What changed, Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standa…

+ ### document
− ## CHAPTER 1 — SUBJECT MATTER AND SCOPE
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− ### Article 1 — Subject matter and scope
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− This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:
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− (a) own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;
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− (b) losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;
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− (c) large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;
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− (d) leverage ratio according to Article 430 of Regulation (EU) No 575/2013;
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− (e) liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013;
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− (f) asset encumbrance according to Article 100 of Regulation (EU) No 575/2013;
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− (g) additional liquidity monitoring metrics according to Article 415(3)(b) of Regulation (EU) No 575/2013.
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− ## CHAPTER 2 — REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS
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− ### Article 2 — Reporting reference dates
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− **1.** Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:
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− (a) Monthly reporting: on the last day of each month;
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− (b) Quarterly reporting: 31 March, 30 June, 30 September and 31 December;
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− (c) Semi-annual reporting: 30 June and 31 December;
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− (d) Annual reporting: 31 December.
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− **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.
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− **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 twelv…
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− ### Article 3 — Reporting remittance dates
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− **1.** Institutions shall submit information to competent authorities by close of business of the following remittance dates:
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− (a) Monthly reporting: 15th calendar day after the reporting reference date;
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− (b) Quarterly reporting: 12 May, 11 August, 11 November and 11 February;
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− (c) Semi-annual reporting: 11 August and 11 February;
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− (d) Annual reporting: 11 February.
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− **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.
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− **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…
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− **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 figure…
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− **5.** Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.
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− ### Article 4 — Reporting thresholds — entry and exit criteria
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− **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.
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− **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.
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− **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.
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− ## 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
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− ### 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
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− 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).
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− (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 c…
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− (b) Institutions shall submit the following information with a semi-annual frequency: (1) the information on all securitisation exposures as specified in templates 14 and 14.01 of Annex I, in accordance with the instructions in point 3.9 of Part II of Annex II; Institutions shall be exempted from su…
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− ### 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
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− 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:
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− (a) the information specified in Article 5 in the frequency specified therein but on a consolidated basis;
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− (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.
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− ### 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
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− **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,…
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− **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 Artic…
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− ### 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
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− **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 fol…
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− (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;
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− (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.
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− **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…
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− (a) the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;
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− (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.
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− ## CHAPTER 3 — FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION / SECTION 2 — Format and frequency of reporting on financial information on a consolidated basis
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− ### 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
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− **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…
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− **2.** The information referred to in paragraph 1 shall be submitted according to the following specifications:
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− (a) the information specified in Part 1 of Annex III with a quarterly frequency;
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− (b) the information specified in Part 3 of Annex III with a semi-annual frequency;
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− (c) the information specified in Part 4 of Annex III, with the exception of the information specified in template 47, with an annual frequency;
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− (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;
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− (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 Artic…
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− (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 cri…
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− (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;
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− (h) with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex III where both of the following conditions are fulfilled: (i) the institution is not a small and non-complex institution as defined in point (145) of Article 4(1) of Regulation (EU) No 575/2013; (ii) t…
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− (i) with an annual frequency, the information specified in template 47 in Part 4 of Annex III where both of the conditions referred to in points (i) and (ii) of point (h) of this paragraph are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.
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− ### 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
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− 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.
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− ### 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
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− **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…
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− **2.** The information referred to in paragraph 1 shall be submitted according to the following specifications:
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− (a) the information specified in Part 1 of Annex IV with a quarterly frequency;
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− (b) the information specified in Part 3 of Annex IV with a semi-annual frequency;
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− (c) the information specified in Part 4 of Annex IV, with the exception of the information specified in template 47, with an annual frequency;
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− (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;
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− (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…
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− (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 crite…
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− (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;
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− (h) with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply;
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− (i) with an annual frequency, the information specified in template 47 in Part 4 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.
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− ## 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
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− ### Article 12
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− **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.
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− **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.
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− **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.
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− ## CHAPTER 5 — FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
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− ### Article 13
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− **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…
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− **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…
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− **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 Anne…
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− ## CHAPTER 6 — FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
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− ### Article 14
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− **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.
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− **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.
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− **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:
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− (a) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 1,5 %;
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− (b) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 2,0 %.
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− 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.
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− **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 referr…
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− 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.
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− **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:
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− (a) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 300 million;
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− (b) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 500 million.
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− 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.
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− **6.** Where the threshold that is specified in paragraph 39 of Part II of Annex XI is in all cases not met, institutions shall be exempted from the requirement to report information as specified in paragraph 40 of Part II of Annex XI.
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− ## CHAPTER 7 — FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
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− ### Article 15 — Format and frequency of reporting on liquidity coverage requirement
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− **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:
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− (a) credit institutions shall submit the information specified in Annex XXIV according to the instructions in Annex XXV with a monthly frequency;
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− (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.
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− **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.
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− ### Article 16 — Format and frequency of reporting on stable funding
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− 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.
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− ## CHAPTER 7a — FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
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− ### Article 16a — Format and frequency of reporting on asset encumbrance on an individual and a consolidated basis
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− **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 …
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− **2.** The information referred to in paragraph 1 shall be submitted according to the following specifications:
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− (a) the information specified in Parts A, B and D of Annex XVI with a quarterly frequency;
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− (b) the information specified in Part C of Annex XVI with an annual frequency;
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− (c) the information specified in Part E of Annex XVI with a semi-annual frequency.
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− **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:
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− (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;
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− (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 %.
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− **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.
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− ## CHAPTER 7b — FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
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− ### Article 16b
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− **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:
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− (a) the information specified in Annex XVIII in accordance with the instructions in Annex XIX;
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− (b) the information specified in Annex XX in accordance with the instructions in Annex XXI;
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− (c) the information specified in Annex XXII in accordance with the instructions in Annex XXIII.
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− **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:
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− (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;
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− (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;
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− (c) the institution has total assets, calculated in accordance with Council Directive 86/635/EEC, of less than EUR 30 billion.
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− 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.
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− **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.
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− ## CHAPTER 8 — IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES
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− ### Article 17
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− **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 referre…
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− (a) information not required or not applicable shall not be included in a data submission;
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− (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 precis…
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− **2.** The data submitted by the institutions shall be associated with the following information:
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− (a) reporting reference date and reference period;
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− (b) reporting currency;
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− (c) accounting standard;
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− (d) identifier of the reporting institution;
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− (e) level of application as individual or consolidated.
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− ## CHAPTER 9 — TRANSITIONAL AND FINAL PROVISIONS
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− ### Article 18 — Transitional period
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− 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.
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− 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.
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− 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
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− In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014.
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− 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…
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− 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.
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− 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.
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− ### Article 19 — Entry into Force
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− This Regulation shall enter into force on the day following that of its publication in the *Official Journal of the European Union*.
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− This Regulation shall apply from 1 January 2014.
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− Articles 9, 10 and 11 shall apply from 1 July 2014.
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− Article 15 shall apply from 1 March 2014.
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− Article 16a shall apply from 1 December 2014.
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− ### ANNEX I
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− **REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS**
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− | **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 |
− | 13.1 | C 13.01 | CREDIT RISK: SECURITISATIONS | CR SEC |
− | 14 | C 14.00 | DETAILED INFORMATION ON SECURITISATIONS | CR SEC Details |
− | 14.1 | C 14.01 | DETAILED INFORMATION ON SECURITISATIONS BY APPROACH | CR SEC Details 2 |
− |  |  | **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 LOSS 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 1250 % risk weight** |  |
− | **460** | **1.1.1.18** | **(-) Securitisation positions which can alternatively be subject to a 1250 % risk weight** |  |
− | **470** | **1.1.1.19** | **(-) Free deliveries which can alternatively be subject to a 1250 % risk weight** |  |
− | **471** | **1.1.1.20** | **(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1250 % risk weight** |  |
− | **472** | **1.1.1.21** | **(-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight** |  |
− | **480** | **1.1.1.22** | **(-) CET1 instruments of financial sector entites where the institution does not have a significant investment** |  |
− | **490** | **1.1.1.23** | **(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences** |  |
− | **500** | **1.1.1.24** | **(-) CET1 instruments of financial sector entities where the institution has a significant investment** |  |
− | **510** | **1.1.1.25** | **(-) Amount exceeding the 17,65 % threshold** |  |
− | **520** | **1.1.1.26** | **Other transitional adjustments to CET1 Capital** |  |
− | **524** | **1.1.1.27** | **(-) Additional deductions of CET1 Capital due to Article 3 CRR** |  |
− | **529** | **1.1.1.28** | **CET1 capital elements or deductions – other** |  |
− | **530** | **1.1.2** | **ADDITIONAL TIER 1 CAPITAL** |  |
− | **540** | **1.1.2.1** | **Capital instruments eligible as AT1 Capital** |  |
− | **550** | 1.1.2.1.1 | Paid up capital instruments |  |
− | **560** | 1.1.2.1.2* | Memorandum item: Capital instruments not eligible |  |
− | **570** | 1.1.2.1.3 | Share premium |  |
− | **580** | 1.1.2.1.4 | (-) Own AT1 instruments |  |
− | **590** | 1.1.2.1.4.1 | (-) Direct holdings of AT1 instruments |  |
− | **620** | 1.1.2.1.4.2 | (-) Indirect holdings of AT1 instruments |  |
− | **621** | 1.1.2.1.4.3 | (-) Synthetic holdings of AT1 instruments |  |
− | **622** | 1.1.2.1.5 | (-) Actual or contingent obligations to purchase own AT1 instruments |  |
− | **660** | **1.1.2.2** | **Transitional adjustments due to grandfathered AT1 Capital instruments** |  |
− | **670** | **1.1.2.3** | **Instruments issued by subsidiaries that are given recognition in AT1 Capital** |  |
− | **680** | **1.1.2.4** | **Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries** |  |
− | **690** | **1.1.2.5** | **(-) Reciprocal cross holdings in AT1 Capital** |  |
− | **700** | **1.1.2.6** | **(-) AT1 instruments of financial sector entities where the institution does not have a significant investment** |  |
− | **710** | **1.1.2.7** | **(-) AT1 instruments of financial sector entities where the institution has a significant investment** |  |
− | **720** | **1.1.2.8** | **(-) Excess of deduction from T2 items over T2 Capital** |  |
− | **730** | **1.1.2.9** | **Other transitional adjustments to AT1 Capital** |  |
− | **740** | **1.1.2.10** | **Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)** |  |
− | **744** | **1.1.2.11** | **(-) Additional deductions of AT1 Capital due to Article 3 CRR** |  |
− | **748** | **1.1.2.12** | **AT1 capital elements or deductions – other** |  |
− | **750** | **1.2** | **TIER 2 CAPITAL** |  |
− | **760** | **1.2.1** | **Capital instruments and subordinated loans eligible as T2 Capital** |  |
− | **770** | 1.2.1.1 | Paid up capital instruments and subordinated loans |  |
− | **780** | 1.2.1.2* | Memorandum item: Capital instruments and subordinated loans not eligible |  |
− | **790** | 1.2.1.3 | Share premium |  |
− | **800** | 1.2.1.4 | (-) Own T2 instruments |  |
− | **810** | 1.2.1.4.1 | (-) Direct holdings of T2 instruments |  |
− | **840** | 1.2.1.4.2 | (-) Indirect holdings of T2 instruments |  |
− | **841** | 1.2.1.4.3 | (-) Synthetic holdings of T2 instruments |  |
− | **842** | 1.2.1.5 | (-) Actual or contingent obligations to purchase own T2 instruments |  |
− | **880** | **1.2.2** | **Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans** |  |
− | **890** | **1.2.3** | **Instruments issued by subsidiaries that are given recognition in T2 Capital** |  |
− | **900** | **1.2.4** | **Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries** |  |
− | **910** | **1.2.5** | **IRB Excess of provisions over expected losses eligible** |  |
− | **920** | **1.2.6** | **SA General credit risk adjustments** |  |
− | **930** | **1.2.7** | **(-) Reciprocal cross holdings in T2 Capital** |  |
− | **940** | **1.2.8** | **(-) T2 instruments of financial sector entities where the institution does not have a significant investment** |  |
− | **950** | **1.2.9** | **(-) T2 instruments of financial sector entities where the institution has a significant investment** |  |
− | **960** | **1.2.10** | **Other transitional adjustments to T2 Capital** |  |
− | **970** | **1.2.11** | **Excess of deduction from T2 items over T2 Capital (deducted in AT1)** |  |
− | **974** | **1.2.12** | **(-) Additional deductions of T2 Capital due to Article 3 CRR** |  |
− | **978** | **1.2.13** | **T2 capital elements or deductions – other** |  |
− 
− **C 02.00 – OWN FUNDS REQUIREMENTS (CA2)**
− 
− | **Rows** | **Item** | **Label** | **Amount** |
− | --- | --- | --- | --- |
− | **010** | **1** | **TOTAL RISK EXPOSURE AMOUNT** |  |
− | **020** | 1* | *Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR* |  |
− | **030** | 1** | *Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR* |  |
− | **040** | **1.1** | **RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES** |  |
− | **050** | **1.1.1** | **Standardised Approach (SA)** |  |
− | **051** | 1.1.1* | Of which: Additional stricter prudential requirements based on Article 124 CRR |  |
− | **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 |  |
… diff truncated at 500 changed lines …