013 540 3.5.5 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 bank Annex III, Point 5 REGULATION (EU) NO 575/2013 550 3.6 transferable 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 575/2013 Annex III, Point 6 REGULATION (EU) NO 575/2013 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, Point 7 REGULATION (EU) NO 575/2013 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, Point 8 REGULATION (EU) NO 575/2013 580 3.9 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 Annex III, Point 9 REGULATION (EU) NO 575/2013 Only 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 575/2013 This item to be included only to the extent not reported under reporting item 1.6. 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, Point 11 REGULATION (EU) NO 575/2013 610 3.12 gold listed on a recognised exchange, held on an allocated basis Annex III, Point 12 REGULATION (EU) NO 575/2013 620-850 4 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 620-640 4.1 Financial corporate bonds Article 416 (2) of REGULATION (EU) NO 575/2013 Bonds 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 4.1.1 credit quality step 1 630 4.1.2 credit quality step 2 640 4.1.3 credit quality step 3 650-670 4.2 own issuances Article 416 (3)(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 650 4.2.1 credit quality step 1 660 4.2.2 credit quality step 2 670 4.2.3 credit quality step 3 680-700 4.3 unsecured credit institution issuances REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 680 4.3.1 credit quality step 1 690 4.3.2 credit quality step 2 700 4.3.3 credit quality step 3 710-730 4.4 asset backed securities not already reported in 1.10 to 1.11.3 Article 416(4)(b) of REGULATION (EU) NO 575/2013 Those 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 4.4.1 credit quality step 1 720 4.4.2 credit quality step 2 730 4.4.3 credit quality step 3 740-760 4.5 residential mortgage backed securities not already reported in 1.10 to 1.11.3 Article 509(3)(a) of REGULATION (EU) NO 575/2013 Those 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 4.5.1 credit quality step 1 750 4.5.2 credit quality step 2 760 4.5.3 credit quality step 3 770 4.6 equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 780 4.7 gold not reported above under 3.1.2 Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 790 4.8 guaranteed bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 800 4.9 covered bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 810 4.10 corporate bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 820 4.11 funds based on the assets reported in 4.6 - 4.10 Article 509(3)(c) of REGULATION (EU) NO 575/2013 830-850 4.12 other categories of central bank eligible securities or loans Article 509(3)(b) of REGULATION (EU) NO 575/2013 830 4.12.1 local government bonds Article 509(3)(b) of REGULATION (EU) NO 575/2013 840 4.12.2 commercial paper Article 509(3)(b) of REGULATION (EU) NO 575/2013 850 4.12.3 credit claims Article 416(4)(c) of REGULATION (EU) NO 575/2013 860-870 5 Treatment for jurisdictions with insufficient HQLA Article 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 575/2013 Total 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 575/2013 Total 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 6.1 credit quality step 1 890 6.1 credit quality step 2 900 6.1 credit quality step 3 REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS) 1. Outflows 1.1. General remarks 1. 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. 2. 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). 3. 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. OUTFLOWS Articles 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 1.1 Retail deposits Article 421 of REGULATION (EU) NO 575/2013 Total 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 1.1.1 Covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country Article 421(1) of REGULATION (EU) NO 575/2013 020 1.1.1.1 part of an established relationship making withdrawal highly unlikely Article 421(1)(a) of REGULATION (EU) NO 575/2013 Of 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 1.1.1.2 held in transactional accounts, including accounts to which salaries are regularly credited Article 421(1)(b) of REGULATION (EU) NO 575/2013 Of 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 1.1.2 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 REGULATION (EU) NO 575/2013 Of 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 1.1.3 uninsured retail deposits Article 421(2) of REGULATION (EU) NO 575/2013 Retail 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 575/2013 Retail 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 1.1.4.1 deposits subject to higher outflow rate - Category 1 – medium risk of outflow Article 421(3) of REGULATION (EU) NO 575/2013 Retail deposits identified by institutions to be allocated to category 1. 070 1.1.4.2 deposits subject to higher outflow rate - Category 2 – high risk of outflow Article 421(3) of REGULATION (EU) NO 575/2013 Retail deposits identified by institutions to be allocated to category 2. 080 1.1.4.3 deposits subject to higher outflow rate – Category 3 - very high risk of outflow Article 421(3) of REGULATION (EU) NO 575/2013 Retail deposits identified by institutions to be allocated to category 3. 090 1.1.5 deposits in third countries where a higher outflow is applied Article 421(4) of REGULATION (EU) NO 575/2013 Retail 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 1.1.6 deposits exempted from the calculation of outflows where the conditions of Art. 421(5) (a) and (b) have been met Article 421 (5) of REGULATION (EU) NO 575/2013 Retail deposits exempted from the calculation of outflows, as referred to in Article 421 (5) of REGULATION (EU) NO 575/2013. 110-1130 1.2 outflows on other liabilities Article 422 REGULATION (EU) NO 575/2013 Total 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 1.2.1 liabilities resulting from the institution's own operating expenses Article 422(1) of REGULATION (EU) NO 575/2013 Total 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 1.2.2 liabilities resulting from secured lending and capital market driven transactions as defined in Article 192 Article 422(2) of REGULATION (EU) NO 575/2013 For 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 1.2.2.1 Other transferable assets representing claims on or guaranteed by Article 416(1)(c) REGULATION (EU) NO 575/2013 Transactions 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 1.2.2.1.1 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 liquid assets Article 416(1)(c)(i) REGULATION (EU) NO 575/2013 120 1.2.2.1.1.1 representing claims Assets 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 1.2.2.1.1.2 guaranteed by Assets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i) 140-150 1.2.2.1.2 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) REGULATION (EU) NO 575/2013 140 1.2.2.1.2.1 representing claims Assets 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 1.2.2.1.2.2 guaranteed by Assets 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 1.2.2.1.3.1 representing claims Assets 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 1.2.2.1.3.2 guaranteed by Assets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii) 180-190 1.2.2.1.4 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iv) REGULATION (EU) NO 575/2013 180 1.2.2.1.4.1 representing claims Assets 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 1.2.2.1.4.2 guaranteed by Assets 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 575/2013 Total 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 1.2.2.2.1 underlying assets in point (a) of article 416(1) 210 1.2.2.2.2 underlying assets in point (b) and (c) of article 416(1) 220 1.2.2.2.3 underlying assets in point (d) of article 416(1) 230 1.2.2.3 Assets issued by a credit institution which has been set up by a Member State central or regional government Article 416(2)(a)(iii) REGULATION (EU) NO 575/2013 240-260 1.2.2.4 non-financial corporate bonds Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013 Non-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 1.2.2.4.1 credit quality step 1 250 1.2.2.4.2 credit quality step 2 260 1.2.2.4.3 credit 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 575/2013 Bonds 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 1.2.2.5.1 credit quality step 1 280 1.2.2.5.2 credit quality step 2 290 1.2.2.5.3 credit 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 575/2013 Those 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 1.2.2.6.1 credit quality step 1 310 1.2.2.6.2 credit quality step 2 320 1.2.2.6.3 credit quality step 3 330-350 1.2.2.7 Residential mortgage backed instruments of the instruments reported in lines 1.10.1, 1.10.2, 1.10.3 of the liquid assets template Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Those 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 1.2.2.7.1 credit quality step 1 340 1.2.2.7.2 credit quality step 2 350 1.2.2.7.3 credit quality step 3 360-380 1.2.2.8 bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in 1.9 Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013 Those 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 1.2.2.8.1 credit quality step 1 370 1.2.2.8.2 credit quality step 2 380 1.2.2.8.3 credit quality step 3 390-410 1.2.2.9 Other transferable assets that are of extremely high liquidity and credit quality Article 416.1(b) of REGULATION (EU) NO 575/2013 Those 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. 390 1.2.2.9.1 credit quality step 1 400 1.2.2.9.2 credit quality step 2 410 1.2.2.9.3 credit quality step 3 420-440 1.2.2.10 Other transferable assets that are of high liquidity and credit quality Article 416.1(d) of REGULATION (EU) NO 575/2013 Those 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 1.2.2.10.1 credit quality step 1 430 1.2.2.10.2 credit quality step 2 440 1.2.2.10.3 credit quality step 3 450-460 1.2.2.11 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 575/2013 These items shall be reported here in accordance with 1.2.2 above, in the appropriate sub-category. 450 1.2.2.11.1 Assets not controlled by a liquidity management function Article 417(c) of REGULATION (EU) NO 575/2013 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 REGULATION (EU) NO 575/2013 480-680 1.2.2.12 Items subject to supplementary reporting of liquid assets 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. 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 1.2.2.12.1 Cash Annex III, Point 1 of REGULATION (EU) NO 575/2013 Total 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 1.2.2.12.2 Central bank exposures, to the extent that these exposures can be drawn down in times of stress Annex III, Point 2 of REGULATION (EU) NO 575/2013 Total 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 1.2.2.12.3 transferable securities with a 0 % risk weight and not an obligation of an institution or any of its affiliated entities Annex III, Point 3 of REGULATION (EU) NO 575/2013 Securities 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 1.2.2.12.3.1 representing claims on sovereigns Annex III, Point 3 of REGULATION (EU) NO 575/2013 510 1.2.2.12.3.2 claims guaranteed by sovereigns Annex III, Point 3 of REGULATION (EU) NO 575/2013 520 1.2.2.12.3.3 representing claims on or guaranteed by central banks Annex III, Point 3 REGULATION (EU) NO 575/2013 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, Point 3 of REGULATION (EU) NO 575/2013 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 bank Annex III, Point 3 of REGULATION (EU) NO 575/2013 550 1.2.2.12.4 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 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 country Annex III, Point 4 of REGULATION (EU) NO 575/2013 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, Point 5 of REGULATION (EU) NO 575/2013 Securities 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 1.2.2.12.5.1 representing claims on sovereigns Annex III, Point 5 of REGULATION (EU) NO 575/2013 580 1.2.2.12.5.2 claims guaranteed by sovereigns Annex III, Point 5 of REGULATION (EU) NO 575/2013 590 1.2.2.12.5.3 representing claims on or guaranteed by central banks Annex III, Point 5 of REGULATION (EU) NO 575/2013 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, Point 5 of REGULATION (EU) NO 575/2013 610 1.2.2.12.5.5 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 bank Annex III, Point 5 of REGULATION (EU) NO 575/2013 620 1.2.2.12.6 transferable 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 575/2013 Annex III, Point 6 of REGULATION (EU) NO 575/2013 630 1.2.2.12.7 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, Point 7 of REGULATION (EU) NO 575/2013 640 1.2.2.12.8 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 Point 125 Annex III, Point 8 of REGULATION (EU) NO 575/2013 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 collateralized by liquid assets and excluding emergency liquidity assistance Annex III, Point 9 of REGULATION (EU) NO 575/2013 Total 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 1.2.2.12.11 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, Point 11 of REGULATION (EU) NO 575/2013 680 1.2.2.12.12 gold listed on a recognised exchange, held on an allocated basis Annex III, Point 12 of REGULATION (EU) NO 575/2013 690-920 1.2.2.13 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 accordance with 1.2.2 above, in the appropriate sub-category. 690-710 1.2.2.13.1 financial corporate bonds Article 416 (2) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 690 1.2.2.13.1.1 credit quality step 1 700 1.2.2.13.1.2 credit quality step 2 710 1.2.2.3.1.3 credit quality step 3 720-740 1.2.2.13.2 own issuances Article 416 (3)(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 720 1.2.2.13.2.1 credit quality step 1 730 1.2.2.13.2.2 credit quality step 2 740 1.2.2.13.2.3 credit quality step 3 750-770 1.2.2.13.3 unsecured credit institution issuances Article 416 of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 750 1.2.2.13.3.1 credit quality step 1 760 1.2.2.13.3.2 credit quality step 2 770 1.2.2.4.13.3 credit quality step 3 780-800 1.2.2.13.4 asset backed securities not already reported in 1.10 to 1.11.3 Article 416(4)(b) of REGULATION (EU) NO 575/2013 Those 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 1.2.2.13.4.1 credit quality step 1 790 1.2.2.13.4.2 credit quality step 2 800 1.2.2.12.4.3 credit quality step 3 810-830 1.2.2.13.5 residential mortgage backed securities not already reported in 1.10 to 1.11.3 Article 509(3) of REGULATION (EU) NO 575/2013 Those 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 1.2.2.13.5.1 credit quality step 1 820 1.2.2.13.5.2 credit quality step 2 830 1.2.2.13.5.3 credit quality step 3 840 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) of REGULATION (EU) NO 575/2013 850 1.2.2.13.7 gold Article 509(3)(c) of REGULATION (EU) NO 575/2013 860 1.2.2.13.8 guaranteed bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 870 1.2.2.13.9 covered bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 880 1.2.2.13.10 corporate bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 890 1.2.2.13.11 funds based on the assets reported in 4.5 - 4.10 Article 509(3)(c) of REGULATION (EU) NO 575/2013 900-920 1.2.2.13.12 other categories of central bank eligible securities or loans Article 509(3)(b) of REGULATION (EU) NO 575/2013 900 1.2.2.13.12.1 local government bonds Article 509(3)(b) of REGULATION (EU) NO 575/2013 910 1.2.2.13.12.2 commercial paper Article 509(3)(b) of REGULATION (EU) NO 575/2013 920 1.2.2.13.12.3 credit claims Article 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 1.2.2.14.1 credit quality step 1 940 1.2.2.14.2 credit quality step 2 950 1.2.2.14.3 credit quality step 3 960-1030 1.2.3 Deposits that have to be maintained by the depositor Article 422(3) of REGULATION (EU) NO 575/2013 Total 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 575/2013 Total 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 1.2.3.1.1 which are covered by a Deposit Guarantee Scheme according to Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country Total 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 1.2.3.1.1.1 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 Total 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 1.2.3.1.1.2 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 Total 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 1.2.3.1.2 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 Total 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 1.2.3.1.2.1 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 Total 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 1.2.3.1.2.2 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 Total 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 1.2.3.2 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) 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 1.2.3.2.1 of which are correspondent banking or prime brokerage services 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 which are deposits relating to correspondent banking or prime brokerage services. 1020 1.2.3.4 in 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 scheme Article 422(3)(b) of REGULATION (EU) NO 575/2013 Total 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 575/2013 Total 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 paragraph Total 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 1.2.6 liabilities not reported in 1.2.2 or 1.2.5 resulting from deposits by clients that are not financial clients Article 422(5) of REGULATION (EU) NO 575/2013 Total amount of liabilities not reported in 1.2.2 or 1.2.5 resulting from deposits by clients that are not financial clients. 1060 1.2.6.1 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 1070 1.2.6 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 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 575/2013 The net amount of payable expected over the 30 day horizon from the contracts listed in Annex II. Amounts shall: — be net across all counterparties — be net of collateral to be received that qualifies as liquid assets under Article 416 — not 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 horizon Note 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 1.2.8 liabilities for which the competent authority has determined a lower outflow Article 422(8) of REGULATION (EU) NO 575/2013 Total 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 1.2.8.1 where all the conditions of Article 422(8) (a), (b), (c) and (d) are met Total 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 1.2.8.2 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 Total 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 1.2.9 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 Articles 420(1)(e) and 420(2) of REGULATION (EU) NO 575/2013 Total 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 1.2.9 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 1120 1.2.9 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 1130 1.2.10 all other liabilities Article 422(7) of REGULATION (EU) NO 575/2013 Total amount of all other liabilities. 1140-1210 1.3 Additional Outflows Total amount of all additional outflows, shall be reported in the following subcategories as follows: 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 Article 423(1) of REGULATION (EU) NO 575/2013 Total 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 1.3.2 corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institution Article 423(2) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to additional collateral needs that would result from a material deterioration in the credit quality of the institution. 1160 1.3.3 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 REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to additional collateral needs that would result from the impact of an adverse market scenario. 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 REGULATION (EU) NO 575/2013 Total 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 1.3.5 corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterparty Article 423(5)(a) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to the excess collateral the institution holds that can be contractually called at any time by the counterparty 1190 1.3.6 corresponding to collateral that is due to be returned to a counterparty Article 423(5)(b) of REGULATION (EU) NO 575/2013 Total 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 575/2013 Total 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 1.3.8 deposits received as collateral Article 423(6) of REGULATION (EU) NO 575/2013 Total amount of outflows corresponding to deposits received as collateral 1220-1370 1.4 Outflows from credit and liquidity facilities Total 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 1.4.1 maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities for retail clients Article 424(2) REGULATION (EU) NO 575/2013 Total 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 1.4.2 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 REGULATION (EU) NO 575/2013 Total 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 facilities Total amount of 1.4.2 that constitute undrawn committed credit facilities 1240 1.4.2.2 – undrawn committed liquidity facilities Total amount of 1.4.2 that constitute 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 REGULATION (EU) NO 575/2013 Total 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 1.4.4 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 REGULATION (EU) NO 575/2013 Total 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 1.4.4.1 granted to SSPEs other than those in 1.4.3 Article 424(5) point (a) of REGULATION (EU) NO 575/2013 Total amount of 1.4.4 that relates to items granted to SSPEs other than those in 1.4.3 1270 1.4.4.2 arrangements under which the institution is required to buy or swap assets from an SSPE Article 424.5 point (b) of REGULATION (EU) NO 575/2013 Total 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 1.4.4.3 extended to credit institutions Article 424.5 point (c) of REGULATION (EU) NO 575/2013 Total amount of 1.4.4 that relates to items extended to credit institutions 1280 1.4.4.3.1 undrawn committed credit facilities Total amount of 1.4.4.3 that relate to undrawn committed credit facilities 1290 1.4.4.3.2 undrawn committed liquidity facilities Total amount of 1.4.4.3 that relate to undrawn committed liquidity facilities 1300-1310 1.4.4.4 extended to financial institutions and investment firms Article 424.5 point (d) of REGULATION (EU) NO 575/2013 Total amount of 1.4.4 that relates to items extended to financial institutions and investment firms excluding credit institutions 1300 1.4.4.4.1 undrawn committed credit facilities Total amount of 1.4.4.4 that relate to undrawn committed credit facilities 1310 1.4.4.4.2 undrawn committed liquidity facilities Total amount of 1.4.4.4 that relate to undrawn committed liquidity facilities 1320 1.4.4.5 extended to other clients Total amount of 1.4.4 that relates to items extended to other clients 1330 1.4.4.6 extended to intra-group entities Total amount of 1.4.4 that relates to items extended to a intra-group REGULATION (EU) NO 575/2013 entities 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 REGULATION (EU) NO 575/2013 Total 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 1.4.6 maximum amount that can be drawn from all other contingent liabilities Total 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 1.4.6.1 extended to intra-group entities Amount of 1.4.6 that is extended to an intra-group REGULATION (EU) NO 575/2013 entities 1370 1.4.7 outflows according to Article 105 CRD Total 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 1. 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. 2. 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,. 3. 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. 4. 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 INFLOWS Article 425 REGULATION (EU) NO 575/2013 Total 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 1 Inflows Article 425 of REGULATION (EU) NO 575/2013 Column 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 1.1 monies due from customers that are not financial customers Article 425(2)(a) of REGULATION (EU) NO 575/2013 Monies 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 1.1.1 monies due from retail customers Articles 425(2)(a) of REGULATION (EU) NO 575/2013 Monies 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 1.1.2 monies due from non-financial corporate customers Article 425(2)(a) of REGULATION (EU) NO 575/2013 Monies 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 575/2013 Of 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 1.1.3 monies due from central banks Article 425(2)(a) of REGULATION (EU) NO 575/2013 Monies 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 575/2013 Of 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 1.1.4 monies due from other customers that are not financial customers Article 425(2)(a) of REGULATION (EU) NO 575/2013 Total 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 1.2 monies due from financial customers Article 425(2) REGULATION (EU) NO 575/2013 Total 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 575/2013 Of 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 575/2013 Of 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 575/2013 Monies 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 575/2013 Assets with an undefined contractual end date according to Article 425(2)(c) 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) REGULATION (EU) NO 575/2013 Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets 120-930 1.6 Monies due from secured lending and capital market driven transactions as defined in Article 192 Article 425(2)(d) of REGULATION (EU) NO 575/2013 For 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 1.6.1 Other transferable assets representing claims on or guaranteed by Article 416.1(c) REGULATION (EU) NO 575/2013 Transactions 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 1.6.1.1 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 liquid assets Article 416(1)(c)(i) REGULATION (EU) NO 575/2013 120 1.6.1.1.1 representing claims Assets 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 1.6.1.1.2 guaranteed by Assets specified in 1.3.1 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(i) 140-150 1.6.1.2 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) REGULATION (EU) NO 575/2013 140 1.6.1.2.1 representing claims Assets 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 1.6.1.2.2 guaranteed by Assets 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 1.6.1.3.1 representing claims Assets 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 1.6.1.3.2 guaranteed by Assets specified in 1.3.3 of the liquid assets template guaranteed by the above counterparties, according to Article 416(1)(c)(iii) 180-190 1.6.1.4 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iv) REGULATION (EU) NO 575/2013 180 1.6.1.4.1 representing claims Assets 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 1.6.1.4.2 guaranteed by Assets 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 575/2013 Total 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 1.6.2.1 underlying assets in point (a) of article 416(1) 210 1.6.2.2 underlying assets in point (b) and (c) of article 416(1) 220 1.6.2.3 underlying assets in point (d) of article 416(1) 230 1.6.3 Assets issued by a credit institution which has been set up by a Member State central or regional government 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 240-260 1.6.4 non-financial corporate bonds Article 416(1)(b) or (d) REGULATION (EU) NO 575/2013 Non-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 1.6.4.1 credit quality step 1 250 1.6.4.2 credit quality step 2 260 1.6.4.3 credit 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 575/2013 Bonds 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 1.6.5.1 credit quality step 1 280 1.6.5.2 credit quality step 2 290 1.6.5.3 credit 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 575/2013 Those 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 1.6.6.1 credit quality step 1 310 1.6.6.2 credit quality step 2 320 1.6.6.3 credit quality step 3 330-350 1.6.7 Residential mortgage backed instruments of the instruments reported in lines 1.6.6 Article 416(2)(a)(i)REGULATION (EU) NO 575/2013 Those 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 1.6.7.1 credit quality step 1 340 1.6.7.2 credit quality step 2 350 1.6.7.3 credit quality step 3 360-380 1.6.8 bonds as defined in Article 52(4) of Directive 2009/65/EC other than those referred to in line 1.9 of the liquid assets template Article 416(2)(a)(ii) REGULATION (EU) NO 575/2013 Those 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 1.6.8.1 credit quality step 1 370 1.6.8.2 credit quality step 2 380 1.6.8.3 credit quality step 3 390-410 1.6.9 Other transferable assets that are of extremely high liquidity and credit quality Article 416.1(b) of REGULATION (EU) NO 575/2013 Those 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. 390 1.6.9.1 credit quality step 1 400 1.6.9.2 credit quality step 2 410 1.6.9.3 credit quality step 3 420-440 1.6.10 Other transferable assets that are of high liquidity and credit quality Article 416.1(d) of REGULATION (EU) NO 575/2013 Those 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 1.6.10.1 credit quality step 1 430 1.6.10.2 credit quality step 2 440 1.6.10.3 credit quality step 3 450-460 1.6.11 ASSETS 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 575/2013 Items shall only be reported in one of the below sub-categories, also in case both provisions are not met. 450 1.6.11.1 Assets not controlled by a liquidity management function Article 417(c) of REGULATION (EU) NO 575/2013 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 or via a simple repurchase agreements on an approved repurchase markets Article 417(b) of REGULATION (EU) NO 575/2013 470-660 1.6.12 Items subject to supplementary reporting of liquid assets 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. 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 1.6.12.1 Cash Annex III Point 1 REGULATION (EU) NO 575/2013 Total 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 1.6.12.2 Central bank exposures, to the extent that these exposures can be drawn down in times of stress Annex III, Point 2 REGULATION (EU) NO 575/2013 Total 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 1.6.12.3 transferable securities with a 0 % risk weight and not an obligation of an institution or any of its affiliated entities Annex III, Point 3 REGULATION (EU) NO 575/2013 Securities 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 1.6.12.3.1 representing claims on sovereigns Annex III, Point 3 REGULATION (EU) NO 575/2013 500 1.6.12.3.2 claims guaranteed by sovereigns Annex III, Point 3 REGULATION (EU) NO 575/2013 510 1.6.12.3.3 representing claims on or guaranteed by central banks Annex III, Point 3 REGULATION (EU) NO 575/2013 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, Point 3 REGULATION (EU) NO 575/2013 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 bank Annex III, Point 3 REGULATION (EU) NO 575/2013 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 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 country Annex III, Point 4 REGULATION (EU) NO 575/2013 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, Point 5 REGULATION (EU) NO 575/2013 Securities 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 1.6.12.5.1 representing claims on sovereigns Annex III, Point 5 REGULATION (EU) NO 575/2013 560 1.6.12.5.2 claims guaranteed by sovereigns Annex III, Point 5 REGULATION (EU) NO 575/2013 570 1.6.12.5.3 representing claims on or guaranteed by central banks Annex III, Point 5 REGULATION (EU) NO 575/2013 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, Point 5 REGULATION (EU) NO 575/2013 590 1.6.12.5.5 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 bank Annex III, Point 5 REGULATION (EU) NO 575/2013 600 1.6.12.6 transferable 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 575/2013 Annex III, Point 6 REGULATION (EU) NO 575/2013 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, Point 7 REGULATION (EU) NO 575/2013 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, Point 8 REGULATION (EU) NO 575/2013 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 collateralized by liquid assets and excluding emergency liquidity assistance Annex III, Point 9 REGULATION (EU) NO 575/2013 Total 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 1.6.12.11 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, Point 11 REGULATION (EU) NO 575/2013 660 1.6.12.12 gold listed on a recognised exchange, held on an allocated basis Annex 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 1.6.13.1 financial corporate bonds Article 416 (2) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 670 1.6.13.1.1 credit quality step 1 680 1.6.13.1.2 credit quality step 2 690 1.6.13.1.3 credit quality step 3 700-720 1.6.13.2 own issuances Article 416 (3)(b) of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 700 1.6.13.2.1 credit quality step 1 710 1.6.13.2.2 credit quality step 2 720 1.6.13.2.3 credit quality step 3 730-750 1.6.13.3 unsecured credit institution issuances Article 416 of REGULATION (EU) NO 575/2013 Those items shall be reported according to their credit quality as per Article 120(1) of REGULATION (EU) NO 575/2013 730 1.6.13.3.1 credit quality step 1 740 1.6.13.3.2 credit quality step 2 750 1.6.13.3 credit quality step 3 760-780 1.6.13.4 asset backed securities not already reported in 1.6.6 Article 416(4)(b) of REGULATION (EU) NO 575/2013 Those 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 1.6.13.4.1 credit quality step 1 770 1.6.13.4.2 credit quality step 2 780 1.6.13.4.3 credit quality step 3 790-810 1.6.13.5 residential mortgage backed securities not already reported in 1.6.7 Article 509(3) of REGULATION (EU) NO 575/2013 Those 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 1.6.13.5.1 credit quality step 1 800 1.6.13.5.2 credit quality step 2 810 1.6.13.5.3 credit quality step 3 820 1.6.13.6 equities listed on a recognised exchange and major index linked equity instruments, not self issued or issued by financial institutions Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 830 1.6.13.7 gold Articles 416(4)(a) and 509(3)(c) of REGULATION (EU) NO 575/2013 840 1.6.13.8 guaranteed bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 850 1.6.13.9 covered bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 860 1.6.13.10 corporate bonds not already reported above Article 509(3)(c) of REGULATION (EU) NO 575/2013 870 1.6.13.11 funds based on the assets reported in 1.6.13.6– 1.6.13.10 Article 509(3)(c) of REGULATION (EU) NO 575/2013 880-900 1.6.13.12 other categories of central bank eligible securities or loans Article 509(3)(b) of REGULATION (EU) NO 575/2013 880 1.6.13.12.1 local government bonds Article 509(3)(b) of REGULATION (EU) NO 575/2013 890 1.6.13.12.2 commercial paper Article 509(3)(b) of REGULATION (EU) NO 575/2013 900 1.6.13.12.3 credit claims Article 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 1.6.13.13.1 credit quality step 1 920 1.6.13.13.2 credit quality step 2 930 1.6.13.13.3 credit quality step 3 940-960 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 575/2013 Total 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 1.7.1 where all the conditions of Article 425(4) (a), (b) and (c) are met Article 425(4)(a),(b) and (c) REGULATION (EU) NO 575/2013 Total 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 575/2013 Total 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 575/2013 The net amount of receivables expected over the 30 day horizon from the contracts listed in Annex II. Amounts shall: — be net across all counterparties — be net of collateral to be received that qualifies as liquid assets under Art 416 — not 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 horizon Note 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 1.8 payments due on liquid assets not reflected in the market value of the asset Article 425(7) of REGULATION (EU) NO 575/2013 The 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 1.9 other inflows Total amount of all other inflows due not reported in items 1.1 to 1.8 990 2. Total inflows excluded due to cap Total 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 3 inflows exempted from the cap 1000 3.1 monies due from borrowers and bond investors related to mortgage lending Article 425(1) of REGULATION (EU) NO 575/2013 Mortgage 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 3.2 inflows from promotional loans that the institution has passed through Article 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 3.4 Inflows from intra-group entity approved by the competent authority Article 425(1) of REGULATION (EU) NO 575/2013 REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS) General remarks 1. 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 Swaps Article 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 1.0 Assets 010 1.1 cash and exposures to central banks Article 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 1.3 other transferable assets representing claims on or guaranteed by Article 416(1)(c) of REGULATION (EU) NO 575/2013 The following subcategories shall be reported: 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 REGULATION (EU) NO 575/2013 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 REGULATION (EU) NO 575/2013 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 REGULATION (EU) NO 575/2013 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 REGULATION (EU) NO 575/2013 REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING) 1. Items providing stable funding 1.1. General remarks 1. 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. 2. 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. 3. 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. 4. 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. 5. 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 1 ITEMS PROVIDING STABLE FUNDING Article 427 of REGULATION (EU) NO 575/2013 Total 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 1.1 Own funds Article 427(1)(a) of REGULATION (EU) NO 575/2013 The 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 1.1.1 Tier 1 capital instruments Article 427(1)(a)(i) of REGULATION (EU) NO 575/2013 Total amount of Tier 1 capital as specified in Article 25 of REGULATION (EU) NO 575/2013. 020 1.1.2 Tier 2 capital Article 427(1)(a)(ii) of REGULATION (EU) NO 575/2013 Total amount of Tier 2 capital as specified in Article 71 of REGULATION (EU) NO 575/2013. 030 1.1.3 Other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greater Article 427(1)(a)(iii) of REGULATION (EU) NO 575/2013 Other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greater. 040-260 1.2 Liabilities excluding own funds Article 427(1)(b) of REGULATION (EU) NO 575/2013 Total 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 1.2.1 Retail deposits Article 427(1)(b)(i-ii)) of REGULATION (EU) NO 575/2013 Total 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 575/2013 Total 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 575/2013 Total 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 1.2.2 liabilities from customers that are not financial customers Article 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 1.2.2.1 liabilities from secured lending and capital market driven transactions Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount of liabilities from secured lending and capital market driven transactions s defined in Article 192, from customers that are not financial customers 070 1.2.2.1.1 collateralised by extremely high liquidity and credit quality assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total 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 1.2.2.1.2 collateralised by high liquidity and credit quality assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total 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 1.2.2.1.3 collateralised by any other assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2. 100 1.2.2.2 liabilities from unsecured lending Article 427(1)(b)(vii) of REGULATION (EU) NO 575/2013 Total 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 575/2013 The total amount of liabilities that qualify for the treatment in Article 422 (3) and (4). 110 1.2.2.3.1 liabilities 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 country Article 427(1)(b)(iv) of REGULATION (EU) NO 575/2013 Of 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 575/2013 Of 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 575/2013 Of 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 1.2.3 liabilities from customers that are financial customers Article 427(1)(b)(viii) of REGULATION (EU) NO 575/2013 Total amount of liabilities from customers that are financial customers 140-160 1.2.3.1 liabilities from secured lending and capital market driven transactions Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount of liabilities from secured lending and capital market driven transactions as defined in Article 192, from customers that are financial customers 140 1.2.3.1.1 collateralised by extremely high liquidity and credit quality assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total 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 1.2.3.1.2 collateralised by highly liquidity and credit quality assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total 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 1.2.3.1.3 collateralised by any other assets Article 427(1)(b)(ix) of REGULATION (EU) NO 575/2013 Total amount collateralised by other assets not reported in 1.2.2.1.1 or 1.2.2.1.2. 170 1.2.3.2 liabilities from unsecured lending Article 427(1)(b)(viii) of REGULATION (EU) NO 575/2013 Total 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 575/2013 The total amount of liabilities that qualify for the treatment in Article 422(3) and (4). 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 427(1)(b)(iv) of REGULATION (EU) NO 575/2013 Of 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 575/2013 Of 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 575/2013 Of 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 575/2013 Total amount of liabilities resulting from securities issued qualifying for the treatment in Article 129 (covered bonds). 220 1.2.5 liabilities resulting from securities defined in Article 52(4) of Directive 2009/65/EC Article 427(1)(b)(x) of REGULATION (EU) NO 575/2013 Total amount of liabilities resulting from securities issued qualifying for the treatment defined in Article 52(4) of Directive 2009/65/EC (covered bonds). 230 1.2.6 other liabilities resulting from securities issued Article 427(1)(b)(xi) of REGULATION (EU) NO 575/2013 Total amount of liabilities resulting from securities issued, other than those reported in 1.1. 240 1.2.7 liabilities from derivatives payables contracts Total amount of liabilities from derivatives payables contracts. 250 1.2.8 any other liabilities Article 427(1)(b)(xii) of REGULATION (EU) NO 575/2013 Total amount of any other liabilities. 2. Items requiring stable funding 2.1. General remarks 1. 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. 2. 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. 3. 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. 4. 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 5. 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. 6. 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 1 ITEMS REQUIRING STABLE FUNDING Total 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 columns 3. 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 1.1 Assets that would qualify as liquid in accordance with Article 416 Article 428(1)(a) of REGULATION (EU) NO 575/2013 Total assets referred to in Article 416 shall be reported within the relevant sub-line(s) and column(s) 010 1.1.1 Cash Articles 416(1)(a) Total amount of cash including coins and banknotes/currency. 020 1.1.2 Exposures to central banks Articles 416(1)(a) Total amount of deposits held with central banks. 030 1.1.2.1 Of which: exposures that can be withdrawn in times of stress Article 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 1.1.3 transferable 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 assets Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013 Total amount of transferable assets referred to in Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013 040 1.1.3.1 representing claims 050 1.1.3.2 guaranteed by 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(1)(c)(ii) of REGULATION (EU) NO 575/2013 060 1.1.4.1 representing claims 070 1.1.4.2 guaranteed by 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(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 1.1.6 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013 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(1) Article 416(6) of REGULATION (EU) NO 575/2013 Total 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 1.1.8 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 REGULATION (EU) NO 575/2013, to the extent that this funding is not collateralized by liquid assets 232 1.1.8.1 deposits 233 1.1.8.2 contractually available 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 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 REGULATION (EU) NO 575/2013 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 351 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) REGULATION (EU) NO 575/2013 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 358 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) REGULATION (EU) NO 575/2013 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 365 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) REGULATION (EU) NO 575/2013 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 1.1.9 420 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 item 1.1, qualifying for credit step 1 under Article 122 Article 428(1)(b) (i)of REGULATION (EU) NO 575/2013 Total securities and money market instruments not already reported in item 1.1 Total market value of bonds as defined in Article 428(1)(b)(i) of REGULATION (EU) NO 575/2013 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 item 1.1, qualifying for credit step 2 under Article 122 Total market value of bonds as defined in Article 428(1)(b)(ii) of REGULATION (EU) NO 575/2013 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 580 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 Total 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 1.5 equity securities of non-financial entities listed on a major index in a recognised exchange Article 428(1)(c) of REGULATION (EU) NO 575/2013 Total equity securities of non-financial entities listed on a major index in a recognised exchange 660 1.5.1 amount unencumbered 670 1.5.2 amount encumbered for a period within three months 680 1.5.2 amount encumbered for a period between three and 6 months 690 1.5.3 amount encumbered for a period between 6 and 9 months 700 1.5. 3 amount encumbered for a period between 9 and 12 months 710 1.5.4 amount encumbered for a period greater than 12 months 720-770 1.6 other equity securities Article 428(1)(d) of REGULATION (EU) NO 575/2013 Total equity securities not reported in 1.3 720 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 REGULATION (EU) NO 575/2013 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 REGULATION (EU) NO 575/2013 Total holdings of precious metals other than gold [Note: examples include silver or platinum. Gold shall be reported in item 1.5 instead.] 840 1.8.1 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 900-1250 1.9 non-renewable loans and receivables Article 428(1)(g) of REGULATION (EU) NO 575/2013 Total 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 1.9.1 The borrowers of which are natural persons other than commercial sole proprietors and partnerships Article 428(1)(g)(i) of REGULATION (EU) NO 575/2013 Total 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 1.9.1.1 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 960 1.9.1.6 amount 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 575/2013 Total 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 1.9.2.1 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 (PSEs) Article 428(1)(g)(iii) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables where the borrowers are sovereigns, central banks and public sector entities (PSEs) 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, excluding financial customers Article 428(1)(g)(iv) of REGULATION (EU) NO 575/2013 Total 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 1.9.4.1 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)(v) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables where the borrowers are credit institutions. 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 or 1.9.3) other than credit institutions Article 428(1)(g)(v) of REGULATION (EU) NO 575/2013 Total non-renewable loans and receivables where the borrowers are financial customers. 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 1.7 that are considered real estate Article 428(1) (h) REGULATION (EU) NO 575/2013 1260 1.10.1 Collateralised by commercial real estate Article 428(1)(h)(i) REGULATION (EU) NO 575/2013 1270 1.10.2 Collateralised by residential real estate Article 428(1)(h)(ii) REGULATION (EU) NO 575/2013 1280 1.10.3 Match 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/EC Article 428(1)(h)(iii) REGULATION (EU) NO 575/2013 1290 1.11 derivatives receivables Article 428(1)(i) of REGULATION (EU) NO 575/2013 Total net derivatives receivables 1300 1.12 any other assets Article 428(1)(j) of REGULATION (EU) NO 575/2013 Any other assets, not already reported in 1.1.1-1.8 above Note: assets deducted from own funds shall be reported in item 1.10. 1310 1.13 assets deducted from own funds not requiring stable funding Article 428(1) of REGULATION (EU) NO 575/2013 All assets, deducted from own funds for the purpose of complying with REGULATION (EU) NO 575/2013 capital rules 1320 1.14 Undrawn committed Credit facilities Article 428(1)(k) of REGULATION (EU) NO 575/2013 Credit facilities as referred to in Article 428(1)(k) of REGULATION (EU) NO 575/2013 ▼M9 ANNEX XIV Single Data Point Model All data items set out in the Annexes to this Regulation 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: (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. ANNEX XV Validation Rules The data items set out in the Annexes to this Regulation shall be subject to validation rules ensuring data quality and consistency. The validation rules shall meet the following criteria: (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. ▼M10 ANNEX XVI REPORTING TEMPLATES ON ASSET ENCUMBRANCE ASSET ENCUMBRANCE TEMPLATES Template number Template code Name of the template /group of templates Short name PART A - ENCUMBRANCE OVERVIEW 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 PART B - MATURITY DATA 33 F 33.00 MATURITY DATA AE-MAT PART C - CONTINGENT ENCUMBRANCE 34 F 34.00 CONTINGENT ENCUMBRANCE AE-CONT PART D - COVERED BONDS 35 F 35.00 COVERED BONDS ISSUANCE AE-CB PART E - ADVANCED DATA 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 >1day <=1wk >1wk <=2wks >2wks <=1mth >1mth <=3mths >3mths <=6mths >6mths <=1yr >1yr <=2yrs >2yrs <=3yrs 3yrs <=5yrs 5yrs <=10yrs >10yrs 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-axis Cover 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 - ADVANCE 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 ▼M3 ANNEX XVII REPORTING ON ASSET ENCUMBRANCE Table of Contents GENERAL INSTRUCTIONS 1. STRUCTURE AND CONVENTIONS 1.1. STRUCTURE 1.2. ACCOUNTING STANDARD 1.3. NUMBERING CONVENTION 1.4. SIGN CONVENTION 1.5. LEVEL OF APPLICATION 1.6. PROPORTIONALITY 1.7. DEFINITION OF ENCUMBRANCE TEMPLATE-RELATED INSTRUCTIONS 2. PART A: ENCUMBRANCE OVERVIEW 2.1. TEMPLATE: AE-ASS. ASSETS OF THE REPORTING INSTITUTION 2.1.1. GENERAL REMARKS 2.1.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 2.1.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 2.2. TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION 2.2.1. GENERAL REMARKS 2.2.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 2.2.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 2.3. TEMPLATE AE-NPL. OWN COVERED BONDS AND ABSS ISSUED AND NOT YET PLEDGED 2.3.1. GENERAL REMARKS 2.3.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 2.3.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 2.4. TEMPLATE AE-SOU. SOURCES OF ENCUMBRANCE 2.4.1. GENERAL REMARKS 2.4.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 2.4.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 3. PART B: MATURITY DATA 3.1. GENERAL REMARKS 3.2. TEMPLATE: AE-MAT. MATURITY DATA 3.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS 3.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 4. PART C: CONTINGENT ENCUMBRANCE 4.1. GENERAL REMARKS 4.1.1. SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS 4.1.2. SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES 4.2. TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE 4.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS 4.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 5. PART D: COVERED BONDS 5.1. GENERAL REMARKS 5.2. TEMPLATE: AE-CB. COVERED BONDS ISSUANCE 5.2.1. INSTRUCTIONS CONCERNING Z-AXIS 5.2.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS 5.2.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 6. PART E: ADVANCED DATA 6.1. GENERAL REMARKS 6.2. TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION 6.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS 6.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 6.3. TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION 6.3.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS 6.3.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS GENERAL INSTRUCTIONS 1. STRUCTURE AND CONVENTIONS 1.1. Structure 1. 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-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-SOU. Sources of encumbrance (b) Part B: Maturity data: — AE-MAT template. Maturity data (c) Part C: Contingent encumbrance — AE-CONT template. Contingent encumbrance (d) Part D: Covered bonds — 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-2 template. Advanced template for collateral received by the reporting institution 2. For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting. 1.2. Accounting standard 3. 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. 4. 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 5. 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. 6. 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 7. 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 8. 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 9. 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}. — 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) 10. 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} 1.7. Definition of encumbrance 11. 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; — 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); — 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; — 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’); — 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 12. 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. 13. 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 14. 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 A collateralised deposit is reported as follows: (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}. (b) Repo/matching repos A repurchase agreement (hereinafter ‘repo’) is reported as follows: (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}. (c) Central bank funding 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. (d) Securities lending For securities lending with cash collateral the rules for repos/matching repos apply. Securities lending without cash collateral is reported as follows: (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}. (e) Derivatives (liabilities) Collateralised derivatives with a negative fair value are reported as follows: (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}. (f) Covered bonds 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: (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. 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. 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} (g) Securitisations 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. 2.1.2. Instructions concerning specific rows Rows Legal references and instructions 010 Assets of the reporting institution IAS 1.9 (a), Implementation Guidance (IG) 6 Total assets of the reporting institution registered in its balance sheet. 020 Loans on demand IAS 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 instruments Equity instruments held by the reporting institution as defined in IAS 32.1. 040 Debt securities Annex 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 bonds Debt 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: securitisations Debt securities held by the reporting institution that are securitisations as defined in Article 4(61) of CRR. 070 of which: issued by general governments Debt securities held by the reporting institution which are issued by general governments. 080 of which: issued by financial corporations Debt 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 corporations Debt 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 demand Loans 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 loans Loans and advances other than loans on demand that are mortgage loans according to Annex V, part 2, paragraph 41(h). 120 Other assets Other 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 assets Carrying 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 group Carrying 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 eligible Carrying 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 assets IFRS 13 and Article 8 of Directive 2013/34/EU of the European Parliament and of the Council (1) 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 eligible Fair 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 assets Carrying 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 group Carrying 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 eligible Carrying 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 assets IFRS 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 eligible Fair 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. (1) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19). 2.2. Template: AE-COL. Collateral received by the reporting institution 2.2.1. General remarks 15. 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’. 16. 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. 17. 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 institution All classes of collateral received by the reporting institution. 140 Loans on demand Collateral 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 instruments Collateral received by the reporting institution that comprises equity instruments. (See legal references and instructions regarding row 030 of the AE-ASS template.) 160 Debt securities Collateral 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 bonds Collateral 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: securitisations Collateral 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 governments Collateral 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 corporations Collateral 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 corporations Collateral 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 demand Collateral 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 received Collateral 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 ABSs Own 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 ISSUED All 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 issued Fair 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 group Fair 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 eligible Fair 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 encumbrance Fair 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 group Fair 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 eligible Fair 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 encumbrance Nominal 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 18. 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 pledged Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered. 020 Retained covered bonds issued Own covered bonds issued that are retained by the reporting institution and not encumbered. 030 Retained securitisations issued Own securitisations issued that are retained by the reporting institution and not encumbered. 040 Senior Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. See Article 4(67) of CRR. 050 Mezzanine Mezzanine 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 loss First 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 assets Carrying 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 encumbrance Fair value of the own covered bonds and own securitisations retained that are non-encumbered but available for encumbrance. 030 Of which: central bank eligible Fair 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 encumbrance Nominal 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 19. 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. 20. 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 liabilities Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as these liabilities entail asset encumbrance for that institution. 020 Derivatives Carrying 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-counter Carrying 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 Deposits Carrying amount of the collateralised deposits of the reporting institution insofar as these deposits entail asset encumbrance for that institution. 050 Repurchase agreements Carrying 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 banks Carrying 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 agreements Carrying 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 banks Carrying 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 issued Carrying 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 issued Carrying 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 issued Carrying amount of the securitisations issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution. 120 Other sources of encumbrance Amount 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 received Nominal 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 received Nominal 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 collateral Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as these transactions entail asset encumbrance for that institution. 160 Other Amount 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 ENCUMBRANCE Amount 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 lent 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. 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 group 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 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 encumbered Amount 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-used Fair 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 encumbered Fair 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 21. 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 assets For 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 maturity On demand, without a specific maturity date 020 Overnight Due date earlier or equal to 1 day 030 > 1 day<=1wk Due date later than 1 day and earlier than or equal to 1 week 040 > 1 wk<=2wks Due date later than 1 week and earlier than or equal to 2 weeks 050 > 2wks <=1mth Due date later than 2 weeks and earlier than or equal to 1 month 060 > 1mth <=3mths Due date later than 1 month and earlier than or equal to 3 months 070 > 3mths <=6mths Due date later than 3 months and earlier than or equal to 6 months 080 > 6mths<=1yr Due date later than 6 months and earlier than or equal to 1 year 090 > 1yr <=2yrs Due date later than 1 year and earlier than or equal to 2 years 100 > 2yrs <=3yrs Due date later than 2 years and earlier than or equal to 3 years 110 > 3yrs <=5yrs Due date later than 3 years and earlier than or equal to 5 years 120 > 5yrs <=10yrs Due date later than 5 years and earlier than or equal to 10 years 130 > 10yrs Due date later than 10 years 4. PART C: CONTINGENT ENCUMBRANCE 4.1. General remarks 22. This template requires institutions to calculate the level of asset encumbrance in a number of stressed scenarios. 23. 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. 24. 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. 25. 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 26. 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. 27. 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 28. 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 29. 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. 30. 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 31. 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 lent Same 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 assets Additional 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 1 Additional 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 2 Additional 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 32. 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. 33. 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. 34. 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 amount Nominal 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 value Present 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 value The 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 amount Carrying 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 pool If 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 liabilities Covered 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 date Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges. 030 + 6 months The 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 years As 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 value The 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 bond Information on external credit ratings on the respective covered bond, as existing on the reporting date, is to be provided. 090 Credit rating agency 1 If 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 1 The 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 3 As 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 3 As 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 pool The 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 date Amounts 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 months The 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 years As 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 value The 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 requirements Amounts 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 regime Amounts 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 bond Amounts 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 1 Amounts 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 3 The 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 35. 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 derivatives Carrying 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 derivatives Carrying 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 agreements Carrying 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 agreements Carrying 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 issued See instructions in row 100 of the AE-SOU template. 130-140 Securitisations issued See instructions in row 110 of the AE-SOU template. 150-160 Debt securities issued other than covered bonds and ABSs Carrying 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 encumbrance See instructions in row 120 of the AE-SOU template. 190 Total encumbered assets For 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 eligible For 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 assets For 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 eligible For 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 assets For 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 demand See instructions for row 020 of the AE-ASS template. 020 Equity instruments See instructions for row 030 of the AE-ASS template. 030 Total See instructions for row 040 of the AE-ASS template. 040 of which: covered bonds See description instructions for row 050 of the AE-ASS template. 050 of which: issued by other entities of the group Covered 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: securitisations See instructions for row 060 of the AE-ASS template. 070 of which: issued by other entities of the group Securitisations 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 governments See instructions for row 070 of the AE-ASS template. 090 of which: issued by financial corporations See instructions for row 080 of the AE-ASS template. 100 of which: issued by non-financial corporations See instructions for row 090 of the AE-ASS template. 110 Central banks and general governments Loans and advances other than loans on demand to a central bank or a general government. 120 Financial corporations Loans and advances other than loans on demand to financial corporations. 130 Non-financial corporations Loans and advances other than loans on demand to non-financial corporations. 140 of which: mortgages loans Loans and advances other than loans on demand guaranteed with a mortgage given to non-financial corporations. 150 Households Loans and advances other than loans on demand given to households. 160 of which: mortgage loans Loans and advances other than loans on demand guaranteed with a mortgage given to households. 170 Other assets See instruction for row 120 of the AE-ASS template. 180 Total See 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 36. 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 demand See instructions for row 140 of the AE-COL template. 020 Equity instruments See instructions for row 150 of the AE-COL template. 030 Total See instructions for row 160 of the AE-COL template. 040 of which: covered bonds See instructions in row 170 of the AE-COL template. 050 of which: issued by other entities of the group Collateral received by the reporting institution that are covered bonds issued by any entity within the prudential scope of consolidation. 060 of which: securitisations See instructions for row 180 of the AE-COL template. 070 of which: issued by other entities of the group Collateral received by the reporting institution that are securitisations issued by any entity within the prudential scope of consolidation. 080 of which: issued by general governments See instructions for row 190 of the AE-COL template. 090 of which: issued by financial corporations See instructions for row 200 of the AE-COL template. 100 of which: issued by non-financial corporations See 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 corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations. 130 Non-financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations. 140 of which: mortgages loans Collateral 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 Households Collateral received by the reporting institution that are loans and advances other than loans on demand given to households. 160 of which: mortgage loans Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a mortgage given to households. 170 Other assets See instructions for row 230 of the AE-COL template. 180 Own debt securities issued other than own covered bonds or ABSs See instructions for row 240 of the AE-COL template. 190 Total See instructions for rows 130 and 140 of the AE-COL template. ▼M9 ANNEX XVIII AMM TEMPLATES Template number Template code Name of the template/group of templates ADDITIONAL MONITORING TOOLS 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 COUNTERPARTY Total and significant currencies Concentration of funding by counterparty Counterparty Name LEI Code Counterparty Sector Residence of Counterparty Product Type Amount Received Weighted average original 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 FUNDING C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPE Total and significant currencies Concentration of funding by product type Row ID Product Name Carrying amount received Amount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Amount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Weighted average original maturity Weighted average residual maturity 010 020 030 040 050 PRODUCTS GREATER THAN 1 % OF TOTAL LIABILITIES 010 1 RETAIL FUNDING 020 1.1 of which sight deposits 031 1.2 of which term deposits not withdrawable within the following 30 days 041 1.3 of which term deposits withdrawable within the following 30 days 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 loans and deposits from financial customers 130 2.1.2 of which loans and deposits from non financial customers 140 2.1.3 of which loans and deposits from intra-group entities 150 2.2 Secured wholesale funding 160 2.2.1 of which SFTs 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 loans and deposits from intra-group entities C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDING Total 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 funding 030 1.2 of which: Unsecured wholesale funding 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 FUNDING Total and significant currencies Roll-over of funding Overnight > 1 day ≤ 7 days > 7 days ≤ 14 days > 14 days ≤ 1 month > 1 Month ≤ 3 Months > 3 Months ≤ 6 Months > 6 Months Total net cashflows Average Term (days) Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Funds Term Roll-over Funds Term New Funds Term Row ID Day Item 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 010 1.1 1 Total funding 020 1.1.1 Retail funding 030 1.1.2 Unsecured wholesale funding 040 1.1.3 Secured funding 050 1.2 2 Total funding 060 1.2.1 Retail funding 070 1.2.2 Unsecured wholesale funding 080 1.2.3 Secured funding 090 1.3 3 Total funding 100 1.3.1 Retail funding 110 1.3.2 Unsecured wholesale funding 120 1.3.3 Secured funding 130 1.4 4 Total funding 140 1.4.1 Retail funding 150 1.4.2 Unsecured wholesale funding 160 1.4.3 Secured funding 170 1.5 5 Total funding 180 1.5.1 Retail funding 190 1.5.2 Unsecured wholesale funding 200 1.5.3 Secured funding 210 1.6 6 Total funding 220 1.6.1 Retail funding 230 1.6.2 Unsecured wholesale funding 240 1.6.3 Secured funding 250 1.7 7 Total funding 260 1.7.1 Retail funding 270 1.7.2 Unsecured wholesale funding 280 1.7.3 Secured funding 290 1.8 8 Total funding 300 1.8.1 Retail funding 310 1.8.2 Unsecured wholesale funding 320 1.8.3 Secured funding 330 1.9 9 Total funding 340 1.9.1 Retail funding 350 1.9.2 Unsecured wholesale funding 360 1.9.3 Secured funding 370 1.10 10 Total funding 380 1.10.1 Retail funding 390 1.10.2 Unsecured wholesale funding 400 1.10.3 Secured funding 410 1.11 11 Total funding 420 1.11.1 Retail funding 430 1.11.2 Unsecured wholesale funding 440 1.11.3 Secured funding 450 1.12 12 Total funding 460 1.12.1 Retail funding 470 1.12.2 Unsecured wholesale funding 480 1.12.3 Secured funding 490 1.13 13 Total funding 500 1.13.1 Retail funding 510 1.13.2 Unsecured wholesale funding 520 1.13.3 Secured funding 530 1.14 14 Total funding 540 1.14.1 Retail funding 550 1.14.2 Unsecured wholesale funding 560 1.14.3 Secured funding 570 1.15 15 Total funding 580 1.15.1 Retail funding 590 1.15.2 Unsecured wholesale funding 600 1.15.3 Secured funding 610 1.16 16 Total funding 620 1.16.1 Retail funding 630 1.16.2 Unsecured wholesale funding 640 1.16.3 Secured funding 650 1.17 17 Total funding 660 1.17.1 Retail funding 670 1.17.2 Unsecured wholesale funding 680 1.17.3 Secured funding 690 1.18 18 Total funding 700 1.18.1 Retail funding 710 1.18.2 Unsecured wholesale funding 720 1.18.3 Secured funding 730 1.19 19 Total funding 740 1.19.1 Retail funding 750 1.19.2 Unsecured wholesale funding 760 1.19.3 Secured funding 770 1.20 20 Total funding 780 1.20.1 Retail funding 790 1.20.2 Unsecured wholesale funding 800 1.20.3 Secured funding 810 1.21 21 Total funding 820 1.21.1 Retail funding 830 1.21.2 Unsecured wholesale funding 840 1.21.3 Secured funding 850 1.22 22 Total funding 860 1.22.1 Retail funding 870 1.22.2 Unsecured wholesale funding 880 1.22.3 Secured funding 890 1.23 23 Total funding 900 1.23.1 Retail funding 910 1.23.2 Unsecured wholesale funding 920 1.23.3 Secured funding 930 1.24 24 Total funding 940 1.24.1 Retail funding 950 1.24.2 Unsecured wholesale funding 960 1.24.3 Secured funding 970 1.25 25 Total funding 980 1.25.1 Retail funding 990 1.25.2 Unsecured wholesale funding 1000 1.25.3 Secured funding 1010 1.26 26 Total funding 1020 1.26.1 Retail funding 1030 1.26.2 Unsecured wholesale funding 1040 1.26.3 Secured funding 1050 1.27 27 Total funding 1060 1.27.1 Retail funding 1070 1.27.2 Unsecured wholesale funding 1080 1.27.3 Secured funding 1090 1.28 28 Total funding 1100 1.28.1 Retail funding 1110 1.28.2 Unsecured wholesale funding 1120 1.28.3 Secured funding 1130 1.29 29 Total funding 1140 1.29.1 Retail funding 1150 1.29.2 Unsecured wholesale funding 1160 1.29.3 Secured funding 1170 1.30 30 Total funding 1180 1.30.1 Retail funding 1190 1.30.2 Unsecured wholesale funding 1200 1.30.3 Secured funding 1210 1,31 31 Total funding 1220 1.31.1 Retail funding 1230 1.31.2 Unsecured wholesale funding 1240 1.31.3 Secured funding ▼M10 ANNEX XIX INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII 1. Additional Monitoring Tools 1.1. General 1. In order to monitor an institution’s liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding, institutions shall complete the template in Annex XVIII in accordance with the instructions in this Annex. 2. Total funding shall be all financial liabilities other than derivatives and short positions; 3. Funding with open maturity including on sight deposits shall be considered as maturing overnight. 4. Original maturity shall represent the time between the date of origination and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII. This means that in case of optionality such as in the case of paragraph 12 of Annex XXIII, the original maturity of a funding item can be shorter than the time elapsed since its origination. 5. Residual maturity shall represent the time between the end of the reporting period and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII. 6. For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight shall be considered to have a one day maturity. 7. For the purposes of calculating the original and residual maturity, where there is funding with a notice period or a cancellation or early withdrawal clause for the institution’s counterparty, a withdrawal at the first possible date shall be assumed. 8. For perpetual liabilities, except where subject to optionality as referred to in paragraph 12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed. 9. For calculating the threshold according to reporting templates C 67.00 and C 68.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies. 1.2. Concentration of funding by counterparty (C 67.00) 1. In order to collect information about the reporting institutions’ concentration of funding by counterparty in template C 67.00, institutions shall apply the instructions contained in this section. 2. Institutions shall report the top ten largest counterparties or a group of connected clients according to Article 4(39) of Regulation (EU) No 575/2013, where the funding obtained from each counterparty or group of connected clients exceeds a threshold of 1 % of total liabilities in the sublines of section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients which is above the 1 % threshold as at the reporting date; item 1.02 shall be the second largest above the 1 % threshold; and similarly with the remaining items. 3. Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the highest amount of funding. 4. Institutions shall report the total of all other remaining funding in section 2. 5. The totals of section 1 and section 2 shall equal an institution’s total funding as per its balance sheet reported under the financial reporting framework (FINREP). 6. For each counterparty, institutions shall report all of the columns 010 to 080. 7. 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. 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 by virtue of its role as the custodian bank, it shall consider that amount for reporting the concentration of counterparties. Where there is no information available on the holder of the securities, the corresponding amount does not have to be reported. 8. Instructions concerning specific columns: Column Legal references and instructions 010 Counterparty Name The 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 the order of the size of funding obtained. The name of the counterparty, whether a legal entity or a natural person, shall be reported. Where the counterparty is a legal entity, the counterparty name recorded shall be the full name of the legal entity from which the funding is derived including any references to the company type in accordance with the national company law. 020 LEI Code The legal entity identifier code of the counterparty. 030 Counterparty Sector One sector shall be allocated to each 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 Counterparty 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 country shall be reported. 050 Product Type Counterparties 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) SFT (funding obtained from repurchase agreements as defined in Article 4(1) (82) of Regulation (EU) No 575/2013) CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013or 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) OSWF (other secured wholesale funding) OFP (other funding products, e.g. retail funding) 060 Amount Received The total amount of funding received from counterparties reported in column 010 shall be recorded in column 060 and institutions shall report carrying amounts therein. 070 Weighted average original maturity For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average original maturity (in days) for that funding shall be recorded in column 070. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty. 080 Weighted average residual maturity For 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. The weighted average residual maturity shall be calculated as the average maturity, in remaining days, of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty. 1.3. Concentration of funding by product type (C 68.00) 1. This template seeks to collect information about the reporting institutions’ concentration of funding by product type, broken down into the funding types as specified in the following instructions regarding rows: Row Legal references and instructions 010 1. Retail funding Retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 020 1.1. of which sight deposits; Of the retail funding of row 010 those that are sight deposits. 031 1.2. of which term deposits not withdrawable within the following 30 days; Of the retail funding of row 010 those that are term deposits not withdrawable within the following 30 days 041 1.3. of which term deposits withdrawable within the following 30 days; Of the retail funding of row 010 those that are term deposits withdrawable within the following 30 days 070 1.4. of which savings accounts with either of the following characteristics: Of the retail funding of row 010 those that are savings accounts with either of the following characteristics: — with a notice period for withdrawal greater than 30 days — without a notice period for withdrawal which is greater than 30 days. This row shall not be reported. 080 1.4.1. with a notice period for withdrawal greater than 30 days; Of the retail funding of row 010 those that are savings accounts with a notice period for withdrawal greater than 30 days 090 1.4.2. without a notice period for withdrawal which is greater than 30 days Of the retail funding of row 010 those that are savings accounts without a notice period for withdrawal which is greater than 30 days. 100 2. Wholesale funding shall be considered to consist of any of the following: All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61. This row shall not be reported. 110 2.1. unsecured wholesale funding; All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is unsecured. 120 2.1.1. of which loans and deposits from financial customers; Of the funding in row 110, those that consist of loans and deposits from financial customers. Funding from central banks shall be excluded from this row. 130 2.1.2. of which loans and deposits from non-financial customers; Of the funding in row 110, those that consist of loans and deposits from non-financial customers. Funding from central banks shall be excluded from this row. 140 2.1.3. of which loans and deposits from intra-group entities; Of the funding in row 110, those that consist of loans and deposits from intra-group entities. Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis. 150 2.2. secured wholesale funding; All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is secured. 160 2.2.1. of which Securities Financing Transactions; Of the funding in row 150, that which is funding obtained from repurchase agreements as defined in Article 4(1) (82) of Regulation (EU) No 575/2013. 170 2.2.2. of which covered bond issuances; Of the funding in row 150, that which is funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013or Article 52(4) of Directive 2009/65/EC 180 2.2.3. of which asset backed security issuances; Of the funding in row 150, that which is funding obtained from asset backed security issuance including asset backed commercial paper 190 2.2.4. of which loans and deposits from intra-group entities. Of the funding in row 150, that which is funding obtained from intra-group entities Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis. 2. For the purpose of completing this template institutions shall report the total amount of funding received from each product type, which exceeds a threshold of 1 % of total liabilities. 3. For each product type, institutions shall report all of the columns 010 to 050. 4. The 1 % of total liabilities threshold shall be used to determine those product types from which funding has been obtained in accordance with the following: (a) the 1 % of total liabilities threshold shall be applied for the product types referred to in all of the following rows: 1.1 ‘Sight deposit’; 1.2 ‘Term deposits not withdrawable within the following 30 days’; 1.3 ‘Term deposits within the following 30 days’; 1.4 ‘Saving accounts’; 2.1 ‘Unsecured wholesale funding’; 2.2 ‘Secured wholesale funding’; (b) with regard to the calculation of the 1 % of total liabilities threshold for row 1.4 ‘Saving accounts’ the threshold shall apply on the sum of 1.4.1 and 1.4.2; (c) for rows 1. ‘Retail Funding’ and 2. ‘Wholesale Funding’ the 1 % of total liabilities threshold applies on aggregated level only. 5. The figures reported in rows 1. ‘Retail’, 2.1 ‘Unsecured wholesale funding’, 2.2 ‘Secured wholesale funding’ can include broader product types than the underlying ‘of which’ items. 6. Instructions concerning specific columns: Column Legal references and instructions 010 Carrying amount received Carrying 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 020 Amount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Of 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 2014/49/EU 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 2014/49/EU or an equivalent deposit guarantee scheme in a third country Of 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 2014/49/EU 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 original maturity For the amount of funding received reported in column 010, from the product categories listed in the ‘Product name’ column, a weighted average original maturity (in days) for that funding shall be recorded in column 040. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type. 050 Weighted average residual maturity For 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. The weighted average residual maturity shall be calculated as the average maturity (in days) left on the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type. 1.4. Prices for Various Lengths of Funding (C 69.00) 1. Institutions shall report the information in template C 69.00, about the transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period, in accordance with the following original maturities: (a) overnight in columns 010 and 020; (b) greater than overnight and less than or equal to 1 week (columns 030 and 040) (c) greater than 1 week and less than or equal to 1 month in columns 050 and 060; (d) greater than 1 month and less than or equal to 3 months in columns 070 and 080; (e) greater than 3 months and less than or equal to 6 months in columns 090 and 100; (f) greater than 6 months and less than or equal to 1 year in columns 110 and 120; (g) greater than 1 year and less than or equal to 2 years in columns 130 and 140; (h) greater than 2 years and less than or equal to 5 years in columns 150 and 160; (i) greater than 5 years and less than or equal to 10 years in columns 170 and 180. 2. For the purpose of determining the maturity of the 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). 3. The spread reported in the left hand column of each time bucket shall be one of the following: (a) the spread payable by the institution 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; (b) the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, were they to be swapped to the relevant benchmark 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. Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical experience, the institution may determine the original maturity with or without taking into account optionality, as appropriate. 4. Spreads shall be reported in basis points with a negative sign in case the new funding is cheaper than under the relevant benchmark rate. They shall be calculated on a weighted average basis. 5. For the purposes of calculating the average spread payable across multiple issuances/deposits/loans, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but they shall include any premium or discount and fees payable or receivable, taking as a basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread shall be the liability rate minus the swap rate. 6. The 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. 7. In the column ‘volume’ institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket according to original maturity. 8. As for all items, also for off-balance sheet commitments, institutions shall only report the related amounts reflected in the balance sheet. An off-balance sheet commitment provided to the institution shall only be reported in C69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. Where the institution has already drawn on the facility at the end of the previous reporting period, and where the institution subsequently increases the usage of the facility, only the additional amount drawn shall be reported. 9. Deposits placed by retail customers shall consist of the deposits as defined by Article 3(8) Delegated Regulation (EC) No 2015/61. 10. For funding that has rolled-over during the reporting period that is still outstanding at the end of the reporting period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the purposes of C69.00, funding that rolled-over and is still there at the end of the reporting period shall be considered to represent new funding. 11. By way of deviation from the rest of Section 1.4, the volume and spread of sight deposits shall only be reported where the depositor did not have a sight deposit in the preceding reporting period or where there is an increase in the deposit amount compared to the previous reference date, in which case the increment shall be treated as new funding. The spread shall be that of the end of the period. 12. Where there is nothing to report, cells relating to spreads shall be left empty. 13. Instructions concerning specific rows: Row Legal references and instructions 010 1 Total Funding Total volume and weighted average spread of all funding shall be obtained for all of the following lengths of time in accordance as follows: (a) overnight in columns 010 and 020; (b) greater than overnight and less than or equal to 1 week in columns 030 and 040; (c) greater than 1 week and less than or equal to 1 month in columns 050 and 060; (d) greater than 1 month and less than or equal to 3 months in columns 070 and 080; (e) greater than 3 months and less than or equal to 6 months in columns 090 and 100; (f) greater than 6 months and less than or equal to 1 year in columns 110 and 120; (g) greater than 1 year and less than or equal to 2 years in columns 130 and 140; (h) greater than 2 years and less than or equal to 5 years in columns 150 and 160; (i) greater than 5 years and less than or equal to 10 years in columns 170 and 180. 020 1.1 of which: Retail funding Of the total funding reported in item 1, the total volume and weighted average spread of retail funding obtained. 030 1.2 of which: Unsecured wholesale funding Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale funding obtained. 040 1.3 of which: Secured funding Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained. 050 1.4 of which: Senior unsecured securities Of the total funding reported in item 1, the total volume and weighted average spread of senior unsecured securities obtained. 060 1.5 of which: Covered bonds Of 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 1.6 of which: Asset backed securities including ABCP Of 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) 1. 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 the month preceding the reporting date. 2. Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets according to the original maturity: (a) overnight in columns 010 to 040); (b) between 1 and 7 days in columns 050 to 080); (c) between 7 and 14 days in columns 090 to 120); (d) between 14 and 1 month in columns 130 to 160); (e) between 1 and 3 months in columns 170 to 200); (f) between 3 and 6 months in columns 210 to 240); (g) in more than 6 months in columns 250 to 280). 3. For each time bucket described in paragraph 2, 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 between new funds on the one hand and roll-over minus maturing funds on the other shall be reported in the right-hand column. 4. Total net cash flows shall be reported in column 290 and shall equal the sum of all ‘Net’ columns numbered 040, 080, 120, 160, 200, 240 and 280. 5. The average term of funding, in days, for maturing term funds shall be reported in column 300. 6. The average term of funding, in days, of funds rolled over shall be reported in column 310 7. The average term of funding, in days, for new term funds shall be reported in column 320. 8. The ‘Maturing’ amount shall comprise all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period. It shall always be reported with a positive sign. 9. The ‘Roll-over’ amount shall comprise the maturing amount as defined in paragraphs 2 and 3 that remains with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. Where the maturity of the funding has changed due to the roll-over event, the ‘roll-over’ amount shall be reported in a time bucket according to the new maturity. 10. The ‘New funds’ amount shall comprise actual inflows of funding on the relevant day in the reporting period. It shall always be reported with a positive sign. 11. The ‘Net’ amount shall be considered as a change of funding within a particular original maturity time band on the relevant day of the reporting period, and shall be calculated by adding in the ‘net’ column the new funds plus the roll over funds minus the maturing funds. 12. Instructions concerning specific columns: Column Legal references and instructions 010 to 040 Overnight The total amount of funding maturing on the relevant day of the reporting period with an overnight original maturity shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an overnight original maturity shall be reported in column 020 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an overnight original maturity shall be reported in column 030 of line item 1.1-1.31. The net difference between, on the one hand, maturing daily funding and, on the other hand, roll-overs plus new daily funding obtained shall be reported in column 040 of line item 1.1-1.31. 050 to 080 > 1 day ≤ 7 days The total amount of funding maturing on the relevant day of the reporting period with an original maturity 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 as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 060 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 70 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 080 of line item 1.1-1.31. 090 to 120 > 7days ≤ 14 days The total amount of funding maturing on the relevant day of the reporting period with an original maturity 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 as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 100 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 110 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 120 of line item 1.1-1.31. 130 to 160 > 14 days ≤ 1 month The total amount of funding maturing on the relevant day of the reporting period with an original maturity 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 as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 140 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 150 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 160 of line item 1.1-1.31. 170 to 200 > 1 Month ≤ 3 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity 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 as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 180 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 190 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 200 of line item 1.1-1.31. 210 to 240 > 3 Months ≤ 6 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity 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 as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 220 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 230 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 240 of line item 1.1-1.31. 250 to 280 > 6 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 260 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 270 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 280 of line item 1.1-1.31. 290 Total net cash flows The total net cash flows equal to the sum of all ‘Net’ columns numbered 040, 080, 120, 160, 200, 240, 280, shall be reported in column 290. 300 to 320 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. ▼M9 ANNEX XX REPORTING ON COUNTERBALANCING CAPACITY AMM TEMPLATES Template number Template code Name of the template/group of templates CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES 71 C 71.00 CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER Total and significant currencies Concentration of counterbalancing capacity by issuer Issuer LEI code Issuer Sector Residence of Issuer 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 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 ▼M10 ANNEX XXI INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XX Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00) 1. In order 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 under template C 71.00, institutions shall apply the instructions contained in this Annex. 2. Where an issuer or counterparty is assigned to more than one product type, currency or credit quality step, the total amount shall be reported. The product type, currency or credit quality step to be reported shall be the ones that are relevant to the largest proportion of the counterbalancing capacity concentration. 3. The counterbalancing capacity in C 71.00 shall be the same as that in C 66.01 with the qualification that the assets reported as counterbalancing capacity for the purposes of C 71.00 shall be unencumbered to be available for the institution to convert into cash on the reporting reference date. 4. For calculating the concentrations for the purpose of reporting template C 71.00 by significant currency, institutions shall use the concentrations in all currencies. 5. When an issuer or counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the higher counterbalancing capacity concentration. 6. Except for row 120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template. In the event that an institution has pre-positioned assets at a central bank for standard liquidity operations and to the extent that these assets fall under the top ten issuers or counterparties of unencumbered counterbalancing capacity, the institution shall report the original issuer and the original product type. Column Legal references and instructions 010 Issuer Name The name of the top ten issuers of unencumbered assets or counterparties of 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. Issuers and counterparties forming a group of connected clients shall be reported as one single concentration The issuer or counterparty name recorded shall be the full name of the legal entity which issued the assets or granted the liquidity lines, including any references to the company type in accordance with the national company law. 020 LEI code The legal entity identifier code of the counterparty. 030 Issuer Sector One sector shall be allocated to each issuer or counterparty on the basis of FINREP economic sector classes: (i) General Governments; (ii) Credit institutions; (iii) Other financial corporations; (iv) Non-financial corporations; (v) Households. For groups of connected clients, no sector shall be reported. 040 Residence of Issuer ISO code 3166-1-alpha-2 of the country of incorporation of the issuer or 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 Type Issuers/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 asecurity issued by an Undertaking for Collective Investments of transferable securities) ABS (Asset Backed Security) CrCl (Credit Claim) Eq (Equity) Gold (if physical gold, which can be treated as a single counterparty) LiqL (Undrawn committed liquidity line granted to the institution) OPT (Other product type) 060 Currency Issuer or 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. Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration. With regard to the separate reporting in significant currencies as specified under Article 415(2) of Regulation (EU) No 575/2013, institutions shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency, in line with the instructions for the separate reporting of significant currencies in the LCR, in accordance with Regulation (EU) 2016/322. 070 Credit quality step The appropriate credit quality step shall be assigned in accordance with Regulation (EU) No 575/2013, which shall be the same as that of the items reported in the maturity ladder. Where there is no rating, the step of ‘non-rated’ shall be assigned. 080 MtM value/nominal The market value or fair value of the assets, or, where applicable, the nominal value of the undrawn liquidity line granted to the institution. 090 Collateral value CB-eligible The collateral value according to the central bank rules for standing facilities for the specific assets. For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. ANNEX XXII REPORTING ON AMM MATURITY LADDER AMM TEMPLATES Template number Template code Name of the template /group of templates MATURITY LADDER TEMPLATE 66 C 66.01 MATURITY LADDER TEMPLATE C 66.01 - MATURITY LADDER Total and significant currencies Code ID Item Contractual Flow Maturity 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 010-380 1 OUTFLOWS Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 010 1.1 Liabilities resulting from securities issued (if not treated as retail deposits) 020 1.1.1 unsecured bonds due 030 1.1.2 regulated covered bonds 040 1.1.3 securitisations due 050 1.1.4 other 060 1.2 Liabilities resulting from secured lending and capital market driven transactions collateralised by: 070 1.2.1 Level 1 tradable assets 080 1.2.1.1 Level 1 excluding covered bonds 090 1.2.1.1.1 Level 1 central bank 100 1.2.1.1.2 Level 1 (CQS 1) 110 1.2.1.1.3 Level 1 (CQS2, CQS3) 120 1.2.1.1.4 Level 1 (CQS4+) 130 1.2.1.2 Level 1 covered bonds (CQS1) 140 1.2.2 Level 2A tradable assets 150 1.2.2.1 Level 2A corporate bonds (CQS1) 160 1.2.2.2 Level 2A covered bonds (CQS1, CQS2) 170 1.2.2.3 Level 2A public sector (CQS1, CQS2) 180 1.2.3 Level 2B tradable assets 190 1.2.3.1 Level 2B Asset Backed Securities (ABS) (CQS1) 200 1.2.3.2 Level 2B covered bonds (CQS1-6) 210 1.2.3.3 Level 2B: corporate bonds (CQ1-3) 220 1.2.3.4 Level 2B shares 230 1.2.3.5 Level 2B public sector (CQS 3-5) 240 1.2.4 other tradable assets 250 1.2.5 other assets 260 1.3 Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral) 270 1.3.1 stable retail deposits 280 1.3.2 other retail deposits 290 1.3.3 operational deposits 300 1.3.4 non-operational deposits from credit institutions 310 1.3.5 non-operational deposits from other financial customers 320 1.3.6 non-operational deposits from central banks 330 1.3.7 non-operational deposits from non-financial corporates 340 1.3.8 non-operational deposits from other counterparties 350 1.4 FX-swaps maturing 360 1.5 Derivatives amount payables other than those reported in 1.4 370 1.6 Other outflows 380 1.7 Total outflows 390-720 2 INFLOWS Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 390 2.1 Monies due from secured lending and capital market driven transactions collateralised by: 400 2.1.1 Level 1 tradable assets 410 2.1.1.1 Level 1 excluding covered bonds 420 2.1.1.1.1 Level 1 central bank 430 2.1.1.1.2 Level 1 (CQS 1) 440 2.1.1.1.3 Level 1 (CQS2, CQS3) 450 2.1.1.1.4 Level 1 (CQS4+) 460 2.1.1.2 Level 1 covered bonds (CQS1) 470 2.1.2 Level 2A tradable assets 480 2.1.2.1 Level 2A corporate bonds (CQS1) 490 2.1.2.2 Level 2A covered bonds (CQS1, CQS2) 500 2.1.2.3 Level 2A public sector (CQS1, CQS2) 510 2.1.3 Level 2B tradable assets 520 2.1.3.1 Level 2B ABS (CQS1) 530 2.1.3.2 Level 2B covered bonds (CQS1-6) 540 2.1.3.3 Level 2B: corporate bonds (CQ1-3) 550 2.1.3.4 Level 2B shares 560 2.1.3.5 Level 2B public sector (CQS 3-5) 570 2.1.4 other tradable assets 580 2.1.5 other assets 590 2.2 Monies due not reported in 2.1 resulting from loans and advances granted to: 600 2.2.1 retail customers 610 2.2.2 non-financial corporates 620 2.2.3 credit institutions 630 2.2.4 other financial customers 640 2.2.5 central banks 650 2.2.6 other counterparties 660 2.3 FX-swaps maturing 670 2.4 Derivatives amount receivables other than those reported in 2.3 680 2.5 Paper in own portfolio maturing 690 2.6 Other inflows 700 2.7 Total inflows 710 2.8 Net contractual gap 720 2.9 Cumulated net contractual gap 730-1080 3 COUNTERBALANCING CAPACITY Initial stock Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 730 3.1 coins and bank notes 740 3.2 Withdrawable central bank reserves 750 3.3 Level 1 tradable assets 760 3.3.1 Level 1 excluding covered bonds 770 3.3.1.1 Level 1 central bank 780 3.3.1.2 Level 1 (CQS 1) 790 3.3.1.3 Level 1 (CQS2, CQS3) 800 3.3.1.4 Level 1 (CQS4+) 810 3.3.2 Level 1 covered bonds (CQS1) 820 3.4 Level 2A tradable assets 830 3.4.1 Level 2A corporate bonds (CQS1) 840 3.4.3 Level 2A covered bonds (CQS 1, CQS2) 850 3.4.4 Level 2A public sector (CQS1, CQS2) 860 3.5 Level 2B tradable assets 870 3.5.1 Level 2B ABS (CQS1) 880 3.5.2 Level 2B covered bonds (CQS1-6) 890 3.5.3 Level 2B corporate bonds (CQ1-3) 900 3.5.4 Level 2B shares 910 3.5.5 Level 2B public sector (CQS 3-5) 920 3.6 other tradable assets 930 3.6.1 central government (CQS1) 940 3.6.2 central government (CQS 2 & 3) 950 3.6.3 shares 960 3.6.4 covered bonds 970 3.6.5 ABS 980 3.6.6 other tradable assets 990 3.7 non tradable assets eligible for central banks 1000 3.8 undrawn committed facilities received 1010 3.8.1 Level 1 facilities 1020 3.8.2 Level 2B restricted use facilities 1030 3.8.3 Level 2B IPS facilities 1040 3.8.4 other facilities 1050 3.8.4.1 from intragroup counterparties 1060 3.8.4.2 from other counterparties 1070 3.9 Net change of Counterbalancing Capacity 1080 3.10 Cumulated Counterbalancing Capacity 1090-1130 4 CONTINGENCIES Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 1090 4.1 Outflows from committed facilities 1100 4.1.1 Committed credit facilities 1110 4.1.1.1 considered as Level 2B by the receiver 1120 4.1.1.2 other 1130 4.1.2 Liquidity facilities 1140 4.2 Outflows due to downgrade triggers 1150-1290 MEMORANDUM ITEMS Initial stock Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 1200 10 Intragroup or IPS outflows (excluding FX) 1210 11 Intragroup or IPS inflows (excluding FX and maturing securities) 1220 12 Intragroup or IPS inflows from maturing securities 1230 13 HQLA central bank eligible 1240 14 non-HQLA central bank eligible 1270 17 Behavioural outflows from deposits 1280 18 Behavioural inflows from loans and advances 1290 19 Behavioural draw-downs of committed facilities ANNEX XXIII INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII PART I: GENERAL INSTRUCTIONS PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS PART I: GENERAL INSTRUCTIONS 1. In order to capture the maturity mismatch of an institution’s activities (‘maturity ladder’) in the template of Annex XXII, institutions shall apply the instructions contained in this Annex. 2. The maturity ladder monitoring tool shall cover contractual flows and contingent outflows. The contractual flows resulting from legally binding agreements and the residual maturity from the reporting date shall be reported according to the provisions of those legal agreements. 3. Institutions shall not double count inflows. 4. In the column ‘initial stock’, the stock of items at the reporting date shall be reported. 5. Only the blank white cells of the template in Annex XXII shall be completed. 6. The section of the maturity ladder template entitled ‘Outflows and inflows’ shall cover future contractual cash flows from all on- and off- balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported. 7. The section of the maturity ladder template entitled ‘Counterbalancing capacity’ shall represent 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 contractual gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported. 8. Cash outflows and inflows in the respective sections ‘outflows’ and ‘inflows’ shall be reported on a gross basis with a positive sign. Amounts due to be paid and received shall be reported respectively in the outflow and inflow sections. 9. For the section of the maturity ladder template entitled ‘counterbalancing capacity’ outflows and inflows shall be reported on a net basis with a positive sign if they represent inflows and with a negative sign if they represent outflows. For cash flows, amounts due shall be reported. Securities flows shall be reported at current market value. Flows arising on credit and liquidity lines shall be reported at the contractual available amounts. 10. Contractual flows shall be allocated across the twenty-two time buckets according to their residual maturity, with days referring to calendar days. 11. All contractual flows shall be reported, including all material cash-flows from non-financial activities such as taxes, bonuses, dividends and rents. 12. In order for institutions to apply a conservative approach in determining contractual maturities of flows, they shall ensure all of the following: (a) where an option to defer payment or receive an advance payment exists, the option shall be presumed to be exercised where it would advance outflows from the institution or defer inflows to the institution; (b) where the option to advance outflows from the institution is solely at the discretion of the institution, the option shall be presumed to be exercised only where there is a market expectation that the institution will do so. The option shall be presumed not to be exercised where it would advance inflows to the institution or defer outflows from the institution. Any cash outflow that would be contractually triggered by this inflow – as in pass-through financing – shall be reported at the same date as this inflow; (c) all sight and non-maturing deposits shall be reported as overnight in column 020; (d) open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be considered to mature overnight unless the notice period is longer than one day in which case they shall be reported in the relevant time bucket according to the notice period; (e) retail term deposits with an early withdrawal option shall be considered to mature in the time period during which the early withdrawal of the deposit would not incur a penalty according to Article 25(4)(b) of Regulation (EU) 2015/61. (f) where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years in column 220. 13. Interest outflows and inflows from all on and off balance sheet instruments shall be included in all relevant items of the ‘outflows’ and ‘inflows’ sections. 14. Foreign Exchange (‘FX’) swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward transactions and unsettled FX spot agreements in the applicable time buckets of the template. 15. Cash flows from unsettled transactions shall be reported, in the short period before settlement, in the appropriate rows and buckets. 16. Items where the institution has no underlying business, such as where it has no deposits of a certain category, shall be left blank. 17. Past due items and items for which the institution has a reason to expect non- performance shall not be reported. 18. Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall be reported in the counterbalancing capacity section in the relevant bucket according to the maturity of the transaction that generated the reception of the collateral. 19. Intragroup items shall not affect the reporting on a consolidated basis PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS Row Legal references and instructions 010 to 380 1 OUTFLOWS The total amount of cash outflows shall be reported in the following sub- categories below: 010 1.1 Liabilities resulting from securities issued Cash outflows arising from debt securities issued by the reporting institution i.e. own issuances. 020 1.1.1 unsecured bonds due The amount of cash outflows resulting from securities issued reported in line 1.1, which is unsecured debt issued by the reporting institution to third parties. 030 1.1.2 regulated covered bonds The amount of cash outflows resulting from securities issued, reported in line 1.1, which is bonds eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Art. 52(4) of Directive 2009/65/EC. 040 1.1.3 securitisations due The amount of cash outflows resulting from securities issued, reported in line 1.1, which is securitisation transactions with third parties, in accordance with Article 4(1) point 61 of Regulation (EU) No 575/2013. 050 1.1.4 other The amount of cash outflows resulting from securities issued reported in line 1.1, other than those reported in the above subcategories. 060 1.2 Liabilities resulting from secured lending and capital market driven transactions, collateralised by: Total amount of all cash outflows arising from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013. Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the ‘counterbalancing capacity’ section. 070 1.2.1 Level 1 tradable assets The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets. 080 1.2.1.1 Level 1 excluding covered bonds The amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are not covered bonds. 090 1.2.1.1.1 Level 1 central bank The amount of cash outflows reported in item 1.2.1.1 which is collateralised by assets representing claims on or guaranteed by central banks. 100 1.2.1.1.2 Level 1 (CQS 1) The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI. 110 1.2.1.1.3 Level 1 (CQS 2, CQS3) The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI. 120 1.2.1.1.4 Level 1 (CQS 4+) The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI. 130 1.2.1.2 Level 1 covered bonds (CQS1) The amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets. 140 1.2.2 Level 2A tradable assets The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets. 150 1.2.2.1 Level 2A corporate bond (CQS 1) The amount of cash outflows reported in item 1.2.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI. 160 1.2.2.2 Level 2A covered bonds (CQS1, CQS2) The amount of cash outflows reported in item 1.2.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI. 170 1.2.2.3 Level 2A public sector (CQS1, CQS2) The amount of cash outflows reported in item 1.2.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2. 180 1.2.3 Level 2B tradable assets The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets. 190 1.2.3.1 Level 2B Asset Backed Securities-ABS (CQS 1) The amount of cash outflows reported in item 1.2.3 which is collateralised by asset backed securities, including RMBS. Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall be required to have credit quality step 1. 200 1.2.3.2 Level 2B covered bonds (CQS 1-6) The amount of cash outflows reported in item 1.2.3 which is collateralised by covered bonds. 210 1.2.3.3 Level 2B corporate bonds (CQS 1-3) The amount of cash outflows reported in item 1.2.3 which is collateralised by corporate debt securities. 220 1.2.3.4 Level 2B shares The amount of cash outflows reported in item 1.2.3 which is collateralised by shares. 230 1.2.3.5 Level 2B public sector (CQS 3-5) The amount of cash outflows reported in item 1.2.3 which is collateralised by Level 2B assets not reported in items 1.2.3.1 to 1.2.3.4. 240 1.2.4 other tradable assets The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets not reported in items 1.2.1, 1.2.2 or 1.2.3. 250 1.2.5 other assets The amount of cash outflows reported in item 1.2 which is collateralised by assets not reported in items 1.2.1, 1.2.2. 1.2.3 or 1.2.4. 260 1.3 Liabilities not reported in 1.2, resulting from deposits received excluding deposits received as collateral Cash outflows arising from all deposits received with the exception of outflows reported in item 1.2 and deposits received as collateral. Cash outflows arising from derivative transactions shall be reported in items 1.4 or 1.5. Deposits shall be reported according to their earliest possible contractual maturity date. Deposits that can be withdrawn immediately without notice (‘sight deposits’) or non-maturing deposits shall be reported in the ‘overnight’ bucket. 270 1.3.1 stable retail deposits The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 3(8) and Article 24 of Regulation (EU) 2015/61. 280 1.3.2 other retail deposits The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 3(8) of Regulation (EU) 2015/61 other than those reported in item 1.3.1. 290 1.3.3 operational deposits The amount of cash outflows reported in item 1.3, which derives from operational deposits in accordance with Article 27 of Regulation (EU) 2015/61. 300 1.3.4 non-operational deposits from credit institutions The amount of cash outflows reported in item 1.3, which derives from deposits by credit institutions other than those reported in item 1.3.3. 310 1.3.5 non-operational deposits from other financial customers The amount of cash outflows reported in item 1.3, which derives from deposits from financial customers in accordance with Article 3(9) of Regulation (EU) 2015/61 other than those reported in item 1.3.3 and 1.3.4. 320 1.3.6 non-operational deposits from central banks The amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by central banks. 330 1.3.7 non-operational deposits from non-financial corporates The amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by non-financial corporates. 340 1.3.8 non-operational deposits from other counterparties The amount of cash outflows reported in item 1.3, which derives from deposits not reported in items 1.3.1 to 1.3.7. 350 1.4 FX-swaps maturing Total amount of cash outflows resulting from the maturity of FX-swap transactions such as the exchange of principal amounts at the end of the contract. 360 1.5 Derivatives amount payables other than those reported in 1.4 Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX swaps which shall be reported in item 1.4. The total amount shall reflect settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets: 1. cash and securities flows related to derivatives for which there is a collateral agreement in place requiring full or adequate collateralisation of counterparty exposures, shall be excluded from the maturity ladder templates; all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the templates. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the ‘stock’ column of section 3 of the maturity ladder covering the counterbalancing capacity, with the exception of cash and securities flows in the context of margin calls (‘cash or securities collateral flows’) which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 ‘derivatives cash-outflows’ and 2.4 ‘derivatives cash- inflows’ for cash collateral and in section 3 ‘counterbalancing capacity’ for securities collateral; 2. for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts: (a) flows related to option-like derivatives shall be included only where the strike price is below the market price for a call, or above the market price for a put option (‘in the money’). These flows shall be proxied by applying both of the following: (i) including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder ‘derivatives cash- inflows’ at the latest exercise date of the option where the bank has the right to exercise the option; (ii) including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder ‘derivatives cash-outflows’ at the earliest exercise date of the option where the bank’s counterparty has the right to exercise the option; (b) flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 ‘derivatives cash- outflows’ and 2.4 ‘derivatives cash-inflows’ and the contractual flows of liquid securities in the counterbalancing capacity of the maturity ladder, using the current market-implied forward rates applicable on the reporting date where the amounts are not yet fixed. 370 1.6 Other outflows Total amount of all other cash outflows, not reported in items 1.1, 1.2, 1.3, 1.4 or 1.5. Contingent outflows shall not be reported here. 380 1.7 Total outflows The sum of outflows reported in items 1.1, 1.2, 1.3, 1.4, 1.5 and 1.6. 390 to 700 2 INFLOWS 390 2.1 Monies due from secured lending and capital market driven transactions collateralised by: Total amount of cash inflows from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013. Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the ‘counterbalancing capacity’ section. 400 2.1.1 Level 1 tradable assets The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 10 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets. 410 2.1.1.1 Level 1 excluding covered bonds The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are not covered bonds. 420 2.1.1.1.1 Level 1 central bank The amount of cash inflows reported in item 2.1.1.1 which is collateralised by assets representing claims on or guaranteed by central banks. 430 2.1.1.1.2 Level 1 (CQS 1) The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI. 440 2.1.1.1.3 Level 1 (CQS 2, CQS3) The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI. 450 2.1.1.1.4 Level 1 (CQS 4+) The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI. 460 2.1.1.2 Level 1 covered bonds (CQS1) The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets. 470 2.1.2 Level 2A tradable assets The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 11 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets. 480 2.1.2.1 Level 2A corporate bond (CQS 1) The amount of cash inflows reported in item 2.1.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI. 490 2.1.2.2 Level 2A covered bonds (CQS1, CQS2) The amount of cash inflows reported in item 2.1.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI. 500 2.1.2.3 Level 2A public sector (CQS1, CQS2) The amount of cash inflows reported in item 2.1.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2. 510 2.1.3 Level 2B tradable assets The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets. 520 2.1.3.1 Level 2B ABS (CQS 1) The amount of cash inflows reported in item 2.1.3 which is collateralised by asset backed securities, including RMBS. 530 2.1.3.2 Level 2B covered bonds (CQS 1-6) The amount of cash inflows reported in item 2.1.3 which is collateralised by covered bonds. 540 2.1.3.3 Level 2B corporate bonds (CQS 1-3) The amount of cash inflows reported in item 2.1.3 which is collateralised by corporate debt securities. 550 2.1.3.4 Level 2B shares The amount of cash inflows reported in item 2.1.3 which is collateralised by shares. 560 2.1.3.5 Level 2B public sector (CQS 3-5) The amount of cash inflows reported in item 2.1.3 which is collateralised by Level 2B assets not reported in items 2.1.3.1 to 2.1.3.4. 570 2.1.4 other tradable assets The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets not reported in items 2.1.1, 2.1.2 or 2.1.3. 580 2.1.5 other assets The amount of cash inflows reported in item 2.1 which is collateralised by assets not reported in items 2.1.1, 2.1.2, 2.1.3 or 2.1.4. 590 2.2 Monies due not reported in item 2.1 resulting from loans and advances granted to: Cash inflows from loans and advances. Cash inflows shall be reported at the latest contractual date for repayment. For revolving facilities, the existing loan shall be assumed to be rolled-over and any remaining balances shall be treated as committed facilities. 600 2.2.1 retail customers The amount of cash inflows reported in item 2.2, which derives from natural persons or SMEs in accordance with Article 3(8) of Regulation (EU) 2015/61. 610 2.2.2 non-financial corporates The amount of cash inflows reported in item 2.2, which derives from non- financial corporates. 620 2.2.3 credit institutions The amount of cash inflows reported in item 2.2, which derives from credit institutions. 630 2.2.4 other financial customers The amount of cash inflows reported in item 2.2, which derives from financial customers in accordance with Article 3(9) of Regulation (EU) 2015/61 other than those reported in item 2.2.3. 640 2.2.5 central banks The amount of cash inflows reported in item 2.2, which derives from central banks. 650 2.2.6 other counterparties The amount of cash inflows reported in item 2.2, which derives from other counterparties not referred to in sections 2.2.1-2.2.5. 660 2.3 FX-swaps maturing Total amount of contractual cash inflows resulting from the maturity of FX Swap transactions such as the exchange of principal amounts at the end of the contract. This reflects the maturing notional value of cross-currency swaps, FX spot and forward transactions in the applicable time buckets of the template. 670 2.4. Derivatives amount receivables other than those reported in 2.3 Total amount of contractual cash inflows resulting from derivatives receivables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of inflows resulting from maturing FX swaps which shall be reported in item 2.3. The total amount shall include settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets: 1. cash and securities flows related to derivatives for which there is a collateral agreement in place that requires full or adequate collateralisation of counterparty exposures shall be excluded from the maturity ladder template, and all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the template. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the ‘stock’ column of section 3 of the maturity ladder covering the counterbalancing capacity with the exception of cash and securities flows in the context of margin calls which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 ‘derivatives cash-outflows’ and 2.4 ‘derivatives cash- inflows’ for cash collateral and in section 3 ‘counterbalancing capacity’ for securities collateral in the maturity ladder; 2. for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts: (a) flows related to option-like derivatives shall be included only if they are in the money. These flows shall be proxied by applying both of the folloowing: (i) including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder ‘derivatives cash-inflows’ at the latest exercise date of the option where the bank has the right to exercise the option; (ii) including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder ‘derivatives cash-outflows’ at the earliest exercise date of the option where the bank’s counterparty has the right to exercise the option; (b) flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 ‘derivatives cash- outflows’ and 2.4 ‘derivatives cash-inflows’ and the contractual flows of securities in the counterbalancing capacity of the maturity ladder, using the current market- implied forward rates applicable on the reporting date where the amounts are not yet fixed. 680 2.5 Paper in own portfolio maturing The amount of inflows which is principal repayment from own investments due taken in bonds, reported according to their residual contractual maturity. This item shall include cash inflows from maturing securities reported in the counterbalancing capacity. Therefore, once a security matures, it shall be reported as securities outflow in the counterbalancing capacity and consequently as a cash inflow here. 690 2.6 Other inflows Total amount of all other cash inflows, not reported in items 2.1, 2.2, 2.3, 2.4 or 2.5 above. Contingent inflows shall not be reported here. 700 2.7 Total inflows Sum of inflows reported in items 2.1, 2.2, 2.3, 2.4, 2.5 and 2.6. 710 2.8 Net contractual gap Total Inflows reported in item 2.7 less total outflows reported in item 1.7. 720 2.9 Cumulated net contractual gap Cumulated net contractual gap from the reporting date to the upper limit of a relevant time bucket. 730-1080 3 COUNTERBALANCING CAPACITY The ‘Counterbalancing Capacity’ of the maturity ladder shall contain information on the development of an institution’s holdings of assets of varying degrees of liquidity, amongst which tradable assets and central bank eligible assets, as well as facilities contractually committed to the institution. For reporting at the consolidated level on central bank eligibility, the rules of central bank eligibility which apply to each consolidated institution in its jurisdiction of incorporation shall form the basis. Where the counterbalancing capacity refers to tradable assets, institutions shall report tradable assets traded in large, deep and active repo or cash markets characterised by a low level of concentration. Assets reported in the columns of the counterbalancing capacity shall include only unencumbered assets available to the institution to convert into cash at any time to fill contractual gaps between cash inflows and outflows during the time horizon. For those purposes, the definition of encumbered assets in accordance with Commission Delegated Regulation (EU) 2015/61 shall apply. The assets shall not be used to provide credit enhancements in structured transactions or to cover operational costs, such as rents and salaries, and shall be managed with the clear and sole intent for use as a source of contingent funds. Assets that the institution received as collateral in reverse repo and Securities Financing Transactions (SFT) can be considered as part of the counterbalancing capacity if they are held at the institution, have not been rehypothecated, and are legally and contractually available for the institution’s use. In order to avoid double counting, where the institution reports prepositioned assets in item 3.1 to 3.7, it shall not report the related capacity of those facilities in item 3.8. Institutions shall report assets, where they meet the description of a row and are available at the reporting date, as an initial stock in column 010. Columns 020 to 220 shall contain contractual flows in the counterbalancing capacity. Where an institution has entered into a repo transaction, the asset which has been repoed out shall be re-entered as a security inflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash outflow following from the maturing repo shall be reported in the relevant cash outflow bucket in item 1.2. Where an institution has entered into a reverse repo transaction, the asset which has been repoed in shall be re- entered as a security outflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash inflow following from the maturing repo shall be reported in the relevant cash inflow bucket in item 2.1. Collateral swaps shall be reported as contractual inflows and outflows of securities in the counterbalancing capacity section in accordance with the relevant maturity bucket in which these swaps mature. A change to the contractually available amount of credit and liquidity lines reported in item 3.8 shall be reported as a flow in the relevant time bucket. Where an institution has an overnight deposit at a central bank, the amount of the deposit shall be reported as an initial stock in item 3.2 and as a cash outflow in the maturity bucket ‘overnight’ for this item. Correspondingly, the resultant cash inflow shall be reported in item 2.2.5. Maturing securities in the counterbalancing capacity shall be reported based on their contractual maturity. When a security matures, it shall be removed from the asset category it was initially reported in, it shall be treated as an outflow of securities, and the resultant cash inflow shall be reported in item 2.5. All security values shall be reported in the relevant bucket at current market values. In item 3.8 only contractually available amounts shall be reported. To avoid double counting, cash-inflows shall not be accounted for in item 3.1 or 3.2 of the counterbalancing capacity. Items in the counterbalancing capacity shall be reported in the following sub- categories below: 730 3.1 Coins and bank notes Total amount of cash arising from coins and banknotes. 740 3.2 Withdrawable central bank reserves Total amount of reserves at central banks according to Article 10(1)(b)(iii) of Regulation (EU) 2015/61 withdrawable overnight at the latest. Securities representing claims on or guaranteed by central banks shall not be reported here. 750 3.3 Level 1 tradable assets The market value of tradable assets in accordance with Articles 7, 8 and 10 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets. 760 3.3.1 Level 1 excluding covered bonds The amount reported in item 3.3 which is not covered bonds. 770 3.3.1.1 Level 1 central bank The amount reported in item 3.3.1 which is assets representing claims on or guaranteed by central banks. 780 3.3.1.2 Level 1 (CQS 1) The amount reported in item 3.3.1 other than the amount reported in item 3.3.1.1, which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI. 790 3.3.1.3 Level 1 (CQS 2, CQS3) The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI. 800 3.3.1.4 Level 1 (CQS 4+) The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI. 810 3.3.2 Level 1 covered bonds (CQS1) The amount reported in item 3.3 which is covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets. 820 3.4 Level 2A tradable assets The market value of tradable assets in accordance with Articles 7, 8 and 11 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets. 830 3.4.1 Level 2A corporate bond (CQS 1) The amount reported in item 3.4 which is corporate bonds that are assigned credit quality step 1 by a nominated ECAI. 840 3.4.2 Level 2A covered bonds (CQS 1, CQS2) The amount reported in item 3.4 which is covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI. 850 3.4.3 Level 2A public sector (CQS1, CQS2) The amount reported in item 3.4 which is assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2. 860 3.5 Level 2B tradable assets The market value of tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets. 870 3.5.1 Level 2B ABS (CQS 1) The amount reported in item 3.5 which is asset backed securities (including RMBS). Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B have credit quality step 1. 880 3.5.2 Level 2B covered bonds (CQS 1-6) The amount reported in item 3.5 which is covered bonds. 890 3.5.3 Level 2B corporate bonds (CQS 1-3) The amount reported in item 3.5 which is corporate debt securities. 900 3.5.4 Level 2B shares The amount reported in item 3.5 which is shares. 910 3.5.5 Level 2B public sector (CQS 3-5) The amount reported in 3.5 which is Level 2B assets not reported in items 3.5.1 to 3.5.4. 920 3.6 other tradable assets The market value of tradable assets other than those reported in items 3.3, 3.4 and 3.5. Securities and securities flows from other tradable assets in the form of intragroup or own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template. 930 3.6.1 central government (CQS1) The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 1 by a nominated ECAI. 940 3.6.2 central government (CQS2-3) The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 2 or 3 by a nominated ECAI. 950 3.6.3 shares The amount reported in item 3.6 which is shares. 960 3.6.4 covered bonds The amount reported in item 3.6 which is covered bonds. 970 3.6.5 ABS The amount reported in item 3.6 which is ABS. 980 3.6.6 other tradable assets The amount reported in item 3.6 which is other tradable asset not reported in items 3.6.1 to 3.6.5. 990 3.7 non-tradable assets eligible for central bank The carrying amount of non-tradable assets that are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation. For assets denominated in a currency included in the Annex of Commission Implementing Regulation (EU) 2015/233 (1) as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. Securities and securities flows from other tradable assets in the form of intragroup or own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template.– 1000 3.8 Undrawn committed facilities received Total amount of undrawn committed facilities extended to the reporting institution. These shall include contractually irrevocable facilities. Institutions shall report a reduced amount where the potential collateral needs for drawing on these facilities exceeds the availability of collateral. In order to avoid double-counting, facilities where the reporting institution has already prepositioned assets as collateral, for an undrawn credit facility, and has already reported the assets in items 3.1 to 3.7, shall not be reported in item 3.8. The same shall apply for cases where the reporting institution may need to preposition assets as collateral in order to draw as reported in this field. 1010 3.8.1 Level 1 facilities The amount reported in item 3.8 which is central bank facility in accordance with Article 19(1)(b) of Regulation (EU) 2015/61. 1020 3.8.2 Level 2B restricted use facilities The amount reported in item 3.8 which are facilities in accordance with Article 14 of Regulation (EU) 2015/61. 1030 3.8.3 Level 2B IPS facilities The amount reported in item 3.8 which is liquidity funding in accordance with Article 16(2) of Regulation (EU) 2015/61. 1040 3.8.4 Other facilities The amount reported in item 3.8 other than the amount reported in 3.8.1 to 3.8.3. 1050 3.8.4.1 from intragroup counterparties The amount reported in 3.8.4 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme as referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013). 1060 3.8.4.2 from other counterparties The amount reported in 3.8.4 other than the amount reported in 3.8.4.1. 1070 3.9 Net change of Counterbalancing Capacity Net change in exposures to items 3.2, 3.3, 3.4 and 3.5, 3.6, 3.7 and 3.8 representing, respectively, central banks, securities flows and committed credit lines in a given time bucket shall be reported. 1080 3.10 Cumulated Counterbalancing Capacity Cumulated amount of Counterbalancing Capacity from the reporting date to the upper limit of a relevant time bucket. 1090-1140 4 CONTINGENCIES The ‘Contingencies’ of the maturity ladder shall contain information on contingent outflows. 1090 4.1 Outflows from committed facilities Cash outflows arising from committed facilities. Institutions shall report as an outflow the maximum amount that can be drawn in a given time period. For revolving credit facilities, only the amount above the existing loan shall be reported. 1010 4.1.1 Committed credit facilities The amount reported in item 4.1, which derives from committed credit facilities in accordance with Article 31 of Regulation (EU) 2015/61. 1110 4.1.1.1 considered as Level 2B by the receiver The amount reported in item 4.1.1, which is considered liquidity funding in accordance with Article 16(2) of Regulation (EU) 2015/61. 1120 4.1.1.2 other The amount reported in item 4.1.1, other than the amount reported in item 4.1.1.1. 1130 4.1.2 Liquidity facilities The amount reported in item 4.1, which derives from liquidity facilities in accordance with Article 31 of Regulation (EU) 2015/61. 1140 4.2 Outflows due to downgrade triggers Institutions shall report here the effect of a material deterioration of the credit quality of the institution corresponding to a downgrade in its external credit assessment by at least three notches. Positive amounts shall represent contingent outflows and negative amounts shall represent a reduction of the original liability. Where the effect of the downgrade is an early redemption of outstanding liabilities, the concerned liabilities shall be reported with a negative sign in a time band where they are reported in item 1 and simultaneously with a positive sign in a time band when the liability becomes due, should the effects of the downgrade become applicable at the reporting date. Where the effect of the downgrade is a margin call, the market value of the collateral required to be posted shall be reported with a positive sign in a time band when the requirement becomes due, should the effects of the downgrade become applicable at the reporting date. Where the effect of the downgrade is a change in the re-hypothecation rights of the securities received as collateral from the counterparties, the market value of the affected securities shall be reported with a positive sign in a time band when the securities cease to be available to the reporting institution, should the effects of the downgrade become applicable at the reporting date. 1150-1290 5 MEMORANDUM ITEMS 1200 10 Intragroup or IPS outflows (excluding FX) Sum of outflows in 1.1, 1.2, 1.3, 1.5, 1.6 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013). 1210 11 Intragroup or IPS inflows (excluding FX and maturing securities) Sum of inflows in 2.1, 2.2, 2.4, 2.6 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013). 1220 12 Intragroup or IPS inflows from maturing securities Sum of inflows in 2.5 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013). 1230 13 HQLA central bank eligible The amount reported in items 3.3, 3.4 and 3.5 which is eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation. For assets denominated in a currency included in the Annex of Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. 1240 14 non-HQLA central bank eligible The sum of: i) The sum of the amounts reported in item 3.6 which are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation. ii) The own issuances which are eligible collateral for standard liquidity operations of a the central bank to which the institution has direct access at its level of consolidation For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. 1270 17 Behavioural outflows from deposits The amount reported in item 1.3 redistributed into the time buckets according to the behavioural maturity on a ‘business as usual’ basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, ‘business as usual’ shall mean ‘a situation without any liquidity stress assumption. The distribution shall reflect the ‘stickiness’ of the deposits. The item does not reflect business plan assumptions and therefore shall not include information relating to new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in. 1280 18 Behavioural inflows from loans and advances The amount reported in item 2.2 redistributed into the time buckets according to the behavioural maturity on a ‘business as usual’ basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, ‘business as usual’ shall mean a situation without any liquidity stress assumption. The item does not reflect business plan assumptions and therefore shall not consider new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets must necessarily be filled in. 1290 19 Behavioural draw-downs of committed facilities The amount reported in item 4.1 redistributed into the time buckets according to the behavioural level of draw-downs and resulting liquidity needs on a ‘business as usual’ basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, ‘business as usual’ means ‘a situation without any liquidity stress assumption’. The item does not reflect business plan assumptions and therefore shall not consider new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in. (1) http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32015R0233 ▼C2 ANNEX XXIV ▼M5 REPORTING ON LIQUIDITY LIQUIDITY TEMPLATES Template number Template code Name of the template/group of templates LIQUIDITY COVERAGE TEMPLATES PART I — LIQUID ASSETS 72 C 72.00 LIQUIDITY COVERAGE — LIQUID ASSETS PART II — OUTFLOWS 73 C 73.00 LIQUIDITY COVERAGE — OUTFLOWS PART III — INFLOWS 74 C 74.00 LIQUIDITY COVERAGE — INFLOWS PART IV — COLLATERAL SWAPS 75 C 75.00 LIQUIDITY COVERAGE — COLLATERAL SWAPS PART V — CALCULATIONS 76 C 76.00 LIQUIDITY COVERAGE — CALCULATIONS C 72.00 — LIQUIDITY COVERAGE — LIQUID ASSETS Currency Row ID Item Amount/Market value Standard weight Applicable weight Value according to Article 9 010 020 030 040 010 1 TOTAL UNADJUSTED LIQUID ASSETS 020 1.1 Total unadjusted level 1 assets 030 1.1.1 Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds 040 1.1.1.1 Coins and banknotes 1,00 050 1.1.1.2 Withdrawable central bank reserves 1,00 060 1.1.1.3 Central bank assets 1,00 070 1.1.1.4 Central government assets 1,00 080 1.1.1.5 Regional government/local authorities assets 1,00 090 1.1.1.6 Public Sector Entity assets 1,00 100 1.1.1.7 Recognisable domestic and foreign currency central government and central bank assets 1,00 110 1.1.1.8 Credit institution (protected by Member State government, promotional lender) assets 1,00 120 1.1.1.9 Multilateral development bank and international organisations assets 1,00 130 1.1.1.10 Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure 1,00 140 1.1.1.11 Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds 0,95 150 1.1.1.12 Alternative Liquidity Approaches: Central bank credit facility 1,00 160 1.1.1.13 Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution 170 1.1.1.14 Alternative Liquidity Approaches: Inclusion of Level 2A assets recognised as Level 1 0,80 180 1.1.2 Total unadjusted LEVEL 1 extremely high quality covered bonds 190 1.1.2.1 Extremely high quality covered bonds 0,93 200 1.1.2.2 Qualifying CIU shares/units: underlying is extremely high quality covered bonds 0,88 210 1.1.2.3 Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution 220 1.2 Total unadjusted level 2 assets 230 1.2.1 Total unadjusted LEVEL 2A assets 240 1.2.1.1 Regional government/local authorities or Public Sector Entity assets (Member State, RW20 %) 0,85 250 1.2.1.2 Central bank or central/regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %) 0,85 260 1.2.1.3 High quality covered bonds (CQS2) 0,85 270 1.2.1.4 High quality covered bonds (Third Country, CQS1) 0,85 280 1.2.1.5 Corporate debt securities (CQS1) 0,85 290 1.2.1.6 Qualifying CIU shares/units: underlying is Level 2A assets 0,80 300 1.2.1.7 Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution 310 1.2.2 Total unadjusted LEVEL 2B assets 320 1.2.2.1 Asset-backed securities (residential, CQS1) 0,75 330 1.2.2.2 Asset-backed securities (auto, CQS1) 0,75 340 1.2.2.3 High quality covered bonds (RW35 %) 0,70 350 1.2.2.4 Asset-backed securities (commercial or individuals, Member State, CQS1) 0,65 360 1.2.2.5 Corporate debt securities (CQS2/3) 0,50 370 1.2.2.6 Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3) 0,50 380 1.2.2.7 Shares (major stock index) 0,50 390 1.2.2.8 Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) 0,50 400 1.2.2.9 Restricted-use central bank committed liquidity facilities 1,00 410 1.2.2.10 Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) 0,70 420 1.2.2.11 Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %) 0,65 430 1.2.2.12 Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1) 0,60 440 1.2.2.13 Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) 0,45 450 1.2.2.14 Deposits by network member with central institution (no obligated investment) 0,75 460 1.2.2.15 Liquidity funding available to network member from central institution (non-specified collateralisation) 0,75 470 1.2.2.16 Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution MEMORANDUM ITEMS 480 2 Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons 490 3 Deposits by network member with central institution (obligated investment in Level 1 excl. EHQ CB) 500 4 Deposits by network member with central institution (obligated investment in Level 1 EHQ CB assets) 510 5 Deposits by network member with central institution (obligated investment in Level 2A assets) 520 6 Deposits by network member with central institution (obligated investment in Level 2B assets) 530 7 Adjustments made to assets due to net liquidity outflows from early close-out of hedges 540 8 Adjustments made to assets due to net liquidity inflows from early close-out of hedges 550 9 Member State-sponsored guaranteed bank assets subject to grandfathering 560 10 Member State-sponsored impaired asset management agencies subject to transitional provision 570 11 Securitisations backed by residential loans subject to transitional provision 580 12 Level 1/2A/2B assets excluded due to currency reasons 590 13 Level 1/2A/2B assets excluded for operational reasons except for currency reasons 600 14 Level 1 Non-interest bearing assets (held by credit institutions for religious reasons) 610 15 Level 2A Non-interest bearing assets (held by credit institutions for religious reasons) C 73.00 — LIQUIDITY COVERAGE — OUTFLOWS Currency Amount Market value of collateral extended Value of collateral extended according to Article 9 Standard Weight Applicable Weight Outflow Row ID Item 010 020 030 040 050 060 010 1 OUTFLOWS 020 1.1 Outflows from unsecured transactions/deposits 030 1.1.1 Retail deposits 040 1.1.1.1 deposits where the payout has been agreed within the following 30 days 1,00 050 1.1.1.2 deposits subject to higher outflows 060 1.1.1.2.1 category 1 0,10-0,15 070 1.1.1.2.2 category 2 0,15-0,20 080 1.1.1.3 stable deposits 0,05 090 1.1.1.4 derogated stable deposits 0,03 100 1.1.1.5 deposits in third countries where a higher outflow is applied 110 1.1.1.6 other retail deposits 0,10 120 1.1.2 Operational deposits 130 1.1.2.1 maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship 140 1.1.2.1.1 covered by DGS 0,05 150 1.1.2.1.2 not covered by DGS 0,25 160 1.1.2.2 maintained in the context of IPS or a cooperative network 170 1.1.2.2.1 not treated as liquid assets for the depositing institution 0,25 180 1.1.2.2.2 treated as liquid assets for the depositing credit institution 1,00 190 1.1.2.3 maintained in the context of an established operational relationship (other) with non-financial customers 0,25 200 1.1.2.4 maintained to obtain cash clearing and central credit institution services within a network 0,25 210 1.1.3 Non-operational deposits 220 1.1.3.1 correspondent banking and provisions of prime brokerage deposits 1,00 230 1.1.3.2 deposits by-financial customers 1,00 240 1.1.3.3 deposits by other customers 250 1.1.3.3.1 covered by DGS 0,20 260 1.1.3.3.2 not covered by DGS 0,40 270 1.1.4 Additional outflows 280 1.1.4.1 collateral other than Level 1 assets collateral posted for derivatives 0,20 290 1.1.4.2 Level 1 EHQ Covered Bonds assets collateral posted for derivatives 0,10 300 1.1.4.3 material outflows due to deterioration of own credit quality 1,00 310 1.1.4.4 impact of an adverse market scenario on derivatives, financing transactions and other contracts 320 1.1.4.4.1 hlba approach 1,00 330 1.1.4.4.2 amao approach 1,00 340 1.1.4.5 outflows from derivatives 1,00 350 1.1.4.6 short positions 360 1.1.4.6.1 covered by collateralized SFT 0,00 370 1.1.4.6.2 other 1,00 380 1.1.4.7 callable excess collateral 1,00 390 1.1.4.8 due collateral 1,00 400 1.1.4.9 liquid asset collateral exchangable for non-liquid asset collateral 1,00 410 1.1.4.10 loss of funding on structured financing activites 420 1.1.4.10.1 structured financing instruments 1,00 430 1.1.4.10.2 financing facilites 1,00 440 1.1.4.11 assets borrowed on an unsecured basis 1,00 450 1.1.4.12 internal netting of client's positions 0,50 460 1.1.5 Committed facilities 470 1.1.5.1 credit facilities 480 1.1.5.1.1 to retail customers 0,05 490 1.1.5.1.2 to non-financial customers other than retail customers 0,10 500 1.1.5.1.3 to credit institutions 510 1.1.5.1.3.1 for funding promotional loans of retail customers 0,05 520 1.1.5.1.3.2 for funding promotional loans of non-financial customers 0,10 530 1.1.5.1.3.3 other 0,40 540 1.1.5.1.4 to regulated financial institutions other than credit institutions 0,40 550 1.1.5.1.5 within a group or an IPS if subject to preferential treatment 560 1.1.5.1.6 within IPS or cooperative network if treated as liquid asset by the depositing institution 0,75 570 1.1.5.1.7 to other financial customers 1,00 580 1.1.5.2 liquidity facilities 590 1.1.5.2.1 to retail customers 0,05 600 1.1.5.2.2 to non-financial customers other than retail customers 0,30 610 1.1.5.2.3 to personal investment companies 0,40 620 1.1.5.2.4 to SSPEs 630 1.1.5.2.4.1 to purchase assets other than securities from non-financial customers 0,10 640 1.1.5.2.4.2 other 1,00 650 1.1.5.2.5 to credit institutions 660 1.1.5.2.5.1 for funding promotional loans of retail customers 0,05 670 1.1.5.2.5.2 for funding promotional loans of non-financial customers 0,30 680 1.1.5.2.5.3 other 0,40 690 1.1.5.2.6 within a group or an IPS if subject to preferential treatment 700 1.1.5.2.7 within IPS or cooperative network if treated as liquid asset by the depositing institution 0,75 710 1.1.5.2.8 to other financial customers 1,00 720 1.1.6 Other products and services 730 1.1.6.1 other off-balance sheet and contingent funding obligations 740 1.1.6.2 undrawn loans and advances to wholesale counterparties 750 1.1.6.3 mortgages that have been agreed but not yet drawn down 760 1.1.6.4 credit cards 770 1.1.6.5 overdrafts 780 1.1.6.6 planned outflows related to renewal or extension of new retail or wholesale loans 790 1.1.6.6.1 the excess of funding to non-financial customers 800 1.1.6.6.1.1 the excess of funding to retail customers 810 1.1.6.6.1.2 the excess of funding to non financial corporates 820 1.1.6.6.1.3 the excess of funding to sovereigns, MLDBs and PSEs 830 1.1.6.6.1.4 the excess of funding to other legal entities 840 1.1.6.6.2 other 850 1.1.6.7 planned derivatives payables 860 1.1.6.8 trade finance off-balance sheet related products 870 1.1.6.9 others 880 1.1.7 Other liabilities 890 1.1.7.1 liabilities resulting from-operating expenses 0,00 900 1.1.7.2 in the form of debt securities if not treated as retail deposits 1,00 910 1.1.7.3 others 1,00 920 1.2 Outflows from secured lending and capital market-driven transactions 930 1.2.1 Counterparty is central bank 940 1.2.1.1 level 1 excl. EHQ Covered Bonds collateral 0,00 950 1.2.1.2 level 1 EHQ Covered Bonds collateral 0,00 960 1.2.1.3 level 2A collateral 0,00 970 1.2.1.4 level 2B asset-backed securities (residential or automobile, CQS1) collateral 0,00 980 1.2.1.5 level 2B covered bonds 0,00 990 1.2.1.6 level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral 0,00 1000 1.2.1.7 other Level 2B assets collateral 0,00 1010 1.2.1.8 non-liquid assets collateral 0,00 1020 1.2.2 Counterparty is non-central bank 1030 1.2.2.1 level 1 excl. EHQ Covered Bonds collateral 0,00 1040 1.2.2.2 level 1 EHQ Covered Bonds collateral 0,07 1050 1.2.2.3 level 2A collateral 0,15 1060 1.2.2.4 level 2B asset-backed securities (residential or automobile, CQS1) collateral 0,25 1070 1.2.2.5 level 2B covered bonds 0,30 1080 1.2.2.6 level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral 0,35 1090 1.2.2.7 other Level 2B assets collateral 0,50 1100 1.2.2.8 non-liquid assets collateral 1110 1.2.2.8.1 counterparty is central govt, PSE<=RW20 %, MDB 0,25 1120 1.2.2.8.2 other counterparty 1,00 1130 1.3 Total outflows from collateral swaps MEMORANDUM ITEMS ▼C2 1140 2 Retail bonds with a residual maturity of less than 30 days 1150 3 Retail deposits exempted from the calculation of outflows 1160 4 Not assessed retail deposits 1170 5 Liquidity outflows to be netted by interdependent inflows 6 Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship 1180 6.1 provided by credit institutions 1190 6.2 provided by financial customers other than credit institutions 1200 6.3 provided by sovereigns, central banks, MDBs and PSEs 1210 6.4 provided by other customers 7 Non-operational deposits maintained by financial customers and other customers 1220 7.1 provided by credit institutions 1230 7.2 provided by financial customers other than credit institutions 1240 7.3 provided by sovereigns, central banks, MDBs and PSEs 1250 7.4 provided by other customers 1260 8 Funding commitments to non-financial customers 1270 9 Level 1 excl. EHQ covered bonds collateral posted for derivatives 1280 10 SFTS monitoring 11 Intra group or IPS outflows ▼M5 1290 11.1 of which: to financial customers 1300 11.2 of which: to non-financial customers 1310 11.3 of which: secured 1320 11.4 of which: credit facilities without preferential treatment 1330 11.5 of which: liquidity facilites without preferential treatment 1340 11.6 of which: operational deposits 1350 11.7 of which: non-operational deposits 1360 11.8 of which: liabilities in the form of debt securities if not treated as retail deposits 1370 12 FX outflows 1380 13 Third countries outflows — transfer restrictions or non-convertible currencies 1390 14 Additional balances required to be installed in central bank reserves C 74.00 — LIQUIDITY COVERAGE — INFLOWS Currency Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 010 1 TOTAL INFLOWS 020 1.1 Inflows from unsecured transactions/deposits 030 1.1.1 monies due from non-financial customers (except for central banks) 040 1.1.1.1 monies due from non-financial customers (except for central banks) not corresponding to principal repayment 050 1.1.1.2 other monies due from non-financial customers (except for central banks) 060 1.1.1.2.1 monies due from retail customers 070 1.1.1.2.2 monies due from non-financial corporates 080 1.1.1.2.3 monies due from sovereigns, multilateral development banks and public sector entities 090 1.1.1.2.4 monies due from other legal entities Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 010 1 TOTAL INFLOWS 020 1.1 Inflows from unsecured transactions/deposits 030 1.1.1 monies due from non-financial customers (except for central banks) 040 1.1.1.1 monies due from non-financial customers (except for central banks) not corresponding to principal repayment 1,00 050 1.1.1.2 other monies due from non-financial customers (except for central banks) 060 1.1.1.2.1 monies due from retail customers 0,50 070 1.1.1.2.2 monies due from non-financial corporates 0,50 080 1.1.1.2.3 monies due from sovereigns, multilateral development banks and public sector entities 0,50 090 1.1.1.2.4 monies due from other legal entities 0,50 Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 010 1 TOTAL INFLOWS 020 1.1 Inflows from unsecured transactions/deposits 030 1.1.1 monies due from non-financial customers (except for central banks) 040 1.1.1.1 monies due from non-financial customers (except for central banks) not corresponding to principal repayment 050 1.1.1.2 other monies due from non-financial customers (except for central banks) 060 1.1.1.2.1 monies due from retail customers 070 1.1.1.2.2 monies due from non-financial corporates 080 1.1.1.2.3 monies due from sovereigns, multilateral development banks and public sector entities 090 1.1.1.2.4 monies due from other legal entities Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 100 1.1.2 monies due from central banks and financial customers 110 1.1.2.1 monies due from financial customers being classified as operational deposits 120 1.1.2.1.1 monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate 130 1.1.2.1.2 monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate 140 1.1.2.2 monies due from central banks and financial customers not being classified as operational deposits 150 1.1.2.2.1 monies due from central banks 160 1.1.2.2.2 monies due from financial customers 170 1.1.3 inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 100 1.1.2 monies due from central banks and financial customers 110 1.1.2.1 monies due from financial customers being classified as operational deposits 120 1.1.2.1.1 monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate 130 1.1.2.1.2 monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate 0,05 140 1.1.2.2 monies due from central banks and financial customers not being classified as operational deposits 150 1.1.2.2.1 monies due from central banks 1,00 160 1.1.2.2.2 monies due from financial customers 1,00 170 1.1.3 inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 1,00 Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 100 1.1.2 monies due from central banks and financial customers 110 1.1.2.1 monies due from financial customers being classified as operational deposits 120 1.1.2.1.1 monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate 130 1.1.2.1.2 monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate 140 1.1.2.2 monies due from central banks and financial customers not being classified as operational deposits 150 1.1.2.2.1 monies due from central banks 160 1.1.2.2.2 monies due from financial customers 170 1.1.3 inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61 Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 180 1.1.4 monies due from trade financing transactions 190 1.1.5 monies due from securities maturing within 30 days 200 1.1.6 assets with an undefined contractual end date 210 1.1.7 monies due from positions in major index equity instruments provided that there is no double counting with liquid assets 220 1.1.8 inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets 230 1.1.9 inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets 240 1.1.10 inflows from derivatives 250 1.1.11 inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate 260 1.1.12 other inflows Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 180 1.1.4 monies due from trade financing transactions 1,00 190 1.1.5 monies due from securities maturing within 30 days 1,00 200 1.1.6 assets with an undefined contractual end date 0,20 210 1.1.7 monies due from positions in major index equity instruments provided that there is no double counting with liquid assets 1,00 220 1.1.8 inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets 1,00 230 1.1.9 inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets 1,00 240 1.1.10 inflows from derivatives 1,00 250 1.1.11 inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate 260 1.1.12 other inflows 1,00 Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 180 1.1.4 monies due from trade financing transactions 190 1.1.5 monies due from securities maturing within 30 days 200 1.1.6 assets with an undefined contractual end date 210 1.1.7 monies due from positions in major index equity instruments provided that there is no double counting with liquid assets 220 1.1.8 inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets 230 1.1.9 inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets 240 1.1.10 inflows from derivatives 250 1.1.11 inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate 260 1.1.12 other inflows Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 270 1.2 Inflows from secured lending and capital market-driven transactions 280 1.2.1 collateral that qualifies as a liquid asset 290 1.2.1.1 Level 1 collateral excluding extremely high quality covered bonds 300 1.2.1.2 Level 1 collateral which is extremely high quality covered bonds 310 1.2.1.3 Level 2A collateral 320 1.2.1.4 Level 2B asset backed securities (residential or auto) collateral 330 1.2.1.5 Level 2B high quality covered bonds collateral 340 1.2.1.6 Level 2B asset backed securities (commercial or individuals) collateral 350 1.2.1.7 Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 360 1.2.2 collateral is used to cover a short position 370 1.2.3 collateral that does not qualify as a liquid asset Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 270 1.2 Inflows from secured lending and capital market-driven transactions 280 1.2.1 collateral that qualifies as a liquid asset 290 1.2.1.1 Level 1 collateral excluding extremely high quality covered bonds 1,00 300 1.2.1.2 Level 1 collateral which is extremely high quality covered bonds 0,93 310 1.2.1.3 Level 2A collateral 0,85 320 1.2.1.4 Level 2B asset backed securities (residential or auto) collateral 0,75 330 1.2.1.5 Level 2B high quality covered bonds collateral 0,70 340 1.2.1.6 Level 2B asset backed securities (commercial or individuals) collateral 0,65 350 1.2.1.7 Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 0,50 360 1.2.2 collateral is used to cover a short position 370 1.2.3 collateral that does not qualify as a liquid asset Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 270 1.2 Inflows from secured lending and capital market-driven transactions 280 1.2.1 collateral that qualifies as a liquid asset 290 1.2.1.1 Level 1 collateral excluding extremely high quality covered bonds 300 1.2.1.2 Level 1 collateral which is extremely high quality covered bonds 310 1.2.1.3 Level 2A collateral 320 1.2.1.4 Level 2B asset backed securities (residential or auto) collateral 330 1.2.1.5 Level 2B high quality covered bonds collateral 340 1.2.1.6 Level 2B asset backed securities (commercial or individuals) collateral 350 1.2.1.7 Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6 360 1.2.2 collateral is used to cover a short position 370 1.2.3 collateral that does not qualify as a liquid asset Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 380 1.2.3.1 margin loans: collateral is non-liquid 390 1.2.3.2 collateral is non-liquid equity 400 1.2.3.3 all other non-liquid collateral 410 1.3 Total inflows from collateral swaps 420 1.4 (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) 430 1.5 (Excess inflows from a related specialised credit institution) MEMORANDUM ITEMS 440 2 Interdependent inflows 450 3 FX inflows 460 4 Inflows within a group or an institutional protection scheme 470 4.1 Monies due from non-financial customers (except for central banks) Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 380 1.2.3.1 margin loans: collateral is non-liquid 0,50 390 1.2.3.2 collateral is non-liquid equity 1,00 400 1.2.3.3 all other non-liquid collateral 1,00 410 1.3 Total inflows from collateral swaps 420 1.4 (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) 430 1.5 (Excess inflows from a related specialised credit institution) MEMORANDUM ITEMS 440 2 Interdependent inflows 450 3 FX inflows 460 4 Inflows within a group or an institutional protection scheme 470 4.1 Monies due from non-financial customers (except for central banks) Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 380 1.2.3.1 margin loans: collateral is non-liquid 390 1.2.3.2 collateral is non-liquid equity 400 1.2.3.3 all other non-liquid collateral 410 1.3 Total inflows from collateral swaps 420 1.4 (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) 430 1.5 (Excess inflows from a related specialised credit institution) MEMORANDUM ITEMS 440 2 Interdependent inflows 450 3 FX inflows 460 4 Inflows within a group or an institutional protection scheme 470 4.1 Monies due from non-financial customers (except for central banks) Amount Market value of collateral received Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Row ID Item 010 020 030 040 050 480 4.2 Monies due from financial customers 490 4.3 Secured transactions 500 4.4 Monies due from maturing securities within 30 days 510 4.5 Any other inflows within a group or an institutional protection scheme 520 4.6 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate Standard Weight Applicable Weight Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 060 070 080 090 100 480 4.2 Monies due from financial customers 490 4.3 Secured transactions 500 4.4 Monies due from maturing securities within 30 days 510 4.5 Any other inflows within a group or an institutional protection scheme 520 4.6 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate Value of collateral received according to Article 9 Inflow Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Subject to the 75 % cap on inflows Subject to the 90 % cap on inflows Exempted from the cap on inflows Row ID Item 110 120 130 140 150 160 480 4.2 Monies due from financial customers 490 4.3 Secured transactions 500 4.4 Monies due from maturing securities within 30 days 510 4.5 Any other inflows within a group or an institutional protection scheme 520 4.6 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate C 75.00 — LIQUIDITY COVERAGE — COLLATERAL SWAPS Currency Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 010 1 TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES 020 1.1 Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: 030 1.1.1 Level 1 assets (excl. EHQ covered bonds) 040 1.1.2 Level 1: extremely high quality covered bonds 050 1.1.3 Level 2A assets 060 1.1.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 070 1.1.5 Level 2B: high quality covered bonds 080 1.1.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 090 1.1.7 Other Level 2B 100 1.1.8 Non-liquid assets Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 010 1 TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES 020 1.1 Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: 030 1.1.1 Level 1 assets (excl. EHQ covered bonds) 040 1.1.2 Level 1: extremely high quality covered bonds 050 1.1.3 Level 2A assets 060 1.1.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 070 1.1.5 Level 2B: high quality covered bonds 080 1.1.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 090 1.1.7 Other Level 2B 100 1.1.8 Non-liquid assets Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 110 1.2 Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: 120 1.2.1 Level 1 assets (excl. EHQ covered bonds) 130 1.2.2 Level 1: extremely high quality covered bonds 140 1.2.3 Level 2A assets 150 1.2.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 160 1.2.5 Level 2B: high quality covered bonds 170 1.2.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 180 1.2.7 Other Level 2B 190 1.2.8 Non-liquid assets 200 1.3 Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: 210 1.3.1 Level 1 assets (excl. EHQ covered bonds) 220 1.3.2 Level 1: extremely high quality covered bonds Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 110 1.2 Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed: 120 1.2.1 Level 1 assets (excl. EHQ covered bonds) 130 1.2.2 Level 1: extremely high quality covered bonds 140 1.2.3 Level 2A assets 150 1.2.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 160 1.2.5 Level 2B: high quality covered bonds 170 1.2.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 180 1.2.7 Other Level 2B 190 1.2.8 Non-liquid assets 200 1.3 Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: 210 1.3.1 Level 1 assets (excl. EHQ covered bonds) 220 1.3.2 Level 1: extremely high quality covered bonds Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 230 1.3.3 Level 2A assets 240 1.3.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 250 1.3.5 Level 2B: high quality covered bonds 260 1.3.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 270 1.3.7 Other Level 2B 280 1.3.8 Non-liquid assets 290 1.4 Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: 300 1.4.1 Level 1 assets (excl. EHQ covered bonds) 310 1.4.2 Level 1: extremely high quality covered bonds 320 1.4.3 Level 2A assets 330 1.4.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 340 1.4.5 Level 2B: high quality covered bonds Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 230 1.3.3 Level 2A assets 240 1.3.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 250 1.3.5 Level 2B: high quality covered bonds 260 1.3.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 270 1.3.7 Other Level 2B 280 1.3.8 Non-liquid assets 290 1.4 Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: 300 1.4.1 Level 1 assets (excl. EHQ covered bonds) 310 1.4.2 Level 1: extremely high quality covered bonds 320 1.4.3 Level 2A assets 330 1.4.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 340 1.4.5 Level 2B: high quality covered bonds Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 350 1.4.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 360 1.4.7 Other Level 2B 370 1.4.8 Non-liquid assets 380 1.5 Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: 390 1.5.1 Level 1 assets (excl. EHQ covered bonds) 400 1.5.2 Level 1: extremely high quality covered bonds 410 1.5.3 Level 2A assets 420 1.5.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 430 1.5.5 Level 2B: high quality covered bonds 440 1.5.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 450 1.5.7 Other Level 2B 460 1.5.8 Non-liquid assets Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 350 1.4.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 360 1.4.7 Other Level 2B 370 1.4.8 Non-liquid assets 380 1.5 Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed: 390 1.5.1 Level 1 assets (excl. EHQ covered bonds) 400 1.5.2 Level 1: extremely high quality covered bonds 410 1.5.3 Level 2A assets 420 1.5.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 430 1.5.5 Level 2B: high quality covered bonds 440 1.5.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 450 1.5.7 Other Level 2B 460 1.5.8 Non-liquid assets Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 470 1.6 Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: 480 1.6.1 Level 1 assets (excl. EHQ covered bonds) 490 1.6.2 Level 1: extremely high quality covered bonds 500 1.6.3 Level 2A assets 510 1.6.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 520 1.6.5 Level 2B: high quality covered bonds 530 1.6.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 540 1.6.7 Other Level 2B 550 1.6.8 Non-liquid assets 560 1.7 Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: 570 1.7.1 Level 1 assets (excl. EHQ covered bonds) Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 470 1.6 Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: 480 1.6.1 Level 1 assets (excl. EHQ covered bonds) 490 1.6.2 Level 1: extremely high quality covered bonds 500 1.6.3 Level 2A assets 510 1.6.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 520 1.6.5 Level 2B: high quality covered bonds 530 1.6.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 540 1.6.7 Other Level 2B 550 1.6.8 Non-liquid assets 560 1.7 Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: 570 1.7.1 Level 1 assets (excl. EHQ covered bonds) Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 580 1.7.2 Level 1: extremely high quality covered bonds 590 1.7.3 Level 2A assets 600 1.7.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 610 1.7.5 Level 2B: high quality covered bonds 620 1.7.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 630 1.7.7 Other Level 2B 640 1.7.8 Non-liquid assets 650 1.8 Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: 660 1.8.1 Level 1 assets (excl. EHQ covered bonds) 670 1.8.2 Level 1: extremely high quality covered bonds 680 1.8.3 Level 2A assets Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 580 1.7.2 Level 1: extremely high quality covered bonds 590 1.7.3 Level 2A assets 600 1.7.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 610 1.7.5 Level 2B: high quality covered bonds 620 1.7.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 630 1.7.7 Other Level 2B 640 1.7.8 Non-liquid assets 650 1.8 Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: 660 1.8.1 Level 1 assets (excl. EHQ covered bonds) 670 1.8.2 Level 1: extremely high quality covered bonds 680 1.8.3 Level 2A assets Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Outflows Inflows subject to the 75 % cap on inflows Row ID Item 010 020 030 040 050 060 690 1.8.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 700 1.8.5 Level 2B: high quality covered bonds 710 1.8.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 720 1.8.7 Other Level 2B 730 1.8.8 Non-liquid assets MEMORANDUM ITEMS 740 2 Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions 750 3 Total collateral swaps with intragroup counterparties 760 4 Total collateral swaps with central bank counterparties Inflows subject to the 90 % cap on inflows Inflows exempted from the cap on inflows Collateralised derivatives only Market value of collateral lent Liquidity value of collateral lent Market value of collateral borrowed Liquidity value of collateral borrowed Row ID Item 070 080 090 100 110 120 690 1.8.4 Level 2B: asset-backed securities (residential or automobile, CQS1) 700 1.8.5 Level 2B: high quality covered bonds 710 1.8.6 Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) 720 1.8.7 Other Level 2B 730 1.8.8 Non-liquid assets MEMORANDUM ITEMS 740 2 Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions 750 3 Total collateral swaps with intragroup counterparties 760 4 Total collateral swaps with central bank counterparties C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS Currency Value/Percentage Row ID Item 010 CALCULATIONS Numerator, denominator, ratio 010 1 Liquidity buffer 020 2 Net liquidity outflow 030 3 Liquidity coverage ratio (%) Numerator calculations 040 4 L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted 050 5 L1 excl. EHQCB collateral 30 day outflows 060 6 L1 excl. EHQCB collateral 30 day inflows 070 7 Secured cash 30 day ouflows 080 8 Secured cash 30 day inflows 090 9 L1 excl. EHQCB ‘adjusted amount before cap application’ 100 10 L1 EHQCB value according to Article 9: unadjusted 110 11 L1 EHQCB collateral 30 day outflows 120 12 L1 EHQCB collateral 30 day inflows 130 13 L1 EHQCB ‘adjusted amount before cap application’ 140 14 L1 EHQCB ‘adjusted amount after cap application’ 150 15 L1 EHQCB ‘excess liquid assets amount’ 160 16 L2A according to Article 9: unadjusted 170 17 L2A collateral 30 day outflows 180 18 L2A collateral 30 day inflows 190 19 L2A ‘adjusted amount before cap application’ 200 20 L2A ‘adjusted amount after cap application’ 210 21 L2A ‘excess liquid assets amount’ 220 22 L2B according to Article 9: unadjusted 230 23 L2B collateral 30 day outflows 240 24 L2B collateral 30 day inflows 250 25 L2B ‘adjusted amount before cap application’ 260 26 L2B ‘adjusted amount after cap application’ 270 27 L2B ‘excess liquid assets amount’ 280 28 Excess liquid asset amount 290 29 Liquidity buffer Denominator calculations 300 30 Total Outflows 310 31 Fully Exempt Inflows 320 32 Inflows Subject to 90 % Cap 330 33 Inflows Subject to 75 % Cap 340 34 Reduction for Fully Exempt Inflows 350 35 Reduction for Inflows Subject to 90 % Cap 360 36 Reduction for Inflows Subject to 75 % Cap 370 37 Net liquidity outflow Pillar 2 380 38 Pillar 2 requirement as set out in Article 105 CRD ▼C2 ANNEX XXV ▼M5 REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS) 1. Liquid assets 1.1. General remarks 1. This is a summary template which contains information about assets for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey. 2. Assets reported shall comply with the requirements set out in Title II of the Commission Delegated Regulation (EU) 2015/61. 3. By derogation to paragraph 2, credit institutions shall not apply currency restrictions defined in Article 8(6), 10(1)(d) and 12(1)(c) of the Commission Delegated Regulation (EU) 2015/61 when completing the template on a significant currency basis, as required in Article 415(2) of Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions. 4. Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61. 5. When referring to Article 9 of Commission Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges defined in Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2. 6. Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word ‘weighted’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). The word ‘weight’ in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount or the value according to Article 9 of Commission Delegated Regulation (EU) 2015/61 respectively. 7. Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2. 8. Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authority complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to. 1.2. Specific remarks 1.2.1. Specific requirements regarding CIUs 9. For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13., credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding to the liquid assets underlying the undertaking, in accordance with the principles defined in Article 15(4) of the Commission Delegated Regulation (EU) 2015/61. 1.2.2. Specific requirements regarding grandfathering and transitional provisions 10. Credit institutions shall report items as referred to in Article 35, Article 36 and Article 37 of the Commission Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these article shall also be reported in the ‘Memorandum’ section for reference. 1.2.3. Specific requirements for reporting by Central Institutions 11. Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits (Article 27(3) of the Commission Delegated Regulation (EU) 2015/61). 1.2.4. Specific requirements regarding settlement and forward starting transactions 12. All assets complying with Articles 7, 8 and 9 of the Commission Delegated Regulation (EU) 2015/61 which are in the stock of the credit institution on the reference date shall be reported in the relevant row in Template C72 even if they are sold or used in secured forward transactions. Consistently, no liquid assets shall be reported in the template C72.00 of Annex XXIV from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets. Liquid assets sub template Instructions concerning specific columns Column Legal references and instructions 010 Amount/Market value Credit institutions shall report in Column 010 the market value, or the amount where applicable, of the liquid assets defined in Title II of Commission Delegated Regulation (EU) 2015/61. The amount/market value reported in Column 010: — shall take into account net outflows and net inflows due to early close-out of hedges defined in Article 8(5) of the same Regulation; — shall not take into account haircuts specified in Title II of the same Regulation; — shall include the proportion of deposits referred to in Article 16(1)(a) of the same Regulation that are holding differing specific assets in the corresponding asset rows; — shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at the central credit institution as referred to in Article 27(3) of the same Regulation. When referring to Article 8(5) of the Commission Delegated Regulation (EU) 2015/61, credit institutions shall take into account the net cash flow, either outflow or inflow, that would arise if the hedge was to be closed out at the reporting reference date. This does not take into account potential future value changes in the asset. 020 Standard weight Column 020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of the Commission Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in the value of the liquid assets after applying the appropriate haircuts. 030 Applicable weight Credit institutions shall report in Column 030 the applicable weight applied to liquid assets defined in Title II of the Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. The figure reported in Column 030 shall not exceed the figure in Column 020. 040 Value according to Article 9 Credit institutions shall report in Column 040 the value of the liquid asset in accordance with the definition set out in Article 9 of the Commission Delegated Regulation (EU) 2015/61. This is the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight. Instructions concerning specific rows Row Legal references and instructions 010 1. TOTAL UNADJUSTED LIQUID ASSETS Title II of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report the total amount/Market value of their Liquid assets in c010. Credit Institutions shall report the total Value according to Article 9 of their Liquid assets in c040. 020 1.1. Total unadjusted level 1 assets Articles 10, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this section have been explicitly identified as, or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61. Credit Institutions shall report the total amount/Market value of their Level 1 Liquid assets in c010. Credit Institutions shall report the total Value according to Article 9 of their Level 1 Liquid assets in c040. 030 1.1.1. Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds Articles 10, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this subsection have been explicitly identified as, or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61. Assets and underlying assets that qualify as extremely high quality covered bonds as defined in Article 10(1)(f) of the same Regulation shall not be reported in this subsection. Credit institutions shall report in Column 010 the sum of total market value amount of Level 1 assets excluding extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 assets excluding extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. 040 1.1.1.1. Coins and banknotes Article 10(1)(a) of Commission Delegated Regulation (EU) 2015/61 Total amount of cash including coins and banknotes/currency. 050 1.1.1.2. Withdrawable central bank reserves Articles 10(1)(b)(iii) of Commission Delegated Regulation (EU) 2015/61 Total amount of reserves, withdrawable at any time during periods of stress, held by the credit institution in the ECB, in a Member State's central bank or in a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI (external credit assessment institution) which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013. Eligible withdrawable amount is specified by an agreement between the competent authority and the relevant central bank as defined by article 10(1)(b)(iii) of Commission Delegated Regulation (EU) 2015/61. 060 1.1.1.3. Central bank assets Articles 10(1)(b)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the ECB, a Member State's central bank or a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013. 070 1.1.1.4. Central government assets Articles 10(1)(c)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the central government of a Member State or the central government of a third country provided that it is assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013. Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with the grandfathering provision set out in Article 35 of Commission Delegated Regulation (EU) 2015/61 are reported here. Assets issued by a Member State-sponsored impaired assets management agencies as referred to in Article 36 of Commission Delegated Regulation (EU) 2015/61 are reported here. 080 1.1.1.5. Regional government/local authorities assets Articles 10(1)(c)(iii) and (iv) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by regional governments or local authorities in a Member State, provided that they are treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013. Assets representing claims on or guaranteed by regional governments or local authorities in a third country, being assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with article 114(2) of Regulation (EU) No 575/2013, and provided they are treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013. Assets issued by credit institutions which benefit from a guarantee from a regional government or a local authority in a Member State in accordance with the grandfathering provision set out in Article 35 of Commission Delegated Regulation (EU) 2015/61 are reported here. 090 1.1.1.6. Public Sector Entity assets Article 10(1)(c)(v) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by public sector entities in a Member State or a third country, provided that they are treated as exposures to the central government, regional governments or local authorities of this Member State or third Country, in accordance with paragraphs 4 and 5 of Article 116 of Regulation (EU) No 575/2013. Any central government of a third country mentioned above shall be assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013. Any regional government or local authority of a third country mentioned above shall be treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013. 100 1.1.1.7. Recognisable domestic and foreign currency central government and central bank assets Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI, provided that the credit institution recognises the assets as Level 1 to cover stressed net liquidity outflows incurred in the same currency in which the asset is denominated. Assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI and these assets are not denominated in the domestic currency of that third country, provided that the credit institution recognises the assets as Level 1 up to the amount of its stressed net liquidity outflows in that foreign currency corresponding to its operations in the jurisdiction where the liquidity risk is being taken. 110 1.1.1.8. Credit institution (protected by Member State government, promotional lender) assets Articles 10(1)(e)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61 Assets issued by credit institutions incorporated or established by the central government, regional government or local authority of a Member State that is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability. Assets issued by promotional lender as defined in Article 10(1)(e)(ii) of Commission Delegated Regulation (EU) 2015/61. Any regional government or local authority mentioned above shall be treated as exposures to the central government of the Member State in accordance with Article 115(2) or Regulation (EU) No 575/2013. 120 1.1.1.9. Multilateral development bank and international organisations assets Article 10(1)(g) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the multilateral development banks and the international organisations referred to in Articles 117(2) and 118 of Regulation (EU) No 575/2013. 130 1.1.1.10. Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure Article 15(2)(a) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to coins, banknotes and exposures to the ECB, a Member State's or a third country's central bank, provided that exposures to the third country's central bank or its central government are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013. 140 1.1.1.11. Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds Article 15(2)(b) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as Level 1 assets, except coins, banknotes, exposures to the ECB and a Member State's or a third country's central bank, and extremely high quality covered bonds as specified in Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61. 150 1.1.1.12. Alternative Liquidity Approaches: Central bank credit facility Article 19(1)(b) of Commission Delegated Regulation (EU) 2015/61 Undrawn amount of credit facilities from the ECB, the central bank of a Member State or third country provided that the facility complies with the requirements defined in Article 19(1)(b)(i) to (iii) of the Commission Delegated Regulation (EU) 2015/61. 160 1.1.1.13. Central credit institutions: Level 1 assets excluding extremely high quality covered bonds which are considered liquid assets for the depositing credit institution Article 27(3) of Commission Delegated Regulation (EU) 2015/61 In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits. These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here. Assets referred to in this row are level 1 assets excluding extremely high quality covered bonds. 170 1.1.1.14. Alternative Liquidity Approaches: Level 2A assets recognised as Level 1 Article 19(1)(c) of Commission Delegated Regulation (EU) 2015/61 Where there is a deficit of level 1 assets, credit institutions shall report the amount of Level 2A assets they are recognising as Level 1 and not reporting as Level 2A in accordance with Article 19(1)(c) of the Commission Delegated Regulation (EU) 2015/61. These assets shall not be reported in the Level 2A assets section. 180 1.1.2. Total unadjusted Level 1 extremely high quality covered bonds Articles 10, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this subsection have been explicitly identified as or treated as Level 1 assets when specifically set out in the instructions according to the Commission Delegated Regulation (EU) 2015/61 and are, or whose underlying assets do qualify as, extremely high quality covered bonds defined in Article 10(1)(f) of the same Regulation. Credit institutions shall report in Column 010 the sum of total market value amount of Level 1 extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 1 extremely high quality covered bonds, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. 190 1.1.2.1. Extremely high quality covered bonds Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of extremely high quality covered bonds which comply with Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61. 200 1.1.2.2. Qualifying CIU shares/units: underlying is extremely high quality covered bonds Article 15(2)(c) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as extremely high quality covered bonds as specified in Article 10(1)(f) of Commission Delegated Regulation (EU) 2015/61. 210 1.1.2.3. Central credit institutions: Level 1 extremely high quality covered bonds which are considered liquid assets for the depositing credit institution Article 27(3) of Commission Delegated Regulation (EU) 2015/61 In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits. These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here. Assets referred to in this row are level 1 extremely high quality covered bonds. 220 1.2. Total unadjusted level 2 assets Articles 11, 12, 13, 14, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this section have been explicitly identified as, or treated similarly to, either Level 2A or Level 2B assets according to the Commission Delegated Regulation (EU) 2015/61. Credit Institutions shall report the total amount/Market value of their Level 2 Liquid assets in c010. Credit Institutions shall report the total Value according to Article 9 of their Level 2 Liquid assets in c040. 230 1.2.1. Total unadjusted LEVEL 2A assets Articles 11, 15 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this sub-section have been explicitly identified as, or treated as Level 2A assets, according to the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total market value amount of Level 2A assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2A assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. 240 1.2.1.1. Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %) Article 11(1)(a) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State where exposures are assigned a risk weight of 20 %. 250 1.2.1.2. Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %) Article 11(1)(b) of Commission Delegated Regulation (EU) 2015/61 Assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided they are assigned a 20 % risk weight. 260 1.2.1.3. High quality covered bonds (CQS2) Article 11(1)(c) of Commission Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of high quality covered bonds which comply with Article 11(1)(c) of Commission Delegated Regulation (EU) 2015/61 provided that they are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of Regulation (EU) No 575/2013. 270 1.2.1.4. High quality covered bonds (Third Country, CQS1) Article 11(1)(d) of Commission Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of covered bonds issued by credit institutions in third countries which comply with Article 11(1)(d) of Commission Delegated Regulation (EU) 2015/61 provided that they are assigned a credit assessment by a nominated ECAI which is credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013. 280 1.2.1.5. Corporate debt securities (CQS1) Article 11(1)(e) of Commission Delegated Regulation (EU) 2015/61 Corporate debt securities which comply with Article 11(1)(e) of Commission Delegated Regulation (EU) 2015/61. 290 1.2.1.6. Qualifying CIU shares/units: underlying is Level 2A assets Article 15(2)(d) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2A assets as specified in Article 11 of Commission Delegated Regulation (EU) 2015/61. 300 1.2.1.7. Central credit institutions: Level 2A assets which are considered liquid assets for the depositing credit institution Article 27(3) of Commission Delegated Regulation (EU) 2015/61 In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits. These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here. Assets referred to in this row are level 2A assets. 310 1.2.2. Total unadjusted LEVEL 2B assets Articles 12, 13, 14, 15, 16 and 19 of Commission Delegated Regulation (EU) 2015/61 Assets reported in this subsection have been explicitly identified as Level 2B assets according to the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total market value amount of Level 2B assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report in Column 040 the sum of total weighted amount of Level 2B assets, unadjusted from provision of Article 17 of the Commission Delegated Regulation (EU) 2015/61. 320 1.2.2.1. Asset-backed securities (residential, CQS1) Articles 12(1)(a) and 13(2)(g)(i) and (ii) of Commission Delegated Regulation (EU) 2015/61 Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by residential loans secured by first ranking mortgage or fully guaranteed residential loans in accordance with Articles 13(2)(g)(i) and (ii) of the same Regulation. Assets which are subject to the transitional provision specified in Article 37 of Commission Delegated Regulation (EU) 2015/61 are reported here. 330 1.2.2.2. Asset-backed securities (auto, CQS1) Articles 12(1)(a) and 13(2)(g)(iv) of Commission Delegated Regulation (EU) 2015/61 Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by auto loans and leases in accordance with Article 13(2)(g)(iv) of the same Regulation. 340 1.2.2.3. High quality covered bonds (RW35 %) Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61 Assets representing exposures in the form of covered bonds issued by credit institutions which comply with Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61 provided that the pool of underlying assets consist exclusively of exposures which qualify for a 35 % or lower risk weight under Article 125 of Regulation (EU) No 575/2013. 350 1.2.2.4. Asset-backed securities (commercial or individuals, Member State, CQS1) Articles 12(1)(a) and 13(2)(g)(iii) and (v) of Commission Delegated Regulation (EU) 2015/61 Exposures in the form of asset-backed securities which comply with the requirements laid out in Article 13 of Commission Delegated Regulation (EU) 2015/61 provided that they are backed by assets defined in Article 13(2)(g)(iii) and (v) of the same Regulation. Note that for the purpose of Article 13(2)(g)(iii), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. 360 1.2.2.5. Corporate debt securities (CQS2/3) Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61 Corporate debt securities which comply with Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61 370 1.2.2.6. Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3) Article 12(3) of Commission Delegated Regulation (EU) 2015/61 For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance to hold interest bearing assets, the competent authority may allow to derogate from points (ii) and (iii) of paragraph 1(b) of Article 12, provided there is evidence of insufficient availability of non-interest bearing assets meeting these requirements and the non-interest bearing assets in question are adequately liquid in private markets. The above mentioned credit institutions shall report corporate debt securities containing non-interest bearing assets, as mentioned above, as long as they meet requirements of point (i) of paragraph 1(b) of Article 12 and have received proper derogation from their competent authority. 380 1.2.2.7. Shares (major stock index) Article 12(1)(c) of Commission Delegated Regulation (EU) 2015/61 Shares, which comply with Article 12(1)(c) of Commission Delegated Regulation (EU) 2015/61 and are denominated in the currency of the credit institution's home Member State. Credit institutions shall also report shares complying with Article 12(1)(c) and denominated in a different currency, provided that they are counted as level 2B assets only up to the amount to cover the liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken. 390 1.2.2.8. Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) Article 12(1)(f) of Commission Delegated Regulation (EU) 2015/61 For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance from holding interest bearing assets, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment. 400 1.2.2.9. Restricted-use central bank committed liquidity facilities Articles 12(1)(d) and 14 of Commission Delegated Regulation (EU) 2015/61 Undrawn amount of restricted-use committed liquidity facilities provided by central banks which comply with Article 14 of Commission Delegated Regulation (EU) 2015/61. 410 1.2.2.10. Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1) Article 15(2)(e) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (i), (ii) and (iv) of Article 13(2)(g) of Commission Delegated Regulation (EC) No 2015/61. 420 1.2.2.11. Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %) Article 15(2)(f) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in Article 12(1)(e) of Commission Delegated Regulation (EU) 2015/61. 430 1.2.2.12. Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1) Article 15(2)(g) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to assets that do qualify as level 2B assets as specified in points (iii) and (v) of Article 13(2)(g) of Commission Delegated Regulation (EU) 2015/61. Note that for the purpose of Article 13(2)(g)(iii), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation. 440 1.2.2.13. Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5) Article 15(2)(h) of Commission Delegated Regulation (EU) 2015/61 Shares or units in CIUs whose underlying assets correspond to corporate debt securities that comply with Article 12(1)(b) of Commission Delegated Regulation (EU) 2015/61, shares that comply with Article 12(1)(c) of the same Regulation or non-interest bearing assets that comply with Article 12(1)(f) of the same Regulation. 450 1.2.2.14. Deposits by network member with central institution (no obligated investment) Article 16(1)(b) of Commission Delegated Regulation (EU) 2015/61 Minimum deposit that the credit institution maintains with the central credit institution, provided that it is part of an institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013, a network eligible for the waiver provided in Article 10 of the same Regulation or a cooperative network in a Member State governed by law or contract. Credit institutions shall ensure that the central institution is under no legal or contractual obligation to hold or invest the deposits in liquid assets of specified level or category. 460 1.2.2.15. Liquidity funding available to network member from central institution (non-specified collateralisation) Article 16(2) of Commission Delegated Regulation (EU) 2015/61 Undrawn amount of limited liquidity funding that complies with Article 16(2) of Commission Delegated Regulation (EU) 2015/61. 470 1.2.2.16. Central credit institutions: Level 2B assets which are considered liquid assets for the depositing credit institution Article 27(3) of Commission Delegated Regulation (EU) 2015/61 In accordance with Article 27(3) of Commission Delegated Regulation (EU) 2015/61, it is necessary to identify liquid assets which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. These liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level. Central institutions, when these reporting these assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits. These assets shall be reported in the applicable section of template C 72.00 of Annex XXIV and the relevant figure shall be noted here. Assets referred to in this row are level 2B assets. MEMORANDUM ITEMS 480 2. Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons Article 19(1)(a) of Commission Delegated Regulation (EU) 2015/61 Where there are insufficient liquid assets in a given currency for credit institutions to meet the LCR the credit institution may cover the deficit of liquid assets in a currency by disregarding the operational requirements on currency consistency set out in Article 8(6) of Commission Delegated Regulation (EU) 2015/61. The extra assets shall be reported as normal in their applicable section of template C 72.00 of Annex XXIV and the total amount of assets included due to this Alternative liquidity approach due to not applying currency consistency shall be noted here. 490 3. Deposits by network member with central institution (obligated investment in Level 1 excluding extremely high quality covered bonds assets) Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of level 1 assets excluding extremely high quality covered bonds reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. 500 4. Deposits by network member with central institution (obligated investment in Level 1 extremely high quality covered bonds assets) Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of level 1 extremely high quality covered bonds assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. 510 5. Deposits by network member with central institution (obligated investment in Level 2A assets) Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of level 2A assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. 520 6. Deposits by network member with central institution (obligated investment in Level 2B assets) Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of level 2B assets reported in above sections as per the requirements in Article 16(1)(a) of Commission Delegated Regulation (EU) 2015/61. 530 7. Adjustments made to assets due to net liquidity outflows from early close-out of hedges Article 8(5)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the total amount of adjustments they have made to their liquid assets reported in the sections for Level 1/2A/2B regarding the net cash outflows due to early close-out of hedges in accordance with Article 8(5)(b) of the Commission Delegated Regulation (EU) 2015/61. 540 8. Adjustments made to assets due to net liquidity inflows from early close-out of hedges Article 8(5)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the total amount of adjustments they have made to their liquid assets reported in the sections for Level 1/2A/2B regarding the net cash inflows due to early close-out of hedges in accordance with Article 8(5)(b) of the Commission Delegated Regulation (EU) 2015/61. 550 9. Member State-sponsored guaranteed bank assets subject to grandfathering Article 35 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with Article 35 of Commission Delegated Regulation (EU) 2015/61 reported in above sections. 560 10. Member State-sponsored impaired asset management agencies subject to transitional provision Article 36 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of assets referred to in Article 36 of Commission Delegated Regulation (EU) 2015/61 reported in above sections. 570 11. Securitisations backed by residential loans subject to transitional provision Article 37 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of assets referred to in Article 37 of Commission Delegated Regulation (EU) 2015/61 reported in above sections. 580 12. Level 1/2A/2B assets excluded due to currency reasons Articles 8(6), 10(1)(d) and 12(1)(c) of Commission Delegated Regulation (EU) 2015/61 Institution shall report the portion of assets complying with Article 8(6), 10(1)(d) and Article 12(1)(c) that is not recognisable by institution under the provisions set out in those Articles. 590 13. Level 1/2A/2B assets excluded for operational reasons except for currency reasons Article 8 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report assets complying with Article 7 of the Commission Delegated Regulation (EU) 2015/61 but that do not meet the requirements specified in Article 8 of the same regulation, provided that they have not been reported in row 580 for currency reasons. 600 14. Level 1 Non-interest bearing assets (held by credit institutions for religious reasons) Credit institutions shall report the total amount of Level 1 non-interest bearing assets (held by credit institutions for religious reasons). 610 15. Level 2A Non-interest bearing assets (held by credit institutions for religious reasons) Credit institutions shall report the total amount of Level 2A non-interest bearing assets (held by credit institutions for religious reasons). REPORTING ON LIQUIDITY (PART 2 OUTFLOWS) 1. Outflows 1.1. General remarks 1. This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey. 2. Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61. 3. Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authorities complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of the items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to. 4. In accordance with Article 22(1) of Commission Delegated Regulation (EU) 2015/61, liquidity outflows shall: i. include those categories referred to in Article 22(2) of Commission Delegated Regulation (EU) 2015/61 ii. be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Commission Delegated Regulation (EU) 2015/61. 5. Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘weight’ just refers to these. In these instructions the word ‘weighted’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). 6. Outflows within a group or an institutional protection scheme (except for outflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential outflow rate and outflows from operational deposits maintained in the context of an institutional Protection Scheme or a cooperative network) shall be reported in the relevant categories. These outflows shall also be separately reported as memorandum items. 7. The liquidity outflows shall be reported only once in the template unless additional outflows according to article 30 of the Commission Delegated Regulation (EU) 2015/61 are applicable or where the item is also a memorandum item. The reporting of the memorandum items does not affect the calculations of liquidity outflows. 8. When reporting in a significant currency, the following shall always apply: — only items and flows denominated in that currency shall be reported; — in case of currency mismatch between legs of a transaction, only the leg in that currency shall be reported; — where the Commission Delegated Regulation (EU) 2015/61 allows netting it may only be applied to flows in that currency; — where a flow has multicurrency optionality, the credit institution shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency. 9. The standard weights in column 040 of template C 73.00 of Annex XXIV are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided here for information. 10. The template contains information about collateralised liquidity flows, referred to as ‘secured lending and capital-market driven transactions’ in Commission Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that regulation. 11. A separate template is provided for collateral swaps, C 75.00 of Annex XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of Annex XXIV, which only covers cash- versus-collateral transactions. 1.2. Specific remarks regarding settlement and forward starting transactions 12. Credit institutions shall report outflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an outflow. In the case of a reverse repo, the amount to be lent to the counterparty shall be considered as an outflow and reported in item 1.1.7.3. net of the market value of the asset to be received as collateral and after the application of the related LCR haircut if the asset qualifies as liquid asset. If the amount to be lent is lower than of the market value of the asset (after LCR haircut) to be received as collateral, the difference shall be reported as an inflow. If the collateral to be received does not qualify as liquid asset, the outflow shall be reported in full. In the case of repo, where the market value of the asset to be lent as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be received, the difference is to be reported as an outflow in the above mentioned row. For collateral swaps, where the net effect of the initial swap of liquid assets (taking into account LCR haircuts) gives rise to an outflow this outflow shall be reported in the above mentioned row. Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored 13. Decision tree for sections 1 of C 73.00 of Annex XXIV, the decision tree is without prejudice to the memorandum items reporting. The decision tree is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, credit institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. DA refers to Commission Delegated Regulation (EU) 2015/61. # Item Decision Reporting 1 Forward starting transaction Yes # 2 No # 4 2 Forward transaction entered into subsequent to the reporting date; Yes Do not report No # 3 3 Forward transaction that start prior to and mature after the 30-day horizon. Yes Do not report No ID 1.1.7.3. 4 An item requiring additional outflows in accordance with Article 30 of DA? Yes # 5 and subsequently # 48 No # 5 5 Retail deposit in accordance with Article 3(8) of DA. Yes # 6 No # 12 6 Canceled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution? Yes ID 1.1.1.1. No # 7 7 Deposit in accordance with Article 25(4) of DA? Yes Do not report No # 8 8 Deposit in accordance with Article 25(5) of DA? Yes ID 1.1.1.5. No # 9 9 Deposit in accordance with Article 25(2) of DA? Yes Allocate into one relevant item of ID 1.1.1.2. No # 10 10 Deposit in accordance with Article 24(4) of DA? Yes ID 1.1.1.4. No # 11 11 Deposit in accordance with Article 24(1) of DA? Yes ID 1.1.1.3. No ID 1.1.1.6. 12 Liability that become due, can be called for pay- out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days? Yes # 13 No # 29 13 Liability resulting from the institution's own operating expenses? Yes ID 1.1.7.1. No # 14 14 Liability in form of bond sold exclusively in the retail market and held in a retail account in accordance with Article 28(6) of DA? Yes Follow path for retail deposits (ie. answer yes for # 5 and treat accordingly) No # 15 15 Liability in form of debt security? Yes ID 1.1.7.2. No # 16 16 Deposit received as collateral? Yes Allocate across relevant items of ID 1.1.4. No # 17 17 Deposit arising out of a corresponding banking or from the prime brokerage? Yes ID1.1.3.1. No # 18 18 Operational deposit in accordance with Article 27 of DA? Yes # 19 No # 24 19 Maintained in the context of IPS or a cooperative network? Yes # 20 No # 22 20 Treated as liquid assets for the depositing credit institution? Yes ID 1.1.2.2.2. No # 21 21 Maintained to obtain cash clearing and central credit institution services within a network? Yes ID 1.1.2.4. No ID 1.1.2.2.1. 22 Maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship? Yes Allocate into one relevant item of ID 1.1.2.1. No # 23 23 Maintained in the context of an established operational relationship (other) with non-financial customers? Yes ID 1.1.2.3. No # 24 24 Other deposit? Yes # 25 No # 26 25 Deposits by financial customers? Yes ID 1.1.3.2. No Allocate into one relevant item of ID 1.1.3.3. 26 Liability from secured lending and capital market driven transaction with the exception of derivatives and collateral swaps? Yes Allocate into one relevant item of ID 1.2. No # 27 27 Liability from collateral swaps? Yes Allocate into one relevant item of C75.00 and ID 1.3. where applicable. No # 28 28 Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA? Yes ID 1.1.4.5. No ID1.1.7.3. 29 Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA? Yes # 30 No # 38 30 Committed credit facility? Yes # 31 No # 33 31 Within IPS or cooperative network treated as liquid asset by the depositing institution? Yes ID 1.1.5.1.6. No # 32 32 Within a group or an IPS subject to preferential treatment? Yes ID 1.1.5.1.5. No Allocate into one relevant remaining item of ID 1.1.5.1. 33 Committed liquidity facility? Yes # 34 n/a n/a 34 Within IPS or cooperative network treated as liquid asset by the depositing institution? Yes ID 1.1.5.2.7. No # 35 35 Within a group or an IPS subject to preferential treatment? Yes ID 1.1.5.2.6. No # 36 36 To SSPEs? Yes Allocate into one relevant item of ID 1.1.5.2.4. No # 37 37 To personal investment companies? Yes ID 1.1.5.2.3. No Allocate into one relevant remaining item of ID 1.1.5.2. 38 Other product or service in accordance with Article 23 of DA? Yes # 39 No Do not report 39 Trade finance off balance sheet related product? Yes ID1.1.6.8. No # 40 40 Contractual commitments to extend funding to non-financial customers in excess of monies due from those customers? Yes One of the following IDs: 1.1.6.6.1.1. to 1.1.6.6.1.4. No # 41 41 Undrawn loans and advances to wholesale counterparties? Yes ID 1.1.6.2. No # 42 42 Mortgages that have been agreed but not yet drawn down Yes ID 1.1.6.3. No # 43 43 Is it other planned outflow related to renewal or extension of new loans? Yes ID 1.1.6.6.2. No # 44 44 Credit cards? Yes ID 1.1.6.4. No # 45 45 Overdraft? Yes ID 1.1.6.5. No # 46 46 Planned derivatives payable? Yes ID1.1.6.7. No # 47 47 Other off balance sheet and contingent funding obligation? Yes ID1.1.6.1. No ID 1.1.6.9. 48 Debt security already reported in item 1.1.7.2 of C 73.00? Yes Do not report No # 49 49 Liquidity requirement for derivatives in accordance with article 30.4 of DA already considered in question # 28? Yes Do not report No Allocate across relevant items of ID 1.1.4. 1.3. Instructions concerning specific columns Column Legal references and instructions 010 Amount 1.1. Unsecured transactions/deposits specific instructions: Credit institutions shall report here the outstanding balance of various categories of liabilities and off-balance sheet commitments as specified in Articles 22 to 31 of Commission Delegated Regulation (EU) 2015/61. Subject to prior approval of the competent authority within each category of outflows, the amount of each item reported in Column 010 of template C 73.00 of Annex XXIV shall be netted by subtracting the relevant amount of interdependent inflow in accordance with Article 26. 1.2. Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the outstanding balance of the liabilities in accordance with Article 22(2) of Commission Delegated Regulation (EU) 2015/61, which represent the cash leg of the secured transaction. 020 Market value of collateral extended Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the market value of extended collateral which is calculated as the current market value gross of haircut and net of flows resulting from unwinding associated hedges (in accordance with Article 8(5) of Commission Delegated Regulation (EU) 2015/61 and subject to the following conditions: — These extended collateral to be reported only refer to Level 1, 2A and 2B assets that would qualify upon maturity as liquid assets in accordance with Title II. Where collateral is Level 1, 2A or 2B but would not qualify as liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid. Similarly, where a credit institution may only recognize part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the Levels 1, 2A and 2B rows (in accordance with Article 12(1)(c)(i) to (iii) and Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognized within liquid assets, the surplus amount shall be reported in the non-liquid section; — Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction reporting). 030 Value of collateral extended according to Article 9 Secured lending and capital market-driven transactions specific instructions: Credit institutions shall report here the value of extended collateral in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61. This is calculated by multiplying Column 020 of template C 73.00 of Annex XXIV by the applicable weight/haircut from template C 72.00 of Annex XXIV corresponding to asset type. Column 030 of template C 73.00 of Annex XXIV is used in the calculation of the adjusted amount of liquid assets in template C 76.00 of Annex XXIV. 040 Standard Weight Articles 24 – 31 of Commission Delegated Regulation (EU) 2015/61 The standard weights in Column 040 are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided for information only. 050 Applicable Weight Both unsecured and secured: Credit institutions shall report here applicable weights. These weights are those specified in Articles 22 to 31 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,00 for an applicable weight of 100 per cent, or 0,50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. 060 Outflow Both unsecured and secured: Credit institutions shall report here the outflows. This is calculated by multiplying Column 010 C 73.00 of Annex XXIV by Column 050 C 73.00 of Annex XXIV. 1.4. Instructions concerning specific rows Row Legal references and instructions 010 1. OUTFLOWS Chapter 2 of Title III of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on outflows in accordance with Chapter 2 of Title III of Commission Delegated Regulation (EU) 2015/61. 020 1.1. Outflows from unsecured transactions/deposits Articles 20 to 31 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on outflows in accordance with Articles 21 to 31 with the exception of outflows in accordance with Article 28(3) an (4) of Commission Delegated Regulation (EU) 2015/61. 030 1.1.1. Retail deposits Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on retail deposits as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61. In accordance with Article 28(6) of Commission Delegated Regulation (EU) 2015/61 credit institutions shall also report within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. Credit institutions will consider for this category of liability the applicable outflow rates provided for by the Commission Delegated Regulation (EU) 2015/61 for the different categories of retail deposits. Accordingly, credit institutions shall report as applicable weigh the average of the relevant applicable weights for all these deposits. 040 1.1.1.1. deposits where the pay-out has been agreed within the following 30 days Article 25(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here deposits with a residual maturity of less than 30 days where pay-out has been agreed. 050 1.1.1.2. deposits subject to higher outflows Articles 25(2) and (3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here the full balance of the deposits subject to higher outflow rates in accordance with paragraph 2 and 3 of Article 25 of Commission Delegated Regulation (EU) 2015/61. Those retail deposits where the assessment under paragraph 2 of Article 25 for their categorization has not been carried out or is not completed shall also be reported here. 060 1.1.1.2.1. Category 1 Article 25(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfills the criteria in subparagraph (a) or two of the criteria in subparagraphs (b) to (e) of paragraph 2 of Article 25 of Commission Delegated Regulation (EU) 2015/61 unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this latter category. Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in subparagraph (a) of paragraph 3 of Article 25 of Commission Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred to in the previous paragraph and weighted by the cited corresponding amounts. 070 1.1.1.2.2. Category 2 Article 25(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfills the criteria in subparagraph (a) of paragraph 2 of Article 25 of the Commission Delegated Regulation (EU) 2015/61 and at least another criterion referred to in that paragraph 2 or three or more criteria of the cited paragraph unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this latter category. Those retail deposits where the assessment under paragraph 2 of Article 25 for their categorization has not been carried out or is not completed shall also be reported here. Credit institutions shall report as applicable weight the average of the rates, either those standard rates envisaged by default in subparagraph (b) of paragraph 3 of Article 25 of the Commission Delegated Regulation (EU) 2015/61 or higher ones if applied by a competent authority, which have been effectively applied on the full amount of every deposit referred in the previous paragraphs and weighted by the cited corresponding amounts. 080 1.1.1.3. stable deposits Article 24 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24 (2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where: — These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or — These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this category; — The derogation specified in paragraph 4 of Article 24 is not applicable. 090 1.1.1.4. Derogated stable deposits Articles 24(4) and (6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the part of the amounts of retail deposits which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU up to a maximum level of EUR 100 000 and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where: These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or — These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) in which case they shall be reported within this category; — The derogation envisaged in paragraph 4 of Article 24 is applicable. 100 1.1.1.5. deposits in third countries where a higher outflow is applied Article 25(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of retail deposits taken in third countries where a higher outflow is applied in accordance with the national law which sets out liquidity requirements in that third country. 110 1.1.1.6. other retail deposits Article 25(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of other retail deposits than those captured in the previous items. 120 1.1.2. Operational deposits Articles 27 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on operational deposits in accordance with article 27 of the Commission Delegated Regulation (EU) 2015/61, with the exception of deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services which are considered as non- operational deposits in accordance with Article 27(5) of the Commission Delegated Regulation (EU) 2015/61. 130 1.1.2.1. maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship Article 27(1)(a), Article 27(2) and Article 27(4) of the Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on deposits maintained by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established relationship (in accordance with Article 27(1)(a) of the Commission Delegated Regulation (EU) 2015/61) which is critically important to the depositor (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61); funds in excess of those required for the provision of operational services are treated as non-operational deposits (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61). Only deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely (in accordance with Article 27(4)) shall be reported. Credit institutions shall report separately, in accordance with Article 27(2) of the Commission Delegated Regulation (EU) 2015/61, the amount of these deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme, as specified in the following items of the instructions. 140 1.1.2.1.1. covered by DGS (Deposit Guarantee Scheme) Article 27(1)(a), Article 27(2) and Article 27(4) of the Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the portion of the outstanding balance of operational deposits maintained in the context of an established operational relationship that fulfills the criteria set out in Article 27(1)(a) and 27 (4) of the Commission Delegated Regulation (EU) 2015/61 and which is covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. 150 1.1.2.1.2. not covered by DGS Article 27(1)(a), Article 27(2) and Article 27(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the portion of the outstanding balance of operational deposits in the context of an established operational relationship that fulfills the criteria set out in Article 27(1)(a) and 27 (4) of the Commission Delegated Regulation (EU) 2015/61 and which is not covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC, or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. 160 1.1.2.2. maintained in the context of IPS (Institutional Protection Scheme) or a cooperative network Article 27(1)(b) and Article 27(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on deposits maintained in the context of a common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) of Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently affiliated to a central body meeting the requirements of Article 113(6) of the same Regulation, or as a legal or contractually established minimum deposit by another credit institution that is a Member of the same institutional protection scheme or cooperative network, as set out in Article 27(1)(b) of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report these deposits into different rows depending on whether they are treated as liquid assets by the depositing credit institution or not, in accordance with Article 27(3) of the Commission Delegated Regulation (EU) 2015/61. 170 1.1.2.2.1. not treated as liquid assets for the depositing institution Article 27(1)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained in the context of a cooperative network or an institutional protection scheme in accordance with the criteria set out in Article 27(1)(b) of the Commission Delegated Regulation (EU) 2015/61, provided those deposits are not recognized as liquid assets for the depositing credit institution. 180 1.1.2.2.2. treated as liquid assets for the depositing credit institution Article 27(1)(b) and Article 27(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report deposits from credit institutions placed at the central credit institution that are considered as liquid assets for the depositing credit institution in accordance with Article 16 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the amount of these deposits up to the amount of the correspondent liquid assets after haircut, as set out in Article 27(3) of the Commission Delegated Regulation (EU) 2015/61. 190 1.1.2.3. maintained in the context of an established operational relationship (other) with non-financial customers Article 27(1)(c), Article 27(4) and Article 27(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained by a non-financial customer in the context of an established operational relationship other than that mentioned in Article 27(1)(a) of the Commission Delegated Regulation (EU) 2015/61, and subject to the requirements set out in Article 27(6). Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61) shall be reported. 200 1.1.2.4. maintained to obtain cash clearing and central credit institution services within a network Article 27(1)(d) and Article 27(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained by the depositor to obtain cash clearing and central institution services and where the credit institution belongs to one of a network or schemes referred to in Article 16 of the Commission Delegated Regulation (EU) 2015/61, as set out in Article 27(1)(d) of the Commission Delegated Regulation (EU) 2015/61. These cash clearing and central credit institution services only covers such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61); funds in excess of those required for the provision of operational services are treated as non-operational deposits (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61). Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely (in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61) shall be reported. 210 1.1.3. Non-operational deposits Art 27 (5), Article 28(1) and Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on unsecured deposits referred to in Article 28(1) of the Commission Delegated Regulation (EU) 2015/61 and those arising out of a correspondent banking or from the provision of prime brokerage services in accordance with Article 27(5) of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report separately, with the exception of the liabilities arising out of correspondent banking relationship or from the provision of prime brokerage services in accordance with Article 27(5) of the Commission Delegated Regulation (EU) 2015/61, the amount of these non-operational deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme, as specified in the following items of the instructions. 220 1.1.3.1. correspondent banking and provisions of prime brokerage deposits Article 27(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits arising out of correspondent banking relationship or from the provision of prime brokerage as referred to in Article 27(5) of the Commission Delegated Regulation (EU) 2015/61. 230 1.1.3.2. deposits by financial customers Article 31(10) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of deposits maintained by financial customers to the extent they are not considered as operational deposits in accordance with Article 27 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall include here also funds in excess of those required for the provision of the operational services in accordance with Article 27(4) of the Commission Delegated Regulation (EU) 2015/61. 240 1.1.3.3. deposits by other customers Article 28(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on deposits maintained by other customers (other than financial customers and customers considered for the retail deposits) in accordance with Article 28(1) of the Commission Delegated Regulation (EU) 2015/61, to the extent they are not considered as operational deposits in accordance with Article 27. This section shall also include: — funds in excess of those required for the provision of the operational services in accordance with Article 27(4) of the Commission delegated Regulation (EU) 2015/61 provided that they are not from financial customers; and — the excess part of the deposits in accordance with Article 27(6) of the Commission Delegated Regulation (EU) 2015/61. These deposits shall be reported in two different rows depending on the amount of the deposit covered or not covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme). 250 1.1.3.3.1. covered by DGS Article 28(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of these deposits maintained by other customers and covered by a Deposit Scheme Guarantee in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1). 260 1.1.3.3.2. not covered by DGS Article 28(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of these deposits maintained by other customers and not covered by a Deposit Scheme Guarantee in accordance with Directive 94/19/EC or Directive 2014/48/EC or an equivalent Deposit Guarantee Scheme in a third country as referred to in Article 28(1). 270 1.1.4. Additional outflows Article 30 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on additional outflows as defined in Article 30 of the Commission Delegated Regulation (EU) 2015/61. In accordance with Article 30(7) of the Commission Delegated Regulation (EU) 2015/61 deposits received as collateral shall not be considered as liabilities for the purposes of Article 27 or 29 of the Commission Delegated Regulation (EU) 2015/61 but shall be subject to the provisions of paragraphs 1 to 6 of article 30 of the Commission Delegated Regulation (EU) 2015/61 where applicable. 280 1.1.4.1. collateral other than Level 1 assets posted for derivatives Article 30(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of collateral other than Level 1 collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives. 290 1.1.4.2. level 1 EHQ Covered Bonds assets collateral posted for derivatives Article 30(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of level 1 EHQ Covered Bonds collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives. 300 1.1.4.3. material outflows due to deterioration of own credit quality Article 30(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report total amount of additional outflows they have calculated and notified to the competent authorities in accordance with Article 30(2) of the Commission Delegated Regulation (EU) 2015/61. If an amount subject to outflow due to deterioration of own credit quality has been reported elsewhere in a row with less than 100 % weight, then an amount shall also be reported in Row 300 such that the sum of the outflows is 100 % outflow in total for the transaction. 310 1.1.4.4. impact of an adverse market scenario on derivatives, financing transactions and other contracts Article 30(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of outflows calculated in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013. 320 1.1.4.4.1. HLBA (Historical Look-back Approach)approach Article 30(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount resulting from application of the Historical Look-back Approach in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013. 330 1.1.4.4.2. AMAO (Advanced Method for Additional Outflows) approach Article 30(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here the excess amount over the amount in item 1.1.4.4.1. resulting from the application of the Advanced Method for Additional Outflows in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013. Only credit institutions that have been permitted by the relevant competent authorities to use the internal-model method (IMM) set out in Section 6 of Chapter 6 of Regulation (EU) No 575/2013 shall report this item. 340 1.1.4.5. outflows from derivatives Article 30(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of outflows expected over 30 calendar days from contracts listed in Annex II of Regulation (EU) No 575/2013 calculated in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61. For significant currency reporting only, credit institutions shall report outflows which occur only in the respective significant currency. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR- 10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00). 350 1.1.4.6. short positions Article 30(5) and Article 30(11) of Commission Delegated Regulation (EU) 2015/61 The credit institution shall add an additional outflow corresponding to 100 % of the market value of securities or other assets sold short and to be delivered within 30 calendar day period to reflect the requirement that the credit institution needs to collateralise assets borrowed to settle any short sales. No outflow shall be assumed either if the credit institution owns the securities to be delivered, since they have been fully paid for, or has borrowed them at terms requiring their return only after the 30 calendar day period, and the securities do not form part of the institution's liquid assets. If the short position is being covered by an existing collateralised securities financing transaction, the credit institution shall assume the short position will be maintained throughout the 30 calendar day period and receive a 0 % outflow. 360 1.1.4.6.1. covered by collateralized SFT (securities financing transactions) Article 30(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of securities or other assets sold short that are covered by collateralized securities financing transactions and to be delivered within 30 calendar days unless the credit institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 calendar da period and the securities do not form part of the institutions liquid assets. If the short position is being covered by a collateralized securities financing transaction, the credit institution shall assume the short position will be maintained throughout the 30 calendar days period and receive a 0 % outflow. 370 1.1.4.6.2. other Article 30(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of securities or other assets sold short other than those covered by collateralized securities financing transactions and to be delivered within 30 calendar days unless the credit institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 calendar day period and the securities do not form part of the institutions liquid assets. 380 1.1.4.7. callable excess collateral Article 30(6)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of excess collateral that the institution holds and that can be contractually called at any times by the counterparty. 390 1.1.4.8. due collateral Article 30(6)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of collateral that is due to be posted to counterparty within the 30 calendar day period. 400 1.1.4.9. liquid asset collateral exchangeable for non liquid assets Article 30(6)(c) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the market value of collateral that qualifies as liquid assets for the purpose of Title II that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purpose of Title II without the consent of the institution. 410 1.1.4.10. loss of funding on structured financing activities Article 30(8) to 30(10) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall assume 100 % outflow for loss of funding on asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period issued by the credit institution or by sponsored conduits or SPVs. Credit institutions that are providers of liquidity facilities associated with financing programs reported here do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs. 420 1.1.4.10.1. structured financing instruments Article 30(8) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the current outstanding amount of own liabilities or liabilities of sponsored conduits or SPVs from asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period. 430 1.1.4.10.2. financing facilities Article 30(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maturing amount of liabilities from asset- backed commercial papers, conduits, securities investment vehicles and other such financing facilities, in so far they do not enter into the scope of definition of the instruments defined in item 1.1.4.10.1., or the amount of assets that could potentially be returned or the liquidity required in the scope of those instruments. All funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities maturing or returnable within 30 days. Credit institutions having structured financing facilities that include the issuance of short-term debt instruments, such as asset backed commercial paper, shall report the potential liquidity outflows from these structures. These include, but are not limited to, (i) the inability to refinance maturing debt, and (ii) the existence of derivatives or derivative-like components contractually written into the documentation associated with the structure that would allow the ‘return’ of assets in a financing arrangement, or that require the original asset transferor to provide liquidity, effectively ending the financing arrangement (‘liquidity puts’) within the 30-day period. Where the structured financing activities are conducted through a special purpose entity (such as a special purpose vehicle, conduit or SIV), the credit institution shall, in determining the HQLA requirements, look through to the maturity of the debt instruments issued by the entity and any embedded options in financing arrangements that may potentially trigger the ‘return’ of assets or the need for liquidity, irrespective of whether or not the SPV is consolidated. 440 1.1.4.11. assets borrowed on an unsecured basis Article 30(11) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here assets borrowed on an unsecured basis and maturing within the 30 days. These assets shall be assumed to run off in full, leading to a 100 % outflow. This treatment aims to reflect the fact that securities lent against a fee are likely to be recalled under stressed conditions or that security lenders will seek full collateralization. Credit institutions shall report the market value of assets borrowed on an unsecured basis and maturing within the 30 days period where the credit institution does not own the securities and they do not form part of institutions liquidity buffer. 450 1.1.4.12. internal netting of client's positions Article 30(12) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here the market value of client's assets where in relation to prime brokerage services the credit institution has financed the assets of one client by internally netting them against the short sales of another client. 460 1.1.5. Committed facilities Article 31 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on outflows as defined in Article 31 of the Commission Delegated Regulation (EU) 2015/61. Credit institutions shall also report here on committed facilities in accordance with Article 29 of the Commission Delegated Regulation (EU) 2015/61. Maximum amount that could be drawn shall be assessed in accordance with Article 31(2) of Commission Delegated Regulation (EU) 2015/61. 470 1.1.5.1. credit facilities Credit institutions shall report here on committed credit facilities as defined in Article 31(1) of Commission Delegated Regulation (EU) 2015/61. 480 1.1.5.1.1. to retail customers Article 31(3) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to retail customers as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61. 490 1.1.5.1.2. to non-financial customers other than retail customers Article 31(4) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities to customers that are neither financial customers in accordance with Article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with Article 3(8) of Commission Delegated Regulation (EU) 2015/61 and which have not been provided for the purpose of replacing funding of the client in situations where the client is unable to obtain funding requirements in the financial markets. 500 1.1.5.1.3. to credit institutions Credit institutions shall report here on committed credit facilities provided to credit institutions. 510 1.1.5.1.3.1. for funding promotional loans of retail customers Article 31(9) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. 520 1.1.5.1.3.2. for funding promotional loans of non-financial customers Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. 530 1.1.5.1.3.3. other Article 31(8)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to credit institutions other than those reported above. 540 1.1.5.1.4. to regulated financial institutions other than credit institutions Article 31(8)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities provided to regulated financial institutions other than credit institutions. 550 1.1.5.1.5. within a group or an IPS if subject to preferential treatment Article 29 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities for which they have received permission to apply a lower outflow rate in accordance with Article 29 of Commission Delegated Regulation (EU) 2015/61. 560 1.1.5.1.6. within an IPS or cooperative network if treated as liquid asset by the depositing institution Article 31(7) of Commission Delegated Regulation (EU) 2015/61 Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed credit facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2). 570 1.1.5.1.7. to other financial customers Article 31(8)(c) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities other than those reported above to other financial customers. 580 1.1.5.2. liquidity facilities Article 31(1) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on committed liquidity facilities as defined in Article 31(1) of Commission Delegated Regulation (EU) 2015/61. 590 1.1.5.2.1. to retail customers Article 31(3) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to retail customers as defined in Article 3(8) of Commission Delegated Regulation (EU) 2015/61. 600 1.1.5.2.2. to non-financial customers other than retail customers Article 31(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to customers that are neither financial customers in accordance with article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. 610 1.1.5.2.3. to personal investment companies Article 31(5) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amounts that could be drawn from undrawn committed liquidity facilities provided to private investment companies. 620 1.1.5.2.4. to SSPEs (securitization special purpose vehicle) Credit institutions shall report here on committed liquidity facilities provided to SSPEs. 630 1.1.5.2.4.1. to purchase assets other than securities from non-financial customers Article 31(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount of undrawn committed liquidity facilities provided to an SSPE for the purpose of enabling such SSPE to purchase assets, other than securities from clients that are not financial customers, to the extent that it 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. 640 1.1.5.2.4.2. other Article 31(8)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to SSPEs for other than above mentioned reasons. This includes arrangements under which the institution is required to buy or swap assets from an SSPE. 650 1.1.5.2.5. to credit institutions Credit institutions shall report here on committed liquidity facilities provided to credit institutions. 660 1.1.5.2.5.1. for funding promotional loans of retail customers Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. 670 1.1.5.2.5.2. for funding promotional loans of non-financial customers Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities provided to credit institutions for the sole purpose of directly or indirectly funding promotional loans qualifying as exposures to customers who are neither financial customers in accordance with article 3(9) of Commission Delegated Regulation (EU) 2015/61 nor retail customers in accordance with article 3(8) of Commission Delegated Regulation (EU) 2015/61. Only credit institutions which have been set up and are sponsored by central or regional government of at least one Member State may report this item. 680 1.1.5.2.5.3. other Article 31(8)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn of undrawn committed liquidity facilities provided to credit institutions not mentioned above. 690 1.1.5.2.6. within a group or an IPS if subject to preferential treatment Article 29 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities for which they have received permission to apply a lower outflow rate in accordance with article 29 of Commission Delegated Regulation (EU) 2015/61. 700 1.1.5.2.7. within an IPS or cooperative network if treated as liquid asset by the depositing institution Article 31(7) of Commission Delegated Regulation (EU) 2015/61 Central institutions of a scheme or network referred to in Article 16 shall report the maximum amount that could be drawn from undrawn committed liquidity facilities to member credit institution where such member credit institution treat the facility as a liquid asset in accordance with Article 16(2). 710 1.1.5.2.8. to other financial customers Article 31(8)(c) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities other than those reported above to other financial customers. 720 1.1.6. Other products and services Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here on those products or services referred to in Article 23(1) of the Commission Delegated Regulation (EU) 2015/61. The amount to be reported shall be the maximum amount that could be drawn from those products or services referred to in Article 23(1) of the Commission Delegated Regulation (EU) 2015/61. The applicable weight to be reported shall be the weight as determined by the competent authorities in accordance with the procedure set out in Article 23(2) of Commission Delegated Regulation (EU) 2015/61. 730 1.1.6.1. Other off-balance sheet and contingent funding obligations Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of guarantees and other off-balance sheet and contingent funding obligations referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. 740 1.1.6.2. undrawn loans and advances to wholesale counterparties Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of undrawn loans and advances to wholesale counterparties referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. 750 1.1.6.3. mortgages that have been agreed but not yet drawn down Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of mortgages that have been agreed but not yet drawn down referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. 760 1.1.6.4. credit cards Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of credit cards referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. 770 1.1.6.5. overdrafts Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of overdrafts referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. 780 1.1.6.6. planned outflows related to renewal or extension of new retail or wholesale loans Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of planned outflows related to renewal or extension of new retail or wholesale loans referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. 790 1.1.6.6.1. Excess of funding to non-financial customers Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial customers and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. 800 1.1.6.6.1.1. excess of funding to retail customers Credit institutions shall report here the difference between the contractual commitments to extend funding to retail customers and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. 810 1.1.6.6.1.2. excess of funding to non-financial corporates Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial corporates customers and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. 820 1.1.6.6.1.3. excess of funding to sovereigns, MLDBs (multilateral development banks) and PSEs (public sector entities) Credit institutions shall report here the difference between the contractual commitments to extend funding to sovereigns, multilateral development banks and public sector entities and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. 830 1.1.6.6.1.4. excess of funding to other legal entities Credit institutions shall report here the difference between the contractual commitments to extend funding to other legal entities and the monies due from such customers referred to by Article 32(3)(a) when the former exceeds the latter. 840 1.1.6.6.2. other Credit institutions shall report the amount of planned outflows related to renewal or extension of new retail or wholesale loans referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61 not captured above. 850 1.1.6.7. planned derivatives payables Article 23 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of planned derivatives payables referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. 860 1.1.6.8. trade finance off-balance sheet related products Credit institutions shall report the amount of the products or services related to trade finance referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. 870 1.1.6.9. others Article 23(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of other products or services than those cited above referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. 880 1.1.7. Other liabilities Article 28(2), Article 28(6) and Article 31(10) of the Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report outflows from other liabilities as provided in Article 28(2), Article 28(6) and Article 31(10) of the Commission Delegated Regulation (EU) 2015/61. This item shall also include, where necessary, additional balances required to be kept in central bank reserves where agreed between the relevant competent authority and the ECB or the central bank according to Article 10(1)(b) (iii) of Commission Delegated Regulation (EU) 2015/61. 890 1.1.7.1. liabilities resulting from operating expenses Article 28(2) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of liabilities resulting from the credit institution's own operating expenses as referred to in Article 28(2) of the Commission Delegated Regulation (EU) 2015/61. 900 1.1.7.2. in the form of debt securities if not treated as retail deposits Article 28(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of notes, bonds and other debt securities, issued by the credit institution other than that reported as retail deposits as referred to in Article 28(6) of the Commission Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities. 910 1.1.7.3. Others Article 31(10) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the amount of the outstanding balance of any liabilities that come due in the next 30 calendar days other than those referred to in Article 23 to 31 of Commission Delegated Regulation (EU) 2015/61. 920 1.2. Outflows from secured lending and capital market-driven transactions Article 28(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013. Collateral swap (which cover collateral-versus- collateral transactions) shall be reported in template C 75.00 of Annex XXIV. 930 1.2.1. Counterparty is central bank Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank. 940 1.2.1.1. level 1 excl. EHQ Covered Bonds collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 collateral excluding extremely high quality covered bonds. 950 1.2.1.2. level 1 EHQ Covered Bonds collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 1 collateral which is extremely high quality covered bonds. 960 1.2.1.3. level 2A collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2A collateral, all types. 970 1.2.1.4. level 2B asset-backed securities (residential or automobile, CQS1) collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (i),(ii) or (iv). 980 1.2.1.5. level 2B covered bonds Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in Article 12(1)(e). 990 1.2.1.6. level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B asset backed securities which are commercial or individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (iii) or (v). 1000 1.2.1.7. other Level 2B assets collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Level 2B collateral not captured above. 1010 1.2.1.8. non-liquid assets collateral Article 28(3)(g) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is a central bank and the collateral extended is Non liquid assets collateral. 1020 1.2.2. Counterparty is non-central bank Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank. 1030 1.2.2.1. level 1 excl. EHQ Covered Bonds collateral Article 28(3)(a) of Commission Delegated Regulation (EU) 2015/61. Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 collateral excluding extremely high quality covered bonds. 1040 1.2.2.2. level 1 EHQ Covered Bonds collateral Article 28(3)(b) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 1 collateral which is extremely high quality covered bonds. 1050 1.2.2.3. level 2A collateral Article 28(3)(c) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2A collateral. 1060 1.2.2.4. level 2B asset-backed securities (residential or automobile, CQS1) collateral Article 28(3)(d)(i) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are residential or automobile backed and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (i), (ii) or (iv). 1070 1.2.2.5. level 2B covered bonds Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B high quality covered bonds which comply with the conditions laid down in Article 12(1)(e). 1080 1.2.2.6. level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral Article 28(3)(e) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B asset backed securities which are commercial or individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in Article 13(2)(g) points (iii) or (v). 1090 1.2.2.7. other Level 2B assets collateral Article 28(3)(f) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is Level 2B collateral not captured above. 1100 1.2.2.8. non-liquid assets collateral Article 28(3)(g) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank and the collateral extended is non liquid assets collateral. 1110 1.2.2.8.1. counterparty is central govt, PSE<=RW20 %, MDB Article 28(3)(d) (ii) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the collateral is non-liquid asset and the counterparty is central government, public sector entity with risk weighting equal to or less than 20 %, or multilateral development bank. 1120 1.2.2.8.2. other counterparty Article 28(3)(g) (ii) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here outflows resulting from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 where the counterparty is not a central bank, central government, public sector entity with risk weighting less than 20 %, or multilateral development bank and the collateral extended is non liquid asset. 1130 1.3. Total outflows from collateral swaps The sum of outflows from C75.00 of Annex XXIV Column 050 shall be reported in Column 060. MEMORANDUM ITEMS 1140 2. Retail bonds with a residual maturity of less than 30 days Article 28(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds needs to have been reported also within the corresponding category of retail deposits as indicated in the description of retail deposits (instruction of rows 030-110). 1150 3. Retail deposits exempted from the calculation of outflows Article 25(4) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here those categories of deposits exempted from the calculation of outflows if the conditions of Article 25(4)(a) or (b) have been met (i.e. when the depositor is not allowed for withdrawal within 30 calendar days or for early withdrawals within 30 calendar days subject to specific penalty). 1160 4. Not assessed retail deposits Article 25(3) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report here those retail deposits where the assessment envisaged in paragraph 2 of Article 25 of Commission Delegated Regulation (EU) 2015/61 has not been carried out or is not completed. These deposits need to have been also reported within the category 2 of deposits subject to higher outflow rates as indicated in the instructions of row 070. 1170 5. Liquidity outflows to be netted by interdependent inflows Credit institutions shall report the outstanding balance of all liabilities and off- balance sheet commitments, whose liquidity outflows have been netted by the interdependent inflows in accordance with Article 26 of Commission Delegated Regulation (EU) 2015/61. 6. Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship Credit institutions shall report here on operational deposits referred to in item 1.1.2.1. broken down by the following counterparties: — Credit institutions; — financial customers other than credit institutions; — sovereigns, central banks, multilateral development banks and public sector entities; — other customers. 1180 6.1. provided by credit institutions Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by credit institutions. 1190 6.2. provided by financial customers other than credit institutions Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by financial customers other than credit institutions. 1200 6.3. provided by sovereigns, central banks, MDBs and PSEs Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by sovereigns, central banks, multilateral development banks and public sector entities. 1210 6.4. provided by other customers Credit institutions shall report the amount of the outstanding balance of operational deposits referred to in item 1.1.2.1. provided by other customers (other than those mentioned above and customers considered for the retail deposits). 7. Non-operational deposits maintained by financial customers and other customers Credit institutions shall report here non-operational deposits referred to in items 1.1.3.2. and 1.1.3.3., broken down by the following counterparties: — Credit institutions; — financial customers other than credit institutions; — sovereigns, central banks, multilateral development banks and public sector entities; — other customers. 1220 7.1. provided by credit institutions Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.2. provided by credit institutions. 1230 7.2. provided by financial customers other than credit institutions Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.2. provided by financial customers other than credit institutions. 1240 7.3. provided by sovereigns, central banks, MDBs and PSEs Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.3. provided by sovereigns, central banks, Multilateral Development Banks and Public Sector Entities. 1250 7.4. provided by other customers Credit institutions shall report the amount of the outstanding balance of non- operational deposits referred to in item 1.1.3.3. provided by other customers (other than those above mentioned and customers considered for the retail deposits). 1260 8. Funding commitments to non-financial customers Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report the outstanding amount of the contractual commitments to non-financial customers to extend funding within 30 days. For the purpose of this item contractual commitments shall only comprise those that are not recognized as liquidity outflows. 1270 9. Level 1 excl. EHQ covered bonds collateral posted for derivatives Credit institutions shall report the market value of non EHQ covered bonds Level 1 collateral which is posted for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives. 1280 10. SFTS monitoring Credit institutions shall report, in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013, the total amount of collateral posted for the Securities Financing Transactions (‘SFTs’) where a change in the relevant exchange rate could trigger outflows of collateral from the institution due to one leg of the SFT being denominated differently from the other. 11. Intra group or IPS outflows Credit institutions shall report here all transactions reported in item 1 where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 1290 11.1. of which: to financial customer Credit institutions shall report total amount reported in item 1.1. to financial customers within the scope of item 11. 1300 11.2. of which: to non-financial customers Credit institutions shall report total amount reported in item 1.1. to non-financial customers within the scope of item 11. 1310 11.3. of which: secured Credit institutions shall report total amount of secured transactions reported in item 1.2. within the scope of item 11. 1320 11.4. of which: credit facilities without preferential treatment Credit institutions shall report the maximum amount that could be drawn from undrawn committed credit facilities reported in item 1.1.5.1. to entities within the scope of item 11 for which they have not received permission to apply a lower outflow rate in accordance with article 29 of Commission Delegated Regulation (EU) 2015/61. 1330 11.5. of which: liquidity facilities without preferential treatment Credit institutions shall report the maximum amount that could be drawn from undrawn committed liquidity facilities reported in item 1.1.5.2. to entities within the scope of item 11 for which they have not received permission to apply a lower outflow rate in accordance with article 29 of Commission Delegated Regulation (EU) 2015/61. 1340 11.6. of which: operational deposits Credit institutions shall report the amount of deposits referred to in item 1.1.2. to entities within the scope of item 11. 1350 11.7. of which: non-operational deposits Credit institutions shall report the amount of the outstanding balance of the deposits referred to in item 1.1.3. from entities within the scope of item 11. 1360 11.8. of which: liabilities in the form of debt securities if not treated as retail deposits Credit institutions shall report the amount of the outstanding balance of debt securities reported in item 1.1.7.2. which are held by entities within the scope of item 11. 1370 12. FX outflows This item shall only be reported in case of reporting in currencies subject to separate reporting. For significant currency reporting only, credit institutions shall report the portion of outflows from derivatives (reported in item 1.1.4.5.) which relate to FX principal flows in the respective significant currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency, for instance Counterparty A: EUR+10 and Counterparty A: EUR-20 shall be reported as EUR10 outflow. No netting shall be made across counterparties, for instance Counterparty A: EUR-10, Counterparty B: EUR+40 shall be reported as EUR10 outflow on C73.00 (and EUR40 inflow on C74.00). 1380 13. Third countries outflows — transfer restrictions or non- convertible currencies Credit institutions shall report here liquidity outflows from third countries where there are transfer restrictions or which are denominated in non-convertible currencies. 1390 14. Additional balances required to be installed in central bank reserves Credit institutions shall report, where necessary, the amount of additional balances required to be kept in central bank reserves where agreed between the relevant competent authority and the ECB or the central bank according to Article 10(1)(b) (iii) of Commission Delegated Regulation (EU) 2015/61. REPORTING ON LIQUIDITY (PART 3: INFLOWS) 2. Inflows 2.1. General remarks 1. This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured in grey. 2. Credit institutions shall submit the template in the currencies specified in Article 4(5) of Commission Delegated Regulation (EU) 2015/61. 3. In accordance with Article 32 of Commission Delegated Regulation (EU) 2015/61, liquidity inflows shall: i. comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within the 30-day time horizon. ii. be calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates specified in Commission Delegated Regulation (EU) 2015/61. 4. Inflows within a group or an institutional protection scheme (except for inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential inflow rate) shall be assigned to the relevant categories. Unweighted amounts shall additionally be reported as memorandum items under section 4 of the template (lines 460-480). 5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any of the liquid assets reported in accordance with Title II of that Regulation other than payments due on the assets that are not reflected in the market value of the asset. 6. Inflows which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies shall be reported in the relevant rows of sections 1.1., 1.2. or 1.3. The inflows shall be reported in full, regardless of the amount of outflows in the third country or currency. 7. Monies due from securities issued by the credit institution itself or by a related entity shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying asset pursuant to Article 32(3)(h) of Commission Delegated Regulation (EU) 2015/61. 8. In accordance with Article 32(7) of Commission Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into. 9. In the case of a significant currency identified in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61 where they are denominated in the same currency. 10. The Column structure of this template is built to accommodate the different caps on inflows applicable pursuant to Article 33 of Commission Delegated Regulation (EU) 2015/61. In this regard, the template is based on three sets of Columns, one set for each cap treatment (75 % cap, 90 % cap, and exempted from the cap). Credit institutions reporting on a consolidated basis may use more than one such set of Columns if different entities under the same consolidation qualify for different cap treatments. 11. In accordance with Article 2(3)(c) of Commission Delegated Regulation (EU) 2015/61 regarding consolidation, liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country to lower rates than those specified in Title III of the regulation shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country. 12. Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘weight’ in the template just refers to these in the appropriate context. The word ‘weighted’ in this Annex shall be understood as a general term for indicating the amount calculated after the application of the respective haircuts, rates and any other relevant additional instructions (e.g. in the case of secured lending and funding). 13. Some ‘memorandum items’ are included in the associated templates to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to. 2.2. Specific remarks regarding secured lending and capital market-driven transactions 1. The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.00 of ANNEX XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the inflow template (C 74.00 of ANNEX XXIV) which only covers cash-versus-collateral transactions. 2. In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. Hence a reverse repo transaction can result in a negative inflow. Reverse repo transactions reported in the same item shall be summed (positives and negatives). If the total is positive then this shall be reported on the inflow template. If the total is negative then this shall be reported on the outflow template. This approach shall be followed vice-versa for repos. 3. Credit institutions shall only report the Level 1, Level 2A and Level 2B assets that qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. Where collateral is Level 1, Level 2A or Level 2B but does not qualify as a liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid. Similarly, where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognisable part shall be reported within the rows related to Level 1, Level 2A and Level 2B assets (refer to Article 12(1)(c)(i)-(iii)) and Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61). Where the particular asset is used as collateral but for an amount which is surplus to the portion which can be recognised as liquid assets, the surplus amount shall be reported in the non-liquid section. Level 2A assets shall be reported in the corresponding Level 2A asset row, even if the Alternative Liquidity Approach under Article 19 of Commission Delegated Regulation (EU) 2015/61 is being followed. 2.3. Specific remarks regarding settlement and forward starting transactions Credit institutions shall report inflows stemming from forward starting repos that start within the 30 day horizon and mature beyond the 30 day horizon. The inflow to be received shall be reported in {C 74.00; r260} (‘other inflows’), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the asset is not a ‘liquid asset’, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 if the institution holds the asset in its book at the reference date and it fulfills the related conditions. Credit institutions shall report inflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an inflow. In the case of a repo, the inflow to be received shall be reported in {C 74.00; r260} (‘other inflows’), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the amount to be received is lower than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an outflow in C.73.00. If the asset is not a ‘liquid asset’, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 where the institution holds the asset in its book at the reference date and it fulfills the related conditions. In the case of a reverse repo, where the market value of the asset to be received as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be lent, the difference is to be reported as an inflow in {C 74.00; r260} (‘other inflows’). For collateral swaps, where the net effect of the initial swap of assets (taking into account LCR haircuts) gives rise to an inflow this inflow shall be reported {C 74.00; r260} (‘other inflows’). Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored. 2.4. Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 1. The decision tree is without prejudice to the reporting of the memorandum items. The decision tree is part of the instructions to specify prioritisation assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient — credit institutions shall comply with the rest of the instructions at all times. 2. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not necessarily imply that they shall not also be reported. 2.4.1. Decision tree on rows in template C 74.00 of ANNEX XXIV # Item Decision Reporting 1 Inflow meeting the operational criteria as specified in Article 32, such as: — Exposure is not past due (Article 32(1)) — Credit institution has no reason to expect non-performance within 30 calendar days (Article 32(1)) — Credit institutions shall not take into account inflows from any new obligation entered into (Article 32(7)) — No inflows shall be reported in case inflows are already netted against outflows (Article 26) — Credit institutions shall not take into account any inflows from any of the liquid assets referred to in Title II other than payments due on the assets that are not reflected in the market value of the asset (Article 32(6)) No No Reporting Yes # 2 2 Forward starting transaction Yes # 3 No # 5 3 Forward transaction entered into subsequent to the reporting date; Yes No Reporting No # 4 4 Forward transaction that start prior to and mature after the 30-day horizon Yes No Reporting No Row 260, ID 1.1.12. 5 Inflows within a group or an institutional protection scheme Yes # 6 No # 7 6 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate (Article 34) Yes Row 250, ID 1.1.11. No # 7 7 Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f)) Yes # 23 No # 8 8 Monies due from securities maturing within 30 days (Article 32(2)(a)(i)) Yes Row 190, ID 1.1.5. No # 9 9 Inflows from trade financing transactions (Article 32(2)(a)(ii)) Yes Row 180, ID 1.1.4. No # 10 10 Assets with an undefined contractual end date (Article 32(3)(i)) Yes # 11 No # 12 11 Interest and minimum payments from assets with an undefined contractual end date that are contractually due and that are subject to an actual cash inflow within the next 30 days Yes # 12 No Row 200, ID 1.1.6. 12 Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets (Article 32(2)(b)) Yes Row 210, ID 1.1.7. No # 13 13 Inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets (Article 32(3)(g)) Yes Row 220, ID 1.1.8. No # 14 14 Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets (Article 32(4)) Yes Row 230, ID 1.1.9. No # 15 15 Derivatives cash inflows net by counterparty and collateral (Article 32(5)) Yes Row 240, ID 1.1.10. No # 16 16 Inflows related to outflows in accordance with promotional loan commitments referred to in Article 31(9) (Article 32(3)(a)) Yes Row 170, ID 1.1.3. No # 17 17 Monies due from central banks and financial customers (Article 32(2)(a)) Yes # 21 No # 18 18 Monies due from non-financial customers (except for central banks) not corresponding to principal repayment (Article 32(2)) Yes Row 040, ID 1.1.1.1. No # 19 19 Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) Yes # 20 No Row 260, ID 1.1.12. 20 Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) # 20.1 Retail customers Yes Row 060, ID 1.1.1.2.1. No # 20.2 # 20.2 Non-financial corporates Yes Row 070, ID 1.1.1.2.2. No # 20.3 # 20.3 Sovereigns, MDBs and PSEs Yes Row 080, ID 1.1.1.2.3. No Row 090, ID 1.1.1.2.4. 21 Inflows from financial customers being classified as operational deposits (Article 32(3)(d)) Yes # 22 No # 23 22 Credit institution is able to establish a corresponding symmetrical inflow rate (Article 32(3)(d)) Yes Row 120, ID 1.1.2.1.1. No Row 130, ID 1.1.2.1.2. 23 Monies due from central banks (Article 32(2)(a)) Yes Row 150, ID 1.1.2.2.1. No Row 160, ID 1.1.2.2.2. 24 Collateral Swap Transaction (Article 32(3)(e)) Yes Row 410, ID 1.3 (1) No # 25 25 Collateral qualifies as a liquid asset (Article 32(3)(b)) Yes # 26 No # 27 26 Secured funding transaction secured by (Article 32(3)(b)) # 26.1 Collateral is used to cover short positions Yes Row 360, ID 1.2.2. No # 26.2 # 26.2 Level 1 collateral excluding extremely high quality covered bonds Yes Row 290, ID 1.2.1.1. No # 26.3 # 26.3 Level 1 collateral which is extremely high quality covered bonds Yes Row 300, ID 1.2.1.2. No # 26.4 # 26.4 Level 2A collateral Yes Row 310, ID 1.2.1.3. No # 26.5 # 26.5 Level 2B asset backed securities (residential or auto) collateral Yes Row 320, ID 1.2.1.4. No # 26.6 # 26.6 Level 2B high quality covered bonds collateral Yes Row 330, ID 1.2.1.5. No # 26.7 # 26.7 Level 2B asset backed securities (commercial or individuals) collateral Yes Row 340, ID 1.2.1.6. No Row 350, ID 1.2.1.7. 27 Collateral that does not qualify as a liquid asset (Article 32(3)(b)) # 27.1 margin loans: collateral is non-liquid Yes Row 380, ID 1.2.3.1. No # 27.2 # 27.2 collateral is non-liquid equity Yes Row 390, ID 1.2.3.2. No Row 400, ID 1.2.3.3. (1) Collateral swap transactions additionally need to be reported in template C 75.00 of ANNEX XXIV. 2.4.2. Decision tree on columns in template C 74.00 of ANNEX XXIV # Item Decision Reporting 1 Inflow to be reported in rows 010-430 of template C 74.00 of ANNEX XXIV in accordance with Article 32, Article 33 and Article 34 and in accordance with the classification as specified in section 1 ('Decision tree on rows in template C 74.00') No No Reporting Yes # 2 2 Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f)) Yes # 11 No # 3 3 Partial exemption from the cap on inflows (Article 33(2)-(5)) Yes # 4 No # 6 4 Partial exemption from the cap on inflows (Article 33(2)-(5)) # 4.1 Part of inflows exempted from the cap on inflows — # 5 # 4.2 Part of inflows not exempted from the cap on inflows — # 7 5 Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) Yes # 9 No # 10 6 Inflow subject to the 75 % cap on inflows (Article 33(1)) Yes # 7 No # 8 7 Inflow subject to the 75 % cap on inflows (Article 33(1)) # 7.1 Monies due/maximum amount that can be drawn — Column 010 # 7.2 Applicable Weight — Column 080 # 7.3 Inflow — Column 140 8 Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) Yes # 9 No # 10 9 Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) # 9.1 Monies due/maximum amount that can be drawn — Column 020 # 9.2 Applicable Weight — Column 090 # 9.3 Inflow — Column 150 10 Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) # 10.1 Monies due/maximum amount that can be drawn — Column 030 # 10.2 Applicable Weight — Column 100 # 10.3 Inflow — Column 160 11 Secured funding transaction where the collateral qualify as a liquid asset Yes # 12 No # 3 12 Partial exemption from the cap on inflows (Article 33(2)-(5)) Yes # 13 No # 15 13 Partial exemption from the cap on inflows (Article 33(2)-(5)) # 13.1 Part of inflows exempted from the cap on inflows — # 14 # 13.2 Part of inflows not exempted from the cap on inflows — # 16 14 Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) Yes # 18 No # 19 15 Inflow subject to the 75 % cap on inflows (Article 33(1)) Yes # 16 No # 17 16 Inflow subject to the 75 % cap on inflows (Article 33(1)) # 16.1 Monies due — Column 010 # 16.2 Market value of collateral received — Column 040 # 16.3 Applicable Weight — Column 080 # 16.4 Value of collateral received according to Article 9 — Column 110 # 16.5 Inflow — Column 140 17 Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) Yes # 18 No # 19 18 Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) # 18.1 Monies due — Column 020 # 18.2 Market value of collateral received — Column 050 # 18.3 Applicable Weight — Column 090 # 18.4 Value of collateral received according to Article 9 — Column 120 # 18.5 Inflow — Column 150 19 Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) # 19.1 Monies due — Column 030 # 19.2 Market value of collateral received — Column 060 # 19.3 Applicable Weight — Column 100 # 19.4 Value of collateral received according to Article 9 — Column 130 # 19.5 Inflow — Column 160 2.5. Inflows sub template 2.5.1. Instructions concerning specific columns Column Legal references and instructions 010 Amount — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 010 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. 020 Amount — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 020 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. 030 Amount — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{060}-{090},{120}-{130},{150}-{260},{290}-{360},{380}-{400},{440}-{450} and {470}-{520}, credit institutions shall report in Column 030 the total amount of assets/monies due/maximum amounts that can be drawn that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 and following the relevant instructions included here. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010. 040 Market value of collateral received — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 040 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. 050 Market value of collateral received — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 050 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. 060 Market value of collateral received — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 060 the market value of collateral received in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040. 070 Standard Weight Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 The standard weights in Column 070 are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided for information only. 080 Applicable Weight- Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 080 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. For rows {060}-{090} and {170} the applicable weight in Column 080 shall be reported as the ratio of Column 140 to Column 010. For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 080 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. 090 Applicable Weight- Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 090 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. For rows {060}-{090} and {170} the applicable weight in Column 090 shall be reported as the ratio of Column 150 to Column 020. For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 090 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. 100 Applicable Weight — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 The Applicable Weight are those specified in Articles 32 to 34 of Commission Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. For rows {040},{060}-{090},{120}-{130},{150}-{260},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 100 the average weight applied to assets/monies due/maximum amounts that can be drawn that are exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. For rows {060} — {090} and {170} the applicable weight in Column 100 shall be reported as the ratio of Column 160 to Column 030. For rows {290}-{350}, {380}–{400} and {490} credit institutions shall report in Column 100 the average weight applied to the market value of the collateral received in secured lending and capital market-driven transactions where the secured lending transaction is exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. 110 Value of collateral received according to Article 9 — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 110 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. 120 Value of collateral received according to Article 9 — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 120 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. 130 Value of collateral received according to Article 9 — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {290}-{350} and for row {490}, credit institutions shall report in Column 130 the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61. Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Commission Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110. 140 Inflow — Subject to the 75 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 010 with the relevant weight from Column 080. For rows {060}-{090}, the following procedure shall be followed: — If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 010 monies due shall be reduced by 50 % and the result shall be reported in Column 140. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 010, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 140. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than 100 % of monies due reported in Column 010, ‘0’ shall be reported in Column 140 and the difference between the contractual commitments and monies due in Column 010 shall be reported as ‘contingent funding obligations’ in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV. — Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV. For row {170}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity. For rows {290}-{350} and for row {490}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by subtracting Column 110 from Column 010. If the result is positive, it shall be reported in Column 140; if the result is negative, ‘0’ shall be reported. 150 Inflow — Subject to the 90 % cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 020 with the relevant weight from Column 090. For rows {060}-{090}, the following procedure shall be followed: — If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 020 monies due shall be reduced by 50 % and the result shall be reported in Column 150. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 020, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 150. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than 100 % of monies due reported in Column 020, ‘0’ shall be reported in Column 150 and the difference between the contractual commitments and monies due in Column 020 shall be reported as ‘contingent funding obligations’ in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV. — Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV. For row {170}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity. For rows {290}-{350} and for row {490}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by subtracting Column 120 from Column 020. If the result is positive, it shall be reported in Column 150; if the result is negative, ‘0’ shall be reported. 160 Inflow — Exempted from the cap on inflows Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 For rows {040},{120}-{130},{150}-{160},{180}-{260},{380}-{400},{450},{470}-{480} and {500}-{510} credit institutions shall report in Column 160 total inflows that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 030 with the relevant weight from Column 100. For rows {060}-{090}, the following procedure shall be followed: — If there are no contractual commitments or the contractual commitments to this customer type are less than 50 % of monies due reported in Column 030 monies due shall be reduced by 50 % and the result shall be reported in Column 160. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than or equal to 50 % but not greater than 100 % of monies due reported in Column 030, monies due shall be reduced by the contractual commitments to the relevant type of customers and the result shall be reported in Column 160. In this case, no liabilities shall be reported in template C 73.00 of ANNEX XXIV. — If contractual commitments to the customer are greater than 100 % of monies due reported in Column 030, ‘0’ shall be reported in Column 160 and the difference between the contractual commitments and monies due in Column 030 shall be reported as ‘contingent funding obligations’ in sections 1.1.6.6.1.1., 1.1.6.6.1.2., 1.1.6.6.1.3. or 1.1.6.6.1.4. in template C 73.00 of ANNEX XXIV. — Credit institutions shall ensure that there is no double-counting of such items with template C 73.00 of ANNEX XXIV. For row {170}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity. For rows {290}-{350} and for row {490}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Commission Delegated Regulation (EU) 2015/61 which shall be calculated by subtracting Column 130 from Column 030. If the result is positive, it shall be reported in Column 160; if the result is negative, ‘0’ shall be reported. 2.5.2. Instructions concerning specific rows Row Legal references and instructions 010 1. TOTAL INFLOWS Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 010 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn as the sum of assets/monies due/maximum amount than can be drawn from unsecured transactions/deposits and secured lending and capital market-driven transactions; — for Column 140 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies; and — for Column 150 and 160 total inflows as the sum of inflows from unsecured transactions/deposits, secured lending and capital market-driven transactions and collateral swap transactions less the difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies and less the excess of inflows from a related specialised credit institution referred to in Article 2(3)(e) and Article 33(6) of Commission Delegated Regulation (EU) 2015/61. 020 1.1. Inflows from unsecured transactions/deposits Articles 32, 33 and 34 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 020 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of assets/monies due/maximum amount that can be drawn from unsecured transactions/deposits; and — for each Column 140, 150 and 160 total inflows from unsecured transactions/deposits. 030 1.1.1. monies due from non-financial customers (except for central banks) Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 030 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from non-financial customers (except for central banks) (monies due from non-financial customers not corresponding to principal repayments as well as any other monies due from non-financial customers) and — for each Column 140, 150 and 160 total inflows from non-financial customers (except for central banks) (inflows from non-financial customers not corresponding to principal repayments as well as any other inflows from non-financial customers). Monies due from secured lending and capital market driven transactions with a non-financial customer that are collateralised by liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61, where these transactions are specified in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013, shall be reported in section 1.2., and shall not be reported in section 1.1.1. Monies due from such transactions that are collateralised by transferable securities that do not qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 shall be reported in section 1.2., and shall not be reported in section 1.1.1. Monies due from such transactions with non-financial customers that are collateralised by non-transferable assets that do not qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 shall be reported in the relevant row of section 1.1.1. Monies due from central banks shall be reported in section 1.1.2. and shall not be reported here. 040 1.1.1.1. monies due from non-financial customers (except for central banks) not corresponding to principal repayment Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies to be received from non-financial customers (except for central banks) not corresponding to principal repayment. These inflows include interest and fees due from non-financial customers (except for central banks). Monies due from central banks not corresponding to principal repayment shall be reported in section 1.1.2. and shall not be reported here. 050 1.1.1.2. other monies due from non-financial customers (except for central banks) Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 050 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of other monies due from non-financial customers (except for central banks) as the sum of monies due from non-financial customers by counterparty and — for each Column 140, 150 and 160 total other inflows from non-financial customers (except for central banks) as the sum of other inflows from non-financial customers by counterparty. Monies due from non-financial customers (except for central banks) not corresponding to principal repayment shall be reported in section 1.1.1.1. and shall not be reported here. Other monies due from central banks shall be reported in section 1.1.2. and shall not be reported here. Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here. 060 1.1.1.2.1. monies due from retail customers Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from retail customers. 070 1.1.1.2.2. monies due from non-financial corporates Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from non-financial corporates. 080 1.1.1.2.3. monies due from sovereigns, multilateral development banks and public sector entities Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from sovereigns, multilateral development banks and public sector entities. 090 1.1.1.2.4. monies due from other legal entities Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from other legal entities not included anywhere above. 100 1.1.2. monies due from central banks and financial customers Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 100 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers (operational as well as non-operational deposits); and — for each Column 140, 150 and 160 total inflows from central banks and financial customers (operational as well as non-operational deposits). Credit institutions shall report here monies due over the next 30 days from central banks and 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. Monies due from central banks and financial customers not corresponding to principal repayment shall be reported in the relevant section. Deposits at the central institution referred to in Article 27(3) of Commission Delegated Regulation (EU) 2015/61 shall not be reported as an inflow. 110 1.1.2.1. monies due from financial customers being classified as operational deposits Article 32(2)(a) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 110 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not); and — for each Column 140, 150 and 160 total inflows from financial customers being classified as operational deposits (disregarding whether the credit institution is able to establish a corresponding symmetrical inflow rate or not). Credit institutions shall report here monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61. 120 1.1.2.1.1. monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61 Monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61 where the credit institution is able to establish a corresponding symmetrical inflow rate. 130 1.1.2.1.2. monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61 Monies due from financial customers in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61 where the credit institution is not able to establish a corresponding symmetrical inflow rate. For these items, a 5 % inflow rate shall be applied. 140 1.1.2.2. monies due from central banks and financial customers not being classified as operational deposits Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61 Credit institutions shall report in row 140 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from central banks and financial customers not being classified as operational deposits and — for each Column 140, 150 and 160 total inflows from central banks and financial customers not being classified as operational deposits. Credit institutions shall report here monies due from central banks and financial customers which do not qualify for the treatment as operational deposits as specified in Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61. 150 1.1.2.2.1. monies due from central banks Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from central banks. 160 1.1.2.2.2. monies due from financial customers Article 32(2)(a) of Commission Delegated Regulation (EU) 2015/61 Monies due from financial customers which do not qualify for the treatment as operational deposits as specified in Article 32(3)(d) in conjunction with Article 27 of Commission Delegated Regulation (EU) 2015/61. Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here. 170 1.1.3. inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61 Article 32(3)(a) of Commission Delegated Regulation (EU) 2015/61 Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61. 180 1.1.4. monies due from trade financing transactions Article 32(2)(a)(ii) of Commission Delegated Regulation (EU) 2015/61 Monies due over the next 30 days from trade financing transactions in accordance with Article 32(2)(a)(ii) of Commission Delegated Regulation (EU) 2015/61. 190 1.1.5. monies due from securities maturing within 30 days Article 32(2)(a)(i) of Commission Delegated Regulation (EU) 2015/61 Monies due from securities maturing within 30 days in accordance with Article 32(2)(a)(i) of Commission Delegated Regulation (EU) 2015/61. 200 1.1.6. assets with an undefined contractual end date Article 32(3)(i) of Commission Delegated Regulation (EU) 2015/61 Assets with an undefined contractual end date in accordance with Article 32(3)(i) of Commission Delegated Regulation (EU) 2015/61. Inflows shall only be considered if the contract allows the credit institution to withdraw and request payment within 30 days. Interest and minimum payments to be debited against the client account within the 30 days shall be included in the amount reported. Interest and minimum payments from assets with an undefined contractual end date that are contractually due and give rise to an actual cash inflow within the next 30 days shall be considered monies due and shall be reported in the relevant row, following the treatment prescribed by Article 32 for monies due. Credit institutions shall not report other interest that accrues, but that is neither debited against the client account nor giving rise to an actual cash inflow over the 30 days. 210 1.1.7. monies due from positions in major index equity instruments provided that there is no double counting with liquid assets Article 32(2)(b) of Commission Delegated Regulation (EU) 2015/61 Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets in accordance with Article 32(2)(b) of Commission Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within the next 30 days, such as cash dividends on major index equity instruments and cash due from such instruments sold but not yet settled, if they are not recognized as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. 220 1.1.8. inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets Article 32(3)(g) of Commission Delegated Regulation (EU) 2015/61 Inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks in accordance with Article 32(3)(g) of Commission Delegated Regulation (EU) 2015/61 provided that there is no double counting with liquid assets. Notwithstanding Article 34 of Commission Delegated Regulation (EU) 2015/61, undrawn credit or liquidity facilities and any other commitments received from entities other than central banks shall not be taken into account. Undrawn committed liquidity facilities and any other commitments from the central bank, which are recognised as liquid assets in accordance with Article 14 of Commission Delegated Regulation (EU) 2015/61 shall not be taken into account. 230 1.1.9. inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets Article 32(4) of Commission Delegated Regulation (EU) 2015/61 Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets in accordance with Article 32(4) of Commission Delegated Regulation (EU) 2015/61. Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Commission Delegated Regulation (EU) 2015/61. 240 1.1.10. inflows from derivatives Article 32(5) of Commission Delegated Regulation (EU) 2015/61 The net amount of receivables expected over the 30 calendar day period from the contracts listed in Annex II of Regulation (EU) No 575/2013. Credit institutions shall calculate inflows expected over a 30 calendar day period on a net basis by counterparty subject to the existence of bilateral netting agreements in accordance with Article 295 of Regulation (EU) No 575/2013. Net basis shall mean also net of collateral to be received provided that it qualifies as a liquid asset under Title II of Commission Delegated Regulation (EU) 2015/61. Cash outflows and inflows arising from foreign currency derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) shall be calculated on a net basis, even where those transactions are not covered by a bilateral netting agreement. For significant currency reporting, foreign currency transaction flows shall be separated into each respective currency. Netting by counterparty may only be applied to flows in that currency. 250 1.1.11. inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate Article 34 of Commission Delegated Regulation (EU) 2015/61 Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate in accordance with Article 34 of Commission Delegated Regulation (EU) 2015/61. 260 1.1.12. other inflows Article 32(2) of Commission Delegated Regulation (EU) 2015/61 All other inflows in accordance with Article 32(2) of Commission Delegated Regulation (EU) 2015/61 not reported anywhere else in the template. 270 1.2. Inflows from secured lending and capital market-driven transactions Article 32(3)(b), Article 32(3)(c) and Article 32(3)(f) of Commission Delegated Regulation (EU) 2015/61 refer to inflows resulting from secured lending and capital market-driven transactions. Credit institutions shall report in row 270 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions (disregarding whether the collateral qualifies as a liquid asset or not); and — for each Column 140, 150 and 160 total inflows from secured lending and capital market driven transactions (disregarding whether the collateral qualifies as a liquid asset or not). 280 1.2.1. collateral that qualifies as a liquid asset Credit institutions shall report in row 280 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of monies due from secured lending and capital market-driven transactions by type of collateral; — for each Column 040, 050 and 060 the total market value of collateral received in secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of the market values of collateral received in secured lending and capital market-driven transactions by type of collateral; — for each Column 110, 120 and 130 the total value of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of values of collateral received in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions by type of collateral; and — for each Column 140, 150 and 160 total inflows from secured lending and capital market-driven transactions where the collateral qualifies as a liquid asset as the sum of inflows from secured lending and capital market-driven transactions by type of collateral. 290 1.2.1.1. Level 1 collateral excluding extremely high quality covered bonds Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 1 collateral excluding extremely high quality covered bonds. 300 1.2.1.2. Level 1 collateral which is extremely high quality covered bonds Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 1 collateral which is extremely high quality covered bonds. 310 1.2.1.3. Level 2A collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2A collateral, all types. 320 1.2.1.4. Level 2B asset backed securities (residential or auto) collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2B assets backed securities where the underlying assets are loans as specified in Article 13(2)(g)(i)-(iii), meeting all the relevant requirements of Article 13 of Commission Delegated Regulation (EU) 2015/61. 330 1.2.1.5. Level 2B high quality covered bonds collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2B collateral which is high quality bonds. 340 1.2.1.6. Level 2B asset backed securities (commercial or individuals) collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2B asset backed securities where the underlying assets are loans as specified in Article 13(2)(g)(iv-v), meeting all the relevant requirements of Article 13 of Commission Delegated Regulation (EU) 2015/61. 350 1.2.1.7. Level 2B collateral not already captured in section 1.2.1.4., 1.2.1.5. or 1.2.1.6. Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Level 2B collateral not captured above. 360 1.2.2. collateral is used to cover a short position Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 All collateral which is used to cover a short position. Where collateral of any type is used to cover a short, this shall be reported here and not in any of the lines above. There shall be no double-counting. 370 1.2.3. collateral that does not qualify as a liquid asset Credit institutions shall report in row 370 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due from secured lending and capital market-driven transactions where the collateral does not qualify as a liquid asset as the sum of monies due from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral; and — for each Column 140, 150 and 160 total inflows from secured lending and capital market-driven transactions where the collateral does not qualify as a liquid asset as the sum of inflows from margin loans where the collateral is non-liquid, secured lending and capital market-driven transactions where the collateral is non-liquid equity and secured lending and capital market-driven transactions backed by any other non-liquid collateral. 380 1.2.3.1. margin loans: collateral is non-liquid Article 32(3)(c) of Commission Delegated Regulation (EU) 2015/61 Margin loans made against non-liquid assets where the assets received are not used to cover short positions as outlined in Article 32(3)(c) of Commission Delegated Regulation (EU) 2015/61. 390 1.2.3.2. collateral is non-liquid equity Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Collateral is non-liquid equity. 400 1.2.3.3. all other non-liquid collateral Article 32(3)(b) of Commission Delegated Regulation (EU) 2015/61 Collateral is non-liquid collateral not captured above. 410 1.3. Total inflows from collateral swaps Credit institutions shall report here the sum of total inflows from collateral swaps as calculated in template C 75.00 of ANNEX XXIV. 420 1.4. (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) Article 32(8) of Commission Delegated Regulation (EU) 2015/61 Institutions shall report in the relevant Column 140, 150 and 160 the sum of total weighted inflows from third countries where there are transfer restrictions or which are denominated in non-convertible currencies less the sum of total weighted outflows as reported in {C 73.00; r1380, c060} from third countries where there are transfer restrictions or which are denominated in non-convertible currencies. In case this amount is negative, institutions shall report ‘0’. 430 1.5. (Excess inflows from a related specialised credit institution) Article 2(3)(e) and Article 33(6) of Commission Delegated Regulation (EU) 2015/61 Credit institutions reporting on a consolidated basis shall report in the relevant column 140, 150 or 160, the amount of the inflows arising from a related specialised credit institution referred to in Article 33 paragraph (3) and (4) of Commission Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking. MEMORANDUM ITEMS 440 2. Interdependent inflows Credit institutions shall report here as a memorandum item the interdependent inflows which have not been included in the calculation of inflows as they have been netted against the outflows. All interdependent inflows that have not been netted against outflows (excess) shall be included in the relevant row of section 1. Credit institutions shall ensure that there is no double-counting of such items with the outflows template. 450 3. FX inflows This memorandum item shall only be reported in case of reporting in currencies subject to separate reporting. For significant currency reporting only, credit institutions shall report the portion of inflows from derivatives (reported in section 1.1.10.) which relate to FX principal flows in the respective significant currency from cross-currency swaps, FX spot and forward transactions maturing within the 30 day period. Netting by counterparty may only be applied to flows in that currency. 460 4. Inflows within a group or an institutional protection scheme Credit institutions shall report here as memorandum items all transactions reported in section 1 (excluding section 1.1.11.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. Credit institutions shall report in row 460 of C 74.00 of ANNEX XXIV — for each Column 010, 020 and 030 the total amount of monies due/maximum amount that can be drawn within a group or an institutional protection scheme as the sum of monies due/maximum amount that can be drawn within a group or an institutional protection scheme by type of transaction and counterparty; and — for each Column 140, 150 and 160 total inflows within group or an institutional protection scheme as the sum of inflows within a group or an institutional protection scheme by type of transaction and counterparty. 470 4.1. Monies due from non-financial customers (except for central banks) Credit institutions shall report here all monies due from non-financial customers reported in section 1.1.1. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central credit institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 480 4.2. Monies due from financial customers Credit institutions shall report here all monies due from financial customers reported in section 1.1.2. where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 490 4.3. Secured transactions Credit institutions shall report here all monies due from secured lending and capital market driven transaction as well as the total market value of received collateral reported in section 1.2. and the value of the collateral in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 (Columns 110-130), where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 500 4.4. Monies due from maturing securities within 30 days Credit institutions shall report here all monies due from maturing securities within 30 days reported in section 1.1.5. where the issuer is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 510 4.5. Any other inflows within a group or an institutional protection scheme Credit institutions shall report here any other inflows within a group or an institutional protection scheme reported in section 1.1.3. to 1.1.12. (excluding section 1.1.5. and 1.1.11.) where the counterparty is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013. 520 4.6. Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate in accordance with Article 34 of Commission Delegated Regulation (EU) 2015/61. REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS) 3. Collateral swaps 3.1. General remarks 1. Any transaction maturing within 30 days in which non-cash assets are swapped for other non-cash assets, shall be reported in this Template. Items which do not need to be completed by institutions are colored grey. 2. Collateral swaps that mature within 30 days shall lead to an outflow for the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent unless the counterparty is a central bank in which case a 0 % outflow shall apply. 3. Collateral swaps that mature within 30 days shall lead to an inflow for the excess liquidity value of the assets lent compared to the liquidity value of the assets borrowed unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case a 0 % inflow shall apply. 4. For liquid assets the liquidity value is according to Article 9, for non-liquid assets the liquidity value is zero. 5. Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with the template rows and assessed in parts. 6. In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template, with corresponding impact on the excess liquidity value. 7. Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61. 8. Collateralized derivatives flows within 30 days shall be reported on this Template in Columns 090-120, not in Columns 010-080. 1.2. Specific remarks 9. Institutions shall only report the Level 1, 2A and 2B assets that qualify as liquid assets in accordance with Title II. For collateral lent, this refers to assets that would qualify upon maturity as liquid assets in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61. 10. Where collateral meets the criteria for Level 1, 2A or 2B in Articles 10-19 of the Commission Delegated Regulation (EU) 2015/61 but does not qualify as liquid asset in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61, it shall be reported as non-liquid. Similarly, where an institution may only recognize part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the Levels 1, 2A and 2B rows (refer to Article 12(1)(c)(i) to (iii) and Article 10(1)(d)). Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section. 11. Collateral Swaps involving Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the collateral swaps reporting). Collateral swaps sub template Instructions concerning specific columns Column Legal references and instructions 010 Market value of collateral lent The market value of the collateral lent shall be reported in Column 010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. 020 Liquidity value of collateral lent The liquidity value of the collateral lent shall be reported in Column 020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. 030 Market value of collateral borrowed The market value of the collateral borrowed shall be reported in Column 030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. 040 Liquidity value of collateral borrowed The liquidity value of the collateral borrowed shall be reported in Column 040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. 050 Outflows Where column 040 is greater than column 020 (per transaction), the difference shall be reported in column 050 (outflows), unless the counterparty is a central bank in which case zero outflow shall be reported. 060 Inflows subject to the 75 % cap on inflows Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported. Column 060 shall be used where the transaction is subject to the 75 % cap on inflows. 070 Inflows subject to the 90 % cap on inflows Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported. Column 070 shall be used where the transaction is subject to the 90 % cap on inflows. 080 Inflows exempted from the cap on inflows Where column 020 is greater than column 040 (per transaction), the difference shall be reported in column 060/070/080 (inflows) unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case zero inflow shall be reported. Column 080 shall be used where the transaction is exempt from the cap on inflows. 090 Collateralised derivatives only: Market value of collateral lent The market value of the collateral lent shall be reported in Column 090. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. 100 Collateralised derivatives only: Liquidity value of collateral lent The liquidity value of the collateral lent shall be reported in Column 100. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. 110 Collateralised derivatives only: Market value of collateral borrowed The market value of the collateral borrowed shall be reported in Column 110. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges [Article 8(5)]. 120 Collateralised derivatives only: Liquidity value of collateral borrowed The liquidity value of the collateral borrowed shall be reported in Column 120. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut. The weight used shall have a relationship with the weight/haircut applied to the corresponding asset type in Template C 72.00 of Annex XXIV. The weight used is to be determined by the institution but institutions shall be guided by the minimum standard weights in Title II for the respective asset. Instructions concerning specific rows Row Legal references and instructions 010 1. TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives. 020 1.1. Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent. 030 1.1.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 040 1.1.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). 050 1.1.3. Level 2A assets Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed). 060 1.1.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 070 1.1.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B high quality covered bonds (borrowed). 080 1.1.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 090 1.1.7. Other Level 2B Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed). 100 1.1.8. Non-liquid assets Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed). 110 1.2. Totals for transactions in which Level 1 extremely high quality covered bonds are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 1 extremely high quality covered bonds are lent. 120 1.2.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 130 1.2.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). 140 1.2.3. Level 2A assets Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed). 150 1.2.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 160 1.2.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). 170 1.2.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 180 1.2.7. Other Level 2B Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed). 190 1.2.8. Non-liquid assets Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed). 200 1.3. Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2A assets are lent. 210 1.3.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 220 1.3.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2A assets (lent) for Level 1 extremely high quality covered bonds (borrowed). 230 1.3.3. Level 2A assets Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed). 240 1.3.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 250 1.3.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B high quality covered bonds (borrowed). 260 1.3.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 270 1.3.7. Other Level 2B Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed). 280 1.3.8. Non-liquid assets Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed). 290 1.4. Totals for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent. 300 1.4.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 310 1.4.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). 320 1.4.3. Level 2A assets Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2A assets (borrowed). 330 1.4.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 340 1.4.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). 350 1.4.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 360 1.4.7. Other Level 2B Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Other Level 2B (borrowed). 370 1.4.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B asset-backed securities (residential or automobile, CQS1) (lent) for Non-liquid assets (borrowed). 380 1.5. Totals for transactions in which Level 2B high quality covered bonds are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B high quality covered bonds are lent. 390 1.5.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 400 1.5.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 1 extremely high quality covered bonds (borrowed). 410 1.5.3. Level 2A assets Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed). 420 1.5.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 430 1.5.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B high quality covered bonds (borrowed). 440 1.5.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 450 1.5.7. Other Level 2B Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed). 460 1.5.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed). 470 1.6. Totals for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent. 480 1.6.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 490 1.6.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 1 extremely high quality covered bonds (borrowed). 500 1.6.3. Level 2A assets Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2A assets (borrowed). 510 1.6.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 520 1.6.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B high quality covered bonds (borrowed). 530 1.6.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 540 1.6.7. Other Level 2B Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Other Level 2B (borrowed). 550 1.6.8. Non-liquid assets Such transactions in which the institution has swapped Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (lent) for Non-liquid assets (borrowed). 560 1.7. Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Other Level 2B assets are lent. 570 1.7.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 580 1.7.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Other Level 2B (lent) for Level 1 extremely high quality covered bonds (borrowed). 590 1.7.3. Level 2A assets Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed). 600 1.7.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 610 1.7.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B high quality covered bonds (borrowed). 620 1.7.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 630 1.7.7. Other Level 2B Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed). 640 1.7.8. Non-liquid assets Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed). 650 1.8. Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed: Articles 28(4) and 32(3) of Commission Delegated Regulation (EU) 2015/61 Credit Institutions shall report here, for each column, the total values of collateral swaps & collateralized derivatives for transactions in which Non-liquid assets are lent. 660 1.8.1. Level 1 assets (excl. EHQ covered bonds) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 assets excl. EHQ covered bonds (borrowed). 670 1.8.2. Level 1 extremely high quality covered bonds Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 1 extremely high quality covered bonds (borrowed). 680 1.8.3. Level 2A assets Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed). 690 1.8.4. Level 2B asset-backed securities (residential or automobile, CQS1) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (residential or automobile, CQS1) (borrowed). 700 1.8.5. Level 2B high quality covered bonds Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B high quality covered bonds (borrowed). 710 1.8.6. Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) (borrowed). 720 1.8.7. Other Level 2B Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed). 730 1.8.8. Non-liquid assets Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed). MEMORANDUM ITEMS 740 2. Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions Institutions shall report here the total collateral swaps (all counterparties) reported in the above lines where borrowed collateral has been used to cover short positions where a 0 % outflow rate has been applied. 750 3. Total collateral swaps with intragroup counterparties Institutions shall report here the total collateral swaps reported in the above lines that are with intragroup counterparties. 760 4. Total collateral swaps with central bank counterparties Institutions shall report here the total collateral swaps with central bank counterparties reported in the above lines a 0 % outflow rate has been applied. REPORTING ON LIQUIDITY (PART 5: CALCULATIONS) 4. Calculations 4.1. General remarks This is a summary template which contains information about calculations for the purpose of reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by institutions are coloured grey. 4.2. Specific remarks Cell references are given in the format: template; row; column. For example, {C 72.00; r130; c040} refers to Liquid Assets template; row 130; column 040. Calculations sub template Instructions concerning specific rows Row Legal references and instructions CALCULATIONS Numerator, Denominator, Ratio Article 4 of Commission Delegated Regulation (EU) 2015/61 The Liquidity Coverage Ratio numerator, denominator and ratio. Enter all below data into column 010 of given row. 010 1. Liquidity Buffer Report figure from {C 76.00; r290; c010}. 020 2. Net Liquidity Outflow Report figure from {C 76.00; r370; c010}. 030 3. Liquidity Coverage Ratio (%) Report the liquidity coverage ratio calculated as specified in Article 4(1) of Commission Delegated Regulation (EU) 2015/61. The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage. If {C 76.00; r020; c010} is zero (causing a ratio of infinity) then report the value 999999. Numerator calculations Article 17 and ANNEX I of Commission Delegated Regulation (EU) 2015/61 Formula for the calculation of the Liquidity Buffer. Enter all below data into column 010 of given row. 040 4. L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted Report figure from {C 72.00; r030; c040}. 050 5. L1 excl. EHQCB collateral 30 day outflows Report outflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. 060 6. L1 excl. EHQCB collateral 30 day inflows Report inflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. 070 7. Secured cash outflows Report outflows of cash (a Level 1 asset) upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. 080 8. Secured cash inflows Report inflows of cash (a Level 1 asset) upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. 090 9. L1 excl. EHQCB ‘adjusted amount before cap application’ This is referred to as (a) in Annex I (5) Report the adjusted non-covered bond level 1 asset amount before cap application. The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date. 100 10. L1 EHQCB value according to Article 9: unadjusted Report figure from {C 72.00; r180; c040}. 110 11. L1 EHQCB collateral 30 day outflows Report outflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. 120 12. L1 EHQCB collateral 30 day inflows Report inflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the reference date. 130 13. L1 EHQCB ‘adjusted amount before cap application’ This is referred to as (b) in Annex I (5) Report the adjusted covered bond level 1 asset amount before cap application. The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date. 140 14. L1 EHQCB ‘adjusted amount after cap application’ This is referred to as (b′) in Annex I (5) Report b′ (the adjusted covered bond level 1asset amount after cap application) = MIN(b, a70/30) where b = the adjusted covered bond level 1 asset amount before cap application. 150 15. L1 EHQCB ‘excess liquid assets amount’ Report the difference between b and b′. b and b′ as referred to in Annex I (5) 160 16. L2A value according to Article 9: unadjusted Report figure from {C 72.00; r230; c040}. 170 17. L2A collateral 30 day outflows Report outflows of Level 2A liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. 180 18. L2A collateral 30 day inflows Report inflows of Level 2A liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. 190 19. L2A ‘adjusted amount before cap application’ This is referred to as (c) in Annex I (5) Report the adjusted level 2A asset amount before cap application. The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date. 200 20. L2A ‘adjusted amount after cap application’ This is referred to as (c′) in Annex I (5) Report c′ (the adjusted level 2A asset amount after cap application) = MIN(c, (a+b′)40/60, MAX(a70/30-b′, 0)) where c = the adjusted level 2A asset amount before cap application. 210 21. L2A ‘excess liquid assets amount’ Report the difference between c and c′. c and c′ as referred to in Annex I (5). 220 22. L2B value according to Article 9: unadjusted Report figure from {C 72.00; r310; c040}. 230 23. L2B collateral 30 day outflows Report outflows of Level 2B liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. 240 24. L2B collateral 30 day inflows Report inflows of Level 2B liquid securities upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date. 250 25. L2B ‘adjusted amount before cap application’ This is referred to as (d) in Annex I (5) Report the adjusted level 2B asset amount before cap application. The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date. 260 26. L2B ‘adjusted amount after cap application’ This is referred to as (d′) in Annex I (5) Report d′ (the adjusted level 2B asset amount after cap application) = MIN (d, (a+b′+c′)15/85, MAX((a+b′)40/60-c′,0), MAX(70/30a-b′-c′,0)) Where d = the adjusted level 2B asset amount before cap application). 270 27. L2B ‘excess liquid assets amount’ Report the difference between d and d′. d and d′ as referred to in Annex I (5). 280 28. Excess liquid asset amount Annex I(4) Report the ‘excess liquid assets amount’: this amount shall be equal to: (a) the adjusted non-covered bond level 1 asset amount; plus (b) the adjusted level 1 covered bond amount; plus (c) the adjusted level 2A asset amount; plus (d) the adjusted level 2B asset amount; minus the lesser of: (e) the sum of (a),(b),(c) and (d); (f) 100/30 times (a); (g) 100/60 times the sum of (a) and (b); (h) 100/85 times the sum of (a), (b) and (c). 290 29. Liquidity buffer Annex I (2) Report the liquidity buffer which shall be equal to: (a) the level 1 asset amount; plus (b) the level 2A asset amount; plus (c) the level 2B asset amount; minus the lesser of: (d) the sum of (a), (b), and (c); or (e) the ‘excess liquid assets amount’. Denominator calculations ANNEX II of Commission Delegated Regulation (EU) 2015/61 Formula for the calculation of the net liquidity outflow Where, NLO = Net liquidity outflow TO = Total outflows TI = Total inflows FEI = Fully exempted inflows IHC = Inflows subject to higher cap of 90 % outflows IC = Inflows subject to cap of 75 % of outflows Enter all below data in to column 010 of given row 300 30. Total Outflows TO = from Outflow sheet Report figure from {C 73.00; r010; c060}. 310 31. Fully Exempt Inflows FEI = from Inflows sheet Report figure from {C 74.00; r010; c160}. 320 32. Inflows Subject to 90 % Cap IHC = from Inflows sheet Report figure from {C 74.00; r010; c150}. 330 33. Inflows Subject to 75 % Cap IC = from Inflows & Collateral swaps sheets Report figure from {C 74.00; r010; c140}. 340 34. Reduction for Fully Exempt Inflows Report the following part of the NLO calculation: = MIN (FEI, TO). 350 35. Reduction for Inflows Subject to 90 % Cap Report the following part of the NLO calculation: = MIN (IHC, 0.9MAX(TO-FEI, 0)). 360 36. Reduction for Inflows Subject to 75 % Cap Report the following part of the NLO calculation: = MIN (IC, 0.75MAX(TO-FEI-IHC/0.9, 0)). 370 37. Net liquidity outflow Report the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap. NLO = TO – MIN(FEI, TO) – MIN(IHC, 0.9MAX(TO-FEI, 0)) – MIN(IC, 0.75MAX(T0-FEI-IHC/0.9,0)) Pillar 2 380 38. Pillar 2 requirement as set out in Article 105 CRD Report the Pillar 2 requirement. ( 1 ) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32). ( 2 ) Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1). ( 3 ) The data requested from institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year). ( 4 ) ‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements. ( 5 ) Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1). ( 6 ) Regulation (EC) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary financial institutions sector (recast) (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1). ( 7 ) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1). ( 8 ) Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1). ( 9 ) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19). ( 10 ) Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (C(2003)1422) (OJ L 124, 20.5.2003, p. 36). ( 11 ) This includes securitisations and equity exposures subject to credit risk