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Document 02021R0451-20210319

Consolidated text: Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)Text with EEA relevance

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ELI: http://data.europa.eu/eli/reg_impl/2021/451/2021-03-19

02021R0451 — EN — 19.03.2021 — 000.001

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) 2021/451

of 17 December 2020

laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014

(Text with EEA relevance)

(OJ L 097 19.3.2021, p. 1)


Corrected by:

►C1

Corrigendum, OJ L 136, 21.4.2021, p.  328 (2021/451)



▼B

COMMISSION IMPLEMENTING REGULATION (EU) 2021/451

of 17 December 2020

laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014

(Text with EEA relevance)



Article 1

Subject matter and scope

This Regulation lays down uniform reporting formats and templates, instructions on and a methodology for how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting of institutions to their competent authorities in accordance with Article 415, paragraphs 3 and 3a, of Regulation (EU) No 575/2013, and Article 430, paragraphs 1 to 4 and paragraphs 7 and 9 of that Regulation.

Article 2

Reporting reference dates

1.  

Institutions shall submit information to competent authorities as this information 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 Annexes III and IV, in accordance with the instructions in Annex V and 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 and of information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates is done every three, six or 12 months from their accounting year-end, respectively.

Article 3

Reporting remittance dates

1.  

Institutions shall submit information to competent authorities by close of business on 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 or the information for the purposes of identifying G-SIIs and assigning G-SII buffer rates using adjusted reporting reference dates based on their accounting year-end as set out in paragraph 3 of Article 2, 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 that meet the conditions set out in in Article 4(1), point (145), of Regulation (EU) No 575/2013 shall start reporting information as small and non-complex institutions on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
2.  
Institutions that meet the conditions set out in Article 4(1), point (146), of Regulation (EU) No 575/2013 shall start reporting information as large institutions, on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.
3.  
Institutions shall start reporting information subject to the thresholds set out in this Regulation on the next reporting reference date after those thresholds have been exceeded on two consecutive reporting reference dates. Institutions may stop reporting information subject to the thresholds set out in this Regulation on the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

Article 5

Reporting on own funds and own funds requirements on an individual basis – quarterly reporting

1.  
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a quarterly frequency.
2.  
Institutions shall submit information on own funds and own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1.
3.  
Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the standardised approach as specified in Annex I, template 7, in accordance with the instructions in Annex II, Part II, point 3.2.
4.  
Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the internal ratings-based approach as specified in Annex I, templates 8.1 and 8.2, in accordance with the instructions in Annex II, Part II, point 3.3.
5.  
Institutions shall submit information on the geographical distribution of exposures by country, as well as aggregated exposures at a total level, as specified in Annex I, template 9, in accordance with the instructions in Annex II, Part II, point 3.4.

Institutions shall submit information specified in templates 9.1 and 9.2, and in particular information on the geographical distribution of exposures by country, where non-domestic original exposures in all non-domestic countries in all exposure classes, as reported in accordance with Annex I, template 4, row 0850, are equal to or higher than 10 % of total domestic and non-domestic original exposures as reported in accordance with Annex I, template 4, row 0860. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is established.

The entry and exit criteria set out in Article 4 shall apply.

6.  
Institutions shall submit information on counterparty credit risk as specified in Annex I, templates 34.01 to 34.05 and 34.08 to 34.10, in accordance with the instructions in Annex II, Part II, point 3.9.
7.  
Institutions applying the standardised approach or the internal model method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 3 and 6, of Regulation (EU) No 575/2013 shall submit information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.
8.  
Institutions shall submit information on equity exposures treated under the internal ratings-based approach as specified in Annex I, template 10, in accordance with the instructions in Annex II, Part II, point 3.5.
9.  
Institutions shall submit information on settlement risk as specified in Annex I, template 11, in accordance with the instructions in Annex II, Part II, point 3.6.
10.  
Institutions shall submit information on securitisation exposures as specified in Annex I, template 13.01, in accordance with the instructions in Annex II, Part II, point 3.7.
11.  
Institutions shall submit information on own funds requirements and losses relating to operational risk as specified in Annex I, template 16, in accordance with the instructions in Annex II, Part II, point 4.1.
12.  
Institutions shall submit information on own funds requirements relating to market risk as specified in Annex I, templates 18 to 24, in accordance with the instructions in Annex II, Part II, points 5.1 to 5.7.
13.  
Institutions shall submit information on own funds requirements relating to credit valuation adjustment risk as specified in Annex I, template 25, in accordance with the instructions in Annex II, Part II, point 5.8.
14.  

Institutions shall submit information on prudent valuation as specified in Annex I, template 32, in accordance with the instructions in Annex II, Part II, point 6, as follows:

(a) 

all institutions shall submit the information specified in Annex I, template 32.1, in accordance with the instructions in Annex II, Part II, point 6;

(b) 

institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 ( 1 ) shall, in addition to information referred in point (a) of this paragraph, report the information specified in Annex I, template 32.2, in accordance with the instructions in Annex II, Part II, point 6;

(c) 

institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation shall, in addition to information referred in points (a) and (b) of this paragraph, report the information specified in Annex I, templates 32.3 and 32.4, in accordance with the instructions in Annex II, Part II, point 6.

For the purposes of this paragraph, the entry and exit criteria set out in Article 4 shall not apply.

15.  
Institutions shall submit information on the prudential backstop for non-performing exposures (NPEs) as specified in Annex I, templates 35.01, 35.02 and 35.03, in accordance with the instructions in Annex II, Part II, point 8.

Article 6

Reporting on own funds and own funds requirements on an individual basis – semi-annual reporting

1.  
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a semi-annual frequency.
2.  
Institutions shall submit information on all securitisation exposures as specified in Annex I, templates 14 and 14.01, in accordance with the instructions in Annex II, Part II, point 3.8; except where they are part of a group in the same country in which they are subject to own funds requirements.
3.  

Institutions shall submit information on sovereign exposures as follows:

(a) 

where the aggregate carrying amount of financial assets from the counterparty sector ‘General governments’ is equal to or higher than 1 % of the sum of total carrying amount for ‘Debt securities’ and ‘Loans and advances’ institutions shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, and shall follow the instructions in Annex V regarding template 4 in Annex III or Annex IV, as applicable, to calculate the relevant values;

(b) 

where the value reported for domestic exposures of non-derivative financial assets as defined in row 0010, column 0010 in Annex I, template 33 is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point institutions that meet the condition referred to in point (a) shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, with a full country breakdown;

(c) 

institutions that meet the conditions referred to in point (a) and do not meet the condition referred in point (b) shall submit the information specified in template 33, in accordance with the instructions in Annex II, Part II, point 7, with exposures aggregated at:

(i) 

total level; and

(ii) 

domestic level.

The entry and exit criteria of Article 4(3) shall apply.

4.  

Information on material losses regarding operational risk shall be reported as follows:

(a) 

institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 4, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(b) 

large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(c) 

institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report, in accordance with the instructions in Annex II, Part II, point 4.2, the following information:

(i) 

the information as specified in Annex I, template 17.01, column 0080 for the following rows:

— 
number of events (new events) (row 0910),
— 
gross loss amount (new events) (row 0920),
— 
number of events subject to loss adjustments (row 0930),
— 
loss adjustments relating to previous reporting periods (row 0940),
— 
maximum single loss (row 0950),
— 
sum of the five largest losses (row 0960),
— 
total direct loss recovery (except insurance and other risk transfer mechanisms) (row 0970),
— 
total recoveries from insurance and other risk transfer mechanisms (row 0980);
(ii) 

the information as specified in Annex I, template 17.02.

(d) 

the institutions referred to in point (c) may report the complete set of information specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(e) 

large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 shall report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(f) 

institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 may report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2.

The entry and exit criteria of Article 4(3) shall apply.

5.  
Institutions applying the simplified standardised approach or the original exposure method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 4 and 5 Regulation (EU) No 575/2013 shall submit the information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.

Article 7

Reporting on own funds and own funds requirements on a consolidated basis

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in:

(a) 

Articles 5 and 6 of this Implementing Regulation on a consolidated basis with the frequency specified therein; and

(b) 

template 6 of Annex I, in accordance with the instructions provided in Annex II, Part II, point 2 regarding entities included in the scope of consolidation, with a semi-annual frequency.

Article 8

Reporting on own funds and own funds requirements – additional reporting requirements on individual and consolidated basis

1.  
Institutions subject to a requirement to disclose the information referred to in Article 438, points (e) or (h), or Article 452, points (b), (g) or (h), of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on credit risk and counterparty credit risk, as specified in Annex I, templates 8.3, 8.4, 8.5, 8.5.1, 8.6, 8.7 and 34.11, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, points 3.3 and 3.9.12, to this Regulation.
2.  
Institutions subject to a requirement to disclose the information referred to in point (l) of Article 439 of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on counterparty credit risk, as specified in Annex I, template 34.07, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, point 3.9.8, to this Regulation.

Article 9

Reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis

1.  
Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.
2.  
In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, with the exception of information on the leverage ratio, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency.
3.  
In order to report information on own funds and own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information referred to in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13), and Article 6(2) of this Regulation with the frequency laid down in those Articles.

Article 10

Reporting on own funds and own funds requirements for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on a consolidated basis

1.  
Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.
2.  

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, with the exception of information on the leverage ratio, investment firms of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference 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 on own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency;

(b) 

the information on own funds and on own funds requirements regarding entities included in the scope of consolidation as specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency.

3.  

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups that consist only of investment firms subject to Article 95 and investment firms subject to Article 96 or of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a) 

the information specified in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13) Article 6(2) of this Regulation with the frequency laid down in those Articles;

(b) 

the information regarding entities included in the scope of consolidation specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency.

Article 11

Reporting on financial information on a consolidated basis for institutions subject to Regulation (EC) No 1606/2002 of the European Parliament and of the Council ( 2 )

1.  
In order to report financial information on a consolidated basis in accordance with Article 430(3) or (4) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex III on a consolidated basis, in accordance with the instructions in Annex V.
2.  

The information referred to in paragraph 1 shall be submitted as follows:

(a) 

the information specified in Annex III, Part 1, with a quarterly frequency;

(b) 

the information specified in Annex III, Part 3, with a semi-annual frequency;

(c) 

the information specified in Annex III, Part 4, with the exception of the information specified in template 47, with an annual frequency;

(d) 

the information specified in Annex III, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph;

(e) 

the information specified in Annex III, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex III, Part 1,template 1.1;

(f) 

the information specified in Annex III, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex III, Part 1, template 2;

(g) 

the information specified in Annex III, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled:

(i) 

the institution is not a small and non-complex institution;

(ii) 

the ratio between the institution’s gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of that Regulation is equal to or higher than 5 %;

(h) 

the information specified in Annex III, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

For the purpose of point (g)(ii), the ratio shall not include loans and advances classified as held for sale, cash balances at central banks and other demand deposits in either the denominator or the numerator.

For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 12

Reporting on financial information on a consolidated basis for institutions applying national accounting frameworks

1.  
Where a competent authority has extended the reporting requirements on financial information to institutions established in a Member State in accordance with Article 430(9) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex IV to this Regulation on a consolidated basis, in accordance with the instructions in Annex V to this Regulation.
2.  

The information referred to in paragraph 1 shall be submitted as follows:

(a) 

the information specified in Annex IV, Part 1, with a quarterly frequency;

(b) 

the information specified in Annex IV, Part 3, with a semi-annual frequency;

(c) 

the information specified in Annex IV, Part 4, with the exception of the information specified in template 47, with an annual frequency;

(d) 

the information specified in Annex IV, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph;

(e) 

the information specified in Annex IV, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex IV, Part 1, template 1.1;

(f) 

the information specified in Annex IV, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex IV, Part 1, template 2;

(g) 

the information specified in Annex IV, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled:

(i) 

the institution is not a small and non-complex;

(ii) 

the institution’s ratio as specified in Article 11(2), point (g)(ii) is equal to or higher than 5 %;

(h) 

the information specified in Annex IV, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 13

Reporting on losses stemming from lending collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis

1.  
Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a consolidated basis with an annual frequency.
2.  
Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a individual basis with an annual frequency.
3.  
Where an institution has a branch in another Member State, that branch shall submit to the competent authority of the host Member State the information specified in Annex VI related to that branch, in accordance with the instructions in Annex VII, with an annual frequency.

Article 14

Reporting on large exposures on an individual and a consolidated basis

1.  
In order to report information on large exposures to clients and groups of connected clients in accordance with Article 394 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
2.  
In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions subject to Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
3.  
In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.
4.  
In order to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

Article 15

Reporting on leverage ratio on an individual and a consolidated basis

1.  
In order to report information on the leverage ratio in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex X, in accordance with the instructions in Annex XI, with a quarterly frequency. Only large institutions shall submit template 48.00 of Annex X.
2.  

The information specified in Annex X, template 40.00, cell {r0410;c0010} shall be reported only by:

(a) 

large institutions that either are G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency;

(b) 

large institutions other than G-SIIs that are not listed institutions with an annual frequency;

(c) 

institutions other than large institutions and small and non-complex institutions that have issued securities that are admitted to trading on a regulated market with an annual frequency.

3.  
Institutions shall calculate the leverage ratio at the reporting reference date in accordance with Article 429 of Regulation (EU) No 575/2013.
4.  

Institutions shall report the information referred to in Annex XI, Part II, point 13, where at least one of the following conditions is met:

(a) 

the derivatives share referred to in Annex XI, Part II, point 5, is more than 1,5 %;

(b) 

the derivatives share referred to in Annex XI, Part II, point 5, exceeds 2 %.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply.

If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

5.  
Institutions for which the total notional value of derivatives as defined in Annex XI, Part II, point 8, exceeds EUR 10 000  million shall report the information referred to in Annex XI, Part II, point 13, even if their derivatives share does not fulfil the conditions set out in paragraph 4 of this Article.

For the purposes of this paragraph, the entry criteria of Article 4(3) shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

6.  

Institutions are required to report the information referred to in Annex XI, Part II, point 14, where at least one of the following conditions is met:

(a) 

the credit derivatives volume referred to in Annex XI, Part II, point 9, is more than EUR 300 million;

(b) 

the credit derivatives volume referred to in Annex XI, Part II, point 9, exceeds EUR 500 million.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

Article 16

Reporting on the liquidity coverage requirement on an individual and a consolidated basis

1.  
In order to report information on the liquidity coverage requirement in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XXIV to this Regulation, in accordance with the instructions in Annex XXV to this Regulation, with a monthly frequency;
2.  
The information set out in Annex 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.

Article 17

Reporting on stable funding on an individual and a consolidated basis

In order to report information on stable funding in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XII, in accordance with the instructions in Annex XIII, with a quarterly frequency as follows:

(a) 

small and non-complex institutions that have chosen to calculate their net stable funding ratio (NSFR) using the methodology set out in Part Six, Title IV, Chapters 6 and 7 of Regulation (EU) No 575/2013, with the prior permission of their competent authority in accordance with Article 428ai of that Regulation, shall submit templates 82 and 83 of Annex XII to this Regulation, in accordance with the instructions in Annex XIII to this Regulation;

(b) 

institutions other than those referred to in point (a) shall submit templates 80 and 81 of Annex XII, in accordance with the instructions in Annex XIII;

(c) 

all institutions shall submit template 84 of Annex XII, in accordance with the instructions in Annex XIII.

Article 18

Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis

1.  

In order to report information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), 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;

(c) 

the information specified in Annex XXII in accordance with the instructions in Annex XXIII.

2.  
By way of derogation from paragraph 1, an institution that meets all the conditions set out in Article 4(1), point (145), of Regulation (EU) No 575/2013 may report the information on additional liquidity monitoring metrics with a quarterly frequency.

Article 19

Reporting on asset encumbrance on an individual and a consolidated basis

1.  
In order to report information on asset encumbrance in accordance with Article 430(1), point (g), 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, in accordance with the instructions set out in Annex XVII to this Regulation.
2.  

The information referred to in paragraph 1 shall be submitted as follows:

(a) 

the information specified in Annex XVI, Parts A, B and D, with a quarterly frequency;

(b) 

the information specified in Annex XVI, Part C, with an annual frequency;

(c) 

the information specified in Annex XVI, Part E, with a semi-annual frequency.

3.  

Institutions shall not be required to report the information specified in Annex XVI, Parts B, C and E, where both of the following conditions are met:

(a) 

the institution is not considered a large institution;

(b) 

the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is below 15 %.

The entry and exit criteria of Article 4(3) shall apply.

4.  
Institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), the first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council ( 3 ).

The entry and exit criteria of Article 4(3) shall apply.

Article 20

Supplementary reporting on a consolidated basis for the purposes of identifying G-SIIs and assigning G-SII buffer rates

1.  
In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI, in accordance with the instructions in Annex XXVII, on a consolidated basis with a quarterly frequency.
2.  

EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall only submit the information referred to in paragraph 1, where both of the following conditions are met:

(a) 

the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125 000  million;

(b) 

the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council ( 4 ).

3.  
By way of derogation from Article 3(1), point (b), the information referred to in paragraph 1 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.
4.  

By way of derogation from Article 4, the following shall apply with regard to the threshold specified in paragraph 2, point (a), of this Article:

(a) 

the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information at least for the end of that accounting year and the subsequent three quarterly reference dates;

(b) 

the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year.

Article 21

Data exchange formats and information accompanying submissions

1.  

Institutions shall submit the information in the data exchange formats and representations specified by the competent authorities and respecting the data point definition of the data point model referred to in Annex XIV and the validation formulae referred to in Annex XV as well as the following specifications:

(a) 

information that is not required or not applicable shall not be included in a data submission;

(b) 

numerical values shall be submitted as follows:

(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;

(c) 

institutions and insurance undertakings shall be identified solely by their Legal Entity Identifier (LEI);

(d) 

legal entities and counterparties other than institutions and insurance undertakings shall be identified by their LEI where available.

2.  

Institutions shall accompany the submitted data by the following information:

(a) 

reporting reference date and reference period;

(b) 

reporting currency;

(c) 

accounting standard;

(d) 

Legal Entity Identifier (LEI) of the reporting institution;

(e) 

scope of consolidation.

Article 22

Repeal of Implementing Regulation (EU) No 680/2014

Implementing Regulation (EU) No 680/2014 is repealed.

References to the repealed Regulation shall be construed as references to this Regulation.

Article 23

Entry into force and application

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.

It shall apply from 28 June 2021.

Notwithstanding the second paragraph of this Article, reporting on leverage ratio buffer requirement for institutions identified as G-SIIs provided for in template 47 of Annex X shall apply from 1 January 2023.

Articles 9 and 10 shall cease to apply on 26 June 2026.

This Regulation shall be binding in its entirety and directly applicable in all Member States.



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

8.3

C 08.03

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES

CR IRB 3

8.4

C 08.04

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS

CR IRB 4

8.5

C 08.05

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD

CR IRB 5

8.5.1

C 08.05.1

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5)

 

8.6

C 08.06

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH

CR IRB 6

8.7

C 08.07

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES

CR IRB 7

 

 

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

 

 

COUNTERPARTY CREDIT RISK

CCR

34.01

C 34.01

COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS

CCR 1

34.02

C 34.02

COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH

CCR 2

34.03

C 34.03

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR

CCR 3

34.04

C 34.04

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM)

CCR 4

34.05

C 34.05

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)

CCR 5

34.06

C 34.06

COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES

CCR 6

34.07

C 34.07

COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE

CCR 7

34.08

C 34.08

COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES

CCR 8

34.09

C 34.09

COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES

CCR 9

34.10

C 34.10

COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs

CCR 10

34.11

C 34.11

COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM

CCR 11

 

 

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

 

 

NPE LOSS COVERAGE

NPE LC

35.1

C 35.01

NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES

NPE LC1

35.2

C 35.02

NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR

NPE LC2

35.3

C 35.03

NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR

NPE LC3



C 01.00 - OWN FUNDS (CA1)

Rows

ID

Item

Amount

0010

1

OWN FUNDS

 

0015

1.1

TIER 1 CAPITAL

 

0020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

 

0030

1.1.1.1

Capital instruments eligible as CET1 Capital

 

0040

1.1.1.1.1

Fully paid up capital instruments

 

0045

1.1.1.1.1*

Of which: Capital instruments subscribed by public authorities in emergency situations

 

0050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

 

0060

1.1.1.1.3

Share premium

 

0070

1.1.1.1.4

(-) Own CET1 instruments

 

0080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

 

0090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

 

0091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

 

0092

1.1.1.1.5

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

 

0130

1.1.1.2

Retained earnings

 

0140

1.1.1.2.1

Previous years retained earnings

 

0150

1.1.1.2.2

Profit or loss eligible

 

0160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

 

0170

1.1.1.2.2.2

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

 

0180

1.1.1.3

Accumulated other comprehensive income

 

0200

1.1.1.4

Other reserves

 

0210

1.1.1.5

Funds for general banking risk

 

0220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

 

0230

1.1.1.7

Minority interest given recognition in CET1 capital

 

0240

1.1.1.8

Transitional adjustments due to additional minority interests

 

0250

1.1.1.9

Adjustments to CET1 due to prudential filters

 

0260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

 

0270

1.1.1.9.2

Cash flow hedge reserve

 

0280

1.1.1.9.3

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

 

0285

1.1.1.9.4

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

 

0290

1.1.1.9.5

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

 

0300

1.1.1.10

(-) Goodwill

 

0310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

 

0320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

 

0330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

 

0335

1.1.1.10.4

Accounting revaluation of subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to third persons

 

0340

1.1.1.11

(-) Other intangible assets

 

0350

1.1.1.11.1

(-) Other intangible assets before deduction of deferred tax liabilities

 

0360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

 

0365

1.1.1.11.3

Accounting revaluation of subsidiaries' other intangible assets derived from the consolidation of subsidiaries attributable to third persons

 

0370

1.1.1.12

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

 

0380

1.1.1.13

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

 

0390

1.1.1.14

(-) Defined benefit pension fund assets

 

0400

1.1.1.14.1

(-) Defined benefit pension fund assets

 

0410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

 

0420

1.1.1.14.3

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

 

0430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

 

0440

1.1.1.16

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

 

0450

1.1.1.17

(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250  % risk weight

 

0460

1.1.1.18

(-) Securitisation positions which can alternatively be subject to a 1 250  % risk weight

 

0470

1.1.1.19

(-) Free deliveries which can alternatively be subject to a 1 250  % risk weight

 

0471

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

 

0472

1.1.1.21

(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250  % risk weight

 

0480

1.1.1.22

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

 

0490

1.1.1.23

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

 

0500

1.1.1.24

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

 

0510

1.1.1.25

(-) Amount exceeding the 17.65 % threshold

 

0511

1.1.1.25.1

(-) Amount exceeding the 17.65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment

 

0512

1.1.1.25.2

(-) Amount exceeding the 17.65 % threshold related to deferred tax assets arising from temporary differences

 

0513

1.1.1.25A

(-) Insufficient coverage for non-performing exposures

 

0514

1.1.1.25B

(-) Minimum value commitment shortfalls

 

0515

1.1.1.25C

(-) Other foreseeable tax charges

 

0520

1.1.1.26

Other transitional adjustments to CET1 Capital

 

0524

1.1.1.27

(-) Additional deductions of CET1 Capital due to Article 3 CRR

 

0529

1.1.1.28

CET1 capital elements or deductions - other

 

0530

1.1.2

ADDITIONAL TIER 1 CAPITAL

 

0540

1.1.2.1

Capital instruments eligible as AT1 Capital

 

0551

1.1.2.1.1

Fully paid up, directly issued capital instruments

 

0560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

 

0571

1.1.2.1.3

Share premium

 

0580

1.1.2.1.4

(-) Own AT1 instruments

 

0590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

 

0620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

 

0621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

 

0622

1.1.2.1.5

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

 

0660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

 

0670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

 

0680

1.1.2.4

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

 

0690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

 

0700

1.1.2.6

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

 

0710

1.1.2.7

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

 

0720

1.1.2.8

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

 

0730

1.1.2.9

Other transitional adjustments to AT1 Capital

 

0740

1.1.2.10

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

 

0744

1.1.2.11

(-) Additional deductions of AT1 Capital due to Article 3 CRR

 

0748

1.1.2.12

AT1 capital elements or deductions - other

 

0750

1.2

TIER 2 CAPITAL

 

0760

1.2.1

Capital instruments eligible as T2 Capital

 

0771

1.2.1.1

Fully paid up, directly issued capital instruments

 

0780

1.2.1.2*

Memorandum item: Capital instruments not eligible

 

0791

1.2.1.3

Share premium

 

0800

1.2.1.4

(-) Own T2 instruments

 

0810

1.2.1.4.1

(-) Direct holdings of T2 instruments

 

0840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

 

0841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

 

0842

1.2.1.5

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

 

0880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments

 

0890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

 

0900

1.2.4

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

 

0910

1.2.5

IRB Excess of provisions over expected losses eligible

 

0920

1.2.6

SA General credit risk adjustments

 

0930

1.2.7

(-) Reciprocal cross holdings in T2 Capital

 

0940

1.2.8

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

 

0950

1.2.9

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

 

0955

1.2.9A

(-) Excess of deductions from eligible liabilities over eligible liabilities

 

0960

1.2.10

Other transitional adjustments to T2 Capital

 

0970

1.2.11

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

 

0974

1.2.12

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

 

0978

1.2.13

T2 capital elements or deductions - other

 



C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

Rows

Item

Label

Amount

0010

1

TOTAL RISK EXPOSURE AMOUNT

 

0020

1*

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

 

0030

1**

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

 

0040

1.1

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

 

0050

1.1.1

Standardised approach (SA)

 

0051

1.1.1*

Of which: Additional stricter prudential requirements based on Article 124 CRR

 

0060

1.1.1.1

SA exposure classes excluding securitisation positions

 

0070

1.1.1.1.01

Central governments or central banks

 

0080

1.1.1.1.02

Regional governments or local authorities

 

0090

1.1.1.1.03

Public sector entities

 

0100

1.1.1.1.04

Multilateral Development Banks

 

0110

1.1.1.1.05

International Organisations

 

0120

1.1.1.1.06

Institutions

 

0130

1.1.1.1.07

Corporates

 

0140

1.1.1.1.08

Retail

 

0150

1.1.1.1.09

Secured by mortgages on immovable property

 

0160

1.1.1.1.10

Exposures in default

 

0170

1.1.1.1.11

Items associated with particular high risk

 

0180

1.1.1.1.12

Covered bonds

 

0190

1.1.1.1.13

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

 

0200

1.1.1.1.14

Collective investments undertakings (CIU)

 

0210

1.1.1.1.15

Equity

 

0211

1.1.1.1.16

Other items

 

0240

1.1.2

Internal ratings based Approach (IRB)

 

0241

1.1.2*

Of which: Additional stricter prudential requirements based on Article 164 CRR

 

0242

1.1.2**

Of which: Additional stricter prudential requirements based on Article 124 CRR

 

0250

1.1.2.1

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

 

0260

1.1.2.1.01

Central governments and central banks

 

0270

1.1.2.1.02

Institutions

 

0280

1.1.2.1.03

Corporates - SME

 

0290

1.1.2.1.04

Corporates - Specialised Lending

 

0300

1.1.2.1.05

Corporates - Other

 

0310

1.1.2.2

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

 

0320

1.1.2.2.01

Central governments and central banks

 

0330

1.1.2.2.02

Institutions

 

0340

1.1.2.2.03

Corporates - SME

 

0350

1.1.2.2.04

Corporates - Specialised Lending

 

0360

1.1.2.2.05

Corporates - Other

 

0370

1.1.2.2.06

Retail - Secured by real estate SME

 

0380

1.1.2.2.07

Retail - Secured by real estate non-SME

 

0390

1.1.2.2.08

Retail - Qualifying revolving

 

0400

1.1.2.2.09

Retail - Other SME

 

0410

1.1.2.2.10

Retail - Other non-SME

 

0420

1.1.2.3

Equity IRB

 

0450

1.1.2.5

Other non credit-obligation assets

 

0460

1.1.3

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

 

0470

1.1.4

Securitisation positions

 

0490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

 

0500

1.2.1

Settlement/delivery risk in the non-Trading book

 

0510

1.2.2

Settlement/delivery risk in the Trading book

 

0520

1.3

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

 

0530

1.3.1

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

 

0540

1.3.1.1

Traded debt instruments

 

0550

1.3.1.2

Equity

 

0555

1.3.1.3

Particular approach for position risk in CIUs

 

0556

1.3.1.3*

Memo item: CIUs exclusively invested in traded debt instruments

 

0557

1.3.1.3**

Memo item: CIUs invested exclusively in equity instruments or in mixed instruments

 

0560

1.3.1.4

Foreign Exchange

 

0570

1.3.1.5

Commodities

 

0580

1.3.2

Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)

 

0590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

 

0600

1.4.1

OpR Basic indicator approach (BIA)

 

0610

1.4.2

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

 

0620

1.4.3

OpR Advanced measurement approaches (AMA)

 

0630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

 

0640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

 

0650

1.6.1

Advanced method

 

0660

1.6.2

Standardised method

 

0670

1.6.3

Based on OEM

 

0680

1.7

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

 

0690

1.8

OTHER RISK EXPOSURE AMOUNTS

 

0710

1.8.2

Of which: Additional stricter prudential requirements based on Article 458 CRR

 

0720

1.8.2*

Of which: requirements for large exposures

 

0730

1.8.2**

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

 

0740

1.8.2***

Of which: due to intra financial sector exposures

 

0750

1.8.3

Of which: Additional stricter prudential requirements based on Article 459 CRR

 

0760

1.8.4

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

 



C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows

ID

Item

Amount

0010

1

CET1 Capital ratio

 

0020

2

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

 

0030

3

T1 Capital ratio

 

0040

4

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

 

0050

5

Total capital ratio

 

0060

6

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

 

Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)

0130

13

Total SREP capital requirement (TSCR) ratio

 

0140

13*

TSCR: to be made up of CET1 capital

 

0150

13**

TSCR: to be made up of Tier 1 capital

 

0160

14

Overall capital requirement (OCR) ratio

 

0170

14*

OCR: to be made up of CET1 capital

 

0180

14**

OCR: to be made up of Tier 1 capital

 

0190

15

OCR and Pillar 2 Guidance (P2G)

 

0200

15*

OCR and P2G: to be made up of CET1 capital

 

0210

15**

OCR and P2G: to be made up of Tier 1 capital

 

0220

16

Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD

 

Memorandum Items: Capital ratios without application of the transitional provisions on IFRS 9

0300

20

CET1 Capital ratio without application of the transitional provisions on IFRS 9

 

0310

21

T1 Capital ratio without application of the transitional provisions on IFRS 9

 

0320

22

Total capital ratio without application of the transitional provisions on IFRS 9

 



C 04.00 - MEMORANDUM ITEMS (CA4)

Row

ID

Item

Column

Deferred tax assest and liabilities

0010

0010

1

Total deferred tax assets

 

0020

1.1

Deferred tax assets that do not rely on future profitability

 

0030

1.2

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

 

0040

1.3

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

 

0050

2

Total deferred tax liabilities

 

0060

2.1

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

 

0070

2.2

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

 

0080

2.2.1

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

 

0090

2.2.2

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

 

0093

2A

Tax overpayments and tax loss carry backs

 

0096

2B

Deferred Tax Assets subject to a risk weight of 250%

 

0097

2C

Deferred Tax Assets subject to a risk weight of 0%

 

Exception from deductions from CET1

0901

2W

Exception from deduction of intangible assets from CET1

 

Accounting classification of AT1 instruments

0905

2Y

Capital instruments and the related share premium accounts classified as equity under applicable accounting standards

 

0906

2Z

Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards

 

Credit risk adjustments and expected losses

0100

3

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

 

0110

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

 

0120

3.1.1

General credit risk adjustments

 

0130

3.1.2

Specific credit risk adjustments

 

0131

3.1.3

Additional value adjustments and other own funds reductions

 

0140

3.2

Total expected losses eligible

 

0145

4

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

 

0150

4.1

Specific credit risk adjustments and positions treated similarily

 

0155

4.2

Total expected losses eligible

 

0160

5

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

 

0170

6

Total gross provisions eligible for inclusion in T2 capital

 

0180

7

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

 

Thresholds for Common Equity Tier 1 deductions

0190

8

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

 

0200

9

10% CET1 threshold

 

0210

10

17.65% CET1 threshold

 

0225

11

Eligible capital for the purposes of qualifying holdings outside the financial sector

 

Investments in the capital of financial sector entities where the institution does not have a significant investment

0230

12

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

 

0240

12.1

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

 

0250

12.1.1

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

 

0260

12.1.2

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

 

0270

12.2

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

 

0280

12.2.1

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

 

0290

12.2.2

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

 

0291

12.3

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

 

0292

12.3.1

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

 

0293

12.3.2

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

 

0300

13

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

 

0310

13.1

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

 

0320

13.1.1

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

 

0330

13.1.2

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

 

0340

13.2

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

 

0350

13.2.1

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

 

0360

13.2.2

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

 

0361

13.3

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

 

0362

13.3.1

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

 

0363

13.3.2

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

 

0370

14

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

 

0380

14.1

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

 

0390

14.1.1

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

 

0400

14.1.2

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

 

0410

14.2

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

 

0420

14.2.1

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

 

0430

14.2.2

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

 

0431

14.3

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

 

0432

14.3.1

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

 

0433

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

0440

15

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

 

0450

15.1

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

 

0460

15.1.1

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

 

0470

15.1.2

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

 

0480

15.2

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

 

0490

15.2.1

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

 

0500

15.2.2

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

 

0501

15.3

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

 

0502

15.3.1

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

 

0503

15.3.2

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

 

0504

15A

Investments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250%

 

0510

16

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

 

0520

16.1

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

 

0530

16.1.1

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

 

0540

16.1.2

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

 

0550

16.2

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

 

0560

16.2.1

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

 

0570

16.2.2

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

 

0571

16.3

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

 

0572

16.3.1

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

 

0573

16.3.2

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

 

0580

17

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

 

0590

17.1

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

 

0600

17.1.1

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

 

0610

17.1.2

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

 

0620

17.2

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

 

0630

17.2.1

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

 

0640

17.2.2

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

 

0641

17.3

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

 

0642

17.3.1

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

 

0643

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:

0650

18

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

 

0660

19

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

 

0670

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

 

0680

21

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

 

0690

22

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

 

0700

23

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

 

0710

24

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

 

0720

25

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

 

0730

26

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

 

Capital buffers

0740

27

Combined buffer requirement

 

0750

 

Capital conservation buffer

 

0760

 

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

 

0770

 

Institution specific countercyclical capital buffer

 

0780

 

Systemic risk buffer

 

0800

 

Global Systemically Important Institution buffer

 

0810

 

Other Systemically Important Institution buffer

 

Pillar II requirements

0820

28

Own funds requirements related to Pillar II adjustments

 

Additional information for investment firms

0830

29

Initial capital

 

0840

30

Own funds based on Fixed Overheads

 

Additional information for calculation of reporting thresholds

0850

31

Non-domestic original exposures

 

0860

32

Total original exposures

 



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

0010

0020

0030

0040

0050

0060

0010

1

TOTAL ADJUSTMENTS

 

 

 

 

 

 

0020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r0220}

link to {CA1;r0660}

link to {CA1;r0880}

 

 

 

0060

1.1.2

Instruments not constituting state aid

 

 

 

 

 

 

0061

1.1.3

Instruments issued through special purpose vehicles

 

 

 

 

 

 

0062

1.1.4

Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements

 

 

 

 

 

 

0063

1.1.4.1*

of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers

 

 

 

 

 

 

0064

1.1.4.2*

of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers

 

 

 

 

 

 

0065

1.1.4.3*

of which: Instruments subject to set-off or netting arrangements

 

 

 

 

 

 

0070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r0240}

link to {CA1;r0680}

link to {CA1;r0900}

 

 

 

0080

1.2.1

Capital instruments and items that do not qualify as minority interests

 

 

 

 

 

 

0090

1.2.2

Transitional recognition in consolidated own funds of minority interests

 

 

 

 

 

 

0091

1.2.3

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

 

 

 

 

 

 

0092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

 

 

 

 

 

 

0100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r0520}

link to {CA1;r0730}

link to {CA1;r0960}

 

 

 

0111

1.3.1.6

Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs

 

 

 

 

 

 

0112

1.3.1.6.1

of which: amount A

 

 

 

 

 

 

0140

1.3.2

Deductions

 

 

 

 

 

 

0170

1.3.2.3

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

 

 

 

 

 

 

0380

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

 

 

 

 

 

 

0385

1.3.2.9a

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

 

 

 

 

 

 

0425

1.3.2.11

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

 

 

 

 

 

 

0430

1.3.3

Additional filters and deductions

 

 

 

 

 

 

0440

1.3.4

Adjustments due to IFRS 9 transitional arrangements

 

 

 

 

 

 

0441

1.3.4.1

Memorandum item: ECL impact of the static component

 

 

 

 

 

 

0442

1.3.4.2

Memorandum item: ECL impact of the dynamic component for the period 1.1.2018 – 31.12.2019

 

 

 

 

 

 

0443

1.3.4.3

Memorandum item: ECL impact of the dynamic component for the period starting on 1.1.2020

 

 

 

 

 

 



C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

 

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

0010

0020

0030

0040

0050

0060

0010

1.

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

 

 

 

 

 

link to {CA5.1;r060;c010)

0020

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 CRR

 

 

 

 

 

link to {CA5.1;r060;c020)

0030

2.1

Total instruments without a call or an incentive to redeem

 

 

 

 

 

 

0040

2.2.

Grandfathered instruments with a call and incentive to redeem

 

 

 

 

 

 

0050

2.2.1

Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity

 

 

 

 

 

 

0060

2.2.2

Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity

 

 

 

 

 

 

0070

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 CRR after the date of effective maturity

 

 

 

 

 

 

0080

2.3

Excess on the limit of CET1 grandfathered instruments

 

 

 

 

 

 

0090

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 CRR

 

 

 

 

 

link to {CA5.1;r060;c030)

0100

3.1

Total items without an incentive to redeem

 

 

 

 

 

 

0110

3.2

Grandfathered items with an incentive to redeem

 

 

 

 

 

 

0120

3.2.1

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

 

 

 

 

 

 

0130

3.2.2

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

 

 

 

 

 

 

0140

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 CRR after the date of effective maturity

 

 

 

 

 

 

0150

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

 

 

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

MEMORANDUM ITEM:

GOODWILL (-) / (+) NEGATIVE GOODWILL

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0470

0480

0010

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

TYPE OF CODE

NATIONAL 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 (%)

 

 

OWN FUNDS

 

 

TOTAL RISK EXPOSURE AMOUNT

 

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

 

CONSOLIDATED OWN FUNDS

 

COMBINED BUFFER REQUIREMENT

 

TOTAL RISK EXPOSURE AMOUNT

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

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

 

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

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

QUALIFYING TIER 1 INSTRUMENTS INCLUDED 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

0011

0021

0026

0027

0030

0035

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0470

0480

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



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 SUPPORTING FACTORS

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

 

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

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP

0010

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0211

0215

0216

0217

0220

0230

0240

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

0015

of which: Defaulted exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0035

of which: Exposures subject to the Infrastructure supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Secured by mortgages on immovable property - Residential property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Exposures under the permanent partial use of the standardised approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

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:

0070

On balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Off balance sheet exposures subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures / Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Securities Financing Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Derivatives & Long Settlement Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: centrally cleared through a QCCP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

From Contractual Cross Product netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

0140

0 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

2 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

4 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

10 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

20 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

35 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

50 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

70 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

75 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0240

150 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0250

250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0260

370 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0270

1 250 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0280

Other risk weights

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):

0281

Look-through approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0282

Mandate-based approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0283

Fall-back approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MEMORANDUM ITEMS

0290

Exposures secured by mortgages on commercial immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0300

Exposures in default subject to a risk weight of 100 %

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0310

Exposures secured by mortgages on residential property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0320

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 SCALE

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

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

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

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

CASH ON DEPOSIT

LIFE INSURANCE POLICIES

INSTRUMENTS HELD BY A THIRD PARTY

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

0210

0220

0230

0240

0250

0255

0256

0257

0260

0270

0280

0290

0300

0310

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

 

 

 

0015

of which: Exposures subject to SME-supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0016

of which: Exposures subject to the Infrastructure supporting factor

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

 

0020

On balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Off balance sheet items subject to credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exposures / Transactions subject to counterparty credit risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Securities Financing Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Derivatives & Long Settlement Transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

From Contractual Cross Product netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

SPECIALIZED LENDING SLOTTING APPROACH: TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

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 SCALE

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

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

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

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

CASH ON DEPOSIT

LIFE INSURANCE POLICIES

INSTRUMENTS HELD BY A THIRD PARTY

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

 

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

0210

0220

0230

0240

0250

0255

0256

0257

0260

0270

0280

0290

0300

0310

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

PD RANGE

ON-BALANCE SHEET EXPOSURES

OFF-BALANCE-SHEET EXPOSURES PRE-CONVERSION FACTORS

EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS

EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM

EXPOSURE WEIGHTED AVERAGE PD (%)

NUMBER OF OBLIGORS

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS)

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

EXPECTED LOSS AMOUNT

VALUE ADJUST-MENTS AND PROVISIONS

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

0.00 to <0.15

 

 

 

 

 

 

 

 

 

 

 

0020

0.00 to <0.10

 

 

 

 

 

 

 

 

 

 

 

0030

0.10 to <0.15

 

 

 

 

 

 

 

 

 

 

 

0040

0.15 to <0.25

 

 

 

 

 

 

 

 

 

 

 

0050

0.25 to <0.50

 

 

 

 

 

 

 

 

 

 

 

0060

0.50 to <0.75

 

 

 

 

 

 

 

 

 

 

 

0070

0.75 to <2.5

 

 

 

 

 

 

 

 

 

 

 

0080

0.75 to <1.75

 

 

 

 

 

 

 

 

 

 

 

0090

1.75 to <2.5

 

 

 

 

 

 

 

 

 

 

 

0100

2.5 to <10

 

 

 

 

 

 

 

 

 

 

 

0110

2.5 to <5

 

 

 

 

 

 

 

 

 

 

 

0120

5 to <10

 

 

 

 

 

 

 

 

 

 

 

0130

10 to <100

 

 

 

 

 

 

 

 

 

 

 

0140

10 to <20

 

 

 

 

 

 

 

 

 

 

 

0150

20 to <30

 

 

 

 

 

 

 

 

 

 

 

0160

30 to <100

 

 

 

 

 

 

 

 

 

 

 

0170

100 (Default)

 

 

 

 

 

 

 

 

 

 

 



C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4)

 

RISK WEIGHTED EXPOSURE AMOUNT

0010

0010

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD

 

0020

ASSET SIZE (+/-)

 

0030

ASSET QUALITY (+/-)

 

0040

MODEL UPDATES (+/-)

 

0050

METHODOLOGY AND POLICY (+/-)

 

0060

ACQUISITIONS AND DISPOSALS (+/-)

 

0070

FOREIGN EXCHANGE MOVEMENTS (+/-)

 

0080

OTHER (+/-)

 

0090

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD

 



C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

PD RANGE

ARITHMETIC AVERAGE PD (%)

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

 

OBSERVED AVERAGE DEFAULT RATE (%)

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0010

0020

0030

0040

0050

0010

0.00 to <0.15

 

 

 

 

 

0020

0.00 to <0.10

 

 

 

 

 

0030

0.10 to <0.15

 

 

 

 

 

0040

0.15 to <0.25

 

 

 

 

 

0050

0.25 to <0.50

 

 

 

 

 

0060

0.50 to <0.75

 

 

 

 

 

0070

0.75 to <2.5

 

 

 

 

 

0080

0.75 to <1.75

 

 

 

 

 

0090

1.75 to <2.5

 

 

 

 

 

0100

2.5 to <10

 

 

 

 

 

0110

2.5 to <5

 

 

 

 

 

0120

5 to <10

 

 

 

 

 

0130

10 to <100

 

 

 

 

 

0140

10 to <20

 

 

 

 

 

0150

20 to <30

 

 

 

 

 

0160

30 to <100

 

 

 

 

 

0170

100 (Default)

 

 

 

 

 



C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

PD RANGE

EXTERNAL RATING EQUIVALENT

ARITHMETIC AVERAGE PD (%)

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

 

OBSERVED AVERAGE DEFAULT RATE (%)

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0005

0006

0010

0020

0030

0040

0050

 

 

 

 

 

 

 



C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6)

Type of specialised lending:

 

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

 

EXPOSURE VALUE

 

RISK WEIGHT

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

MEMORANDUM ITEMS:

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

CATEGORY 1

LESS THAN 2.5 YEARS

 

 

 

 

 

 

50 %

 

 

 

0020

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

70 %

 

 

 

0030

CATEGORY 2

LESS THAN 2.5 YEARS

 

 

 

 

 

 

70 %

 

 

 

0040

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

90 %

 

 

 

0050

CATEGORY 3

LESS THAN 2.5 YEARS

 

 

 

 

 

 

115 %

 

 

 

0060

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

115 %

 

 

 

0070

CATEGORY 4

LESS THAN 2.5 YEARS

 

 

 

 

 

 

250 %

 

 

 

0080

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

250 %

 

 

 

0090

CATEGORY 5

LESS THAN 2.5 YEARS

 

 

 

 

 

 

—

 

 

 

0100

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

—

 

 

 

0110

TOTAL

LESS THAN 2.5 YEARS

 

 

 

 

 

 

 

 

 

 

0120

EQUAL TO OR MORE THAN 2.5 YEARS

 

 

 

 

 

 

 

 

 

 



C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7)

 

TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR

TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)

0010

0020

0030

0040

0050

0010

CENTRAL GOVERNMENTS OR CENTRAL BANKS

 

 

 

 

 

0020

OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES

 

 

 

 

 

0030

OF WHICH: PUBLIC SECTOR ENTITIES

 

 

 

 

 

0040

INSTITUTIONS

 

 

 

 

 

0050

CORPORATES

 

 

 

 

 

0060

OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH

 

 

 

 

 

0070

OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH

 

 

 

 

 

0080

OF WHICH: CORPORATES - SMES

 

 

 

 

 

0090

RETAIL

 

 

 

 

 

0100

OF WHICH RETAIL – SECURED BY REAL ESTATE SMES

 

 

 

 

 

0110

OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES

 

 

 

 

 

0120

OF WHICH RETAIL – QUALIFYING REVOLVING

 

 

 

 

 

0130

OF WHICH RETAIL – OTHER SMES

 

 

 

 

 

0140

OF WHICH RETAIL – OTHER NON-SMES

 

 

 

 

 

0150

EQUITY

 

 

 

 

 

0160

OTHER NON-CREDIT OBLIGATION ASSETS

 

 

 

 

 

0170

TOTAL

 

 

 

 

 



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

Additional value adjustments and other own funds reductions

Credit risk adjustments/write-offs for observed new defaults

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

 

Defaulted exposures

0010

0020

0040

0050

0055

0060

0061

0070

0075

0080

0081

0082

0090

0010

Central governments or central banks

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Regional governments or local authorities

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Public sector entities

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Multilateral Development Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

International Organisations

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Institutions

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Corporates

 

 

 

 

 

 

 

 

 

 

 

 

 

0075

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

0085

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Secured by mortgages on immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

0095

of which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Exposures in default

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Items associated with particularly high risk

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Covered bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

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

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Collective investments undertakings (CIU)

 

 

 

 

 

 

 

 

 

 

 

 

 

0141

Look-through approach

 

 

 

 

 

 

 

 

 

 

 

 

 

0142

Mandate-based approach

 

 

 

 

 

 

 

 

 

 

 

 

 

0143

Fall-back approach

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Equity exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Other exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

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 SUPPORTING FACTORS

 

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

EXPECTED LOSS AMOUNT

 

Of which: defaulted

 

Of which: defaulted

Of which: defaulted

0010

0030

0040

0050

0055

0060

0070

0080

0090

0100

0105

0110

0120

0121

0122

0125

0130

0010

Central governments or central banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Institutions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Corporates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0042

Of Which: Specialised Lending (excl. SL under the slotting approach)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0045

Of Which: Specialised Lending under the slotting approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Of Which: SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Secured by immovable property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Non-SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Qualifying Revolving

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Other Retail

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Non-SME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Equity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

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

0010

0020

0030

Relevant credit exposures - Credit Risk

 

0010

Exposure value under the Standardised Approach

 

 

 

0020

Exposure value under the IRB Approach

 

 

 

Relevant credit exposures – Market risk

 

0030

Sum of long and short positions of trading book exposures for standardised approaches

 

 

 

0040

Value of trading book exposures for internal models

 

 

 

Relevant credit exposures – Securitisation

 

0055

Exposure value of securitisation positions in the banking book

 

 

 

Own funds requirements and weights

 

0070

Total own funds requirements for CCB

 

 

 

0080

Own funds requirements for relevant credit exposures – Credit risk

 

 

 

0090

Own funds requirements for relevant credit exposures – Market risk

 

 

 

0100

Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

 

 

 

0110

Own funds requirements weights

 

 

 

Countercyclical capital buffer rates

 

0120

Countercyclical capital buffer rate set by the Designated Authority

 

 

 

0130

Countercyclical capital buffer rate applicable for the country of the institution

 

 

 

0140

Institution-specific countercyclical capital buffer rate

 

 

 

Use of 2 % threshold

 

0150

Use of 2 % threshold for general credit exposure

 

 

 

0160

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 SCALE

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

OF WHICH: OFF BALANCE SHEET ITEMS

EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE

(%)

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

0010

0020

0030

0040

0050

0060

0061

0070

0080

0090

0010

TOTAL IRB EQUITY EXPOSURES

 

 

 

 

 

 

 

 

Cell linked to CA

 

0020

PD/LGD APRROACH: TOTAL

 

 

 

 

 

 

 

 

 

 

0050

SIMPLE RISK WEIGHT APPROACH: TOTAL

 

 

 

 

 

 

 

 

 

 

0060

BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:

0070

RISK WEIGHT: 190 %

 

 

 

 

 

 

 

 

 

 

0080

290 %

 

 

 

 

 

 

 

 

 

 

0090

370 %

 

 

 

 

 

 

 

 

 

 

0100

INTERNAL MODELS APPROACH

 

 

 

 

 

 

 

 

 

 

0110

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 SCALE

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

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

 

 

 

 

 

 

 

 

 

 



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

0010

0020

0030

0040

0010

Total unsettled transactions in the Non-trading Book

 

 

 

Cell linked to CA

0020

Transactions unsettled up to 4 days (Factor 0%)

 

 

 

 

0030

Transactions unsettled between 5 and 15 days (Factor 8%)

 

 

 

 

0040

Transactions unsettled between 16 and 30 days (Factor 50%)

 

 

 

 

0050

Transactions unsettled between 31 and 45 days (Factor 75%)

 

 

 

 

0060

Transactions unsettled for 46 days or more (Factor 100%)

 

 

 

 

0070

Total unsettled transactions in the Trading Book

 

 

 

Cell linked to CA

0080

Transactions unsettled up to 4 days (Factor 0%)

 

 

 

 

0090

Transactions unsettled between 5 and 15 days (Factor 8%)

 

 

 

 

0100

Transactions unsettled between 16 and 30 days (Factor 50%)

 

 

 

 

0110

Transactions unsettled between 31 and 45 days (Factor 75%)

 

 

 

 

0120

Transactions unsettled for 46 days or more (Factor 100%)

 

 

 

 



C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)

 

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

SYNTHETIC SECURITIZATIONS: 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*)

 

(-) NON REFUNDABLE PURCHASE PRICE DISCOUNT

(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES

EXPOSURE VALUE

 

 

BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

RISK-WEIGHTED EXPOSURE AMOUNT

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

BEFORE CAP

(-) REDUCTION DUE TO RISK WEIGHT CAP

(-) REDUCTION DUE TO OVERALL CAP

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM:

RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS 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

OF WHICH: SUBJECT TO A CCF OF 0 %

(-) DEDUCTED FROM OWN FUNDS

SUBJECT TO RISK WEIGHTS

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

OTHER (RW=1 250 %)

 

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

OTHER (RW=1 250 %)

OF WHICH: SYNTHETIC SECURITISATIONS

 

 

BREAKDOWN BY RW BANDS

OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)

 

BREAKDOWN BY RW BANDS

 

BREAKDOWN BY CREDIT QUALITY STEPS

BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA

 

BREAKDOWN BY RW BANDS

 

 

 

OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)

 

OF WHICH: RW=1 250 % (W UNKNOWN)

 

AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

SEC-ERBA OPTION

POSITIONS SUBJECT TO ART. 254(2)(a) CRR

POSITIONS SUBJECT TO ART. 254(2)(b) CRR

POSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRR

FOLLOWING THE HIERARCHY OF APPROACHES

 

AVERAGE RISK WEIGHT (%)

 

(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

 

=< 20 % RW

>20 % TO 50 % RW

>50 % TO 100 % RW

>100% TO < 1 250 % RW

1 250 % RW

 

=< 20 % RW

>20 % TO 50 % RW

>50 % TO 100 % RW

>100 % TO < 1 250 % RW

1 250 % RW (W UNKNOWN)

1 250 % RW (OTHER)

 

SHORT TERM CREDIT QUALITY STEPS

LONG TERM CREDIT QUALITY STEPS

AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

SEC-ERBA OPTION

POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR

POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR

POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR

FOLLOWING THE HIERARCHY OF APPROACHES

 

=< 20 % RW

>20 % TO 50 % RW

>50 % TO 100 % RW

>100 % TO < 1 250 % RW

1 250 % RW

 

 

 

 

 

 

 

 

 

 

CQS 1

CQS 2

CQS 3

ALL OTHER CQS

CQS 1

CQS 2

CQS 3

CQS 4

CQS 5

CQS 6

CQS 7

CQS 8

CQS 9

CQS 10

CQS 11

CQS 12

CQS 13

CQS 14

CQS 15

CQS 16

CQS 17

ALL OTHER CQS

 

 

 

 

 

 

 

 

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

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0460

0470

0480

0490

0500

0510

0520

0530

0540

0550

0560

0570

0580

0590

0600

0610

0620

0630

0640

0650

0660

0670

0680

0690

0700

0710

0720

0730

0740

0750

0760

0770

0780

0790

0800

0810

0820

0830

0840

0850

0860

0870

0880

0890

0900

0910

0920

0930

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

0020

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

STS EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

SENIOR POSITION IN SMEs SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

SECURITISATIONS: ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

SECURITISATIONS: ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0240

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0250

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0260

SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0270

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0280

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0290

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0300

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0310

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0320

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0330

SECURITISATIONS: ON-BALANCE SHEET ITEMS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0340

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0350

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0360

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0370

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0380

SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0390

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0400

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0410

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0420

OF WHICH: SENIOR EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0430

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0440

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Short term

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0450

CQS 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0460

CQS 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0470

CQS 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0480

ALL OTHER CQS AND UNRATED

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0490

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Long term

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0500

CQS 1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0510

CQS 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0520

CQS 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0530

CQS 4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0540

CQS 5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0550

CQS 6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0560

CQS 7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0570

CQS 8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0580

CQS 9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0590

CQS 10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0600

CQS 11

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0610

CQS 12

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0620

CQS 13

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0630

CQS 14

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0640

CQS 15

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0650

CQS 16

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0660

CQS 17

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0670

ALL OTHER CQS AND UNRATED

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION

INTRA-GROUP, PRIVATE OR PUBLIC SECURITISA-TION?

ROLE OF THE INSTITUTION:

(ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)

IDENTIFIER OF THE ORIGINATOR

SECURITISATION TYPE:

(TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION)

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?

SIGNIFICANT RISK TRANSFER

SECURITISATION OR RE-SECURITISATION?

STS OR NON-STS SECURITISATION?

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT?

RETENTION

NON ABCP PROGRAMMES

SECURITISED EXPOSURES

SECURITISATION STRUCTURE

TYPE OF RETENTION APPLIED

% OF RETENTION AT REPORTING DATE

COMPLIANCE WITH THE RETENTION REQUIREMENT?

ORIGINATION DATE

(yyyy-mm-dd)

DATE OF LATEST ISSUANCE

(yyyy-mm-dd)

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

TOTAL AMOUNT

INSTITUTION'S SHARE

(%)

TYPE

% of IRB IN APPROACH APPLIED

NUMBER OF EXPOSURES

EXPOSURES IN DEFAULT W (%)

COUNTRY

LGD (%)

EL%

UL%

EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS

(-) VALUE ADJUSTMENTS AND PROVISIONS

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb

% OF RETAIL EXPOSURES IN IRB POOLS

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa

MEMORANDUM ITEMS

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

MATURITY

MEMORANDUM ITEMS

CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

SENIOR

MEZZANINE

FIRST LOSS

SENIOR

MEZZANINE

FIRST LOSS

FIRST FORESEEABLE TERMINATION DATE

ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION

LEGAL FINAL MATURITY DATE

ATTACHMENT POINT OF RISK SOLD (%)

DETACHMENT POINT OF RISK SOLD (%)

RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)

AMOUNT

ATTACHMENT POINT (%)

CQS

AMOUNT

NUMBER OF TRANCHES

CQS OF THE MOST SUBORDINATED ONE

AMOUNT

DETACHMENT POINT (%)

CQS

0010

0020

0021

0110

0030

0040

0051

0060

0061

0070

0075

0446

0080

0090

0100

0120

0121

0130

0140

0150

0160

0171

0180

0181

0190

0201

0202

0203

0204

0210

0221

0222

0223

0225

0230

0231

0232

0240

0241

0242

0250

0251

0252

0260

0270

0280

0290

0291

0300

0302

0303

0304

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 14.01 - DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)

Approach:

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION

SECURITISATION POSITIONS

EXPOSURE VALUE

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEMS

SECURITISATION POSITIONS - TRADING BOOK

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS

RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA

RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA

CTP OR NON-CTP?

NET POSITIONS

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

DIRECT CREDIT SUBSTITUTES

IRS / CRS

LIQUIDITY FACILITIES

OTHER

SENIOR

MEZZANINE

FIRST LOSS

SENIOR

MEZZANINE

 

FIRST LOSS

 

BEFORE CAP

(-) REDUCTION DUE TO RISK WEIGHT CAP

(-) REDUCTION DUE TO OVERALL CAP

AFTER CAP

RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

LONG

SHORT

0010

0020

0310

0320

0330

0340

0350

0351

0360

0361

0370

0380

0390

0400

0411

0420

0430

0431

0432

0440

0447

0448

0450

0460

0470

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1)

 

MONTH 1

MONTH 2

MONTH 3

QUALITATIVE INFORMATION

LONG DERIVATIVE POSITIONS

SHORT DERIVATIVE POSITIONS

TOTAL

LONG DERIVATIVE POSITIONS

SHORT DERIVATIVE POSITIONS

TOTAL

LONG DERIVATIVE POSITIONS

SHORT DERIVATIVE POSITIONS

TOTAL

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

Size of the derivative business

 

 

 

 

 

 

 

 

 

 

0020

On- and off-balance sheet derivatives

 

 

 

 

 

 

 

 

 

 

0030

(-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures

 

 

 

 

 

 

 

 

 

 

0040

Total assets

 

 

 

 

 

 

 

 

 

 

0050

Percentage of total assets

 

 

 

 

 

 

 

 

 

 

DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR

0060

Are the conditions of Article 273a (4) CRR met, including the approval from the competent authority?

 

 

 

 

 

 

 

 

 

 

0070

Method for calculating exposure values at consolidated level

 

 

 

 

 

 

 

 

 

 



C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2)

Exposures

APPROACH

NUMBER OF COUNTERPARTIES

NUMBER OF TRANSACTIONS

NOTIONAL

AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

VARIATION MARGIN (VM), RECEIVED

VARIATION MARGIN (VM), POSTED

NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED

NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED

REPLACE-MENT COST (RC)

POTENTIAL FUTURE EXPOSURE (PFE)

CURRENT EXPOSURE

EEPE

ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE

EXPOSURE VALUE

PRE-CRM

EXPOSURE VALUE POST-CRM

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNTS

 

Positions treated with the CR Standardised Approach

Positions treated with the CR IRB Approach

 

Positions treated with the CR Standardised Approach

Positions treated with the CR IRB Approach

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0010

ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)

 

 

 

 

 

 

 

 

 

 

 

 

 

1,4

 

 

 

 

 

 

 

 

0020

SIMPLIFIED SA-CCR (FOR DERIVATIVES)

 

 

 

 

 

 

 

 

 

 

 

 

 

1,4

 

 

 

 

 

 

 

 

0030

SA-CCR (FOR DERIVATIVES)

 

 

 

 

 

 

 

 

 

 

 

 

 

1,4

 

 

 

 

 

 

 

 

0040

IMM (FOR DERIVATIVES AND SFTS)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Securities financing transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Derivatives and long settlement transactions netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

From contractual cross-product netting sets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

VAR FOR SFTS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: SWWR positions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Margined business

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Unmargined business

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3)

CCR approach

RISK CATEGORIES

CURRENCY

SECOND CURRENCY IN PAIR

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

ADD-ON

0010

0020

0030

0040

0050

0060

0070

0010

TOTAL

 

 

 

 

 

 

 

0020

of which: Mapped to 2 risk categories

 

 

 

 

 

 

 

0030

of which: Mapped to 3 risk categories

 

 

 

 

 

 

 

0040

of which: Mapped to more than 3 risk categories

 

 

 

 

 

 

 

0050

INTEREST RATE RISK

 

 

 

 

 

 

 

0060

of which: Mapped exclusively to Interest rate risk category

 

 

 

 

 

 

 

0070

of which: Largest currency

 

 

 

 

 

 

 

0080

of which: 2nd largest currency

 

 

 

 

 

 

 

0090

of which: 3rd largest currency

 

 

 

 

 

 

 

0100

of which: 4th largest currency

 

 

 

 

 

 

 

0110

of which: 5th largest currency

 

 

 

 

 

 

 

0120

FOREIGN EXCHANGE RISK

 

 

 

 

 

 

 

0130

of which: Mapped exclusively to Foreign Exchange risk category

 

 

 

 

 

 

 

0140

of which: Largest currency pair

 

 

 

 

 

 

 

0150

of which: 2nd largest currency pair

 

 

 

 

 

 

 

0160

of which: 3rd largest currency pair

 

 

 

 

 

 

 

0170

of which: 4th largest currency pair

 

 

 

 

 

 

 

0180

of which: 5th largest currency pair

 

 

 

 

 

 

 

0190

CREDIT RISK

 

 

 

 

 

 

 

0200

of which: Mapped exclusively to Credit risk category

 

 

 

 

 

 

 

0210

Single-name transactions

 

 

 

 

 

 

 

0220

Multi-names transactions

 

 

 

 

 

 

 

0230

EQUITY RISK

 

 

 

 

 

 

 

0240

of which: Mapped exclusively to Equity risk category

 

 

 

 

 

 

 

0250

Single-name transactions

 

 

 

 

 

 

 

0260

Multi-names transactions

 

 

 

 

 

 

 

0270

COMMODITY RISK

 

 

 

 

 

 

 

0280

of which: Mapped exclusively to Commodity risk category

 

 

 

 

 

 

 

0290

Energy

 

 

 

 

 

 

 

0300

Metals

 

 

 

 

 

 

 

0310

Agricultural goods

 

 

 

 

 

 

 

0320

Climatic conditions

 

 

 

 

 

 

 

0330

Other commodities

 

 

 

 

 

 

 

0340

OTHER RISKS

 

 

 

 

 

 

 



C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4)

RISK CATEGORIES

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

POTENTIAL FUTURE EXPOSURE (PFE)

0010

0020

0030

0040

0050

0010

TOTAL

 

 

 

 

 

0020

INTEREST RATE RISK

 

 

 

 

 

0030

FOREIGN EXCHANGE RISK

 

 

 

 

 

0040

CREDIT RISK

 

 

 

 

 

0050

EQUITY RISK

 

 

 

 

 

0060

COMMODITY RISK

 

 

 

 

 

0070

of which: electricity

 

 

 

 

 



C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5)

INSTRUMENTS

MARGINED

UNMARGINED

EXPOSURE VALUE

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

CURRENT EXPOSURE

EEPE

Stress EEPE

EXPOSURE VALUE

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

CURRENT EXPOSURE

EEPE

Stress EEPE

EXPOSURE VALUE

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: SWWR positions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Netting sets treated with the CR Standardised Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Netting sets treated with the CR IRB Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

OTC DERIVATIVES

INTEREST RATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

FOREIGN EXCHANGE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

CREDIT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

COMMODITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

OTHER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

EXCHANGE TRADED DERIVATIVES

INTEREST RATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

FOREIGN EXCHANGE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

CREDIT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

COMMODITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

OTHER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

SECURITIES FINANCING TRANSACTIONS

BOND UNDERLYING

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

EQUITY UNDERLYING

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

OTHER UNDERLYING

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

CONTRACTUAL CROSS-PRODUCT NETTING SETS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6)

NAME

CODE

TYPE OF CODE

NATIONAL CODE

SECTOR OF THE COUN-TERPARTY

COUNTERPARTY TYPE

RESIDENCY OF THE COUNTERPARTY

NUMBER OF TRANSACTIONS

NOTIONAL AMOUNTS

CURRENT MARKET VALUE (CMV), POSITIVE

CURRENT MARKET VALUE (CMV), NEGATIVE

EXPOSURE VALUE POST-CRM

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNTS

0010

0020

0030

0035

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7)

IRB Exposure class

Own estimates of LGD and/or conversion factors:

PD scale

Exposure value

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

Risk weighted exposure amounts

Density of risk weighted exposure amounts

0010

0020

0030

0040

0050

0060

0070

0010

0.00 to <0.15

 

 

 

 

 

 

 

0020

0.00 to <0.10

 

 

 

 

 

 

 

0030

0.10 to <0.15

 

 

 

 

 

 

 

0040

0.15 to <0.25

 

 

 

 

 

 

 

0050

0.25 to <0.50

 

 

 

 

 

 

 

0060

0.50 to <0.75

 

 

 

 

 

 

 

0070

0.75 to <2.50

 

 

 

 

 

 

 

0080

0.75 to <1.75

 

 

 

 

 

 

 

0090

1.75 to <2.5

 

 

 

 

 

 

 

0100

2.50 to <10.00

 

 

 

 

 

 

 

0110

2.50 to <5.00

 

 

 

 

 

 

 

0120

5.00 to <10.00

 

 

 

 

 

 

 

0130

10.00 to <100.00

 

 

 

 

 

 

 

0140

10.00 to <20.00

 

 

 

 

 

 

 

0150

20.00 to <30.00

 

 

 

 

 

 

 

0160

30.00 to <100.00

 

 

 

 

 

 

 

0170

100.00 (Default)

 

 

 

 

 

 

 

0180

Total

 

 

 

 

 

 

 



C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8)

Collateral type

Collateral used in derivative transactions

Collateral used in SFTs

Fair value of collateral received

Fair value of posted collateral

Fair value of collateral received

Fair value of posted collateral

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

Initial margin

Variation margin

SFT security

Initial margin

Variation margin

Initial margin

Variation margin

SFT security

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

Cash – domestic currency

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Cash – other currencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Domestic sovereign debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Other sovereign debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Government agency debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Corporate bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Equity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Other collateral

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9)

Product type

NOTIONAL AMOUNTS

FAIR VALUES

PROTECTION BOUGHT

PROTECTION SOLD

PROTECTION BOUGHT

PROTECTION SOLD

0010

0020

0030

0040

0010

Single-name credit default swaps

 

 

 

 

0020

Index credit default swaps

 

 

 

 

0030

Total return swaps

 

 

 

 

0040

Credit options

 

 

 

 

0050

Other credit derivatives

 

 

 

 

0060

Total

 

 

 

 

FAIR VALUE BREAKDOWN

0070

Positive fair value (asset)

 

 

 

 

0080

Negative fair value (liability)

 

 

 

 



C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10)

 

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNTS

0010

0020

0010

Exposures to QCCPs (total)

 

 

0020

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which

 

 

0030

(i)  OTC derivatives

 

 

0040

(ii)  Exchange-traded derivatives

 

 

0050

(iii)  SFTs

 

 

0060

(iv)  Netting sets where cross-product netting has been approved

 

 

0070

Segregated initial margin

 

 

0080

Non-segregated initial margin

 

 

0090

Prefunded default fund contributions

 

 

0100

Unfunded default fund contributions

 

 

0110

Exposures to non-QCCPs (total)

 

 

0120

Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which

 

 

0130

(i)  OTC derivatives

 

 

0140

(ii)  Exchange-traded derivatives

 

 

0150

(iii)  SFTs

 

 

0160

(iv)  Netting sets where cross-product netting has been approved

 

 

0170

Segregated initial margin

 

 

0180

Non-segregated initial margin

 

 

0190

Prefunded default fund contributions

 

 

0200

Unfunded default fund contributions

 

 



C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11)

 

RISK WEIGHTED EXPOSURE AMOUNTS

QUARTERLY FLOWS

ANNUAL FLOWS

0010

0020

0010

Risk Weighted Exposure Amounts as at the end of the previous reporting period

 

 

0020

Asset size

 

 

0030

Credit quality of counterparties

 

 

0040

Model updates (IMM only)

 

 

0050

Methodology and policy (IMM only)

 

 

0060

Acquisitions and disposals

 

 

0070

Foreign exchange movements

 

 

0080

Other

 

 

0090

Risk Weighted Exposure Amounts as at the end of the current reporting period

 

 



C 16.00 - OPERATIONAL RISK (OPR)

BANKING ACTIVITIES

RELEVANT INDICATOR

LOANS AND ADVANCES (IN CASE OF ASA APPLICATION)

OWN FUNDS

REQUIREMENT

Total operational risk exposure amount

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

YEAR-3

YEAR-2

LAST YEAR

YEAR-3

YEAR-2

LAST YEAR

OF WHICH:

DUE TO AN ALLOCATION MECHANISM

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

0010

0020

0030

0040

0050

0060

0070

0071

0080

0090

0100

0110

0120

0010

1.  BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

 

 

 

 

 

 

 

Cell linked to CA2

 

 

 

 

 

0020

2.  BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES

 

 

 

 

 

 

 

Cell linked to CA2

 

 

 

 

 

 

SUBJECT TO TSA:

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

CORPORATE FINANCE (CF)

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

TRADING AND SALES (TS)

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

RETAIL BROKERAGE (RBr)

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

COMMERCIAL BANKING (CB)

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

RETAIL BANKING (RB)

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

PAYMENT AND SETTLEMENT (PS)

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

AGENCY SERVICES (AS)

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

ASSET MANAGEMENT (AM)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SUBJECT TO ASA:

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

COMMERCIAL BANKING (CB)

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

RETAIL BANKING (RB)

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

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

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

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

TRADING AND 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

RETAIL BANKING [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

AGENCY SERVICES [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

TOTAL BUSINESS LINES

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

Code

Type of code

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

0185

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

0010

0020

0030

0040

0050

0060

0070

0010

TRADED DEBT INSTRUMENTS IN TRADING BOOK

 

 

 

 

 

 

Cell linked to CA2

0011

General risk

 

 

 

 

 

 

 

0012

Derivatives

 

 

 

 

 

 

 

0013

Other assets and liabilities

 

 

 

 

 

 

 

0020

Maturity-based approach

 

 

 

 

 

 

 

0030

Zone 1

 

 

 

 

 

 

 

0040

0 ≤ 1 month

 

 

 

 

 

 

 

0050

> 1 ≤ 3 months

 

 

 

 

 

 

 

0060

> 3 ≤ 6 months

 

 

 

 

 

 

 

0070

> 6 ≤ 12 months

 

 

 

 

 

 

 

0080

Zone 2

 

 

 

 

 

 

 

0090

> 1 ≤ 2 (1,9 for cupon of less than 3%) years

 

 

 

 

 

 

 

0100

> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years

 

 

 

 

 

 

 

0110

> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years

 

 

 

 

 

 

 

0120

Zone 3

 

 

 

 

 

 

 

0130

> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years

 

 

 

 

 

 

 

0140

> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years

 

 

 

 

 

 

 

0150

> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years

 

 

 

 

 

 

 

0160

> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years

 

 

 

 

 

 

 

0170

> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years

 

 

 

 

 

 

 

0180

> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years

 

 

 

 

 

 

 

0190

(> 12,0 ≤ 20,0 for cupon of less than 3%) years

 

 

 

 

 

 

 

0200

(> 20 for cupon of less than 3%) years

 

 

 

 

 

 

 

0210

Duration-based approach

 

 

 

 

 

 

 

0220

Zone 1

 

 

 

 

 

 

 

0230

Zone 2

 

 

 

 

 

 

 

0240

Zone 3

 

 

 

 

 

 

 

0250

Specific risk

 

 

 

 

 

 

 

0251

Own funds requirement for non-securitisation debt instruments

 

 

 

 

 

 

 

0260

Debt securities under the first category in Table 1

 

 

 

 

 

 

 

0270

Debt securities under the second category in Table 1

 

 

 

 

 

 

 

0280

With residual term ≤ 6 months

 

 

 

 

 

 

 

0290

With a residual term > 6 months and ≤ 24 months

 

 

 

 

 

 

 

0300

With a residual term > 24 months

 

 

 

 

 

 

 

0310

Debt securities under the third category in Table 1

 

 

 

 

 

 

 

0320

Debt securities under the fourth category in Table 1

 

 

 

 

 

 

 

0321

Rated nth-to default credit derivatives

 

 

 

 

 

 

 

0325

Own funds requirement for securitisation instruments

 

 

 

 

 

 

 

0330

Own funds requirement for the correlation trading portfolio

 

 

 

 

 

 

 

0350

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

0360

Simplified method

 

 

 

 

 

 

 

0370

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

0380

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

0385

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

0390

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 RISK WEIGHTS

BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

BEFORE CAP

AFTER CAP / TOTAL OWN FUND REQUIREMENTS

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

[0 – 10 %]

[10 – 12 %]

[12 – 20 %]

[20 – 40 %]

[40 – 100 %]

[100 – 150 %]

[150 – 200 %]

[200 – 225 %]

[225 – 250 %]

[250 – 300 %]

[300 – 350 %]

[350 – 425 %]

[425 – 500 %]

[500 – 650 %]

[650 – 750 %]

[750 – 850 %]

[850 – 1 250 %]

1 250 %

[0 – 10 %]

[10 – 12 %]

[12 – 20 %]

[20 – 40 %]

[40 – 100 %]

[100 – 150 %]

[150 – 200 %]

[200 – 225 %]

[225 – 250 %]

[250 – 300 %]

[300 – 350 %]

[350 – 425 %]

[425 – 500 %]

[500 – 650 %]

[650 – 750 %]

[750 – 850 %]

[850 – 1 250 %]

1 250 %

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

OTHER (RW=1 250 %)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

0010

0020

0030

0040

0050

0060

0061

0062

0063

0064

0065

0066

0071

0072

0073

0074

0075

0076

0077

0078

0079

0081

0082

0083

0085

0086

0087

0088

0089

0091

0092

0093

0094

0095

0096

0097

0098

0099

0101

0102

0103

0104

0402

0403

0404

0405

0406

0530

0540

0570

0601

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to MKR SA TDI {325:060}

0020

Of which: RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0041

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0071

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0101

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

RE-SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



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 RISK WEIGHTS

BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES

BEFORE CAP

AFTER CAP

TOTAL OWN FUNDS REQUIREMENTS

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

[0 – 10 %]

[10 – 12 %]

[12 – 20 %]

[20 – 40 %]

[40 – 100 %]

[100 – 250 %]

[250 – 350 %]

[350 – 425 %]

[425 – 650 %]

[650 – 1 250 %]

1 250 %

[0 – 10 %]

[10 – 12 %]

[12 – 20 %]

[20 – 40 %]

[40 – 100 %]

[100 – 250 %]

[250 – 350 %]

[350 – 425 %]

[425 – 650 %]

[650 – 1 250 %]

1 250 %

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

OTHER (RW=1 250 %)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

0010

0020

0030

0040

0050

0060

0071

0072

0073

0074

0075

0076

0077

0078

0079

0081

0082

0086

0087

0088

0089

0091

0092

0093

0094

0095

0096

0097

0402

0403

0404

0405

0406

0410

0420

0430

0440

0450

0010

TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cell linked to MKR SA TDI {330:060}

 

SECURITISATION POSITIONS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

ORIGINATOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

INVESTOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

SPONSOR: TOTAL EXPOSURES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

SECURITISATIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

OTHER CTP POSITIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

N-TH-TO-DEFAULT CREDIT DERIVATIVES:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

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

0010

0020

0030

0040

0050

0060

0070

0010

EQUITIES IN TRADING BOOK

 

 

 

 

 

 

Cell linked to CA

0020

General risk

 

 

 

 

 

 

 

0021

Derivatives

 

 

 

 

 

 

 

0022

Other assets and liabilities

 

 

 

 

 

 

 

0030

Exchange traded stock-index futures broadly diversified subject to particular approach

 

 

 

 

 

 

 

0040

Other equities than exchange traded stock-index futures broadly diversified

 

 

 

 

 

 

 

0050

Specific risk

 

 

 

 

 

 

 

0090

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

0100

Simplified method

 

 

 

 

 

 

 

0110

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

0120

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

0125

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

0130

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

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

TOTAL POSITIONS

 

 

 

 

 

 

 

 

Cell linked to CA

0020

Currencies closely correlated

 

 

 

 

 

 

 

 

 

0025

of which: reporting currency

 

 

 

 

 

 

 

 

 

0030

All other currencies (including CIUs treated as different currencies)

 

 

 

 

 

 

 

 

 

0040

Gold

 

 

 

 

 

 

 

 

 

0050

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

 

 

0060

Simplified method

 

 

 

 

 

 

 

 

 

0070

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

 

 

0080

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

 

 

0085

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

 

 

0090

Scenario matrix approach

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES

0100

Other assets and liabilities other than off-balance sheet items and derivatives

 

 

 

 

 

 

 

 

 

0110

Off-balance sheet items

 

 

 

 

 

 

 

 

 

0120

Derivatives

 

 

 

 

 

 

 

 

 

Memorandum items: CURRENCY POSITIONS

0130

Euro

 

 

 

 

 

 

 

 

 

0140

Lek

 

 

 

 

 

 

 

 

 

0150

Argentine Peso

 

 

 

 

 

 

 

 

 

0160

Australian Dollar

 

 

 

 

 

 

 

 

 

0170

Brazilian Real

 

 

 

 

 

 

 

 

 

0180

Bulgarian Lev

 

 

 

 

 

 

 

 

 

0190

Canadian Dollar

 

 

 

 

 

 

 

 

 

0200

Czech Koruna

 

 

 

 

 

 

 

 

 

0210

Danish Krone

 

 

 

 

 

 

 

 

 

0220

Egyptian Pound

 

 

 

 

 

 

 

 

 

0230

Pound Sterling

 

 

 

 

 

 

 

 

 

0240

Forint

 

 

 

 

 

 

 

 

 

0250

Yen

 

 

 

 

 

 

 

 

 

0270

Lithuanian Litas

 

 

 

 

 

 

 

 

 

0280

Denar

 

 

 

 

 

 

 

 

 

0290

Mexican Peso

 

 

 

 

 

 

 

 

 

0300

Zloty

 

 

 

 

 

 

 

 

 

0310

Rumanian Leu

 

 

 

 

 

 

 

 

 

0320

Russian Ruble

 

 

 

 

 

 

 

 

 

0330

Serbian Dinar

 

 

 

 

 

 

 

 

 

0340

Swedish Krona

 

 

 

 

 

 

 

 

 

0350

Swiss Franc

 

 

 

 

 

 

 

 

 

0360

Turkish Lira

 

 

 

 

 

 

 

 

 

0370

Hryvnia

 

 

 

 

 

 

 

 

 

0380

US Dollar

 

 

 

 

 

 

 

 

 

0390

Iceland Krona

 

 

 

 

 

 

 

 

 

0400

Norwegian Krone

 

 

 

 

 

 

 

 

 

0410

Hong Kong Dollar

 

 

 

 

 

 

 

 

 

0420

New Taiwan Dollar

 

 

 

 

 

 

 

 

 

0430

New Zealand Dollar

 

 

 

 

 

 

 

 

 

0440

Singapore Dollar

 

 

 

 

 

 

 

 

 

0450

Won

 

 

 

 

 

 

 

 

 

0460

Yuan Renminbi

 

 

 

 

 

 

 

 

 

0470

Other

 

 

 

 

 

 

 

 

 

0480

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

0010

0020

0030

0040

0050

0060

0070

0010

TOTAL POSITIONS IN COMMODITIES

 

 

 

 

 

 

Cell linked to CA

0020

Precious metals (except gold)

 

 

 

 

 

 

 

0030

Base metals

 

 

 

 

 

 

 

0040

Agricultural products (softs)

 

 

 

 

 

 

 

0050

Others

 

 

 

 

 

 

 

0060

Of which energy products (oil, gas)

 

 

 

 

 

 

 

0070

Maturity ladder approach

 

 

 

 

 

 

 

0080

Extended maturity ladder approach

 

 

 

 

 

 

 

0090

Simplified approach: All positions

 

 

 

 

 

 

 

0100

Additional requirements for options (non-delta risks)

 

 

 

 

 

 

 

0110

Simplified method

 

 

 

 

 

 

 

0120

Delta plus approach - additional requirements for gamma risk

 

 

 

 

 

 

 

0130

Delta plus approach - additional requirements for vega risk

 

 

 

 

 

 

 

0135

Delta plus approach - non-continuous options and warrants

 

 

 

 

 

 

 

0140

Scenario matrix approach

 

 

 

 

 

 

 



C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

 

VaR

STRESSED VaR

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

Number Of Overshootings During Previous 250 Working Days

VaR Multiplication Factor (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

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

TOTAL POSITIONS

 

 

 

 

 

 

 

 

 

 

Cell linked to CA

 

 

 

 

 

 

Memorandum items: BREAKDOWN OF MARKET RISK

0020

Traded debt instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

TDI - General risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

TDI - Specific Risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Equities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Equities - General risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Equities - Specific Risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Foreign Exchange risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Commodities risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Total amount for general risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

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

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0010

CVA risk total

 

 

 

 

 

 

 

 

Link to {CA2;r640;c010}

 

 

 

 

 

0020

According to Advanced method

 

 

 

 

 

 

 

 

Link to {CA2;r650;c010}

 

 

 

 

 

0030

According to Standardised method

 

 

 

 

 

 

 

 

Link to {CA2;r660;c010}

 

 

 

 

 

0040

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

ÍNVESTMENTS 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

MARKET PRICE UNCERTAINTY

CLOSE-OUT COSTS

MODEL RISK

CONCENTRATED

POSITIONS

UNEARNED CREDIT SPREADS

INVESTING AND FUNDING COSTS

FUTURE ADMINIS-TRATIVE COSTS

EARLY TERMINATION

OPERA- TIONAL RISK

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) OF DELEGATED REGULATION (EU) 2016/101

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

1.1.1****

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 THE EXPERT BASED APPROACH

OF WHICH: AGGRE-GATED USING METHOD 2

FAIR VALUED ASSETS

FAIR VALUED 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 POSITION SIZE

SIZE MEASURE

MARKET VALUE

PRUDENT EXIT PERIOD

CONCEN-TRATED POSITIONS AVA

CONCEN-TRATED POSITION FAIR 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

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

0280

0290

0300

0010

Total exposures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:

0020

Exposures under the credit risk framework

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Standardised Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Central governments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Regional governments or local authorities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Public sector entities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

International Organisations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0075

Other general government exposures subject to Standardised Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

IRB Approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Central governments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Regional governments or local authorities [Central governments]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Regional governments or local authorities [Institutions]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Public sector entities [Central governments]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Public sector entities [Institutions]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

International Organisations [Central governments]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0155

Other general government exposures subject to IRB approach

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Exposures under the market risk framework

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:

0170

[ 0 - 3M [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

[ 3M - 1Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

[ 1Y - 2Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

[ 2Y - 3Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

[3Y - 5Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

[5Y - 10Y [

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

[10Y - more

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)

 

Time passed since exposures classified as non-performing

Total

<= 1 year

> 1 year

<= 2 years

> 2 years

<= 3 years

> 3 years

<= 4 years

> 4 years

<= 5 years

> 5 years

<= 6 years

> 6 years

<= 7 years

> 7 years

<= 8 years

> 8 years

<= 9 years

> 9 years

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

Applicable amount of insufficient coverage

 

 

 

 

 

 

 

 

 

 

 

MINIMUM COVERAGE REQUIREMENT

0020

Total minimum coverage requirement

 

 

 

 

 

 

 

 

 

 

 

0030

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0040

Secured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0050

Exposure value

 

 

 

 

 

 

 

 

 

 

 

0060

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0070

Secured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

AVAILABLE COVERAGE

0080

Total provisions and adjustments or deductions (capped)

 

 

 

 

 

 

 

 

 

 

 

0090

Total provisions and adjustments or deductions (uncapped)

 

 

 

 

 

 

 

 

 

 

 

0100

Specific credit risk adjustments

 

 

 

 

 

 

 

 

 

 

 

0110

Additional valuation adjustments

 

 

 

 

 

 

 

 

 

 

 

0120

Other own funds reductions

 

 

 

 

 

 

 

 

 

 

 

0130

IRB shortfall

 

 

 

 

 

 

 

 

 

 

 

0140

Difference between the purchase price and the amount owed by the debtor

 

 

 

 

 

 

 

 

 

 

 

0150

Amounts written-off by the institution since the exposure was classified as non-performing

 

 

 

 

 

 

 

 

 

 

 



C 35.02 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)

 

Time passed since exposures classified as non-performing

Total

<= 1 year

> 1 year

<= 2 years

> 2 years

<= 3 years

> 3 years

<= 4 years

> 4 years

<= 5 years

> 5 years

<= 6 years

> 6 years

<= 7 years

> 7 years

<= 8 years

> 8 years

<= 9 years

> 9 years

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

TOTAL MINIMUM COVERAGE REQUIREMENT

 

 

 

 

 

 

 

 

 

 

 

0020

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0030

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

 

 

 

 

 

 

 

 

 

 

 

0040

Part of NPEs secured by other funded or unfunded credit protection

 

 

 

 

 

 

 

 

 

 

 

0050

Part of NPEs guaranteed or insured by an official export credit agency

 

 

 

 

 

 

 

 

 

 

 

0060

EXPOSURE VALUE

 

 

 

 

 

 

 

 

 

 

 

0070

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

0,35

1

1

1

1

1

1

1

 

0080

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

0,25

0,35

0,55

0,7

0,8

0,85

1

 

0090

Part of NPEs secured by other funded or unfunded credit protection

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

0,25

0,35

0,55

0,8

1

1

1

 

0100

Part of NPEs guaranteed or insured by an official export credit agency

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

 

 

 

1

1

1

 



C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)

 

Time passed since exposures classified as non-performing

TOTAL

<= 1 year

> 1 year

<= 2 years

> 2 years

<= 3 years

> 3 years

<= 4 years

> 4 years

<= 5 years

> 5 years

<= 6 years

> 6 years

<= 7 years

> 7 years

<= 8 years

> 8 years

<= 9 years

> 9 years

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

TOTAL MINIMUM COVERAGE REQUIREMENT

 

 

 

 

 

 

 

 

 

 

 

0020

Unsecured part of NPEs

 

 

 

 

 

 

 

 

 

 

 

0030

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

 

 

 

 

 

 

 

 

 

 

 

0040

Part of NPEs secured by other funded or unfunded credit protection

 

 

 

 

 

 

 

 

 

 

 

0050

EXPOSURE VALUE

 

 

 

 

 

 

 

 

 

 

 

0060

Unsecured part of NPEs

First forbearance measure applied between 1 year and 2 years after classification as non-performing (>1 year; <=2 years)

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

0

0

1

1

1

1

1

1

1

 

0070

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Breakdown by point in time of granting the first forbearance measure

 

 

 

 

 

 

 

 

 

 

 

0080

> 2 and <= 3 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

0

0

0,35

0,55

0,7

0,8

0,85

1

 

0090

> 3 and <= 4 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

0,25

0,25

0,55

0,7

0,8

0,85

1

 

0100

> 4 and <= 5 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

0,35

0,35

0,7

0,8

0,85

1

 

0110

> 5 and <= 6 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

 

0,55

0,55

0,8

0,85

1

 

0120

Part of NPEs secured by other funded or unfunded credit protection

Breakdown by point in time of granting the first forbearance measure

 

 

 

 

 

 

 

 

 

 

 

0130

> 2 and <= 3 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

0

0

0,35

0,55

0,8

1

1

1

 

0140

> 3 and <= 4 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

0,25

0,25

0,55

0,8

1

1

1

 

0150

> 4 and <= 5 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

0,35

0,35

0,8

1

1

1

 

0160

> 5 and <= 6 years after classification as NPE

 

 

 

 

 

 

 

 

 

 

 

 

Factor

 

 

 

 

 

0,55

0,55

1

1

1

 



ANNEX II

INSTRUCTIONS FOR 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 (CA5)

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 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)

3.3.1.

C 08.03 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BREAKDOWN BY PD RANGES (CR IRB 3))

3.3.1.1.

GENERAL REMARKS

3.3.1.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.2.

C 08.04 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (RWEA FLOW STATEMENTS (CR IRB 4))

3.3.2.1.

GENERAL REMARKS

3.3.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.3.

C 08.05 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (BACK-TESTING OF PD (CR IRB 5))

3.3.3.1.

GENERAL REMARKS

3.3.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.4.

C 08.05.1 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5B)

3.3.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.5.

C 08.06 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6))

3.3.5.1.

GENERAL REMARKS

3.3.5.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.3.6.

C 08.07 – CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7))

3.3.6.1.

GENERAL REMARKS

3.3.6.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

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 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

3.7.1.

GENERAL REMARKS

3.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.8.

DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.8.1.

SCOPE OF THE SEC DETAILS TEMPLATE

3.8.2.

BREAKDOWN OF THE SEC DETAILS TEMPLATE

3.8.3.

C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.8.4.

C 14.01 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS 2)

3.9.

COUNTERPARTY CREDIT RISK

3.9.1.

SCOPE OF THE COUNTERPARTY CREDIT RISK TEMPLATES

3.9.2.

C 34.01 – SIZE OF THE DERIVATIVE BUSINESS

3.9.2.1.

GENERAL REMARKS

3.9.2.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.3.

C 34.02 – CCR EXPOSURES BY APPROACH

3.9.3.1.

GENERAL REMARKS

3.9.3.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.4.

C 34.03 – CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR AND SIMPLIFIED SA-CCR

3.9.4.1.

GENERAL REMARKS

3.9.4.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.5.

C 34.04 – CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM)

3.9.5.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.6.

C 34.05 – CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)

3.9.6.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.7.

C 34.06 – TOP TWENTY COUNTERPARTIES

3.9.7.1.

GENERAL REMARKS

3.9.7.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.8.

C 34.07 – IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE

3.9.8.1.

GENERAL REMARKS

3.9.8.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.9.

C 34.08 – COMPOSITION OF COLLATERAL FOR CCR EXPOSURES

3.9.9.1.

GENERAL REMARKS

3.9.9.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.10.

C 34.09 – CREDIT DERIVATIVES EXPOSURES

3.9.10.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.11.

C 34.10 – EXPOSURES TO CCPS

3.9.11.1.

GENERAL REMARKS

3.9.11.2.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

3.9.12.

C 34.11 – RISK WEIGHTED EXPOSURE AMOUNTS (RWEA) FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM

3.9.12.1.

GENERAL REMARKS

3.9.12.2.

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 LOSS 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

8.

NPE LOSS COVERAGE (NPE LC)

8.1.

GENERAL REMARKS

8.2.

C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)

8.2.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

8.3.

C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)

8.3.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

8.4.

C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)

8.4.1.

INSTRUCTIONS CONCERNING SPECIFIC POSITIONS

PART I: GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS

1.1.   STRUCTURE

1. Overall, the framework covers six topics:

(a) 

capital adequacy, an overview of regulatory capital; total risk exposure amount; prudent valuation; NPE loss coverage;

(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;

(f) 

general governments exposures

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 this Implementing Regulation.

3. Institutions shall 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 points 5 to 8, when referring to the columns, rows and cells of the templates. Those 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 are 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

10. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 5 ) is referred to as ‘CRR’, Directive 2013/36/EU of the European Parliament and of the Council ( 6 ) is referred to as ‘CRD’, Directive 2013/34/EU of the European Parliament and of the Council ( 7 ) is referred to as ‘AD’, Council Directive 86/635/EEC ( 8 ) is referred to as ‘BAD’ and Directive 2014/59/EU of the European Parliament and of the Council ( 9 ) is reffered to as ‘BRRD’.

PART II: TEMPLATE RELATED INSTRUCTIONS

1.   CAPITAL ADEQUACY OVERVIEW (‘CA’)

1.1.   GENERAL REMARKS

11. The CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and the application of CRR and CRD transitional provisions and is structured in five templates:

(a) 

Template CA1 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 the application of CRR and CRD transitional provisions per type of capital;

(b) 

Template CA2 summarises the total risk exposures amounts as defined in Article 92(3) CRR;

(c) 

Template CA3 contains the ratios for which CRR states a minimum level, Pillar 2 ratios and some other related data;

(d) 

Template CA4 contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers;

(e) 

Template CA5 contains the data needed for calculating the effect of the application of CRR transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.

12. The templates shall be used by 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.

13. 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) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

14. The application of CRR and CRD transitional provisions is treated as follows in CA templates:

(a) 

The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those 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 those 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 point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.

(c) 

Template CA5 is exclusively used for reporting the effect due to the application of the CRR transitional provisions.

15. The treatment of Pillar II requirements can be different within the Union (Article 104a(1) 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 required under 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. It mainly focuses on the target ratios themselves. There is no 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. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104a(1) 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

0010

1. Own funds

Point (118) of Article 4(1) and Article 72 CRR

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

0015

1.1. Tier 1 capital

Article 25 CRR

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

0020

1.1.1. Common Equity Tier 1 capital

Article 50 CRR

0030

1.1.1.1. Capital instruments eligible as CET1 capital

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

0040

1.1.1.1.1. Fully paid up capital instruments

Point (a) of Article 26(1) and Articles 27 to 31 CRR

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 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.

0045

1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations

Article 31 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.

0050

1.1.1.1.2* Memorandum item: Capital instruments not eligible

Points (b), (l) and (m) of Article 28(1) 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

0060

1.1.1.1.3. Share premium

Point (124) of Article 4(1), point (b) of Article 26(1) 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 ‘Fully paid up capital instruments’.

0070

1.1.1.1.4. (-) Own CET1 instruments

Point (f) of Article 36(1) and Article 42 CRR

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

0080

1.1.1.1.4.1. (-) Direct holdings of CET1 instruments

Point (f) of Article 36(1) and Article 42 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 point (a) of Article 42 CRR.

0090

1.1.1.1.4.2. (-) Indirect holdings of CET1 instruments

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

0091

1.1.1.1.4.3. (-) Synthetic holdings of CET1 instruments

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

0092

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

Point (f) of Article 36(1) and Article 42 CRR

According to point (f) of Article 36(1) 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.

0130

1.1.1.2. Retained earnings

Point (c) of Article 26(1) and Article 26(2) CRR

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

0140

1.1.1.2.1. Previous years retained earnings

Point (123) of Article 4(1) and point (c) of Article 26(1) CRR

Point (123) of Article 4(1) 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’.

0150

1.1.1.2.2. Profit or loss eligible

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

Article 26(2) 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 point (a) of Article 36(1) CRR.

0160

1.1.1.2.2.1. Profit or loss attributable to owners of the parent

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

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

0170

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

Article 26(2) CRR

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

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

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

0180

1.1.1.3. Accumulated other comprehensive income

Point (100) of Article 4(1) and point (d) of Article 26(1) 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 (1).

0200

1.1.1.4. Other reserves

Point (117) of Article 4(1) and point (e) of Article 26(1) 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.

0210

1.1.1.5. Funds for general banking risk

Point (112) of Article 4(1) and point (f) of Article 26(1) CRR

Funds for general banking risk are defined in Article 38 BAD 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.

0220

1.1.1.6. Transitional adjustments due to grandfathered CET1 Capital instruments

Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 CRR

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

0230

1.1.1.7. Minority interest given recognition in CET1 capital

Point (120) of Article 4(1) and Article 84 CRR

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

0240

1.1.1.8. Transitional adjustments due to additional minority interests

Articles 479 and 480 CRR

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

0250

1.1.1.9. Adjustments to CET1 due to prudential filters

Articles 32 to 35 CRR

0260

1.1.1.9.1. (-) Increases in equity resulting from securitised assets

Article 32(1) CRR

The amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with 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.

0270

1.1.1.9.2. Cash flow hedge reserve

Point (a) of Article 33(1) CRR

The amount to be reported can 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 to be expected at the moment of the calculation.

0280

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

Point (b) of Article 33(1) CRR

The amount to be reported can 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.

0285

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

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

The amount to be reported can 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.

0290

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

Articles 34 and 105 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 CRR

0300

1.1.1.10. (-) Goodwill

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

0310

1.1.1.10.1. (-) Goodwill accounted for as intangible asset

Point (113) of Article 4(1) and point (b) of Article 36(1) CRR

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

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

0320

1.1.1.10.2. (-) Goodwill included in the valuation of significant investments

Point (b) of Article 37 and Article 43 CRR

0330

1.1.1.10.3. Deferred tax liabilities associated to goodwill

Point (a) of Article 37 CRR

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

0335

1.1.1.10.4. Accounting revaluation of subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to third persons

Point (c) of Article 37 CRR

The amount of the accounting revaluation of the subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One.

0340

1.1.1.11. (-) Other intangible assets

Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) and (c) of Article 37 CRR

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

0350

1.1.1.11.1. (-) Other intangible assets before deduction of deferred tax liabilities

Point (115) of Article 4(1) and point (b) of Article 36(1) 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, other than goodwill.

0360

1.1.1.11.2. Deferred tax liabilities associated to other intangible assets

Point (a) of Article 37 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.

0365

1.1.1.11.3. Accounting revaluation of subsidiaries’ other intangible assets derived from the consolidation of subsidiaries attributable to third persons

Point (c) of Article 37 CRR

The amount of the accounting revaluation of the subsidiaries’ intangibles assets other than goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One.

0370

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

Point (c) of Article 36(1) and Article 38 CRR

0380

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

Point (d) of Article 36(1), Articles 40, 158 and 159 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 CRR).

0390

1.1.1.14. (-)Defined benefit pension fund assets

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

0400

1.1.1.14.1. (-)Defined benefit pension fund assets

Point (109) of Article 4(1) and point (e) of Article 36(1) 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).

0410

1.1.1.14.2. Deferred tax liabilities associated to defined benefit pension fund assets

Points (108) and (109) of Article 4(1) and point (a) of Article 41(1) 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.

0420

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

Point (109) of Article 4(1) and point (b) of Article 41(1) 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.

0430

1.1.1.15. (-) Reciprocal cross holdings in CET1 Capital

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

Holdings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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.

0440

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

Point (j) of Article 36(1) CRR

The amount to be reported is directly taken from CA1 item ‘Excess of deduction from AT1 items over AT1 Capital’. The amount has to be deducted from CET1.

0450

1.1.1.17. (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250  % risk weight

Point (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 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 point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250  %.

0460

1.1.1.18. (-) Securitisation positions which can alternatively be subject to a 1 250  % risk weight

Point (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR.

Securitisation positions, which are subject to a 1 250  % risk weight, but alternatively are allowed to be deducted from CET1 (point (k)(ii) of Article 36(1) CRR), shall be reported in this item.

0470

1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1 250  % risk weight

Point (k)(iii) of Article 36(1) and Article 379(3) 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 (point (k)(iii) of Article 36(1) CRR). In the latter case, they shall be reported in this item.

0471

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

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

According to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

0472

1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250  % risk weight

Point (k)(v) of Article 36(1) and Article 155(4) CRR

According to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250  %.

0480

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

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

Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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 (paragraphs 2 and 3 of Article 49).

0490

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

Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) 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), which according to point (b) of Article 38(5) CRR has to be deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR.

0500

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

Point (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR

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

See alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 CRR).

0510

1.1.1.25. (-) Amount exceeding the 17,65 % threshold

Article 48(2) CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(2) CRR.

0511

1.1.1.25.1. (-) Amount exceeding the 17,65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment

0512

1.1.1.25.2. (-) Amount exceeding the 17,65 % threshold related to deferred tax assets arising from temporary differences

0513

1.1.1.25 A (-) Insufficient coverage for non-performing exposures

Point (m) of Article 36(1) and Article 47c CRR

0514

1.1.1.25B (-) Minimum value commitment shortfalls

Point (n) of Article 36(1) and Article 132c(2) CRR

0515

1.1.1.25C (-) Other foreseeable tax charges

Point (l) of Article 36(1) CRR

Tax charges relating to CET1 items foreseeable at the moment of the calculation other than tax charges that have been considered already in any of the other rows reflecting CET1 items by reducing the amount of the CET1 item in question.

0520

1.1.1.26. Other transitional adjustments to CET1 Capital

Articles 469 to 478 and 481 CRR

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

0524

1.1.1.27. (-) Additional deductions of CET1 Capital due to Article 3 CRR

Article 3 CRR

0529

1.1.1.28. CET1 capital elements or deductions – other

This row is intended 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 or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524.

This row 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 the CRR).

0530

1.1.2. ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

0540

1.1.2.1. Capital instruments eligible as AT1 Capital

Point (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR

0551

1.1.2.1.1. Fully paid up, directly issued capital instruments

Point (a) of Article 51 and Articles 52, 53 and 54 CRR

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

0560

1.1.2.1.2 (*) Memorandum item: Capital instruments not eligible

Points (c), (e) and (f) of Article 52(1) 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

0571

1.1.2.1.3. Share premium

Point (b) of Article 51 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 ‘fully paid up and directly issued capital instruments’.

0580

1.1.2.1.4. (-) Own AT1 instruments

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

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

0590

1.1.2.1.4.1. (-) Direct holdings of AT1 instruments

Point (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR

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

0620

1.1.2.1.4.2. (-) Indirect holdings of AT1 instruments

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

0621

1.1.2.1.4.3. (-) Synthetic holdings of AT1 instruments

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

0622

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

Point (a) of Article 56 and Article 57 CRR

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

0660

1.1.2.2. Transitional adjustments due to grandfathered AT1 Capital instruments

Paragraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 CRR

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

0670

1.1.2.3. Instruments issued by subsidiaries that are given recognition in AT1 Capital

Articles 83, 85 and 86 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 CRR) shall be included.

0680

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

Article 480 CRR

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

0690

1.1.2.5. (-) Reciprocal cross holdings in AT1 Capital

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

Holdings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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.

0700

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

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

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

0710

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

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

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

0720

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

Point (e) of Article 56 CRR

The amount to be reported is directly taken from CA1 item “Excess of deduction from T2 items over T2 Capital (deducted in AT1).

0730

1.1.2.9. Other transitional adjustments to AT1 Capital

Articles 472, 473a, 474, 475, 478 and 481 CRR

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

0740

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

Point (j) of Article 36(1) 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. Where this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.

0744

1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR

Article 3 CRR

0748

1.1.2.12. AT1 capital elements or deductions – other

This row is intended 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 or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744.

This row 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 CRR).

0750

1.2. TIER 2 CAPITAL

Article 71 CRR

0760

1.2.1. Capital instruments eligible as T2 Capital

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

0771

1.2.1.1. Fully paid up, directly issued capital instruments

Point (a) of Article 62, Articles 63 and 65 CRR

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

The capital instruments may consist of equity or liabilities, including subordinated loans that fulfil the eligibility criteria.

0780

1.2.1.2 (*) Memorandum item: Capital instruments not eligible

Points (c), (e) and (f) of Article 63 and Article 64 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.

The capital instruments may consist of equity or liabilities, including subordinated loans.

0791

1.2.1.3. Share premium

Point (b) of Article 62 and Article 65 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 ‘fully paid up and directly issued capital instruments’.

0800

1.2.1.4. (-) Own T2 instruments

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

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

0810

1.2.1.4.1. (-) Direct holdings of T2 instruments

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

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

0840

1.2.1.4.2. (-) Indirect holdings of T2 instruments

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

0841

1.2.1.4.3. (-) Synthetic holdings of T2 instruments

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

0842

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

Point (a) of Article 66 and Article 67 CRR

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

0880

1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments

Paragraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 CRR

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

0890

1.2.3. Instruments issued by subsidiaries that are given recognition in T2 Capital

Articles 83, 87 and 88 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 CRR) shall be included.

0900

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

Article 480 CRR

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

0910

1.2.5. IRB Excess of provisions over expected losses eligible

Point (d) of Article 62 CRR

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

0920

1.2.6. SA General credit risk adjustments

Point (c) of Article 62 CRR

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

0930

1.2.7. (-) Reciprocal cross holdings in T2 Capital

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

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

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.

0940

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

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

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

0950

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

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

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

0955

1.2.9 A (-) Excess of deductions from eligible liabilities over eligible liabilities

Article 66 (e) CRR.

0960

1.2.10. Other transitional adjustments to T2 Capital

Articles 472, 473a, 476, 477, 478 and 481 CRR

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

0970

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

Point (e) of Article 56 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. Where this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.

0974

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

Article 3 CRR

0978

1.2.13. T2 capital elements or deductions – other

This row provides 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 or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974.

This row 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 CRR).
(1)   

Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8).

1.3.   C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

1.3.1.   Instructions concerning specific positions



Row

Legal references and instructions

0010

1. TOTAL RISK EXPOSURE AMOUNT

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

0020

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

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

0030

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

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

0040

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

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

0050

1.1.1. Standardised Approach (SA)

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

0051

1.1.1* Of which: Additional stricter prudential requirements based on Article 124 CRR

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been consulted with EBA, in accordance with paragraphs 2 and 5 of Article 124CRR.

0060

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 CRR, excluding securitisation positions.

0070

1.1.1.1.01. Central governments or central banks

See CR SA template

0080

1.1.1.1.02. Regional governments or local authorities

See CR SA template

0090

1.1.1.1.03. Public sector entities

See CR SA template

0100

1.1.1.1.04. Multilateral Development Banks

See CR SA template

0110

1.1.1.1.05. International Organisations

See CR SA template

0120

1.1.1.1.06. Institutions

See CR SA template

0130

1.1.1.1.07. Corporates

See CR SA template

0140

1.1.1.1.08. Retail

See CR SA template

0150

1.1.1.1.09. Secured by mortgages on immovable property

See CR SA template

0160

1.1.1.1.10. Exposures in default

See CR SA template

0170

1.1.1.1.11. Items associated with particular high risk

See CR SA template

0180

1.1.1.1.12. Covered bonds

See CR SA template

0190

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

See CR SA template

0200

1.1.1.1.14. Collective investments undertakings (CIU)

See CR SA template

0210

1.1.1.1.15. Equity

See CR SA template

0211

1.1.1.1.16. Other items

See CR SA template

0240

1.1.2. Internal ratings based Approach (IRB)

0241

1.1.2* Of which: Additional stricter prudential requirements based on Article 164 CRR

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been notified to EBA, in accordance with paragraphs 5 and 7 of Article 164 CRR.

0242

1.1.2** Of which: Additional stricter prudential requirements based on Article 124 CRR

Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements set by the competent authorities after having consulted EBA, as laid down in paragraphs 2 and 5 of Article 124 CRR and which are related to limits on the eligible market value of the collateral as laid down in point (d) of Article 125(2) and point (d) of Article 126(2) CRR.

0250

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 or CCF are not used)

0260

1.1.2.1.01. Central governments and central banks

See CR IRB template

0270

1.1.2.1.02. Institutions

See CR IRB template

0280

1.1.2.1.03. Corporates – SME

See CR IRB template

0290

1.1.2.1.04. Corporates – Specialised Lending

See CR IRB template

0300

1.1.2.1.05. Corporates – Other

See CR IRB template

0310

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)

0320

1.1.2.2.01. Central governments and central banks

See CR IRB template

0330

1.1.2.2.02. Institutions

See CR IRB template

0340

1.1.2.2.03. Corporates – SME

See CR IRB template

0350

1.1.2.2.04. Corporates – Specialised Lending

See CR IRB template

0360

1.1.2.2.05. Corporates – Other

See CR IRB template

0370

1.1.2.2.06. Retail – secure by real estate SME

See CR IRB template

0380

1.1.2.2.07. Retail – secure by real estate non-SME

See CR IRB template

0390

1.1.2.2.08. Retail – Qualifying revolving

See CR IRB template

0400

1.1.2.2.09. Retail – Other SME

See CR IRB template

0410

1.1.2.2.10. Retail – Other non-SME

See CR IRB template

0420

1.1.2.3. Equity IRB

See CR EQU IRB template

0450

1.1.2.5. Other non credit-obligation assets

The amount to be reported is the risk weighted exposure amount as calculated in accordance with Article 156 CRR.

0460

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

Articles 307, 308 and 309 CRR

0470

1.1.4 Securitisation positions

See CR SEC template

0490

1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

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

0500

1.2.1. Settlement/delivery risk in the non-Trading book

See CR SETT template

0510

1.2.2. Settlement/delivery risk in the Trading book

See CR SETT template

0520

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

Points (b)(i), (c)(i) and (c)(iii) of Article 92(3) and point (b) of Article 92(4) CRR

0530

1.3.1. Risk exposure amount for position, foreign exchange and commodities risks under Standardised Approaches (SA)

0540

1.3.1.1. Traded debt instruments

MKR SA TDI template at the level of total currencies.

0550

1.3.1.2. Equity

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

0555

1.3.1.3. Particular approach for position risk in CIUs

Article 348(1), point (c) of Article 350(3) and point (a) of Article 364(2) CRR

Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) CRR either immediately or as a consequence of the cap laid down in point (c) of Article 350(3) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.

Where the particular approach laid down in the first sentence of Article 348(1) CRR is applied, the amount to be reported shall be 32 % of the net position of the CIU exposure in question, multiplied by 12,5.

Where the particular approach laid down in the second sentence of Article 348(1) CRR is applied, the amount to be reported shall be 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.

0556

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.

0557

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.

0560

1.3.1.4. Foreign Exchange

See MKR SA FX template

0570

1.3.1.5. Commodities

See MKR SA COM template

0580

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

See MKR IM template

0590

1.4. TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

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

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

0600

1.4.1. OpR Basic Indicator approach (BIA)

See OPR template

0610

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

See OPR template

0620

1.4.3. OpR Advanced measurement approaches (AMA)

See OPR template

0630

1.5. ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

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

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

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

Investment firms under Article 95 CRR shall report as follows:

— Where the amount referred to in point (a) of Article 95(2) CRR is greater than the amount referred to in point (b) of Article 95(2) CRR, the amount to be reported is zero.

— Where the amount referred to in point (b) of Article 95(2) CRR is greater than the amount referred to in point (a) of Article 95(2) CRR, the amount to be reported is the result of subtracting the latter amount from the former.

0640

1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

Point (d) of Article 92(3) CRR

See CVA template.

0650

1.6.1. Advanced method

Own funds requirements for credit valuation adjustment risk in accordance with Article 383 CRR.

See CVA template.

0660

1.6.2. Standardised method

Own funds requirements for credit valuation adjustment risk in accordance with Article 384 CRR.

See CVA template.

0670

1.6.3. Based on OEM

Own funds requirements for credit valuation adjustment risk in accordance with Article 385 CRR.

See CVA template.

0680

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

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

0690

1.8. OTHER RISK EXPOSURE AMOUNTS

Articles 3, 458 and 459 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 Articles 458 and 459 CRR.

Additional risk exposure amounts due to Article 3 CRR.

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

0710

1.8.2. Of which: Additional stricter prudential requirements based on Article 458 CRR

Article 458 CRR

0720

1.8.2* Of which: requirements for large exposures

Article 458 CRR

0730

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

Article 458 CRR

0740

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

Article 458 CRR

0750

1.8.3. Of which: Additional stricter prudential requirements based on Article 459 CRR

Article 459 CRR

0760

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).

1.4.   C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1.   Instructions concerning specific positions



Rows

0010

1 CET1 Capital ratio

Point (a) of Article 92(2) CRR

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

0020

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 point (a) of Article 92(1) CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

0030

3 T1 Capital ratio

Point (b) of Article 92(2) CRR

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

0040

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 point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

0050

5 Total capital ratio

Point (c) of Article 92(2) CRR

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

0060

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 point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

0130

13 Total SREP capital requirement (TSCR) ratio

The sum of (i) and (ii) as follows:

(i)  the total capital ratio (8 %) as specified in point (c) of Article 92(1) CRR;

(ii)  the additional own funds requirements (Pillar 2 Requirements – P2R) as referred to in point (a) of Article 104(1) CRD, presented as ratio. They shall be 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 7.4 and 7.5 of the EBA SREP GL.

Where no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported.

0140

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 point (a) of Article 92(1) CRR;

(ii)  the part of the P2R ratio, referred to in point (ii) of row 0130, which is required by the competent authority to be held in the form of CET1 capital.

Where no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, only point (i) shall be reported.

0150

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 point (b) of Article 92(1) CRR;

(ii)  the part of P2R ratio, referred to in point (ii) of row 0130, which is required by the competent authority to be held in the form of Tier 1 capital.

Where 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) shall be reported.

0160

14 Overall capital requirement (OCR) ratio

The sum of (i) and (ii) as follows:

(i)  the TSCR ratio referred to in row 0130;

(ii)  to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 7.5 of the EBA SREP GL.

Where no buffer requirement is applicable, only point (i) shall be reported.

0170

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 0140;

(ii)  to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

Where no buffer requirement is applicable, only point (i) shall be reported.

0180

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 0150;

(ii)  to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

Where no buffer requirement is applicable, only point (i) shall be reported.

0190

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 guidance on additional own funds communicated by the competent authority (Pillar 2 Guidance – P2G) as referred to in Article 104b(3) CRD, presented as ratio. They shall be defined in accordance with section 7.7.1 of the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority.

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

0200

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 0170;

(ii)  where applicable, the part of P2G, referred to in point (ii) in row 0190, 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.

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

0210

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 0180;

(ii)  where applicable, the part of P2G, referred to in point (ii) in row 0190, 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.

Where no P2G is communicated by the competent authority, only point (i) shall be reported.

0220

Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD

This item shows, in absolute figures, the amount of CET1 capital surplus or defi-cit relating to the requirements set in point (a) of Article 92(1) CRR (4,5 %) and Article 104a CRD, to the extent that the requirement of Article 104a CRD has to be met with CET1 capital. Where an institution has to use its CET1 to meet its requirements of Article 92(1) point (b) and/or (c) CRR and/or Article 104a CRD beyond the extent to which the latter has to be met with CET1 capital, the reported surplus or deficit shall take this into account.

This amount reflects the CET1 capital available to meet the combined buffer requirement and other requirements.

0300

CET1 Capital ratio without application of the transitional provisions on IFRS 9

Point (a) of Article 92(2) CRR, Article 473a(8) CRR

0310

T1 Capital ratio without application of the transitional provisions on IFRS 9

Point (b) of Article 92(2) CRR, Article 473a(8) CRR

0320

Total capital ratio without application of the transitional provisions on IFRS 9

Point (c) of Article 92(2) CRR, Article 473a(8) CRR

1.5.   C 04.00 – MEMORANDUM ITEMS (CA4)

1.5.1.   Instructions concerning specific positions



Rows

0010

1. Total deferred tax assets

The amount reported in this item shall be equal to the amount reported in the most recent verified/audited accounting balance sheet.

0020

1.1. Deferred tax assets that do not rely on future profitability

Article 39(2) CRR

Deferred tax assets that were created before 23 November 2016 and do not rely on future profitability, and thus are subject to the application of a risk weight.

0030

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

Point (c) of Article 36(1) and Article 38 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).

0040

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

Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) 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 CRR.

0050

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.

0060

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

Paragraphs 3 and 4 of Article 38 CRR

Deferred tax liabilities for which conditions in paragraphs 3 and 4 of Article 38 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.

0070

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

Article 38 CRR

0080

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

Paragraphs 3, 4 and 5 of Article 38 CRR

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

0090

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

Paragraphs 3, 4 and 5 of Article 38 CRR

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

0093

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.

0096

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, Article 478(2) and point (a) of Article 473a(7) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

0097

2C Deferred Tax Assets subject to a risk weight of 0 %

Point (d) of Article 469(1), Article 470, Article 472(5) and Article 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 point (d) of Article 469(1), Article 470 CRR, Article 478(2) and point a of Article 473a(7) 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.

0901

2W Exception from deduction of intangible assets from CET1

Point (b) of Article 36(1) CRR

Institutions shall report the amount of prudently valued software assets exempted from the deduction.

0905

2Y AT1 Capital instruments and the related share premium accounts classified as equity under applicable accounting standards

The amount of AT1 instruments including their related share premium accounts that are classified as equity under the applicable accounting standard

0906

2Z AT1 Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards

The amount of AT1 instruments including their related share premium accounts that are classified as liabilities under the applicable accounting standard

0100

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

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

This item shall only be reported by IRB institutions.

0110

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 CRR

This item shall only be reported by IRB institutions.

0120

3.1.1. General credit risk adjustments

Article 159 CRR

This item shall only be reported by IRB institutions.

0130

3.1.2. Specific credit risk adjustments

Article 159 CRR

This item shall only be reported by IRB institutions.

0131

3.1.3. Additional value adjustments and other own funds reductions

Articles 34, 110 and 159 CRR

This item shall only be reported by IRB institutions.

0140

3.2. Total expected losses eligible

Paragraphs 5, 6 and 10 of Article 158 and Article 159 CRR

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

0145

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

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

This item shall only be reported by IRB institutions.

0150

4.1. Specific credit risk adjustments and positions treated similarly

Article 159 CRR

This item shall only be reported by IRB institutions.

0155

4.2. Total expected losses eligible

Paragraphs 5, 6 and 10 of Article 158, and Article 159 CRR

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

0160

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

Point (d) of Article 62 CRR

For IRB institutions, 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, in accordance with point (d) of Article 62 CRR.

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.

0170

6. Total gross provisions eligible for inclusion in T2 capital

Point (c) of Article 62 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.

0180

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

Point (c) of Article 62 CRR

According to point (c) of Article 62 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.

0190

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

Point (a) of Article 46(1) 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 %.

0200

9. 10 % CET1 threshold

Points (a) and (b) of Article 48(1) 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 %.

0210

10. 17,65 % CET1 threshold

Article 48(1) 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 to be calculated in such a way that the amount of the two items that is recognised does 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.

0225

11. Eligible capital for the purposes of qualifying holdings outside the financial sector

Point (a) of point (71) of Article 4(1) CRR

0230

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

Articles 44, 45, 46 and 49 CRR

0240

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 CRR

0250

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 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 in accordance with point (g) of Article 36(1) CRR

0260

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

Article 45 CRR

Point a of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0270

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

Point (114) of Article 4(1) and Articles 44 and 45 CRR

0280

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

Point (114) of Article 4(1) and Articles 44 and 45 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 in accordance with point (g) of Article 36(1) CRR shall not be included

0290

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

Point (114) of Article 4(1) and Article 45 CRR

Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0291

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

Point (126) of Article 4(1) and Articles 44 and 45 CRR

0292

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

Point (126) of Article 4(1) and Articles 44 and 45 CRR

0293

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

Point (126) of Article 4(1) and Article 45 CRR.

Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0300

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

Articles 58, 59 and 60 CRR

0310

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

Articles 58, 59 and Article 60(2) CRR

0320

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

Article 58 and Article 60(2) 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 in accordance with point (b) of Article 56 CRR

0330

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

Article 59 CRR

Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0340

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

Point (114) of Article 4(1) and Articles 58 and 59 CRR

0350

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

Point (114) of Article 4(1) and Articles 58 and 59 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 point (b) of Article 56 CRR shall not be included.

0360

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

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

Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0361

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

Point (126) of Article 4(1) and Articles 58 and 59 CRR

0362

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

Point (126) of Article 4(1) and Articles 58 and 59 CRR

0363

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

Point (126) of Article 4(1) and Article 59 CRR.

Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0370

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

Articles 68, 69 and 70 CRR

0380

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

Articles 68 and 69 and Article 70(2) CRR

0390

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

Article 68 and Article 70(2) 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 in accordance with point (b) of Article 66 CRR

0400

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

Article 69 CRR

Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0410

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

Point (114) of Article 4(1) and Articles 68 and 69 CRR

0420

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

Point (114) of Article 4(1) and Articles 68 and 69 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 in accordance with Article 66 point (b) CRR shall not be included

0430

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

Point (114) of Article 4(1) and Article 69 CRR

Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0431

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

Point (126) of Article 4(1) and Articles 68 and 69 CRR

0432

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

Point (126) of Article 4(1) and Articles 68 and 69 CRR

0433

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

Point (126) of Article 4(1) and Article 69 CRR.

Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0440

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 CRR

0450

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

Articles 44, 45, 47 and 49 CRR

0460

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 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 in accordance with point (g) of Article 36(1) CRR

0470

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

Article 45 CRR

Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0480

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

Point (114) of Article 4(1) and Articles 44 and 45 CRR

0490

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

Point (114) of Article 4(1) and Articles 44 and 45 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 in accordance with point (g) of Article 36(1) CRR shall not be included.

0500

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

Point (114) of Article 4(1) and Article 45 CRR

Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0501

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

Point (126) of Article 4(1) and Articles 44 and 45 CRR

0502

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

Point (126) of Article 4(1) and Articles 44 and 45 CRR

0503

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

Point (126) of Article 4(1) and Article 45 CRR.

Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0504

Investments in CET1 capital of financial sector entities where the institution has a significant investment – subject to a risk weight of 250 %

Article 48(4) CRR

The amount of significant investments in CET1 capital of financial sector entities 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.

The amount reported shall be the amount of significant investments before the application of the risk weight.

0510

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

Articles 58 and 59 CRR

0520

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

Articles 58 and 59 CRR

0530

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

Article 58 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 (point (d) of Article 56 CRR); and

b)  Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR.

0540

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

Article 59 CRR

Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0550

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

Point (114) of Article 4(1) and Articles 58 and 59 CRR

0560

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

Point (114) of Article 4(1) and Articles 58 and 59 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 in accordance with point (b) of Article 56 CRR shall not be included.

0570

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

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

Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0571

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

Point (126) of Article 4(1) and Articles 58 and 59 CRR

0572

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

Point (126) of Article 4(1) and Articles 58 and 59 CRR

0573

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

Point (126) of Article 4(1) and Article 59 CRR.

Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0580

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

Articles 68 and 69 CRR

0590

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

Articles 68 and 69 CRR

0600

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

Article 68 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 (point (d) of Article 66 CRR); and

b)  Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR

0610

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

Article 69 CRR

Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0620

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

Point (114) of Article 4(1) and Articles 68 and 69 CRR

0630

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

Point (114) of Article 4(1) and Articles 68 and 69 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 in accordance with point (b) of Article 66 CRR shall not be included

0640

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

Point (114) of Article 4(1) and Article 69 CRR

Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0641

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

Point (126) of Article 4(1) and Articles 68 and 69 CRR

0642

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

Point (126) of Article 4(1) and Articles 68 and 69 CRR

0643

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

Point (126) of Article 4(1) and Article 69 CRR.

Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year.

0650

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

Articles 46(4), 48(4) and 49(4) CRR

0660

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

Article 60(4) CRR

0670

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

Article 70(4) CRR

0680

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

Article 79 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, where it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.

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

0690

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

Article 79 CRR

A competent authority may waive 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 those instruments shall also be reported on item 15.1.

0700

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

Article 79 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.

0710

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

Article 79 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.

0720

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

Article 79 CRR

A competent authority may waive 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 those instruments shall also be reported on item 14.1.

0730

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

Article 79 CRR

A competent authority may waive 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 those instruments shall also be reported on item 17.1.

0740

27. Combined buffer requirement

Point (6) of Article 128 CRD

0750

Capital conservation buffer

Point (1) of Article 128 and Article 129 CRD

In accordance with Article 129(1) CRD, 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 row.

0760

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

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

In this row, 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 in accordance with 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.

0770

Institution specific countercyclical capital buffer

Point (2) of Article 128 and Articles 130, 135 to 140 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0780

Systemic risk buffer

Point (5) of Article 128, Articles 133 and 134 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0800

Global Systemically Important Institution buffer

Point (3) of Article 128 and Article 131 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0810

Other Systemically Important Institution buffer

Point (4) Article 128 and Article 131 CRD

The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

0820

28. Own funds requirements related to Pillar II adjustments

Article 104a(1) 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 row.

0830

29. Initial capital

Articles 12 and 28 to 31 CRD and Article 93 CRR

0840

30. Own funds based on Fixed Overheads

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

0850

31. Non-domestic original exposures

Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) of this Implementing 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.

0860

32. Total original exposures

Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) of this Implementing 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.

1.6.   TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5)

1.6.1.   General remarks

16. CA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491, 494a and 494b CRR.

17. CA5 is structured as follows:

(a) 

Template CA5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template 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.

18. 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 0050 and the eligible amount without the recognition of transitional provisions in column 0060.

19. Institutions shall only report elements in CA5 during the period where transitional provisions laid down in Part Ten CRR apply.

20. 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)

21. Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491, 494a and 494b CRR, compared to applying the final provisions laid down in Title II of Part Two CRR.

22. Institutions shall report in rows 0060 to 0065 information about the transitional provisions of grandfathered instruments. The figures to be reported in row 0060 of CA5.1 reflect the transitional provisions included in the CRR in the version applicable until 26 June 2019 and can be derived from the respective sections of CA5.2. Rows 0061 to 0065 capture the effect of the transitional provisions of Articles 494a and 494b CRR.

23. Institutions shall report in rows 0070 to 0092 information about the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 CRR).

24. In rows 0100 onwards institutions shall report information about the effect of the transitional provisions regarding unrealised gains and losses, deductions, additional filters and deductions and IFRS 9.

25. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. That 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 shall not include any spill-over effects in the case of insufficient capital available.

1.6.2.1.   Instructions concerning specific positions



Columns

0010

Adjustments to CET1

0020

Adjustments to AT1

0030

Adjustments to T2

0040

Adjustments included in RWAs

Column 0040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) 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 Article 92(4) CRR. That means that transitional amounts subject to 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 0010 to 0030 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 0040 of CA5.1. As a consequence, those amounts shall be memorandum items only.

0050

Applicable percentage

0060

Eligible amount without transitional provisions

This column includes the amount of each instrument prior the application of transitional provisions, i.e. the basis amount relevant to calculate the adjustments.



Rows

0010

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 those adjustments

0020

1.1. Grandfathered instruments

Articles 483 to 491 CRR

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

0060

1.1.2. Instruments not constituting state aid

The amounts to be reported shall be obtained from column 060 of CA5.2 template

0061

1.1.3. Instruments issued through special purpose vehicles

Article 494a CRR

0062

1.1.4. Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements

Article 494b CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet one or several eligibility criteria of points (p), (q) and (r) of Article 52(1) CRR or points (n), (o) and (p) of Article 63 CRR, as applicable.

In case of Tier 2 instruments eligible in accordance with Article 494b(2) CRR, the amortisation provisions of Article 64 CRR shall be observed.

0063

1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers

Article 494b, point (p) of Article 52(1) and point (n) of Article 63 CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (p) of Article 52(1) or point (n) of Article 63 CRR, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of points (q) or (r) of Article 52(1) CRR or points (o) or (p) of Article 63 CRR, as applicable.

0064

1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers

Article 494b, point (q) of Article 52(1) and point (o) of Article 63 CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (q) of Article 52(1) or point (o) of Article 63 CRR, as applicable.

This shall include also instruments that additionally do not meet the eligibility criteria of points (p) or (r) of Article 52(1) CRR or points (n) or (p) of Article 63 CRR, as applicable.

0065

1.1.4.3* of which: Instruments subject to set-off or netting arrangements

Article 494b, point (r) of Article 52(1) and point (p) of Article 63 CRR

Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (r) of Article 52(1) CRR or point (p) of Article 63 CRR, as applicable.

This shall also include instruments that additionally do not meet the eligibility criteria of point (p) or (q) of Article 52(1) CRR or points (n) or (o) of Article 63 CRR, as applicable.

0070

1.2. Minority interests and equivalents

Articles 479 and 480 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.

0080

1.2.1. Capital instruments and items that do not qualify as minority interests

Articles 479 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.

0090

1.2.2. Transitional recognition in consolidated own funds of minority interests

Articles 84 and 480 CRR

The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions.

0091

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

Articles 85 and 480 CRR

The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions.

0092

1.2.4. Transitional recognition in consolidated own funds of qualifying Tier 2 capital

Articles 87 and 480 CRR

The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions.

0100

1.3. Other transitional adjustments

Articles 468 to 478 and Article 481 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.

0111

1.3.1.6. Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs

Article 468 CRR

0112

1.3.1.6.1. of which: amount A

The amount A, as calculated in accordance with the formula referred to in Article 468(1) CRR

0140

1.3.2. Deductions

Article 36(1) and Articles 469 to 478 CRR

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

0170

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

Point (c) of Article 36(1), Articles 469(1) and 472(5) and Article 478 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 CRR relating to the reduction of DTA by deferred tax liabilities.

The amount to be reported in column 0060 of this row: Total amount in accordance with Article 469(1) CRR.

0380

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

Paragraphs 2 and 3 of Article 470 CRR

The amount to be reported in column 0060 of this row: Article 470(1) CRR

0385

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

Point (c) of Article 469(1), Article 472(5) and Article 478 CRR

Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in point (a) of Article 470(2) CRR.

0425

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

Article 471 CRR

0430

1.3.3. Additional filters and deductions

Article 481 CRR

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

In accordance with Article 481 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.

0440

1.3.4. Adjustments due to IFRS 9 transitional arrangements

Article 473a CRR

Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.

0441

Memorandum item: ECL impact of the static component

The sum of A2,SA and A2, IRB as referred to in Article 473a(1) CRR

In case of A2, IRB the amount reported is the amount net of expected lossess as required by point (a) of Article 473a(5) CRR.

0442

Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019

The sum of

image

and

image

as referred to in Article 473a(1) CRR

0443

Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020

The sum of A4,SA and A4, IRB as referred to in Article 473a(1) CRR

In case of A4, IRB the amount reported is the amount net of expected losses as required by points (b) and (c) of Article 473a(5) CRR.

1.6.3.   C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

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

1.6.3.1.   Instructions concerning specific positions



Columns

0010

Amount of instruments plus related share premium

Paragraphs 3, 4 and 5 of Article 484 CRR

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

0020

Base for calculating the limit

Paragraphs 2, 3 and 4 of Article 486 CRR

0030

Applicable percentage

Article 486(5) CRR

0040

Limit

Paragraphs 2 to 5 of Article 486 CRR

0050

(-) Amount that exceeds the limits for grandfathering

Paragraphs 2 to 5 of Article 486 CRR

0060

Total grandfathered amount

The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA5.1.



Rows

0010

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

Article 484(3) CRR

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

0020

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

Article 484(4) CRR

0030

2.1. Total instruments without a call or an incentive to redeem

Article 484(4) and Article 489 CRR

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

0040

2.2. Grandfathered instruments with a call and incentive to redeem

Article 489 CRR

0050

2.2.1. Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity

Article 489(3) and point (a) of Article 491 CRR

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

0060

2.2.2. Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity

Article 489(5) and point (a) of Article 491 CRR

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

0070

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 CRR after the date of effective maturity

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

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

0080

2.3. Excess on the limit of CET1 grandfathered instruments

Article 487(1) CRR

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

0090

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

Article 484(5) CRR

0100

3.1. Total items without an incentive to redeem

Article 490 CRR

0110

3.2. Grandfathered items with an incentive to redeem

Article 490 CRR

0120

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

Article 490(3) and point (a) of Article 491 CRR

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

0130

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

Article 490(5) and point (a) of Article 491 CRR

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

0140

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 CRR after the date of effective maturity

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

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

0150

3.3. Excess on the limit of AT1 grandfathered instruments

Article 487(2) 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

27. Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. Template C 06.02 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;

28. Institutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 0010 to 0060 and 0250 to 0400.

29. The figures reported take into account all applicable transitional provisions CRR which are applicable at the respective reporting date.

2.2.   DETAILED GROUP SOLVENCY INFORMATION

30. The second part of template C 06.02 (detailed group solvency information) in columns 0070 to 0210 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.

31. 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

32. The objective of the third part of template C 06.02 and template C 06.01 (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 0250 to 0400, 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.

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

34. 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.

35. 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. A direct link to the CA template is not possible where the 1 % threshold is not exceeded.

36. 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.

37. It is possible for one consolidated group to be included within another consolidated group. That 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. A subgroup that is subject to reporting requirements 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.

38. 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. That 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

0250-0400

ENTITIES WITHIN SCOPE OF CONSOLIDATION

See instructions for C 06.02

0410-0480

CAPITAL BUFFERS

See instructions for C 06.02



Rows

Instructions

0010

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

0010-0060

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 in accordance with Chapter 2 of Title II of Part One CRR.

0011

NAME

Name of the entity within the scope of consolidation.

0021

CODE

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

0026

TYPE OF CODE

The institutions shall identify the type of code reported in column 0021 as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported.

0027

NATIONAL CODE

Institutions may additionally report the national code when they report LEI code as identifier in the ‘Code’ column.

0030

INSTITUTION OR EQUIVALENT (YES/NO)

‘YES’ shall be reported where the entity is subject to own funds requirements pursuant to CRR and CRD or provisions at least equivalent to Basel provisions.

‘NO’ shall be reported otherwise.

imageMinority interests:

Point (a)(ii) of Article 81(1) and point (a)(ii) of Article 82(1) 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 to the requirements CRR by virtue of applicable national law.

0035

TYPE OF ENTITY

THE TYPE OF ENTITY SHALL BE REPORTED BASED ON THE FOLLOWING CATEGORIES:

(a)  credit institution

Point (1) of Article 4(1)CRR;

(b)  investment firm

Point (2) of Article 4(1) CRR;

(c)  financial institution (other)

Points (20), (21) and (26) of Article 4(1) CRR

Financial institutions within the meaning of point (26) of Article 4(1) CRR which are not included in any of the categories (d), (f) or (g);

(d)  (mixed) financial holding company

Points (20) and (21) of Article 4(1)CRR;

(e)  ancillary services undertaking

Point (18) of Article 4(1) CRR;

(f)  securitisation special purpose entity (SSPE),

Point (66) of Article 4(1)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.

0040

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.

0050

COUNTRY CODE

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

0060

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 point (16) of Article 4(1) CRR, the share of holding of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.

0070-0240

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 0070 to 0240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One CRR), are effectively subject to solvency requirements laid down in CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 0030).

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 reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of 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 are 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 pursuant to Articles 95, 96, 97 and 98 CRR.

The part of the total risk exposure amount related to fixed overheads shall be reported in column 0100 of this template.

0070

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 0080 to 0110 shall be reported.

0080

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

The amount to be reported in this column shall correspond to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 0040 ‘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 0490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of template CA2.

0090

POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column shall correspond to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 0520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of template CA2.

0100

OPERATIONAL RISK

The amount to be reported in this column shall correspond to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 0590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2.

Fixed overheads shall be included in this column including the row 0630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of template CA2.

0110

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 0640, 0680 and 0690 of template CA2.

0120-0240

DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall reflect the local solvency rules of the Member State in which the entity or subgroup is operating.

0120

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 0010 ‘OWN FUNDS’ of the template CA1.

0130

OF WHICH: QUALIFYING OWN FUNDS

Article 82 CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that 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 and included in the CRR consolidation.

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

0140

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

Point (b) of Article 87(1)CRR

0150

TOTAL TIER 1 CAPITAL

Article 25 CRR

0160

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 CRR

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

0170

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Point (b) of Article 85(1) CRR

0180

COMMON EQUITY TIER 1 CAPITAL

Article 50 CRR

0190

OF WHICH: MINORITY INTERESTS

Article 81 CRR

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

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 provisions. It shall be the eligible amount on the date of reporting.

0200

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

Point (b) of Article 84(1) CRR

0210

ADDITIONAL TIER 1 CAPITAL

Article 61 CRR

0220

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 CRR

This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 CRR, where relevant, in accordance with Article 85(2), otherwise on a solo basis.

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 provisions. It shall be the eligible amount on the date of reporting.

0230

TIER 2 CAPITAL

Article 71 CRR

0240

OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 CRR

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

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 provisions. It shall be the eligible amount on the reference date.

0250-0400

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

0250-0290

CONTRIBUTION TO RISKS

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

0250

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 0260 to 0290 shall be reported.

0260

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 in accordance with the CRR, excluding any amount related to transactions with other entities included in the group consolidated solvency ratio computation.

0270

POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level in accordance with the 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 shall correspond to the amount reported in row 0520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report.

0280

OPERATIONAL RISK

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

Fixed overheads shall be included in this column.

0290

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column shall correspond to the risk exposure amount for risks other than listed above.

0300-0400

CONTRIBUTION TO OWN FUNDS

This part of the template is not intended to impose on institutions a full computation of the total capital ratio at the level of each entity.

Columns 0300 to 0350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 0360 to 0400 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 (mainly the own funds raised from third parties and accumulated reserves).

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

0300-0350

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 CRR, excluding any fund brought in by other group entities.

0300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 CRR

0310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 CRR

0320

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 CRR

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

0330

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 CRR

The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the CRR.

0340

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 88 CRR

The amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with the CRR.

0350

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

0360-0400

CONSOLIDATED OWN FUNDS

Article 18 CRR

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

0360

CONSOLIDATED OWN FUNDS

0370

OF WHICH: COMMON EQUITY TIER 1

0380

OF WHICH: ADDITIONAL TIER 1

0390

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

0400

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

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

0410-0480

CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template shall follow 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 shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing CRD and on CRR, including any transitional provisions provided for therein.

0410

COMBINED BUFFER REQUIREMENT

Point (6) of Article 128 CRD

0420

CAPITAL CONSERVATION BUFFER

Point (1) of Article 128 and Article 129 CRD

In accordance with Article 129(1) CRD, 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.

0430

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD

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

0440

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

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

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 in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported in this cell.

0450

SYSTEMIC RISK BUFFER

Point (5) of Article 128, Articles 133 and 134 CRD

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

0470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (3) of Article 128 and Article 131 CRD

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

0480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Point (4) of Article 128 and Article 131 CRD

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

3.   CREDIT RISK TEMPLATES

3.1.   GENERAL REMARKS

39. 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 set out in Article 5(5) of this Implementing Regulation is exceeded.

3.1.1.   Reporting of CRM techniques with substitution effect

40. Exposures to obligors (immediate counterparties) and guarantors which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class.

41. The exposure type shall not change because of unfunded credit protection.

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

43. 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 shall be risk weighted in accordance with the Standardised approach and shall be reported in the CR SA template.

3.1.2.   Reporting of Counterparty Credit Risk

44. 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

45. The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk in accordance with 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

46. In accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements.

47. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.

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

(a) 

Exposures assigned to exposure class ‘items representing securitisation positions’ as referred to in point (m) of Article 112 CRR, which shall be reported in the CR SEC templates.

(b) 

Exposures deducted from own funds.

49. The scope of the CR SA template shall cover the following own funds requirements:

(a) 

Credit risk in accordance with Chapter 2 (Standardised approach) of Title II of Part Three CRR in the banking book, among which Counterparty credit risk in accordance with Chapters 4 and 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book;

(b) 

Counterparty credit risk in accordance with Chapters 4 and 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book;

(c) 

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

50. The template shall include all exposures for which the own funds requirements are calculated in accordance with Chapter 2 of Title II of Part Three CRR in conjunction with Chapters 4 and 6 of Title II of Part Three CRR. Institutions that apply Article 94(1) CRR also need to report their trading book positions referred to in point (b) of Article 92(3) CRR in this template when they apply Chapter 2 of Title II of Part Three CRR to calculate the own funds requirements thereof (Chapters 2 and 6 of Title II of Part Three and Title V of Part Three CRR). Therefore the template shall not only provide 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.

51. In addition, CR SA includes memorandum items in rows 0290 to 0320 to collect further information about exposures secured by mortgages on immovable property and exposures in default.

52. Those memorandum items shall only be reported for the following exposure classes:

(a) 

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

(b) 

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

(c) 

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

(d) 

Institutions (point (f) of Article 112 CRR);

(e) 

Corporates (point (g) of Article 112 CRR);

(f) 

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

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

54. 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’. The figures reported, however, are the same as used to calculate the risk weighted exposure amounts in the exposure classes ‘in default’ or ‘secured by immovable property’.

55. E.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 CRR and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 0320 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row 0320 of exposure class ‘institutions’.

3.2.3.   Assignment of exposures to exposure classes under the Standardised approach

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

(a) 

In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 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.

57. The following criteria shall apply to 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.

58. 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 referred to in point (i) of Article 112 CRR (exposures secured by mortgages on immovable property).

59. Article 112 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 (point (n) of Article 112 CRR) and exposures to institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but is 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.

60. 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 that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with CRR provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.

61. 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 an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process.

62. With this background the assessment ranking in the decision tree mentioned below shall 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.

63. In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach or the mandate-based approach (points (1) and (2) of Article 132a CRR) is used, the underlying individual (in the case of the look through approach) and individual group of (in the case of the mandate-based approach) exposures shall be considered and classified into their corresponding risk weight line according to their treatment. However, 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’).

64. ‘nth’ to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In that 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) CRR.

65. 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 IN ACCORDANCE WITH THE CRR



Original exposure pre-conversion factors

 

 

Does it fit for being assigned to the exposure class of point (m) of Article 112 CRR?

YESimage

Securitisation positions

NOimage

 

 

Does it fit for being assigned to the exposure class of point (k) of Article 112 CRR?

YESimage

Items associated with particular high risk (see also Article 128 CRR)

NOimage

 

 

Does it fit for being assigned to the exposure class of point (p) of Article 112 CRR?

YESimage

Equity exposures (see also Article 133 CRR)

NOimage

 

 

Does it fit for being assigned to the exposure class of point (j) of Article 112 CRR?

YESimage

Exposures in default

NOimage

 

 

Does it fit for being assigned to the exposure classes of points (l) and (o) of Article 112 CRR?

YESimage

Exposures in the form of units or shares in collective investment undertakings (CIU)

Exposures in the form of covered bonds (see also Article 129 CRR)

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.

NOimage

 

 

Does it fit for being assigned to the exposure class of point (i) of Article 112 CRR?

YESimage

Exposures secured by mortgages on immovable property (see also Article 124 CRR)

NOimage

 

 

Does it fit for being assigned to the exposure class of point (q) of Article 112 CRR?

YESimage

Other items

NOimage

 

 

Does it fit for being assigned to the exposure class of point (n) of Article 112 CRR?

YESimage

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

NOimage

 

 

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 CRR

3.2.4.1.   Exposure Class ‘Institutions’

66. Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows:

67. Exposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.

68. According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that 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. That 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 Council Directive 83/349/EEC ( 10 ). Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2.   Exposure Class ‘Covered Bonds’

69. SA exposures shall be assigned to the exposure class ‘covered bonds’ as follows:

70. Bonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council ( 11 ) shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class ‘Covered Bonds’ pursuant to Article 129(6) CRR.

3.2.4.3.   Exposure class ‘Collective Investment Undertakings’

71. Where the possibility referred to in Article 132a(2) CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) CRR.

3.2.5.   Instructions concerning specific positions



Columns

0010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

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

1.  For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR) the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk (see instructions to column 0210).

2.  Exposure values for leases shall be subject to Article 134(7) CRR. In particular, the residual value shall be included at its accounting value (i.e. the discounted estimated residual value at the end of the lease term).

3.  In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral.

Where institutions make use of the derogation of Article 473a(7a) CRR, they shall report the amount ABSA that is risk weighted at 100 % in the exposure class ‘other items’ in this column.

0030

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

Article 24 and 111 CRR

Value adjustments and provisions for credit losses (credit risk adjustments in accordance with Article 110) made in accordance with the accounting framework to which the reporting entity is subject, as well as prudential value adjustments (additional value adjustments in accordance with Article 34 and 105, amounts deducted in accordance with point (m) Article 36(1) and other own funds reductions related to the asset item).

0040

Exposure net of value adjustments and provisions

Sum of columns 0010 and 0030

0050 – 0100

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

Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in ‘Substitution of the exposure due to CRM’.

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

Items to be reported here:

— collateral, incorporated in accordance with the Financial Collateral Simple Method;

— eligible unfunded credit protection.

Please also see instructions of point 3.1.1.

0050 – 0060

Unfunded credit protection: adjusted values (GA)

Article 235 CRR

Article 239(3) CRR contains the formula for the calculation of the adjusted value GA of an unfunded credit protection.

0050

Guarantees

Article 203 CRR

Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.

0060

Credit derivatives

Article 204 CRR

0070 – 0080

Funded credit protection

These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors).

Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.

0070

Financial collateral: simple method

Paragraphs 1 and 2 of Article 222 CRR.

0080

Other funded credit protection

Article 232 CRR.

0090 – 0100

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR

Outflows shall 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. That 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.

0110

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

0120-0140

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR)

Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be 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, shall be calculated in accordance with Articles 223 to 228 CRR.

0120

Volatility adjustment to the exposure

Paragraphs 2 and 3 of Article 223 CRR.

The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He

0130

(-) Financial collateral adjusted value (Cvam)

Article 239(2) CRR.

For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included.

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 Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.

0140

(-) Of which: Volatility and maturity adjustments

Article 223(1) CRR and Article 239(2) 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]

0150

Fully adjusted exposure value (E*)

Article 220(4), Article 223(2) to (5) and Article 228(1) CRR.

0160 – 0190

Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors

Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR.

The figures reported shall be the fully adjusted exposure values before application of the conversion factor.

0200

Exposure value

Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three 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 in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR.

Exposure values for leases are subject to Article 134(7) CRR. In particular, the residual value shall be included at its discounted residual value after taking into account value adjustments, all credit risk mitigants and credit conversion factors.

Exposure values for CCR business shall be the same as reported in column 0210.

0210

Of which: Arising from Counterparty Credit Risk

Exposure value for CCR business calculated in accordance with the methods laid down in Chapter 4 and Chapter 6 of Title II of Part Three CRR, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapter 4 and Chapter 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss as referred to in Article 273(6) CRR.

The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR.

For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in rows 0090 – 0130 reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. For this purpose, the exposure value post-CRM as per the instructions to column 0160 of template C 34.02 shall be used.

0211

Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP

Exposures reported in column 0210 excluding those arising from contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 CRR.

0215

Risk weighted exposure amount pre supporting factors

Paragraphs 1 to 5 of Article 113 CRR, without taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR

The risk weighted exposure amount of the residual value of leasing assets shall be subject to sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % * residual value’. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness.

0216

(-) Adjustment to the risk-weighted exposure amount due to SME supporting factor

Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 2 of Title II of Part Three CRR, as applicable and RWEA* in accordance with point (1) of Article 501 CRR

0217

(-) Adjustment to the risk-weighted exposure amount due to the infrastructure supporting factor

Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR.

0220

Risk weighted exposure amount after supporting factors

Paragraphs 1 to 5 of Article 113 CRR, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR

The risk weighted exposure amount of the residual value of leasing assets is subject to sentence 5 of Article 134(7) and shall be calculated according to the formula ‘1/t * 100 % * residual value’. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness.

0230

Of which: with a credit assessment by a nominated ECAI

Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR

0240

Of which: with a credit assessment derived from central government

Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR



Rows

Instructions

0010

Total exposures

0015

of which: Defaulted exposures in exposure classes ‘items associated with a particular high risk’ and ‘equity exposures’

Article 127 CRR

This row shall only be reported in exposure classes ‘Items associated with a particular high risk’ and ‘Equity exposures’.

An exposure that is either listed in Article 128(2) CRR or meets the criteria set in Article 128(3) or Article 133 CRR shall be assigned to the exposure class ‘Items associated with particular high risk’ or ‘Equity exposures’. Consequently, there shall be no other allocation, even in case of an exposure in default as referred to in Article 127 CRR.

0020

of which: SME

All exposures to SME shall be reported here.

0030

of which: Exposures subject to the SME supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

0035

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a CRR shall be reported here.

0040

of which: Secured by mortgages on immovable property – Residential property

Article 125 CRR

Only reported in exposure class ‘Secured by mortgages on immovable property’

0050

of which: Exposures under the permanent partial use of the Standardised approach

Exposures to which the Standardised approach has been applied in accordance with Article 150(1) CRR

0060

of which: Exposures under the Standardised Approach with prior supervisory permission to carry out a sequential IRB implementation

Article 148(1) CRR

0070-0130

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.

Exposures to counterparty credit risk arising from the trading book business of the institution as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) CRR also break down their ‘trading book’ positions referred to in point (b) of Article 92(3) CRR 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.

0070

On balance sheet exposures subject to credit risk

Assets referred to in Article 24 CRR not included in any other category.

Exposures that are subject to counterparty credit risk shall be reported in rows 0090-0130-, and therefore shall not be reported in this row.

Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

0080

Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise the items listed in Annex I CRR.

Exposures that are subject to counterparty credit risk shall be reported in rows 0090 – 0130 and therefore shall not be reported in this row.

0090-0130

Exposures/Transactions subject to counterparty credit risk

Transactions subject to counterparty credit risk, i.e. derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions.

0090

Securities Financing Transactions netting sets

Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR.

SFTs that are included in a contractual cross product netting set and therefore reported in row 0130 shall not be reported in this row.

0100

Of which: centrally cleared through a QCCP

Contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in point (88) of Article 4(1) CRR, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. QCCP-related transaction has the same meaning as CCP-related transaction in Article 300(2) CRR, when the CCP is a QCCP.

0110

Derivatives and Long Settlement Transactions netting sets

Netting sets containing only derivatives listed in Annex II CRR and long settlement transactions as defined in Article 272(2) CRR.

Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0130, shall not be reported in this row.

0120

Of which: centrally cleared through a QCCP

See instructions to row 0100.

0130

From Contractual Cross Product netting sets

Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) CRR exists.

0140-0280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

0140

0  %

0150

2 %

Article 306(1) CRR

0160

4 %

Article 305(3) CRR

0170

10 %

0180

20 %

0190

35 %

0200

50 %

0210

70 %

Point (c) of Article 232(3) CRR.

0220

75 %

0230

100 %

0240

150 %

0250

250 %

Articles 133(2) and 48(4) CRR

0260

370 %

Article 471 CRR

0270

1 250  %

Article 133(2) and Article 379 CRR

0280

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.

Paragraphs 1 to 5 of Article 113 CRR.

Unrated nth-to-default credit derivatives under the Standardised approach (Article 134(6) CRR) shall be reported in this row under the exposure class ‘Other items’.

See also Article 124(2) and point (b) of Article 152(2) CRR.

0281-0284

BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU)

These rows shall only be reported for the exposure class Collective investments undertakings (CIU), in line with Articles 132, 132a, 132b and 132c CRR.

0281

Look-through approach

Article 132a(1) CRR.

0282

Mandate-based approach

Article 132a(2) CRR.

0283

Fall-back approach

Article 132(2) CRR.

0290-0320

Memorandum Items

For rows 0290 to 0320, see also the explanation of the purpose of the memorandum items in the general section of the CR SA.

0290

Exposures secured by mortgages on commercial immovable property

Point (i) of Article 112 CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 CRR the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate.

0300

Exposures in default subject to a risk weight of 100 %

Point (j) of Article 112 CRR

Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.

0310

Exposures secured by mortgages on residential property

Point (i) of Article 112 CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 CRR the exposures shall be broken down and reported in this row if the exposures are secured by real estate property.

0320

Exposures in default subject to a risk weight of 150 %

Point (j) of Article 112 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

72. The scope of the CR IRB template covers:

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.

73. The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three CRR (IRB approach).

74. 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 and/or CR SEC Details templates;

iii. 

‘Other non credit-obligation assets’, as referred to in point (g) of Article 147(2) 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, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be 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 shall be reported in the template CR GB.

Items i) and iii) do not apply to template CR IRB 7.

75. 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). This includes all retail portfolios.

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 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

76. The CR IRB consists of seven templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate risk weighted 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 (exposures reported under row 0070 of CR IRB 1). CR IRB 3 provides all relevant parameters used for the calculation of credit risk capital requirements for IRB models. CR IRB 4 presents a flow statement explaining changes in risk weighted exposure amounts determined under the IRB approach for credit risk. CR IRB 5 provides information on the results of backtesting of PDs for the models reported. CR IRB 6 provides all relevant parameters used for the calculation of credit risk capital requirements under the slotting criteria for specialised lending. CR IRB 7 provides an overview of percentage of exposure value subject to SA or IRB approaches for each relevant exposure class. The templates CR IRB 1, CR IRB 2, CR IRB 3 and CR IRB 5 shall be reported separately for the following exposure and sub-exposure classes:

1. 

Total

(The Total template must be reported for the Foundation IRB approach and, separately for the Advanced IRB approach.)

2. 

Central banks and central governments

(point (a) of Article 147(2) CRR)

3. 

Institutions

(point (b) of Article 147(2) CRR)

4.1) 

Corporate – SME

(point (c) of Article 147(2) CRR). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

4.2) 

Corporate – Specialised lending

(Article 147(8) CRR)

4.3) 

Corporate – Other

(All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 and 4.2).

5.1) 

Retail – Secured by immovable property SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

5.2) 

Retail – Secured by immovable property non-SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under 5.1).

Under 5.1 and 5.2, retail exposures secured by immovable property shall be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan.

5.3) 

Retail – Qualifying revolving

(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR).

5.4) 

Retail – Other SME

(Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

5.5) 

Retail – Other non – SME

(Retail exposures as referred to in point (d) of Article 147(2) 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

0010

INTERNAL RATING SCALE/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 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 0110) 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 scale 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 scale or is able to report in accordance with an internal master scale, that scale shall be used.

Otherwise, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating scales 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. The same applies for continuous rating scales: a reduced number of grades to be reported shall 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.

The last rating grade or grades shall be dedicated for defaulted exposures with PD of 100 %.

For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. The exposure weighted average PD shall be computed taking into account all exposures reported in a given row. In the row where only defaulted exposures are reported the average PD shall be of 100 %.

0020

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Institutions shall 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 CRR and paragraphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR.

The effect resulting from Article 166(3) CRR (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore not reduce the Original Exposure.

For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR), the original exposure shall correspond to the exposure value arising from counterparty credit risk (see instructions to column 0130).

0030

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

0040-0080

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

Credit risk mitigation as defined in point (57) of Article 4(1) 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’.

0040-0050

UNFUNDED CREDIT PROTECTION

Unfunded credit protection as defined in point (59) of Article 4(1) CRR.

Unfunded credit protection that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.

0040

GUARANTEES:

Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided.

When own estimates of LGD are used in accordance with Article 183 CRR (except for paragraph 3), the relevant value used in the internal model shall be reported.

Guarantees shall be reported in column 0040 where the adjustment is not made in the LGD. Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 0150.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.

0050

CREDIT DERIVATIVES:

Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided.

Where own estimates of LGD are used in accordance with paragraph 3 of Article 183 CRR, the relevant value used in the internal modelling shall be reported.

Where the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 0160.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.

0060

OTHER FUNDED CREDIT PROTECTION

Collateral that has an effect on the PD of the exposure shall be capped at the value of the original exposure pre conversion factors.

Where own estimates of LGD are not used, Article 232(1) CRR applies.

Where own estimates of LGD are used, those credit risk mitigation techniques that have effects on PD shall be reported. The relevant nominal or market value shall be reported.

Where an adjustment is made in the LGD, that amount shall be reported in column 170.

0070-0080

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the guarantor’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the guarantor’s exposure class and, where relevant, obligor grades or pools.

Inflows and outflows within the same exposure classes and, where 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.

These columns shall only be used where institutions have obtained permission from their competent authority to treat these secured exposures under the permanent partial use of the Standardised approach in accordance with Article 150 CRR or to classify the exposures to exposure classes in accordance with the characteristic of the guarantor.

0090

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.

0100, 0120

Of which: Off Balance Sheet Items

See CR-SA instructions

0110

EXPOSURE VALUE

The exposure values determined in accordance with Article 166 CRR and the second sentence of Article 230(1) CRR shall be reported.

For the instruments referred to in Annex I, credit conversion factors and percentages in accordance with paragraphs 8, 9 and 10 of Article 166 CRR are applied, irrespective of the approach chosen by the institution.

Exposure values for CCR business shall be the same as reported in column 0130.

0130

Of which: Arising from counterparty Credit Risk

See the corresponding CR SA instructions in column 0210.

0140

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures to entities referred to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

0150-0210

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

CRM techniques that have an impact on LGD estimates 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, Article 228(2), Article 230(1) and (2) and Article 231 CRR shall be taken into account.

Where own estimates of LGD are used:

— Regarding unfunded credit protection, for exposures to central governments and central banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For retail exposures, Article 164(2) CRR shall be taken into account.

— Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.

0150

GUARANTEES

See instructions to column 0040.

0160

CREDIT DERIVATIVES

See instructions to column 0050.

0170

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 CRR.

0171

CASH ON DEPOSIT

Point (a) of Article 200 CRR

Cash on deposit with, or cash assimilated instruments held by third party institution in a non-custodial arrangement and pledged to the lending institution. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.

0172

LIFE INSURANCE POLICIES

Point (b) of Article 200 CRR

The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.

0173

INSTRUMENTS HELD BY A THIRD PARTY

Point (c) of Article 200 CRR

This includes instruments issued by a third party institution, which will be repurchased by that institution on request. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. This column shall exclude those exposures covered by instruments held by a third party where, in accordance with Article 232(4) CRR, institutions treat instruments repurchased on request that are eligible under point (c) of Article 200 CRR as a guarantee by the issuing institution.

0180

ELIGIBLE FINANCIAL COLLATERAL

For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title II of Part Three CRR shall be treated as cash collateral.

Where own estimates of LGD are not used, for eligible financial collateral in accordance with Article 197 CRR,the adjusted value (Cvam) as set out in Article 223(2) CRR shall be reported.

Where own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. The amount to be reported shall be the estimated market value of the collateral.

0190-0210

OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR.

Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.

0190

REAL ESTATE

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR.

Where own estimates of LGD are used, the amount to be reported shall be the estimated market value.

0200

OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) CRR). See also Article 229(3) CRR.

Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

0210

RECEIVABLES

Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) CRR and shall be reported in this column.

Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

0220

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment in accordance with Article 153(3) CRR and taking into account Article 202 and Article 217(1) CRR.

The values to be reported shall not exceed the value of the corresponding exposures.

0230

EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Chapters 3 and 4 of Title II of Part Three CRR shall be considered. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.

For defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account.

The exposure value referred to in column 0110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the effects of the floor applicable to exposures secured by immovable property in accordance with Article 164(4) CRR 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 shall be reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* as referred to in 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 0110.

Where own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 CRR shall be taken into account.

In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.

The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating scale approved by the respective competent authority.

Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR. Where PD is estimated for specialised lending exposures, data shall be reported based on own estimates of LGDs or regulatory LGDs.

Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 0230, but only be included in the calculation of column 0240.

0240

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR

0250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 0110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be 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. That means that this column shall not be filled in for the exposure class ‘retail’.

0255

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR; For retail, see Article 154(1) CRR

The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall not be taken into account.

0256

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 3 of Title II of Part Three CRR, as applicable and RWEA* in accordance with Article 501 CRR.

0257

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR

0260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR. For retail, see Article 154(1) CRR.

The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall be taken into account.

0270

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR, subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR.

0280

EXPECTED LOSS AMOUNT

For the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected loss amounts, see Article 158 CRR. For defaulted exposures, see point (h) of Article 181(1) CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating scale approved by the respective competent authority.

0290

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 CRR shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades.

0300

NUMBER OF OBLIGORS

Paragraphs 1 and 2 of Article 172 CRR.

For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of point (e) of Article 172(1) 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 the second sentence of point (e) of Article 172(1) 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) 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 scales, 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).

0310

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

Institutions shall report hypothetical risk weighted exposure amount to be calculated as the RWEA without the recognition of the eligible credit derivative as a CRM technique as specified in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor.



Rows

Instructions

0010

TOTAL EXPOSURES

0015

of which: Exposures subject to the SME supporting factor

Only exposures which meet the requirements of Article 501 CRR shall be reported here.

0016

of which: Exposures subject to the infrastructure supporting factor

Only exposures which meet the requirements of Article 501a CRR shall be reported here.

0020-0060

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

0020

On balance sheet items subject to credit risk

Assets referred to in Article 24 CRR shall not be included in any other category.

Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be reported in this row.

Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

0030

Off balance sheet items subject to credit risk

Off-balance sheet items shall comprise items in accordance with Article 166(8) CRR, as well as those items that are listed in Annex I CRR.

Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be in this row.

0040-0060

Exposures/Transactions subject to counterparty credit risk

See the corresponding CR SA instructions in rows 0090-0130.

0040

Securities Financing Transactions netting sets

See the corresponding CR SA instructions in row 0090.

0050

Derivatives and Long Settlement Transactions netting sets

See the corresponding CR SA instructions in row 0110.

0060

From Contractual Cross Product netting sets

See the corresponding CR SA instructions in row 0130.

0070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and central governments and central banks, see point (6) of Article 142(1) and point (c) of Article 170(1) CRR.

For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) CRR.

Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 0180.

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 supervisory master scale is not used. Instead, institutions shall determine the scale to be used themselves.

0080

SPECIALISED LENDING SLOTTING APPROACH: TOTAL

Article 153(5) CRR. This shall only apply to the exposure classe corporate – specialised lending.

0160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) CRR.

This alternative is available only for institutions using Foundation-IRB approach.

0170

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 the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.

0180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 CRR. Dilution risk shall be reported for corporate and retail purchased receivables.

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

0005

Obligor grade (row identifier)

This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc.

The first grade (or pool) to be reported is the best, then the second-best and so on. The last reported grade or grades (or pool) shall be that of exposures in default.

0010-0300

Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.



Row

Instructions

0010-0001 – 0010-NNNN

Values reported in these rows must be filled in in the order corresponding 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 in accordance with the PD of the obligor and shall not be reported in this template.

3.3.1.   C 08.03 – Credit risk and free deliveries: IRB approach to Capital Requirements (breakdown by PD ranges (CR IRB 3))

3.3.1.1.   General remarks

77. Institutions shall report the information included in this template in application of points (i) to (v) of Article 452(g) CRR, in order to provide information on the main parameters used for the calculation of capital requirements for IRB approach. Information reported in this template shall not include data on specialised lending referred to in article 153(5) CRR, which is included in template C 08.06. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

3.3.1.2.   Instructions concerning specific positions



Columns

Instructions

0010

ON-BALANCE SHEET EXPOSURES

Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into account any credit risk adjustments

0020

OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS

Exposure value in accordance with paragraphs (1) to (7) of Article 166 CRR, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) CRR, or any percentages specified in Article 166(10) CRR

Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I CRR.

0030

EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS

For all exposures included in each bucket of the fixed PD range, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as reported in column 0020

0040

EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM

Exposure value in accordance with Article 166 CRR

This column shall include the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors in accordance with paragraphs (8) to (10) of Article 166 CRR and after CRM techniques.

0050

EXPOSURE WEIGHTED AVERAGE PD (%)

For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as reported in column 0040

0060

NUMBER OF OBLIGORS

The number of legal entities or obligors allocated to each bucket of the fixed PD range

The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration.

0070

EXPOSURE WEIGHTED AVERAGE LGD (%)

For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as reported in column 0040

The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the LGD reported shall take into account the floors specified in Article 164(4) CRR.

In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) CRR.

For defaulted exposures under A-IRB approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies.

0080

EXPOSURE-WEIGHTED AVERAGE MATURITY (YEARS)

For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as reported in column 0040

The maturity value reported shall be determined in accordance with Article 162 CRR.

The average maturity shall be reported in years.

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 in accordance with Chapter 3 of Title II of Part Three CRR. This means that this column shall not be filled in for the exposure class ‘retail’.

0090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with paragraphs (1) to (4) of Article 153; for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 CRR

The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a CRR shall be taken into account.

0100

EXPECTED LOSS AMOUNT

The expected loss amount calculated in accordance with Article 158 CRR

The expected loss amount to be reported shall be based on the actual risk parameters used in the internal rating scale approved by the respective competent authority.

0110

VALUE ADJUSTMENTS AND PROVISIONS

Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) No 183/2014, additional value adjustments in accordance with Articles 34 and 110 CRR, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range

These value adjustments and provisions shall be those considered for the implementation of Article 159 CRR.

General provisions shall be reported by assigning the amount pro rata – in accordance with the expected loss of different obligor grades.



Rows

Instructions

PD RANGE

Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.3.2.   C 08.04 – Credit risk and free deliveries: IRB approach to Capital Requirements (RWEA flow statements (CR IRB 4))

3.3.2.1.   General remarks

78. Institutions shall report the information included in this template in application of point (h) of Article 438 CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

79. Institutions shall report the flows of RWEA as the changes between the risk-weighted exposure amounts at the reference date and the risk-weighted exposure amounts at the prior reference date. In the case of quarterly reporting, end-of-quarter prior to the quarter of the reporting reference date shall be reported.

3.3.2.2.   Instructions concerning specific positions



Column

Instructions

0010

RISK WEIGHTED EXPOSURE AMOUNT

Total risk weighted exposure amount for credit risk calculated under the IRB approach, taking into account supporting factors in accordance with Article 501 and 501a CRR.



Rows

Instructions

0010

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD

Risk weighted exposure amount at the end of the previous reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR

0020

ASSET SIZE (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0030

ASSET QUALITY (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0040

MODEL UPDATES (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to model updates, i.e changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0050

METHODOLOGY AND POLICY (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row 0040

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0060

ACQUISITIONS AND DISPOSALS (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and disposal of entities

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0070

FOREIGN EXCHANGE MOVEMENTS (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0080

OTHER (+/-)

Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to other drivers

This category shall be used to capture changes that cannot be attributed to any other category.

Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.

0090

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD

Risk weighted exposure amount in the reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR

3.3.3.   C 08.05 – Credit risk and free deliveries: IRB approach to Capital Requirements (Back-testing of PD (CR IRB 5))

3.3.3.1.   General remarks

80. Institutions shall report the information included in this template in application of point (h) of Article 452 CRR. Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are reported here. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

3.3.3.2.   Instructions concerning specific positions



Columns

Instructions

0010

ARITHMETIC AVERAGE PD (%)

Arithmetic average of PD at the beginning of the reporting period of the obligors that fall within the bucket of the fixed PD range and counted in column 0020 (average weighted by the number of obligors)

0020

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

Number of obligors at the end of the previous year subject to reporting

All obligors carrying a credit obligation at the relevant point in time shall be included.

The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration.

0030

OF WHICH: DEFAULTED DURING THE YEAR

Number of obligors which defaulted during the year (i.e. the observation period of the default rate calculation)

Defaults shall be determined in accordance with Article 178 CRR.

Each defaulted obligor is counted only once in the numerator and denominator of the one-year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period.

0040

OBSERVED AVERAGE DEFAULT RATE (%)

One-year default rate referred to in point (78) Article 4(1) CRR

Institutions shall ensure:

(a)  that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (i.e. beginning of the year prior to the reporting reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor.

(b)  that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the reporting reference date).

Regarding the calculation of the number of obligors see column 0300 of template C 08.01.

0050

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

The simple average of the annual default rate of the five most recent years (obligors at the beginning of each year that are defaulted during that year/total obligors at the beginning of the year) is a minimum. The institution may use a longer historical period that is consistent with the institution’s actual risk management practices.



Rows

Instructions

PD RANGE

Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the reporting period for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.3.4.   C 08.05.1 – Credit risk and free deliveries: IRB approach to Capital Requirements: Back-testing of PD (CR IRB 5B)

3.3.4.1.   Instructions concerning specific positions

81. In addition to template C 08.05, institutions shall report information included in template C 08.05.1 in case that they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same than for template C 08.05, with the following exceptions:



Columns

Instructions

0005

PD RANGE

Institutions shall report the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range.

0006

EXTERNAL RATING EQUIVALENT

Institutions shall report one column for each ECAI considered following point (f) of Article 180(1) CRR. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.

3.3.5.   C 08.06 – Credit risk and free deliveries: IRB approach to Capital Requirements (Specialised lending slotting approach (CR IRB 6))

3.3.5.1.   General remarks

82. Institutions shall report the information included in this template in application of point (e) of Article 438 CRR. Institutions shall report information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5):

(a) 

Project finance

(b) 

Income-producing real estate and high volatility commercial real estate

(c) 

Object finance

(d) 

Commodities finance

3.3.5.2.   Instructions concerning specific positions



Columns

Instructions

0010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

See CR-IRB instructions.

0020

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

See CR-IRB instructions.

0030, 0050

OF WHICH: OFF-BALANCE SHEET ITEMS

See CR-SA instructions.

0040

EXPOSURE VALUE

See CR-IRB instructions.

0060

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

See CR SA instructions.

0070

RISK WEIGHT

Article 153(5) CRR

This is a fixed column for information purposes. It shall not be altered.

0080

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

See CR-IRB instructions.

0090

EXPECTED LOSS AMOUNT

See CR-IRB instructions.

0100

(-) VALUE ADJUSTMENTS AND PROVISIONS

See CR-IRB instructions.



Rows

Instructions

0010-0120

Exposures shall be allocated to the appropriate category and maturity in accordance with table 1 of Article 153(5) CRR.

3.3.6.   C 08.07 – Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches (CR IRB 7))

3.3.6.1.   General remarks

83. For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Chapter 2 of Title II of Part Three CRR or to the IRB approach laid down in Chapter 3 of Title II of Part Three CRR, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.

84. Columns 0020 to 0040 should cover the full spectrum of exposures, so the sum of each row for those three columns should be 100 % of all exposure classes except of securitisation positions and deducted positions.

3.3.6.2.   Instructions concerning specific positions



Columns

Instructions

0010

TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR

Institutions shall use the exposure value before CRM in accordance with Article 166 CRR.

0020

TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB

Institutions shall use the exposure value before CRM in accordance with Article 429(4) CRR to report the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach.

0030

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)

Part of exposure for each exposure class subject to the Standardised approach (exposure subject to the Standardised approach before CRM over the total exposure in that exposure class in column 0020), respecting the scope of permission for permanent partial use of the Standardised approach received from a competent authority in accordance with Article 150 CRR.

0040

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)

Part of exposure for each exposure class subject to the sequential implementation of IRB approach pursuant to Article 148 CRR. This shall include:

— both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors (F-IRB and A-IRB);

— immaterial equity exposures not included in columns 0020 or 0040;

— exposures already under F-IRB where an institution is planning to apply A-IRB in the future;

— specialised lending exposures under the supervisory slotting approach not included in column 0040.

0050

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)

Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB approach before CRM over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 CRR. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialised lending exposures and equity exposures under the simple risk weight approach, as well as those exposures reported in row 0170 of template C 08.01.



Rows

Instructions

EXPOSURE CLASSES

Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.

3.4.   CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN

85. All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5(5) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organisations shall be assigned to the geographical area ‘other countries’.

86. 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.

87. 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

0010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 0010 of CR SA template

0020

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’ shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as ‘exposures in default’ as referred to in point (j) of Article 112 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’ as referred to in points (j), (k) and (p) of Article 112 CRR.

0040

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.

0050

General credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014.

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 point (c) of Article 62 CRR.

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

0055

Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014.

0060

Write-offs

Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9.

0061

Additional value adjustments and other own funds reductions

In line with Article 111 CRR.

0070

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.

0075

Exposure value

Same definition as for column 0200 of CR SA template

0080

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

Same definition as for column 0215 of CR SA template

0081

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE SME SUPPORTING FACTOR

Same definition as for column 0216 of CR SA template

0082

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

Same definition as for column 0217 of CR SA template

0090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

Same definition as for column 0220 of CR SA template



Rows

0010

Central governments or central banks

Point (a) of Article 112 CRR

0020

Regional governments or local authorities

Point (b) of Article 112 CRR

0030

Public sector entities

Point (c) of Article 112 CRR

0040

Multilateral developments banks

Point (d) of Article 112 CRR

0050

International organisations

Point (e) of Article 112 CRR

0060

Institutions

Point (f) of Article 112 CRR

0070

Corporates

Point (g) of Article 112 CRR

0075

of which: SME

Same definition as for row 0020 of CR SA template

0080

Retail

Point (h) of Article 112 CRR

0085

of which: SME

Same definition as for row 0020 of CR SA template

0090

Secured by mortgages on immovable property

Point (i) of Article 112 CRR

0095

of which: SME

Same definition as for row 0020 of CR SA template

0100

Exposures in default

Point (j) of Article 112 CRR

0110

Items associated with particularly high risk

Point (k) of Article 112 CRR

0120

Covered bonds

Point (l) of Article 112 CRR

0130

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

Point (n) of Article 112 CRR

0140

Collective investments undertakings (CIU)

Point (o) of Article 112 CRR

Sum of rows 0141 to 0143

0141

Look-through approach

Same definition as for row 0281 of CR SA template

0142

Mandate-based approach

Same definition as for row 0282 of CR SA template

0143

Fall-back approach

Same definition as for row 0283 of CR SA template

0150

Equity exposures

Point (p) of Article 112 CRR

0160

Other exposures

Point (q) of Article 112 CRR

0170

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

0010

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Same definition as for column 0020 of CR IRB template

0030

Of which defaulted

Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR

0040

Observed new defaults for the period

Original exposure value for those exposures, which have been classified as defaulted defaulted exposures in accordance with Article 178 CRR during the 3-month period since the last reporting reference date, shall be reported against the exposure class to which the obligor belongs.

0050

General credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014

0055

Specific credit risk adjustments

Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014

0060

Write-offs

Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9

0070

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

0080

INTERNAL RATING SCALE/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

Same definition as for column 0010 of CR IRB template

0090

EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for columns 0230 and 0240 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. Point (h) of Article 181(1) CRR shall apply.

For specialised lending exposures where the PD is estimated, the reported value should be either the estimated or the regulatory LGD. For specialised lending exposures referred to in Article 153(5) CRR, data cannot be reported as it is not available.

0100

Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR

0105

Exposure value

Same definition as for column 0110 of CR IRB template

0110

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

Same definition as for column 0255 of CR IRB template

0120

Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) CRR

0121

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

Same definition as for column 0256 of CR IRB template

0122

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

Same definition as for column 0257 of CR IRB template

0125

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

Same definition as for column 0260 of CR IRB template

0130

EXPECTED LOSS AMOUNT

Same definition as for column 0280 of CR IRB template



Rows

0010

Central banks and central governments

Point (a) of Article 147(2) CRR

0020

Institutions

Point (b) of Article 147(2) CRR

0030

Corporates

All exposures to corporates as referred to in point (c) of Article 147(2) CRR

0042

Of which: Specialised lending (excl. SL subject under the slotting approach)

Point (a) of Article 147(8) CRR

Data shall not be reported for specialised lending exposures as referred to in Article 153(5) CRR.

0045

Of which: Specialised lending under the slotting approach

Point (a) of Article 147(8) and Article 153(5) CRR

0050

Of which: SME

Point (c) of Article 147(2) CRR

Under the IRB approach, the reporting entities shall use their internal definition of SME, as applied in internal risk management processes.

0060

Retail

All retail exposures as referred to in point (d) of Article 147(2) CRR

0070

Retail – Secured by immovable property

Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

Retail exposures secured by immovable property will be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan.

0080

SME

Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate

0090

non-SME

Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate

0100

Retail – Qualifying revolving

Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR

0110

Other Retail

Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 0070 – 0100

0120

SME

Other retail exposures to SMEs as referred to in point (d) of Article 147(2) CRR

0130

non-SME

Other retail exposures to individuals as referred to in point (d) of Article 147(2) CRR

0140

Equity

Equity exposures as referred to in point (e) of Article 147(2) CRR

0150

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

88. This template 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 Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).

89. Information in template C 09.04 shall be reported for the ‘Total’ of relevant credit exposures across all jurisdictions where those 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.

90. The threshold set in Article 5(5) of this Implementing Regulation shall not apply for the reporting of this breakdown.

91. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 ( 12 ). Therefore, CRM techniques shall 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

0010

Amount

The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.

0020

Percentage

0030

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

0010-0020

Relevant credit exposures – Credit risk

Relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

0010

Exposure value under the Standardised approach

Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 0055.

0020

Exposure value under the IRB approach

Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.

The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 0055.

0030-0040

Relevant credit exposures – Market risk

Relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

0030

Sum of long and short positions of trading book exposures for Standardised approach

Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three 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;

— exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR.

0040

Value of trading book exposures under internal models

For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported:

— Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR.

— Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

0055

Relevant credit exposures – Securitisation positions in the banking book

Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD.

0070-0110

Own funds requirements and weights

0070

Total own funds requirements for CCB

The sum of rows 0080, 0090 and 0100.

0080

Own funds requirements for relevant credit exposures – Credit risk

Own funds requirements calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) 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 0100.

The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.

0090

Own funds requirements for relevant credit exposures – Market risk

Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question.

The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.

0100

Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question.

The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR.

0110

Own funds requirements weights

The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows:

1.  Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r0070; c0010; country sheet],

2.  Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD [r0070; c0010; ‘Total’].

Information on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries.

0120-0140

Countercyclical buffer rates

0120

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 Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) 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.

0130

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 Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(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.

0140

Institution-specific countercyclical capital buffer rate

Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) CRD.

The institution-specific countercyclical capital buffer rate shall be 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 paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r0120; c0020; country sheet], or [r0130; c0020; country sheet], as applicable.

The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r0110; c0020; 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.

0150 – 0160

Use of the 2 % threshold

0150

Use of 2 % threshold for general credit exposure

In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which 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 shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) 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 template 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.

0160

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 where 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 template 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

92. 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.

93. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (point (a) of Article 92(3) CRR) in accordance with Chapter 3 of Title II of Part Three CRR for equity exposures as referred to in point (e) of Article 147(2) CRR.

94. In accordance with Article 147(6) 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;

(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).

95. Collective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152 CRR shall also be reported in the CR EQU IRB template.

96. In accordance with Article 151(1) CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 CRR:

— 
the Simple Risk Weight approach;
— 
the PD/LGD approach;
— 
the Internal Models approach.

Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) CRR.

97. The following equity claims shall not be reported in the CR EQU IRB template:

— 
Equity exposures in the trading book (where institutions are not exempted from calculating own funds requirements for trading book positions (Article 94 CRR)).
— 
Equity exposures subject to the partial use of the Standardised approach (Article 150 CRR), including:
— 
Equity exposures grandfathered in accordance with Article 495(1) CRR;
— 
Equity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the Standardised approach, including those publicly sponsored entities where a 0 % risk weight can be applied (point (g) of Article 150(1) 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 (point (h) of Article 150(1) CRR),
— 
Equity exposures to ancillary services undertakings the risk weighted exposure amounts of which may be calculated in accordance with the treatment of ‘other non credit-obligation assets’ (Article 155(1) CRR),
— 
Equity claims deducted from own funds in accordance with Articles 46 and 48 CRR.

3.5.2.   Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)



Columns

0005

OBLIGOR GRADE (ROW IDENTIFIER)

The obligor grade shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.

0010

INTERNAL RATING SCALE

PD ASSIGNED TO THE OBLIGOR GRADE (%)

Institutions applying the PD/LGD approach shall report in column 0010 the probability of default (PD) calculated in accordance with Article 165(1) CRR.

The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three 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 scale 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 0060) shall be used for weighting purposes.

0020

ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

Institutions report in column 0020 the original exposure value (pre-conversion factors). In accordance with Article 167 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 shall also include in column 0020 the off balance sheet items referred to in Annex I 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) CRR) shall also take into account the offsetting referred to in the second subparagraph of Article 155(2) CRR.

0030-0040

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 recognise unfunded credit protection obtained on equity exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in columns 0030 and 0040 the amount of unfunded credit protection under the form of guarantees (column 0030) or credit derivatives (column 0040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.

0050

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

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

(-) TOTAL OUTFLOWS

Institutions shall report in column 0050 the part of the original exposure pre-conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.

0060

EXPOSURE VALUE

Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 0060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR).

In the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 CRR).

0061

OF WHICH: OFF BALANCE SHEET ITEMS

See CR-SA instructions

0070

EXPOSURE WEIGHTED AVERAGE LGD (%)

Institutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation

The exposure value taking into account unfunded credit protection (column 0060) shall be used for the calculation of the exposure-weighted average LGD.

Institutions shall take into account Article 165(2) CRR.

0080

RISK WEIGHTED EXPOSURE AMOUNT

Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 CRR.

Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) 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) CRR).

0090

MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions shall report in column 0090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.

98. In accordance with Article 155 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 in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).



Rows

CR EQU IRB 1 – row 0020,

PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in row 0020 of the CR EQU IRB 1 template.

CR EQU IRB 1 – rows 0050- 0090

SIMPLE RISK WEIGHT APPROACH: TOTAL

BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APPROACH BY RISK WEIGHTS:

Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with the characteristics of the underlying exposures in rows 0050 to 0090.

CR EQU IRB 1 – row 0100

INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required information in row 0100.

CR EQU IRB 1 – row 0110

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 in accordance with 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) CRR, as well as

— equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 0110.

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) CRR) shall report the required information in the CR EQU IRB 2 template.

Institutions using the PD/LGD approach that apply a unique rating scale or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating scale/master scale. In any other case, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating scales 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

99. 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 as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR.

100. Institutions shall 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.

101. In accordance with Article 378 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 own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 CRR.

102. In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That 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.

103. Institutions shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to determine the corresponding own funds requirements.

104. In accordance with point (b) of Article 92(4) CRR, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount.

105. Note that own funds requirements for free deliveries as laid down in Article 379 CRR are not within the scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2.   Instructions concerning specific positions



Columns

0010

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR.

All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

0020

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

Institutions shall report 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, as referred to in Article 378 CRR.

Only unsettled transactions at a loss after the due settlement date shall be reported in this column.

0030

OWN FUNDS REQUIREMENTS

Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR.

0040

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds requirements reported in column 0030 by 12.5 in order to obtain the settlement risk exposure amount.



Rows

0010

Total unsettled transactions in the Non-trading Book

Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).

Institutions shall report in {r0010;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r0010;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r0010;c0030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 0020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).

0020 to 0060

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 shall report in rows 0020 to 0060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

0070

Total unsettled transactions in the Trading Book

Institutions shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).

Institutions shall report in {r0070;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions shall report in {r0070;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions shall report in {r0070;c0030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 0020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).

0080 to 0120

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 shall report in rows 0080 to 0120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.

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 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

3.7.1.   General remarks

106. Where institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported.

107. The information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors.

108. This template shall gather joint information on both traditional and synthetic securitisations held in the banking book.

3.7.2.   Instructions concerning specific positions



Columns

0010

TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

Originator institutions shall 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 case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures.

0020-0040

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Articles 251 and 252 CRR.

Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.

0020

(-) FUNDED CREDIT PROTECTION (CVA)

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) CRR.

0030

(-) 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 to which the reporting entity allocates 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 laid down in Article 233(3) CRR.

0040

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.

0050

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position.

Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement.

In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040.

0060

(-) VALUE ADJUSTMENTS AND PROVISIONS

Article 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered.

0070

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

This column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position.

0080-0110

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

Point (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three CRR and Article 249 CRR

Institutions shall report in these columns 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).

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

Items to be reported here:

1.  collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method);

2.  eligible unfunded credit protection.

0080

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)

Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR.

0090

(-) FUNDED CREDIT PROTECTION

Funded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR.

Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral.

0100-0110

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported.

0100

(-) TOTAL OUTFLOWS

Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR.

Outflows shall correspond to the covered part of the ‘Exposure net of value adjustments and provisions’ that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade.

That amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades.

0110

TOTAL INFLOWS

Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.

0120

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS

This column shall include the exposures 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’.

0130

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

Articles 223 to 228 CRR

The reported amount shall also include credit linked notes (Article 218 CRR).

0140

FULLY ADJUSTED EXPOSURE VALUE (E*)

The exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR

0150

OF WHICH: SUBJECT TO A CCF OF 0 %

Point (b) of Article 248(1) CRR

In this respect, point (56) of Article 4(1) CRR defines a conversion factor.

For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor.

0160

(-)NON REFUNDABLE PURCHASE PRICE DISCOUNT

In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250  % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.

0170

(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES

In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250  % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR.

0180

EXPOSURE VALUE

The exposure value of securitisation positions calculated in accordance with Article 248 CRR

0190

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to 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.

0200

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

Exposure value minus the exposure value deducted from own funds.

0210

SEC-IRBA

Point (a) of Article 254(1) CRR

0220-0260

BREAKDOWN BY RW BANDS

SEC-IRBA exposures broken down by risk-weight bands.

0270

OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES)

Article 255(4) CRR

For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables.

0280

SEC-SA

Point (b) of Article 254(1) CRR

0290-0340

BREAKDOWN BY RW BANDS

SEC-SA exposures broken down by risk-weight bands.

For the RW = 1 250  % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1 250  % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool.

0350

SEC-ERBA

Point (c) of Article 254(1) CRR

0360-0570

BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS)

Article 263 CRR

SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating.

Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR.

0580-0630

BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA

For each securitisation position, institutions shall consider one of the following options in columns 0580-0620.

0580

AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

Point (c) of Article 254(2) CRR

All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for point (a) or (b) of Article 254(2) CRR.

0590

SEC-ERBA OPTION

Article 254(3) CRR

0600

POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR

Point (a) of Article 254(2) CRR

0610

POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR

Point (b) of Article 254(2) CRR

0620

POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRR

Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR

0630

FOLLOWING THE HIERARCHY OF APPROACHES

Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR

0640

INTERNAL ASSESSMENT APPROACH

Article 254(5) CRR on the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes

0650-0690

BREAKDOWN BY RW BANDS

Internal Assessment Approach exposures broken down by risk-weight bands

0700

OTHER (RW = 1 250  %)

Where none of the previous approaches is applied, a risk weight of 1 250  % shall be assigned to securitisation positions in accordance with Article 254(7) CRR.

0710-0860

RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three 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.

0840

IAA: AVERAGE RISK WEIGHT (%)

The exposure-weighted average risk weights of the securitisation positions shall be reported in this column.

0860

RWEA OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.

0870

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250  % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

0880

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 (1)

In accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall 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 Section 3 of Chapter 5 of Title II of Part Three CRR.

0890

BEFORE CAP

Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR.

0900

(-) REDUCTION DUE TO RISK WEIGHT CAP

In accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised.

0910

(-) REDUCTION DUE TO OVERALL CAP

In accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three CRR in respect of the underlying exposures had they not been securitised.

0920

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR.

0930

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES

Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.
(1)   

Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).

109. The 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 shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not.

110. Positions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.



Rows

0010

TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows.

0020

SECURITISATION POSITIONS

Total amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR.

0030

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR and therefore qualify for differentiated capital treatment.

0040

STS EXPOSURES

Total amount of STS securitisation positions that meet the requirements set out in Article 243 CRR.

0050

SENIOR POSITION IN SMEs SECURITISATIONS

Total amount of senior securitisation positions in SMEs which meet the conditions set out in Article 270 CRR.

0060, 0120, 0170, 0240, 0290, 0360 and 0410

NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Paragraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR

Total amount of securitisation positions which do not qualify for differentiated capital treatment.

0070, 0190, 0310 and 0430

RE-SECURITISATION POSITIONS

Total amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) CRR.

0080

ORIGINATOR: TOTAL EXPOSURES

This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in point (13) of Article 4(1) CRR.

0090-0130, 0210-0250 and 0330-0370

SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

In accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 CRR.

On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0110 and 0130.

0100, 0220 and 0340

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 CRR and therefore qualify for differentiated capital treatment.

0110, 0130, 0160, 0180, 0230, 0250, 0280, 0300, 0350, 0370, 400 and 420

OF WHICH: SENIOR EXPOSURES

Total amount of senior securitisation positions as defined in Article 242(6) CRR.

0140-0180, 0260-0300 and 0380-0420

SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows shall 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 to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR.

For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.

For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) CRR) shall be provided.

Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply.

0150, 0270 and 0390

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 CRR and therefore qualify for differentiated capital treatment.

0200

INVESTOR: TOTAL EXPOSURES

This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor.

For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

0320

SPONSOR: TOTAL EXPOSURES

This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.

0440-0670

BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION

These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported.

These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.

3.8.   DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.8.1.   Scope of the SEC DETAILS template

111. These templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, 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.

112. These template are to be reported for:

a. 

Securitisations originated/sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, 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 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 2018.

b. 

Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 0160.

c. 

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

113. These templates shall be reported by consolidated groups and stand-alone institutions ( 13 ) 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.

114. Because of Article 5 of Regulation (EU) 2017/2402, 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 shall be applied to investors to a limited extent. In particular, they shall report columns 0010-0040; 0070-0110; 0160; 0190; 0290-0300; 0310-0470.

115. 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.

3.8.2   Breakdown of the SEC DETAILS template

116. The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations and SEC DETAILS 2 provides a breakdown of the same securitisations by approach applied.

117. Securitisation positions in the trading book shall only be reported in columns 0005-0020, 0420, 0430, 0431, 0432, 0440 and 0450-0470. For columns 0420, 0430 and 0440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.

3.8.3   C 14.00 – Detailed information on securitisations (SEC DETAILS)



Columns

0010

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 transaction.

0020

IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation

Where 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.

0021

INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?

This column identifies whether the securitisation is an intra-group, private or public securitisation.

Institutions shall report one of the following abbreviations:

— ‘PRI’ for Private;

— ‘INT’ for Intra-group;

— ‘PUB’ for Public.

0110

ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

Institutions shall report the following abbreviations:

— ‘O’ for Originator;

— ‘S’ for Sponsor;

— ‘I’ for Investor.

— ‘L’ for Original Lender.

Originator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall apply.

0030

IDENTIFIER OF THE ORIGINATOR (Code/Name)

The LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column.

In the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported.

In the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is ‘multi-seller’.

0040

SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC/ABCP PROGRAMME/ABCP TRANSACTION)

Institutions shall report the following abbreviations:

— ‘AP’ for ABCP programme;

— ‘AT’ for ABCP transaction;

— ‘T’ for Traditional;

— ‘S’ for Synthetic.

The definitions of ‘Asset Backed Commercial Paper Programme’, ‘Asset Backed Commercial Paper Transaction’, ‘traditional securitisation’ and ‘synthetic securitisation’ are provided in points (11) to (14) of Article 242 CRR.

0051

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

Institutions as 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. Significant risk transfer (SRT) under Articles 244 and 245 CRR shall not affect the accounting treatment of the transaction under the relevant accounting framework.

In the case of securitisations of liabilities, originators shall not report this column.

Option ‘P’ (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.

0060

SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Articles 109, 244 and 245 CRR

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.

This column shall summarise the solvency treatment of the securitisation scheme by the originator. It shall indicate whether own funds requirements are calculated on the basis of securitised exposures or securitisation positions (banking book/trading book).

Where own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution.

Conversely, where own funds requirements are based on securitisation positions held in the banking book (as a significant risk transfer was achieved), the information on the calculation of own funds requirements for credit risk shall be reported in the CR SEC template. In case of securitisation positions held in the trading book, the information on the calculation 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.

0061

SIGNIFICANT RISK TRANSFER

Originators, only, shall report the following abbreviations:

— ‘N’ Not applied for SRT and the reporting entity risk weights its securitised exposures;

— ‘A’ Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR;

— ‘B’ Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR;

— ‘C’ Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR;

— ‘D’ Applying a 1 250  % RW or deducting retained positions in accordance with point (b) of Article 244(1) or point (b) of Article 245(1) CRR.

This column shall summariss whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator.

0070

SECURITISATION OR RE-SECURITISATION?

In accordance with the definition of ‘securitisation’ in point (61) of Article 4(1) CRR and the definition of ‘re-securitisation’ in point (63) of Article 4(1) CRR, the type of securitisation using the following abbreviations shall be reported:

— ‘S’ for securitisation;

— ‘R’ for re-securitisation.

0075

STS SECURITISATION

Article 18 of Regulation (EU) 2017/2402

Institutions shall report one of the following abbreviations:

Y – Yes;

N – No.

0446

SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Articles 243 and 270 CRR

Institutions shall 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 CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR.

0080-0100

RETENTION

Article 6 of the Regulation (EU) 2017/2402;in case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 CRR in the version of that Regulation applicable on 31 December 2018.

0080

TYPE OF RETENTION APPLIED

For each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported:

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 the application of Article 6(6) of Regulation (EU) 2017/2402;

U – In breach or unknown. This code shall be reported where the reporting institution does not know with certainty which type of retention is being applied, or in case of non-compliance.

0090

% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be not less than 5 % (at origination date).

This column shall not be reported where codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 0080 (Type of retention applied).

0100

COMPLIANCE WITH THE RETENTION REQUIREMENT?

Institutions shall report the following abbreviations:

Y - Yes;

N - No.

This column shall not be reported where code ‘E’ (exempted) is reported under column 0080 (Type of retention applied).

0120-0130

NON ABCP PROGRAMMES

Because of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) CRR) shall be exempted from reporting in columns 0120, 0121 and 0130.

0120

ORIGINATION DATE (yyyy-mm-dd)

The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported in 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 where the reporting entity does not hold any positions in the securitisation.

0121

DATE OF LATEST ISSUANCE (yyyy-mm-dd)

The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: ‘yyyy-mm-dd’.

Regulation (EU) 2017/2402 only applies to securitisations the securities of which are issued on or after 1 January 2019. The date of the latest issuance of securities determines whether each securitisation scheme falls under the scope of Regulation (EU) 2017/2402.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

0130

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

This column gathers the amount (calculated on the basis of original exposures pre-conversion factors) of the securitised portfolio at the origination date.

For securitisation schemes backed by open pools, the amount referring to the origination date of the first issuance of securities shall be reported. For traditional securitisations, no other assets of the securitisation pool shall be included. For 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. For securitisations of liabilities, only the amounts issued by the reporting entity shall be reported.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

0140-0225

SECURITISED EXPOSURES

Columns 0140 to 0225 request information on several features of the securitised portfolio by the reporting entity.

0140

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 information shall be reported even where the reporting entity does not hold any positions in the securitisation.

0150

INSTITUTION’S SHARE (%)

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 0140 in relative terms).

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

0160

TYPE

This column gathers information on the type of assets (‘Residential mortgages’ to ‘Other wholesale exposures’) or liabilities (‘Covered bonds’ and ‘Other liabilities’) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD:

Retail:

Residential mortgages;

Credit card receivables;

Consumer loans;

Loans to SMEs (treated as retail);

Other retail exposures.

Wholesale:

Commercial mortgages;

Leasing;

Loans to corporates;

Loans to SMEs (treated as corporates);

Trade receivables;

Other wholesale exposures.

Liabilites:

Covered bonds;

Other liabilities.

Where the pool of securitised exposures is a mix of the types listed above, 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 ‘Other liabilities’ includes treasury bonds and credit linked notes.

For securitisation schemes backed by closed pools the type cannot change between reporting dates.

0171

% OF IRB IN APPROACH APPLIED

This column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures.

Institutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities.

0180

NUMBER OF EXPOSURES

Article 259(4) CRR

This column shall be compulsory for those institutions using the SEC-IRBA approach to the securitisation positions (and, therefore, reporting more than 95 % in column 171). The institution shall report the effective number of exposures.

This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). This column shall not be reported where the reporting institution does not hold any positions in the securitisation. This column shall not be reported by investors.

0181

EXPOSURES IN DEFAULT ‘W’ (%)

Article 261(2) CRR

Even where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the ‘W’ factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) CRR.

0190

COUNTRY

Institutions shall 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). Where the pool of the securitisation consists of different countries, the institution shall indicate the most important country. Where no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘other countries’ shall be reported.

0201

LGD (%)

The exposure-weighted average loss-given-default (LGD) shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0170). The LGD is to be calculated as indicated in Article 259(5) CRR.

This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).

0202

EL (%)

The exposure-weighted average expected loss (EL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0171). In the case of SA securitised assets, the EL reported shall be the specific credit risk adjustments as referred to in Article 111 CRR. The EL shall be calculated as indicated in Section 3, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).

0203

UL (%)

The exposure-weighted average unexpected loss (UL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 8 %. RWEA shall be calculated as indicated in Section 2, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in the case of a securitisation of assets).

0204

EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS

The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset in accordance with points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap.

0210

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments shall include any amount recognised 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 assets purchased when in default as referred to in Article 166(1) CRR. Provisions shall 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 the case of a securitisation of liabilities.

This information shall be reported even where the reporting entity does not hold any positions in the securitisation.

0221

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) KIRB

This column shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171) and gathers information on KIRB, as referred to in Article 255 CRR. KIRB shall be expressed as a percentage (with two decimals).

This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.

0222

% OF RETAIL EXPOSURES IN IRB POOLS

IRB pools as defined in Article 242(7) CRR, provided that the institution is able to calculate KIRB in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR on a minimum of 95 % of the underlying exposure amount (Article 259(2) CRR)

0223

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa

Even where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on KSA, as referred to in Article 255(6) CRR. KSA shall be expressed as a percentage (with two decimals).

This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.

0225

MEMORANDUM ITEMS

0225

CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

Article 110 CRR

0230-0304

SECURITISATION STRUCTURE

This block of columns gathers information on the structure of the securitisation on the basis of on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity at reporting date.

For multi-seller securitisations, only the amount corresponding or attributed to the reporting institution shall be reported.

0230-0252

ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

0230-0232

SENIOR

0230

AMOUNT

The amount of senior securitisation positions as defined in Article 242(6) CRR.

0231

ATTACHMENT POINT (%)

The attachment point (%) as referred to in Article 256(1) CRR

0232 and 0252

CQS

Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Table 1 and 2 in Article 263 and Tables 3 and 4 in Article 264 CRR). These columns shall be reported for all rated transactions irrespective of the approach applied.

0240-0242

MEZZANINE

0240

AMOUNT

The amount to be reported includes:

— mezzanine securitisation positions as defined in Article 242(18) CRR;

— additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) CRR.

0241

NUMBER OF TRANCHES

Number of mezzanine tranches.

0242

CQS OF THE MOST SUBORDINATED ONE

CQS, as determined in accordance with Table 2 of Article 263 and Table 3 of Article 264 CRR, of the most subordinated mezzanine tranche.

0250-0252

FIRST LOSS

0250

AMOUNT

The amount of first loss tranche as defined in Article 242(17) CRR

0251

DETACHMENT POINT (%)

The detachment point (%) as referred to in Article 256(2) CRR

0260-0280

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.

0290-0300

MATURITY

0290

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 option (as defined in Article 242(1) 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 expected termination date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.

0291

ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION

Type of call relevant for the first expected termination date:

— Clean-up call option meeting the requirements of point (g) of Article 244(4) CRR;

— Other clean-up call option;

— Other type of call option.

0300

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 where that information is available, otherwise the first day of the month shall be reported.

0302-0304

MEMORANDUM ITEMS

0302

ATTACHMENT POINT OF RISK SOLD (%)

Originators, only, shall report the attachment point of the most subordinated tranche sold to, for traditional securitisations, or protected by, for synthetic securitisations, third parties.

0303

DETACHMENT POINT OF RISK SOLD (%)

Originators, only, shall report the detachment point of the most senior tranche sold to, fortraditional securitisations, or protected by, for synthetic securitisations, third parties.

0304

RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)

Originators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL and UL of the underlying exposures shall be reported, which shall then be allocated via the securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised exposures.

3.8.4.   C 14.01 – Detailed information on securitisations (SEC DETAILS 2)

118. The template SEC DETAILS 2 shall be reported separately for the following approaches:

1) 

SEC-IRBA;

2) 

SEC-SA;

3) 

SEC-ERBA;

4) 

1 250  %.



Columns

0010

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 transaction.

0020

IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where 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.

0310-0400

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

This block of columns gathers information on the securitisation positions broken down by on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.

0310-0330

ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for columns 0230, 0240 and 0250 shall be applied here.

0340-0361

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for columns 0260 to 0280 shall be applied here.

0351 and 0361

RW CORRESPONDING TO PROTECTION PROVIDER/INSTRUMENT

% RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 CRR.

0370-0400

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION FACTORS

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 0340-0361).

0370

DIRECT CREDIT SUBSTITUTES (DCS)

This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).

In accordance with Annex I to CRR, the following full risk off-balance sheet items shall be regarded as DCS:

— Guarantees having the character of credit substitutes.

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

0380

IRS/CRS

IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the CRR.

0390

LIQUIDITY FACILITIES

Liquidity facilities (LF) as defined in Article 242(3) CRR.

0400

OTHER

Remaining off-balance sheet items.

0411

EXPOSURE VALUE

This information is closely related to column 0180 in the CR SEC template.

0420

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

This information is closely related to column 0190 in the CR SEC template.

A negative figure shall be reported in this column.

0430

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. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount determined on the basis of securitised exposures), no data shall be reported in this column.

In the case of securitisations of liabilities, this column shall not be reported.

In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0570 of MKR SA SEC, or columns 0410 and 0420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.

0431

(-) REDUCTION DUE TO RISK WEIGHT CAP

Article 267 CRR

0432

(-) REDUCTION DUE TO OVERALL CAP

Article 268 CRR

0440

TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. own funds requirements determined on the basis of securitised exposures) no data shall be reported in this column.

In the case of securitisations of liabilities, this column shall not be reported.

In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0600 of MKR SA SEC, or column 0450 of MKR SA CTP, respectively.

0447-0448

MEMORANDUM ITEMS

0447

RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA

Articles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA.

0448

RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA

Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA.

0450-0470

SECURITISATION POSITIONS – TRADING BOOK

0450

CTP OR NON-CTP?

Institutions shall report the following abbreviations:

C – Correlation Trading Portfolio (CTP);

N – Non-CTP

0460-0470

NET POSITIONS – LONG/SHORT

See columns 0050/0060 of MKR SA SEC or MKR SA CTP, respectively.

3.9.   COUNTERPARTY CREDIT RISK

3.9.1.   Scope of the counterparty credit risk templates

119. The counterparty credit risk templates cover information on exposures subject to counterparty credit risk in application of Chapters 4 and 6 of Title II of Part Three CRR.

120. The templates exclude the own funds requirements for CVA risk (point (d) of Article 92(3) and Title VI of Part Three CRR), which are reported in the CVA risk template.

121. Counterparty credit risk exposures to central counterparties (Chapter 4 and Section 9 of Chapter 6 of Title II of Part Three CRR) should be included in the CCR figures, unless otherwise stated. However, default fund contributions calculated in accordance with Articles 307 to 310 CRR shall not be reported in the counterparty credit risk templates, with the exception of template C 34.10, in particular the corresponding rows. Generally, the risk weighted exposure amounts of default fund contributions are directly reported in template C 02.00 row 0460.

3.9.2.   C 34.01 – Size of the derivative business

3.9.2.1.   General remarks

122. In accordance with Article 273a CRR an institution may calculate the exposure value of its derivative positions in accordance with the method set out in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than pre-defined thresholds, respectively. The corresponding assessment is to be carried out on a monthly basis using the data as of the last day of the month. This template provides the information on the compliance with those thresholds and, more generally, important information on the size of the derivative business.

123. Month 1, Month 2 and Month 3 refer to the first, second and last month, respectively, of the quarter that is being reported. Information shall be reported only for month-ends after the 28 June 2021.

3.9.2.2.   Instructions concerning specific positions



Columns

0010,0040, 0070

LONG DERIVATIVE POSITIONS

Article 273a(3) CRR

The sum of the absolute market values of long derivative positions on the last date of the month shall be reported.

0020,0050,

0080

SHORT DERIVATIVE POSITIONS

Article 273a(3) CRR

The sum of the absolute market values of short derivative positions on the last date of the month shall be reported.

0030,0060,

0090

TOTAL

Point (b) of Article 273a(3) CRR

The sum of the absolute value of long derivative positions and the absolute value of short derivative positions.



Rows

0010

Size of the derivative business

Article 273a(3) CRR

All on- and off-balance sheet derivatives shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures.

0020

On- and off-balance sheet derivatives

Point (a) and (b) Article 273a(3) CRR

The total market value of the on- and off-balance sheet derivative positions as of the last day of the month shall be reported. Where the market value of a position is not available on that date, institutions shall take a fair value for the position on that date; where the market value and fair value of a position are not available on that date, institutions shall take the most recent of the market value or fair value for that position.

0030

(-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures

Point (c) of Article 273a(3) CRR

The total market value of the credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures.

0040

Total assets

The total assets in accordance with the applicable accounting standards.

For consolidated reporting the institution shall report the total assets following the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part One CRR.

0050

Percentage of total assets

Ratio to be calculated taking the size of the derivative business (row 0010) divided by total assets (row 0040).

DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR

0060

Are the conditions of Article 273a(4) crr met, including the approval from the competent authority?

Article 273a(4) CRR

Institutions that exceed the thresholds to use a simplified approach for counterparty credit risk but which are still using one of them on the basis of Article 273a(4) CRR, shall indicate (with Yes/No) whether they meet all the conditions of that article.

This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) CRR.

0070

Method for calculating exposure values at consolidated level

Article 273a(4) CRR

The method for calculating the exposure values of derivative positions on consolidated basis which is also used on solo entity level in accordance with Article 273a(4) CRR:

— OEM: Original Exposure Method

— Simplified SA-CCR: Simplified standardised approach for counterparty credit risk

This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) CRR.

3.9.3.   C 34.02 – CCR exposures by approach

3.9.3.1.   General remarks

124. Institutions shall report the template separately for all CCR exposures and for all CCR exposures excluding exposures to central counterparties (CCPs) as defined for the purpose of template C 34.10.

3.9.3.2.   Instructions concerning specific positions



Columns

0010

NUMBER OF COUNTERPARTIES

Number of individual counterparties towards which the institution has CCR exposures.

0020

NUMBER OF TRANSACTIONS

Number of transactions subject to counterparty credit risk at the reporting date. Note that for CCP business numbers should not comprise in or outflows but the overall positions in the CCR portfolio at the reporting date. Furthermore, a derivative instrument or SFT that is split into two or more legs (at least) for the sake of modelling shall still be considered as one single transaction.

0030

NOTIONAL AMOUNTS

Sum of the notional amounts for derivatives and for SFTs before any netting and without any adjustments in accordance with Article 279b CRR.

0040

CURRENT MARKET VALUE (CMV), POSITIVE

Article 272(12) CRR

Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) CRR.

0050

CURRENT MARKET VALUE (CMV), NEGATIVE

Article 272(12) CRR

Sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) CRR.

0060

VARIATION MARGIN (VM), RECEIVED

Article 275(2), 275(3) and 276 CRR

Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is received, computed in accordance with Article 276 CRR.

0070

VARIATION MARGIN (VM), POSTED

Article 275(2), 275(3) and 276 CRR

Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is posted, computed in accordance with Article 276 CRR.

0080

NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED

Article 272(12a), 275(3) and 276 CRR

Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is received, computed in accordance with Article 276 CRR.

0090

NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED

Article 272(12a), 275(3) and 276 CRR

Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is posted, computed in accordance with Article 276 CRR.

0100

REPLACEMENT COST (RC)

Articles 275, 281 and 282 CRR

The replacement cost (RC) per netting set shall be calculated in accordance with:

— Article 282(3) CRR for the Original Exposure Method,

— Article 281 CRR for the Simplified SA-CCR,

— Article 275 CRR for the SA-CCR.

The institution shall report the sum of the replacement costs of the netting sets in the respective row.

0110

POTENTIAL FUTURE EXPOSURE (PFE)

Articles 278, 281 and 282 CRR

The potential future exposure (PFE) per netting set shall be calculated in accordance with:

— Article 282(4) CRR for the Original Exposure Method,

— Article 281 CRR for the Simplified SA-CCR,

— Article 278 CRR for the SA-CCR.

The institution shall report the sum of all potential future exposures of the netting sets in the respective row.

0120

CURRENT EXPOSURE

Article 272(17) CRR

The current exposure per netting set shall be the value as defined under Article 272(17) CRR.

The institution shall report the sum of all current exposures of the netting sets in the respective row.

0130

EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE)

Articles 272(22) and 284(3) and 284(6) CRR

The EEPE per netting set is defined in Article 272(22) CRR and shall be calculated in accordance with Article 284(6) CRR.

The institution shall report the sum of all EEPEs applied for the determination of own funds requirements in accordance with Article 284(3) CRR, i.e. either the EEPE calculated using current market data, or the EEPE calculated using a stress calibration, whichever leads to a higher own funds requirement.

0140

ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE

Articles 274(2), 282(2), 281(1), 284(4) and (9) CRR

The value of α is fixed as 1.4 in the rows for OEM, Simplified SA-CCR and SA-CCR in accordance with Articles 282(2), 281(1) and 274(2) CRR. For IMM purposes, the value of α can either be the default of 1.4 or different when competent authorities require a higher α in accordance with Article 284(4) CRR or permit institutions to use their own estimates in accordance with Article 284(9) CRR.

0150

EXPOSURE VALUE PRE-CRM

The exposure value pre-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR taking into account the effect of netting, but disregarding any other credit risk mitigation techniques (e.g. margin collateral).

In the case of SFTs the security leg shall not be considered in the determination of the exposure value pre-CRM when collateral is received and therefore shall not decrease the exposure value. On the contrary, the SFTs security leg shall be considered in the determination of the exposure value pre-CRM in the regular way when collateral is posted.

Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining effects apply.

The exposure value pre-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR.

The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR.

The institution shall report the sum of all exposure values pre-CRM in the respective row.

0160

EXPOSURE VALUE POST-CRM

The exposure value post-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR.

The exposure value post-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR.

The exposure value post-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR.

The institution shall report the sum of all exposure values post-CRM in the respective row.

0170

EXPOSURE VALUE

Exposure value for CCR netting sets calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, which is the amount relevant for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss in accordance with Article 273(6) CRR.

The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR.

For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in each CCR approach reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty.

The institution shall report the sum of all exposure values in the respective row.

0180

Positions treated with the CR Standardised Approach

Exposure value for CCR of positions that are treated with the standardised approach for credit risk in accordance with Chapter 2 of Title II of Part Three CRR.

0190

Positions treated with the CR IRB Approach

Exposure value for CCR of positions that are treated with the IRB approach for credit risk in accordance with Chapter 3 of Title II of Part Three CRR.

0200

RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts for CCR as defined in Article 92(3) and (4) CRR, calculated in accordance with the methods laid down in Chapters 2 and 3 of Title II of Part Three.

The SME and infrastructure supporting factors laid down in Article 501 and in Article 501a CRR shall be taken into account.

0210

Positions treated with the CR Standardised Approach

Risk weighted exposure amounts for CCR exposures that are treated with the standardised approach for credit risk in accordance with Chapter 2 of Title II of Part Three CRR.

The amount corresponds to the amount that shall be included in column 0220 of template C 07.00 for CCR positions.

0220

Positions treated with the CR IRB Approach

Risk weighted exposure amounts for CCR exposures that are treated with the IRB approach for credit risk in accordance with Chapter 3 of Title II of Part Three CRR.

The amount corresponds to the amount that shall be included in column 0260 of template C 08.01 for CCR positions.



Row

0010

ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)

Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 5 of Chapter 6 of Title II of Part Three CRR. This simplified method for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(2) or 273a(4) CRR.

0020

SIMPLIFIED STANDARDISED APPROACH FOR CCR (SIMPLIFIED SA-CCR FOR DERIVATIVES)

Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 4 Chapter 6 of Title II of Part Three CRR. This simplified standardised approach for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(1) or 273a(4) CRR.

0030

STANDARDISED APPROACH FOR CCR (SA-CCR FOR DERIVATIVES)

Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 3 Chapter 6 of Title II of Part Three CRR.

0040

IMM (FOR DERIVATIVES AND SFTS)

Derivatives, long settlement transactions and SFTs for which the institution has been permitted to calculate the exposure value using the Internal Model Method (IMM) in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR.

0050

Securities financing transactions netting sets

Netting sets containing only SFTs as defined in Article 4(139) CRR, for which the institution has been permitted to determine the exposure value using the IMM.

SFTs that are included in a contractual cross product netting set and therefore reported in row 0070, shall not be reported in this row.

0060

Derivatives and long settlement transactions netting sets

Netting sets containing only derivative instruments listed in Annex II CRR and long settlement transactions as defined in Article 272(2) CRR, for which the institution has been permitted to determine the exposure value using the IMM.

Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0070, shall not be reported in this row.

0070

From contractual cross-product netting sets

Article 272(11) and (25) CRR

Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) CRR exists and for which the institution has been permitted to determine the exposure value using the IMM.

0080

FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)

Article 222 CRR

Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 222 CRR as opposed to Chapter 6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation.

0090

FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)

Article 220 and 223 CRR

Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 223 CRR, as opposed to Chapter 6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation.

0100

VAR FOR SFTS

Article 221 CRR

Repurchase transactions, securities or commodities lending or borrowing transactions or margin lending transactions, or other capital market-driven transactions other than derivative transactions for which, in accordance with Article 221 CRR and subject to the permission of the competent authority, the exposure value is calculated using an internal model approach that takes into account correlation effects between security positions subject to the master netting agreement, as well as the liquidity of the instruments concerned.

0110

TOTAL

0120

Of which: SWWR positions

Article 291 CRR

CCR exposures for which specific wrong way risk (SWWR) has been identified in accordance with Article 291 CRR.

0130

Margined business

Article 272(7) CRR

CCR exposures that are margined, i.e. netting sets subject to a margin agreement in accordance with Article 272(7) CRR.

0140

Unmargined business

CCR exposures not covered in 0130.

3.9.4.   C 34.03 – CCR exposures treated with standardised approaches: SA-CCR and Simplified SA-CCR

3.9.4.1.   General remarks

125. The template shall be used separately for reporting the CCR exposures calculated with the SA-CCR or the Simplified SA-CCR, as applicable.

3.9.4.2.   Instructions concerning specific positions



Columns

0010

CURRENCY

For transactions mapped to the interest rate risk category, the currency of denomination of the transaction shall be reported.

For transactions mapped to the foreign exchange risk category, the currency of denomination of one of the two legs of the transaction shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with EUR and column 0020 with USD.

Currency ISO codes shall be used.

0020

SECOND CURRENCY IN PAIR

For transactions mapped to the foreign exchange risk category, the currency of denomination of the other leg of the transaction (with respect to the one considered in column 0010) shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with USD and column 0010 with EUR.

Currency ISO codes shall be used.

0030

NUMBER OF TRANSACTIONS

See instructions to column 0020 in template C 34.02.

0040

NOTIONAL AMOUNTS

See instructions to column 0030 in template C 34.02.

0050

CURRENT MARKET VALUE (CMV), POSITIVE

Sum of the current market values (CMV) of all hedging sets with positive CMV in the respective risk category.

The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.

0060

CURRENT MARKET VALUE (CMV), NEGATIVE

Sum of the absolute current market values (CMV) of all hedging sets with negative CMV in the respective risk category.

The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.

0070

ADD-ON

Article 280a to 280f and 281 (2) CRR

The institution shall report the sum of all the add-ons in the respective hedging set/risk category.

The add-on per risk category that is used to determine the potential future exposure of a netting set in accordance with Article 278(1) or point (f) of Article 281(2) CRR shall be calculated in accordance with Articles 280a to 280f CRR. For the Simplified SA-CCR the provisions set out in Article 281(2) CRR apply.



Rows

0050,0120, 0190, 0230, 0270, 0340

RISK CATEGORIES

Article 277 and 277a CRR

Transactions shall be classified according to the risk category they belong to in accordance with Article 277(1) to (4) CRR.

The assignment to hedging sets according to the risk category shall be performed in accordance with Article 277a CRR.

For the Simplified SA-CCR the provisions set out in Article 281(2) CRR apply.

0020-0040

Of which mapped to more than one risk category

Article 277(3) CRR

Derivative transactions with more than one material risk driver mapped to two (0020), three (0030) or more than three (0040) risk categories on the basis of the most material of the risk drivers in each risk category, in accordance with Article 277(3) CRR and the EBA RTS referred to in Article 277(5) CRR.

0070-0110 and 0140-0180

Largest currency and currency pair

This classification shall be done on the basis of the CMV of the institution’s portfolio under the scope of the SA-CCR or the Simplified SA-CCR, as applicable, for transactions mapped to interest rate risk and foreign exchange risk category, respectively.

For the purpose of the classification, the absolute value of the CMV of positions shall be summed.

0060,0130, 0200,0240, 0280

Exclusive mapping

Article 277(1) and (2) CRR

Derivative transactions mapped exclusively to one risk category in accordance with Article 277(1) and (2) CRR.

Transactions that are mapped to different risk categories in accordance with Article 277(3) CRR shall be excluded.

0210, 0250

Single-name transactions

Single-name transactions that are mapped to the credit risk and equity risk category, respectively.

0220, 0260

Multi-names transactions

Multi-name transactions that are mapped to the credit risk and equity risk category, respectively.

0290-0330

Commodity risk category hedging sets

Derivative transactions assigned to the commodity risk category hedging sets as listed in point (e) Article 277a(1) CRR.

3.9.5.   C 34.04 – CCR exposures treated with the Original Exposure Method (OEM)

3.9.5.1.   Instructions concerning specific positions



Columns

0010 – 0020

Instructions for the columns 0010 and 0020 shall be those provided for template C 34.02.

0030

CURRENT MARKET VALUE (CMV), POSITIVE

Sum of the current market values (CMV) of all transactions with positive CMV in the respective risk category.

0040

CURRENT MARKET VALUE (CMV), NEGATIVE

Sum of the absolute current market values (CMV) of all transactions with negative CMV in the respective risk category.

0050

POTENTIAL FUTURE EXPOSURE (PFE)

The institution shall report the sum of PFEs for all the transactions belonging to the same risk category.

Rows

0020 – 0070

RISK CATEGORIES

Derivative transactions mapped to the risk categories as listed in point (b) of Article 282(4) CRR

3.9.6.   C 34.05 – CCR exposures treated with the Internal Model Method (IMM)

3.9.6.1.   Instructions concerning specific positions



Columns

00010 – 0080

MARGINED

See instructions to row 0130 in template C 34.02.

0090 – 0160

UNMARGINED

See instructions to row 0140 in template C 34.02.

0010,0090

NUMBER OF TRANSACTIONS

See instructions to column 0020 in template C 34.02.

0020,0100

NOTIONAL AMOUNTS

See instructions to column 0030 in template C 34.02.

0030,0110

CURRENT MARKET VALUE (CMV), POSITIVE

Sum of the current market values (CMV) of all transactions with positive CMV belonging to the same asset class.

0040,0120

CURRENT MARKET VALUE (CMV), NEGATIVE

Sum of the absolute current market values (CMV) of all transactions with negative CMV belonging to the same asset class.

0050,0130

CURRENT EXPOSURE

See instructions to column 0120 in template C 34.02.

0060,0140

EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE)

See instructions to column 0130 in template C 34.02.

0070,0150

STRESS EEPE

Article 284(6) and Article 292(2) CRR

The Stress EEPE is calculated in analogy to the EEPE (Article 284(6) CRR), but using a stress calibration in accordance with Article 292(2) CRR.

0080, 0160,0170

EXPOSURE VALUE

See instructions to column 0170 in template C 34.02.



Row

Explanation

0010

TOTAL

Article 283 CRR

The institution shall report the relevant information regarding derivatives, long settlement transactions and SFTs for which it has been permitted to determine the exposure value calculated using the Internal Model Method (IMM) in accordance with Article 283 CRR.

0020

Of which: SWWR positions

See instructions to row 0120 in C 34.02.

0030

Netting sets treated with the CR Standardised Approach

See instructions to column 0180 in C 34.02.

0040

Netting sets treated with the CR IRB Approach

See instructions to column 0190 in C 34.02.

0050 – 0110

OTC DERIVATIVES

The institution shall report the relevant information regarding netting sets containing only OTC derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other).

0120 – 0180

EXCHANGE TRADED DERIVATIVES

The institution shall report the relevant information regarding netting sets containing only exchange traded derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other).

0190 – 0220

SECURITIES FINANCING TRANSACTIONS

The institution shall report the relevant information regarding netting sets containing only SFTs for which it has been permitted to determine the exposure value using the IMM broken down by the type of underlying in the SFT security leg (bond, equity or other).

0230

CONTRACTUAL CROSS-PRODUCT NETTING SETS

See instructions to row 0070 in C 34.02.

3.9.7.   C 34.06 – Top twenty counterparties

3.9.7.1.   General remarks

126. Institutions shall report information on the top 20 counterparties with whom they have the highest CCR exposures. The ranking shall be done using the CCR exposure values, as reported in column 0120 of this template, of all netting sets with the respective counterparties. Intra-group exposures or other exposures that give raise to counterparty credit risk but for which the institutions assign a risk weight of zero for the own funds requirements calculation, in accordance with Article 113(6) and 113(7) CRR, shall still be considered when determining the list of top 20 counterparties.

127. Institutions applying the standardised approach (SA-CCR) or the Internal Model Method (IMM) for the calculation of CCR exposures following Sections 3 and 6 of Chapter 6 of Title II of Part Three CRR shall report this template on a quarterly basis. Institutions applying the simplified standardised approach or the original exposure method (OEM) for the calculation of CCR exposures following Sections 4 and 5 of Chapter 6 of Title II of Part Three CRR shall report this template on a semi-annual basis. Instructions concerning specific positions.

3.9.7.2.   Instructions concerning specific positions



Columns

0011

NAME

Name of the counterparty

0020

CODE

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a non-LEI code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

0030

TYPE OF CODE

The institution shall identify the type of code reported in column 0020 as a ‘LEI code’ or ‘National code’.

The type of code shall always be reported.

0035

NATIONAL CODE

The institution may additionally report the national code when it reports LEI code as identifier in the ‘Code’ column 0020.

0040

SECTOR OF THE COUNTERPARTY

One sector shall be chosen for every counterparty on the basis of the following FINREP economic sector classes (see Part 3 Annex V to this Implementing Regulation):

(i)  Central Banks;

(ii)  General Governments;

(iii)  Credit institutions;

(iv)  Investment firms as defined in point (2) of Article 4(1) CRR;

(v)  Other financial corporations (excluding investment firms);

(vi)  Non-financial corporations.

0050

COUNTERPARTY TYPE

The institution shall indicate the counterparty type which can be:

— QCCP: when the counterparty is a qualified CCP;

— NON-QCCP: when the counterparty is a non-qualified CCP;

— No CCP: when the counterparty is not a CCP.

0060

RESIDENCY 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 Eurostat’s ‘Balance of Payments Vademecum’, as amended).

0070

NUMBER OF TRANSACTIONS

See instructions to column 0020 in template C 34.02.

0080

NOTIONAL AMOUNTS

See instructions to column 0030 in template C 34.02.

0090

CURRENT MARKET VALUE (CMV), positive

See instructions to column 0040 in template C 34.02.

The institution shall report the sum of netting sets with positive CMV if there are several netting sets for the same counterparty.

0100

CURRENT MARKET VALUE (CMV), negative

See instructions to column 0040 in template C 34.02.

The institution shall report the absolute sum of netting sets with negative CMV if there are several netting sets for the same counterparty.

0110

EXPOSURE VALUE POST-CRM

See instructions to column 0160 in template C 34.02.

The institution shall report the sum of netting set exposure values post-CRM if there are several netting sets for the same counterparty.

0120

EXPOSURE VALUE

See instructions to column 0170 in template C 34.02.

0130

RISK WEIGHTED EXPOSURE AMOUNTS

See instructions to column 0200 in template C 34.02.

3.9.8.   C 34.07 – IRB approach – CCR exposures by exposure class and PD scale

3.9.8.1.   General remarks

128. This template shall be reported by institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure values in accordance with Chapters 4 and 6 of Title II of Part Three CRR.

129. The template shall be reported separately for the total of all exposure classes as well as separately for each of the exposure classes listed in Article 147 CRR. This template excludes exposures cleared through a CCP.

130. 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)

3.9.8.2.   Instructions concerning specific positions



Columns

0010

Exposure value

Exposure value (see instructions to column 0170 in template C 34.02), broken down by the given PD scale

0020

Exposure weighted average PD (%)

Average of individual obligor grade PDs weighted by their corresponding exposure value as defined for column 0010

0030

Number of obligors

The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted

Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with point (e) of Article 172(1) second sentence CRR.

0040

Exposure weighted average LGD (%)

Average of obligor grade LGDs weighted by their corresponding exposure value as defined for column 0010

The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted exposure amounts obtained after considering any CRM effects and downturn conditions as specified in Chapters 3 and 4 of Title II of Part Three CRR, where relevant. In particular, 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* in accordance with Article 228(2) CRR. If own estimates of LGD are applied, Article 175 and Article 181(1) and (2) 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 in accordance with Article 161(4) CRR.

For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default.

0050

Exposure weighted average maturity (years)

Average of obligor maturities in years weighted by their corresponding exposure value as defined for column 0010

The maturity shall be determined in accordance with Article 162 CRR.

0060

Risk weighted exposure amounts

Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose risk weights are estimated on the basis of the requirements laid down in Chapter 3 of Title II of Part Three CRR and for which the exposure value for CCR business is calculated in accordance with Chapters 4 and 6 of Title II of Part Three CRR

The SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR shall be taken into account.

0070

Density of risk weighted exposure amounts

Ratio of the total risk weighted exposure amounts (reported in column 0060) to the exposure value (reported in column 0010)



Rows

0010 – 0170

PD scale

CCR exposures (determined at counterparty level) shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to the existence of a guarantee or a credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.9.9.   C 34.08 – Composition of collateral for CCR exposures

3.9.9.1.   General remarks

131. This template shall be filled with fair values of collateral (posted or received) used in CCR exposures related to derivative transactions, long settlement transaction or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.

3.9.9.2.   Instructions concerning specific positions



Columns

0010 – 0080

Collateral used in derivative transactions

Institutions shall report the collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II CRR or a long settlement transaction as defined in point (2) of Article 272 of the same regulation not qualifying as an SFT.

0090 – 0180

Collateral used in SFTs

Institutions shall report the collateral (including the initial margin and variation margin collateral as well as the collateral appearing as security in the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative.

0010, 0020, 0050, 0060, 0090, 0100, 0140, 0150

Segregated

Article 300(1) CRR

Institutions shall report the collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) CRR, further broken down into collateral appearing in the form of initial or variation margin.

0030, 0040, 0070, 0080, 0110, 0120, 0130, 0160, 0170, 0180

Unsegregated

Article 300(1) CRR

Institutions shall report the collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) CRR, further broken down into initial margin, variation margin and the SFT security.

0010, 0030, 0050, 0070, 0090, 0110, 0140, 0160

Initial margin

Point (140) of Article 4(1) CRR

Institutions shall report the fair values of collateral received or posted as initial margin (defined in point (140) of Article 4(1) CRR).

0020, 0040, 0060, 0080, 0100, 0120, 0150, 0170

Variation margin

Institutions shall report the fair values of collateral received or posted as variation margin.

0130, 0180

SFT security

Institutions shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180).



Rows

0010 – 0080

Collateral type

Breakdown by different collateral types

3.9.10.   C 34.09 – Credit derivatives exposures

3.9.10.1.   Instructions concerning specific positions



Columns

0010-0040

CREDIT DERIVATIVE PROTECTION

Credit derivative protection bought or sold

0010, 0020

NOTIONAL AMOUNTS

Sum of the notional derivative amounts before any netting, broken down by product type

0030, 0040

FAIR VALUES

Sum of fair values broken down by protection bough and protection sold



Rows

0010 – 0050

Product type

Breakdown of credit derivatives product types

0060

Total

Sum of all product types

0070, 0080

Fair values

Fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values)

3.9.11.   C 34.10 – Exposures to CCPs

3.9.11.1.   General remarks

132. Institutions shall report the information on exposures to CCPs, i.e. to contracts and transactions listed in Article 301(1) CRR for as long as they are outstanding with a CCP and exposures from CCP-related transactions, in accordance with Article 300(2) CRR, for which the own funds requirements are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.

3.9.11.2.   Instructions concerning specific positions



Columns

0010

EXPOSURE VALUE

Exposure value for transactions in the scope of Section 9 of Chapter 6 of Title II of Part Three CRR calculated in accordance with the relevant methods laid down in that Chapter and in particular in its section 9

The exposure value reported shall be the amount relevant for the own funds requirements calculation in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 of that Regulation during the transitional period provided for in that article.

An exposure can be a trade exposure, as defined in point (91) of Article 4(1) CRR.

0020

RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts determined in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 of that Regulation during the transitional period provided for by that Article



Rows

0010-0100

Qualifying CCP (QCCP)

A qualifying central counterparty or ‘QCCP’ as defined in point (88) of Article 4(1) CRR

0070, 0080

0170, 0180

Initial margin

See instructions for template C 34.08.

For the purposes of this template, initial margin shall not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it shall be treated as a default fund exposure).

0090, 0190

Prefunded default fund contributions

Articles 308 and 309 CRR; a default fund as defined in point (89) of Article 4(1) CRR; the contribution to the default fund of a CCP that is paid in by the institution

0100, 0200

Unfunded default fund contributions

Articles 309 and 310 CRR; a default fund as defined in point (89) of Article 4(1) CRR

Institutions shall report contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members.

0070, 0170

Segregated

See instructions for template C 34.08.

0080,0180

Unsegregated

See instructions for template C 34.08.

3.9.12.   C 34.11 – Risk weighted exposure amounts (RWEA) flow statements of CCR exposures under the IMM

3.9.12.1.   General remarks

133. Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Chapter 6 of Title II of Part Three CRR, irrespective of the credit risk approach used to determine the corresponding risk weights shall report this template with the flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations.

134. Institutions that shall report this template with quarterly frequency shall fill in only column 0010. Institutions that shall report this template with annually frequency shall fill in only column 0020.

135. This template excludes risk weighted exposure amounts for exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR).

3.9.12.2.   Instructions concerning specific positions



Columns

0010, 0020

RISK WEIGHTED EXPOSURE AMOUNTS

Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose risk weights are estimated on the basis of the requirements laid down in Chapters 2 and 3 of Title II of Part Three CRR and for which the institution has been permitted to calculate the exposure value using the IMM in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR

The SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR shall be taken into account.



Rows

0010

Risk weighted exposure amounts as at the end of the previous reporting period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous reporting period

0020

Asset size

Risk weighted exposure amount changes (positive or negative) due to changes in book size and composition resulting from the usual business activity (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities

0030

Credit quality of counterparties

Risk weighted exposure amount changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses. This row also includes potential Risk weighted exposure amount changes due to IRB models when the institution uses an IRB approach

0040

Model updates (IMM only)

Risk weighted exposure amount changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses

This row addresses only changes in the IMM model.

0050

Methodology and policy (IMM only)

Risk weighted exposure amount changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM model)

0060

Acquisitions and disposals

Risk weighted exposure amount changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities

0070

Foreign exchange movements

Risk weighted exposure amount changes (positive or negative) due to changes arising from foreign currency translation movements

0080

Other

This category shall be used to capture Risk weighted exposure amount changes (positive or negative) that cannot be attributed to the above categories.

0090

Risk weighted exposure amounts as at the end of the current reporting period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current reporting period

4.   OPERATIONAL RISK TEMPLATES

4.1.   C 16.00 – OPERATIONAL RISK (OPR)

4.1.1.   General Remarks

136. This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 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.

137. Institutions using the BIA, TSA or ASA shall calculate their own funds requirement, based on the information at financial year-end. Where audited figures are not available, institutions may use business estimates. Where 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.

138. Where 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. The competent authority may also on its own initiative require an institution to modify the calculation. An institution that has been in operation for less than three years may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as those data are available.

139. 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. Where applicable, it must be detailed which part of that 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.

140. By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.

141. This template shall be submitted by all institutions subject to operational risk own funds requirement.

4.1.2.   Instructions concerning specific positions



Columns

0010-0030

RELEVANT INDICATOR

Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) shall report the relevant indicator for the respective years in columns 0010 to 0030. Moreover, in case of a combined use of different approaches as referred in Article 314 CRR, institutions shall also report, for information purposes, relevant the indicator for the activities subject to AMA. The same shall apply 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 referred to in point 1 in Table 1 of Article 316 CRR.

Where 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 template. Where, for instance, historical data for only one year is available, those data shall be reported in column 0030. Where it seems reasonable, the forward looking estimates shall be included in column 0020 (estimate of next year) and column 0010 (estimate of year +2).

Furthermore, where there are no historical data on ‘relevant indicator’ available, the institution may use forward-looking business estimates.

0040-0060

LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

These columns shall be used to report the amounts of the loans and advances, as referred to in point (b) of Article 319(1) CRR, for business lines ‘commercial banking’ and ‘retail banking’. Those amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to the alternative standard approach (point (a) of Article 319(1) CRR).

For the ‘commercial banking’ business line, securities held in the non-trading book shall also be included.

0070

OWN FUND REQUIREMENT

The own fund requirement shall be calculated in accordance with the approaches used and in accordance withArticles 312 to 324 CRR. The resulting amount shall be reported in column 0070.

0071

TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

Article 92(4) CRR

Own funds requirements in column 0070 multiplied by 12.5.

0080

OF WHICH: DUE TO AN ALLOCATION MECHANISM

Where a permission to use the AMA at consolidated level (Article 18(1) CRR) has been granted in accordance with Article 312(2) CRR, operational risk capital shall be allocated between the different entities of the group on the basis of the methodology applied by the institutions to consider diversification effects 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 an EU parent mixed financial holding company. The result of that allocation shall be reported in this column.

0090-0120

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

0090

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).

0100

(-) 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 point (a) of Article 322(2) CRR) shall reported.

0110

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

The diversification effect reported in this column shall be 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 where the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is calculated as the sum of the individual operational risk measures of the chosen risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and the value in the column has to be set to zero. Conversely, where the institution calculates 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 the AMA capital 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 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.

0120

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

The impact of insurance and other risk transfer mechanisms as referred to in Article 323 CRR shall be reported in this column.



Rows

0010

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 CRR).

0020

BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES

The own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 318 and 319 CRR) shall be reported.

0030-0100

SUBJECT TO TSA

Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 0030 to 0100 amongst the business lines referred to in Table 2 of Article 317 CRR. The mapping of activities into business lines shall follow the principles described in Article 318 CRR.

0110-0120

SUBJECT TO ASA

Institutions using the ASA (Article 319 CRR) shall report for the respective years the relevant indicator separately for each business line in rows 0030 to 0050 and 0080 to 0100 and in rows 0110 and 0120 for business lines ‘commercial banking’ and ‘retail banking’.

Rows 110 and 120 shall present the amount of the relevant indicator of activities subject to ASA, distinguishing between the amount corresponding to the business line ‘commercial banking’ and the amounts corresponding to the business line ‘retail banking’ (Article 319 CRR). There can be amounts for the rows corresponding to ‘commercial banking’ and ‘retail banking’ under the TSA (rows 0060 and 0070) as well as under the ASA rows 0110 and 0120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).

0130

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

The relevant data for AMA institutions (Article 312(2) and Articles 321, 322 and 323 CRR) shall be reported.

Where different approaches are combined as indicated in Article 314 CRR, information on relevant indicator for activities subject to AMA shall be reported. The same shall apply for all other AMA banks.

4.2.   OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)

4.2.1.   General Remarks

142. 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 by event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the most recent year.

143. 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.

144. In case of a combined use of different approaches for the calculation of own funds requirements for operational risk in accordance with 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.

145. ‘Gross loss’ means a loss – as referred to in point (b) of Article 322(3) CRR – stemming from an operational risk event or loss event type before recoveries of any kind, without prejudice to ‘rapidly recovered loss events’ as defined below.

146. ‘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.

147. ‘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, and neither into the OPR DETAILS reporting.

148. ‘Date of accounting’ means the date when a loss or reserve/provision was first recognised in the Profit and Loss statement, against an operational risk loss. Those date logically follow 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).

149. 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.

150. The figures reported in June of the respective year shall be interim figures, while the final figures shall be reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December shall have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in June and December, ‘previous reporting reference periods’ shall mean all reporting reference periods until and including the one ending at the preceding calendar year end.

4.2.2.   C 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR DETAILS 1)

4.2.2.1.   General Remarks

151. In template C 17.01, the information shall be presented by distributing the losses and recoveries above internal thresholds amongst business lines (as listed in Table 2 of Article 317 CRR, including the additional business line ‘corporate items’ referred to in point (b) of Article 322(3) CRR) and loss event types (as referred to in in Article 324 CRR). It is possible that the losses corresponding to one loss event are distributed amongst several business lines.

152. Columns present the different loss 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 where there is more than one threshold.

153. Rows present the business lines, and within each business line, information on the number of loss events (new loss events), the gross loss amount (new loss events), the number of loss 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).

154. For the total business lines, data on the number of loss events and the gross loss amount shall also be reported for certain ranges based on set thresholds, that is 10 000 , 20 000 , 100 000 , and 1 000 000 . The thresholds are set in EUR and are included for comparability purposes of the reported losses among institutions. Those thresholds do therefore not necessarily relate to 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 shall report the losses in the respective columns 0010 to 0070 in accordance with the loss event types referred to in Article 324 CRR.

Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only.

0080

TOTAL LOSS EVENT TYPES

In column 0080, for each business line, institutions shall report the total ‘number of loss events (new loss events)’, the total of ‘gross loss amount (new loss events)’, the total ‘number of loss 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 loss event types for all losses, column 080 shall show 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 0010 to 0070.

The ‘maximum single loss’ reported in column 0080 shall be the maximum single loss within a business line and identical to the maximum of the ‘maximum single losses’ reported in columns 0010 to 0070, provided that the institution has identified the loss event types for all losses.

For the sum of the five largest losses, in column 0080 the sum of the five largest losses within one business line shall be reported.

0090-0100

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

Institutions shall report in columns 0090 and 0100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of point (c) of Article 322(3) CRR.

Where the institution applies only one threshold for in each business line, only column 0090 shall be filled in.

Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 0100) 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 referred to in Table 2 of Article 317(4) CRR, including the additional business line ‘Corporate items’ as referred to in point (b) of Article 322(3) CRR, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss 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’ shall be distributed amongst all the affected business lines.

Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 0910-0980 only.

0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810

Number of loss events (new loss events)

The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period.

The number of loss 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, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss 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 loss events’ do not include loss events ‘accounted for the first time’ within a previous reporting reference period, which were already included in previous supervisory reports.

0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820

Gross loss amount (new loss events)

The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period.

The reported gross loss amount shall refer to ‘new loss events’ as referred to in the row above of this table. For loss events ‘accounted for the first time’ within a previous reporting reference period which were not 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 shall 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 shall be the number of operational risk loss 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.

Where more than one loss adjustment was made for a loss 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 shall 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 loss events ‘accounted for the first time’ and reported in previous reporting reference periods.

Where more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period.

Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss 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 shall 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 a loss event reported for the first time within the reporting reference period; and

(ii)  the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period.

The amounts to be reported shall 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 shall be the sum of the five largest amounts amongst:

(i)  the gross loss amounts for loss events reported for the first time within the reporting reference period; and

(ii)  the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment.

The amounts to be reported shall not take into account obtained recoveries.

0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870

Total direct loss recovery

Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 CRR as referred to in the row of this table below.

The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss 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 shall be those recoveries which are subject to Article 323 CRR.

The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.

0910-0980

TOTAL BUSINESS LINES

For each loss event type (column 0010 to 0080), the information on total business lines has to be reported.

0910-0914

Number of loss events

In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.

In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported.

Provided that the institution has assigned all its losses to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘corporate items’ as referred to in point (b) of Article 322(3) CRR or that it has identified the loss event types for all losses, the following shall apply for column 0080, as appropriate:

— The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event.

— The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 0080, because one loss event can have an impact in different business lines simultaneously.

0920-0924

Gross loss amount (new loss events)

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line.

In rows 0921 – 0924, the gross loss amount for loss 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 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the 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 loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss 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 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of Article 322(3) CRR, the amount reported in row 0940 shall be 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 loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss 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 0946 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 Table 2 of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines.

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of Article 322(3) CRR respectively that it has identified the loss event types for all losses, the following shall apply for column 0080:

— The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row.

— Where there are loss events having an impact in different business lines, the amount reported in {r0950, c0080} may be higher than the amounts of ‘Maximum single loss’ per business line reported in other rows of column 0080.

0960

Sum of the five largest losses

The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That 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 Table 2 of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of Article 322(3) CRR and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of ‘sum of the five largest losses’ in row 0960 or the maximum value of ‘sum of the five largest losses’ in column 0080.

0970

Total direct loss recovery

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of Article 322(3) CRR, the total direct loss recovery shall be 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 Table 2 of Article 317(4) CRR or the business line ‘corporate items’ referred to in point (b) of Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms shall be 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

155. In template C 17.02, information on individual loss events shall be provided (one row per loss event).

156. The information reported in this template shall refer to ‘new loss 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, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss 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.

157. Only loss events entailing a gross loss amount of 100 000 € or more shall be reported.

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) 

Loss events shall be ranked based on the gross loss attributed to them.

(d) 

A loss 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 template.

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 where a loss or reserve/provision against an operational risk loss was first recognised in the Profit and Loss statement.

0030

Date of occurrence

Date of occurrence shall be the date when the operational risk loss event happened or first began.

0040

Date of discovery

Date of discovery shall be the date on which the institution became aware of the operational risk loss event.

0050

Loss event type

Loss event types as referred to in Article 324 CRR.

0060

Gross loss

Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01

0070

Gross loss net of direct recoveries

Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event

0080 – 0160

Gross loss by business line

The gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Table 2 of Article 317(4) CRR and point (b) of Article 322(3) CRR.

0170

Legal Entity name

Name of the legal entity as reported in column 0010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0180

Code

LEI code of the legal entity as reported in column 0021 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.

0185

TYPE OF CODE

The institutions shall identify the type of code reported in column 0180 as a ‘LEI code’. The type of code shall always be reported.

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 loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known.

5.   MARKET RISK TEMPLATES

158. These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with 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 for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.

159. 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 – that 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 – that 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 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

160. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (point (a) of Article 325(2) 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 has only 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 {0325;0060} (securitisations) and {0330;0060} (CTP) respectively.

161. 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

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR.

0030-0040

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR.

0050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge.

0060

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR.

0070

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5.



Rows

0010-0350

TRADED DEBT INSTRUMENTS IN TRADING BOOK

Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used.

0011

GENERAL RISK.

0012

Derivatives

Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable.

0013

Other assets and liabilities

Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.

0020-0200

MATURITY BASED APPROACH

Positions in traded debt instruments subject to the maturity-based approach referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.

0210-0240

GENERAL RISK. DURATION BASED APPROACH

Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3.

0250

SPECIFIC RISK

Sum of amounts reported in rows 0251, 0325 and 0330.

Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR.

0251-0321

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 shall be calculated by summing up the risk weights of the reference entities (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – ‘look-through’). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) 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 in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows 0280-0300 in accordance with the residual term to final maturity.

Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 CRR shall be applied.

0325

Own funds requirement for securitisation instruments

Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

0330

Own funds requirement for the correlation trading portfolio

Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

0350-0390

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(3) CRR.

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

5.2.   C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

5.2.1.   General Remarks

162. 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.

163. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 CRR in connection with 337 CRR. Where 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 approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template.

164. Positions which receive a risk weight of 1 250  % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 0460 of CA1.

5.2.2.   Instructions concerning specific positions



Columns

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR.

0030-0040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR

0050-0060

NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR.

0061-0104

BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR.

The breakdown shall be done separately for long and short positions.

0402-0406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 CRR

0402

SEC-IRBA

Article 259 and 260 CRR

0403

SEC-SA

Article 261 and 262 CRR

0404

SEC-ERBA

Article 263 and 264 CRR

0405

INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 CRR and Article 266(5) CRR.

0406

OTHER (RW = 1 250  %)

Article 254(7) CRR

0530-0540

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

Article 270a CRR

0570

BEFORE CAP

Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.

0601

AFTER CAP/TOTAL OWN FUND REQUIREMENTS

Article 337 CRR, taking into account the discretion of Article 335 CRR.



Rows

0010

TOTAL EXPOSURES

Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor.

0040, 0070 and 0100

SECURITISATION POSITIONS

Point (62) of Article 4(1) CRR.

0020, 0050, 0080 and 0110

RE-SECURITISATIONS POSITIONS

Point (64) of Article 4(1) CRR

0041, 0071 and 0101

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment.

0030-0050

ORIGINATOR

Point (13) of Article 4(1) CRR

0060-0080

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender.

0090-0110

SPONSOR

Point (14) of Article 4(1) CRR.

A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

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

165. This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) CRR) and the corresponding own funds requirements under the Standardised Approach.

166. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 CRR in conjunction with paragraphs 2 and 3 of Article 338 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 approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template.

167. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. The ‘other CTP-positions’ are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) CRR), but they are explicitly ‘linked’ to one of those two positions (because of the hedging intent).

168. Positions which receive a risk weight of 1 250  % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 0460 of CA1.

5.3.2.   Instructions concerning specific positions



Columns

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) CRR in conjunction paragraphs (2) and (3) of Article 338 CRR (positions assigned to the Correlation Trading Portfolio)

Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR.

0030-0040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 253 CRR

0050-0060

NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 CRR

Regarding the distinction between long and short positions, see Article 328(2) CRR.

0071-0097

BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR

0402-0406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 CRR

0402

SEC-IRBA

Articles 259 and 260 CRR

0403

SEC-SA

Articles 261 and 262 CRR

0404

SEC-ERBA

Articles 263 and 264 CRR

0405

INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 and Article 266(5) CRR.

0406

OTHER (RW = 1 250  %)

Article 254(7) CRR

0410-0420

BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS

Article 338 CRR, without taking into account the discretion of Article 335 CRR

0430-0440

AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS

Article 338 CRR, taking into account the discretion of Article 335 CRR

0450

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 0430) or (ii) the specific risk charge that would apply just to the net short positions (column 0440).



Rows

0010

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.

0020-0040

ORIGINATOR

Point (13) of Article 4(1) CRR

0050-0070

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender

0080-0100

SPONSOR

Point (14) of Article 4(1) CRR

A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

0030, 0060 and 0090

SECURITISATION POSITIONS

The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 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’.

0110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with 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.

0040, 0070, 0100 and 0120

OTHER CTP POSITIONS

The following positions are included:

— Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;

— CTP positions hedged by credit derivatives in accordance with Article 346 CRR;

— Other positions that satisfy Article 338(3) CRR.

5.4.   C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

5.4.1.   General Remarks

169. 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.

170. The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of the 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 ( 14 )).

5.4.2.   Instructions concerning specific positions



Columns

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) CRR.

These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR.

0030-0040

NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 CRR.

0050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column.

0060

OWN FUNDS REQUIREMENTS

The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position

0070

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5.



Rows

0010-0130

EQUITIES IN TRADING BOOK

Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR.

0020-0040

GENERAL RISK

Positions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR

Both breakdowns (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to all positions subject to general risk.

Rows 0021 and 0022 request information on the breakdown by instruments.

Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of own funds requirements.

0021

Derivatives

Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable

0022

Other assets and liabilities

Instruments other than derivatives included in the calculation of equity risk of trading book positions.

0030

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 in accordance with Commission Implementing Regulation (EU) No 945/2014 (1)

Those positions shall be only subject to general risk and, accordingly, must not be reported in row 0050.

0040

Other equities than exchange traded stock-index futures broadly diversified

Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR

0050

SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR

0090-0130

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Paragraphs 2 and 3 of Article 329 CRR

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.
(1)   

Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

5.5.   C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

5.5.1.   General Remarks

171. Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs.

172. Rows 0100 to 0480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows 0130 to 0480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies GBP, 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

0020-0030

ALL POSITIONS (LONG AND SHORT)

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) CRR

In accordance with Article 352(2) CRR 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) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported.

0040-0050

NET POSITIONS (LONG AND SHORT)

Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR

The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time.

0060-0080

POSITIONS SUBJECT TO CAPITAL CHARGE

The third sentence of Article 352(4) and Articles 353 and 354 CRR

0060-0070

POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions.

Long net positions for each operation in a currency shall be added to obtain the long net position in that currency.

Short net positions for each operation in a currency shall be added to obtain the short net position in that currency.

Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement.

0080

POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

Matched positions for closely correlated currencies.

0090

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR

0100

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5.



Rows

0010

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 for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency).

0020

CURRENCIES CLOSELY CORRELATED

Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR.

0025

Currencies closely correlated: of which: reporting currency

Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 CRR.

0030

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 Article 351 and paragraphs 2 and 4 of Article 352 CRR.

Reporting of CIU's treated as separate currencies in accordance with Article 353 CRR:

There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements:

1.  The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);

2.  Where the direction of the CIU's investment is available, those CIUs 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 shall follow the calculation of the capital requirements.

0040

GOLD

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR

0050 – 0090

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Paragraphs 5 and 6 of Article 352 CRR

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

0100-0120

Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items.

0100

Other assets and liabilities other than off-balance sheet items and derivatives

Positions not included in row 0110 or 0120 shall be included here.

0110

Off-balance sheet items

Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

0120

Derivatives

Positions valued in accordance with Article 352 CRR.

0130-0480

MEMORANDUM ITEMS: CURRENCY POSITIONS

The memorandum items of the template shall be filled in separately for all currencies of the Member States of the Union, GBP, 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

173. 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

0010-0020

All POSITIONS (LONG AND SHORT)

Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) CRR (see also Article 359(1) CRR)

0030-0040

NET POSITIONS (LONG AND SHORT)

As defined in Article 357(3) CRR

0050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge.

0060

OWN FUNDS REQUIREMENTS

The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position

0070

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5



Rows

0010

TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR

0020-0060

POSITIONS BY CATEGORY OF COMMODITY

For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Table 2 of Article 361 CRR.

0070

MATURITY LADDER APPROACH

Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR

0080

EXTENDED MATURITY LADDER APPROACH

Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR

0090

SIMPLIFIED APPROACH

Positions in commodities subject to the simplified approach referred to in Article 360 CRR

0100-0140

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358(4) 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

174. This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.

175. Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can be determined and reported separately or only as a total. 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 refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome.

5.7.2.   Instructions concerning specific positions



Columns

0030-0040

Value at Risk (VaR)

VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.

0030

Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Point (a)(ii) of Article 364(1) and Article 365(1) CRR

0040

Previous day VaR (VaRt-1)

Point (a)(i) of Article 364(1) and Article 365(1) CRR

0050-0060

Stressed VaR

Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific 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.

0050

Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Point (b)(ii) of Article 364(1) and Article 365(1) CRR

0060

Latest available (SVaRt-1)

Point (b)(i) of Article 364(1) and Article 365(1) CRR

0070-0080

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR.

0070

12 weeks average measure

Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

0080

Last Measure

Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

0090-0110

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

0090

FLOOR

Point (c) of Article 364(3) CRR

= 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the ‘all price risks’ capital charge.

0100-0110

12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Point (b) of Article 364(3) CRR

0110

LAST MEASURE

Point (a) of Article 364(3) CRR

0120

OWN FUNDS REQUIREMENTS

Own funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where 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 to Article 364(2) CRR

0130

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12.5

0140

Number of overshootings (during previous 250 working days)

Referred to in Article 366 CRR

The number of overshootings based on which the addend is determined shall be reported. Where institutions are permitted to exclude certain overshootings from the calculation of the addend in accordance with Article 500c CRR, the number of overshootings reported in this column shall be net of those excluded overshootings.

0150-0160

VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 CRR

The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c CRR.

0170-0180

ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP

The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.



Rows

0010

TOTAL POSITIONS

Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR.

Concerning the columns 0030 to 0060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.

0020

TRADED DEBT INSTRUMENTS

Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR.

0030

TDI – GENERAL RISK

General risk component as referred to in Article 362 CRR

0040

TDI – SPECIFIC RISK

Specific risk component as referred to in Article 362 CRR

0050

EQUITIES

Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR.

0060

EQUITIES – GENERAL RISK

General risk component as referred to in Article 362 CRR

0070

EQUITIES – SPECIFIC RISK

Specific risk component as referred to in Article 362 CRR

0080

FOREIGN EXCHANGE RISK

Articles 363(1) and point (b) of Article 367(2) CRR

0090

COMMODITY RISK

Articles 363(1) and point (d) of Article 367(2) CRR

0100

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 where applicable)

0110

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 where applicable)

5.8.   C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)

5.8.1.   Instructions concerning specific positions



Columns

0010

Exposure value

Article 271 CRR in conjunction with Article 382 CRR.

Total EAD from all transactions subject to CVA charge.

0020

Of which: OTC derivatives

Article 271 CRR in conjunction with Article 382(1) 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.

0030

Of which: SFT

Article 271 CRR in conjunction with Article 382(2) 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.

0040

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

Article 383 CRR in conjunction with point (d) of Article 363(1) CRR.

VaR calculation based on internal models for market risk

0050

PREVIOUS DAY (VaRt-1)

See instructions for column 0040.

0060

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

See instructions for column 0040

0070

LATEST AVAILABLE (SVaRt-1)

See instructions for column 0040

0080

OWN FUNDS REQUIREMENTS

Point (d) of Article 92(3) CRR.

Own funds requirements for CVA Risk calculated via the chosen method.

0090

TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Own funds requirements multiplied by 12.5.

 

Memorandum items

0100

Number of counterparties

Article 382 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 the other contracting party.

0110

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.

0120

INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties.

0130

SINGLE NAME CDS

Point (a) of Article 386(1) CRR

Total notional amounts of single name CDS used as hedge for CVA risk.

0140

INDEX CDS

Point (b) of Article 386(1) CRR

Total notional amounts of index CDS used as hedge for CVA risk.



Rows

0010

CVA risk total

Sum of rows 0020-0040

0020

Advanced method

Advanced CVA risk method as prescribed by Article 383 CRR

0030

Standardised method

Standardised CVA risk method as prescribed by Article 384 CRR

0040

Based on OEM

Amounts subject to the application of Article 385 CRR

6.   PRUDENT VALUATION (PRUVAL)

6.1.   C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)

6.1.1.   General remarks

176. This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (‘AVAs’). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 ( 15 ) for using the simplified approach for the determination of AVAs are met.

177. With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 0290 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 Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

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 in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0030

Exactly matching

Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

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 in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.

0050

PRUDENTIAL Filters

Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 CRR.

0060

Other

Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 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 in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template.

0070

Comment for other

The main reasons why the positions reported in column 0060 were excluded shall be provided.

0080

FAIR-VALUED Assets and Liabilities included in ARTICLE 4(1) threshold

Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101.

0090

OF WHICH: trading book

Absolute value of fair-valued assets and liabilities, as reported in column 0080, 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 0020 to 0210.

0020

1.1 TOTAL FAIR-VALUED ASSETS

Total of fair-valued assets reported in rows 0030 to 0140.

Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards:

— IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (‘EU IFRS’) (1);

— National accounting standards compatible with EU IFRS (‘National GAAP compatible IFRS’); or

— National GAAP based on BAD (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 0050 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0040

1.1.2 TRADING FINANCIAL ASSETS

Articles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to assets measured at fair value that are included in the value reported in row 0091 of template F 01.01 of Annexes III and IV to this Implementing 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 0096 of template F 01.01 of Annexes III and IV to this Implementing 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; point (a) of Article 8(1) and Article 8(6) AD

The information reported in this row shall correspond to row 0100 of template F 01.01 of Annexes III and IV to this Implementing 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 0141 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0080

1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

Article 36(2) BADThe information reported in this row shall correspond to row 0171 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0090

1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY

Point (a) of Article 8(1) and Article 8(8) AD

The information reported in this row shall correspond to row 0175 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0100

1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

Article 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to assets measured at fair value that are included in the value reported in row 0234 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0110

1.1.9 DERIVATIVES – HEDGE ACCOUNTING

IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) and paragraphs 6 and 8 of Article 8 AD; IAS 39.9

The information reported in this row shall correspond to row 0240 of template F 01.01 of Annexes III and IV to this Implementing 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; Paragraphs 5 and 6 of Article 8 ADThe information reported in this row shall correspond to row 0250 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0130

1.1.11 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and (8) of Article 4 BAD; Article 2(2) AD

The information reported in this row shall correspond to row 0260 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0140

1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

Part 1.29 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 0375 of template F 01.01 of Annexes III and IV to this Implementing Regulation.

0150

1.2 TOTAL FAIR-VALUED LIABILITIES

Total of fair-valued liabilities reported in rows 0160 to 0210.

Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards:

— IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (‘EU IFRS’)

— National accounting standards compatible with EU IFRS (‘National GAAP compatible IFRS’)

— or National GAAP based on BAD (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 0010 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0170

1.2.2 TRADING FINANCIAL LIABILITIES

Point (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD

The information reported in this row shall correspond to row 0061 of template F 01.02 of Annexes III and IV to this Implementing 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; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9.

The information reported in this row shall correspond to row 0070 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0190

1.2.4 DERIVATIVES – HEDGE ACCOUNTING

IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), Article 8(6) and point (a) of Article 8(8) AD

The information reported in this row shall correspond to row 0150 of template F 01.02 of Annexes III and IV to this Implementing 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; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 0160 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

0210

1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

Part 1.29 of Annex V to this Implementing Regulation

The information reported in this row shall correspond to row 0295 of template F 01.02 of Annexes III and IV to this Implementing Regulation.
(1)   

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).

6.2.   C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

6.2.1.   General remarks

178. 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.

179. 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 Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or

(b) 

have chosen to apply the core approach despite not exceeding the threshold.

180. For the purposes of this template, ‘upside uncertainty’ shall mean the following: As determined by Article 8(2) of Delegated Regulation (EU) 2016/101, AVAs are calculated as the difference between the fair value and a prudent valuation that is determined 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, 10, 11 and 14 to 17 of Delegated Regulation (EU) 2016/101 respectively.

For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101, 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 Delegated Regulation (EU) 2016/101 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 referred to in point (b) of Article 9(5), point (b) of Article 10(6) and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in columns 0020, 0040 and 0060.

0010

MARKET PRICE UNCERTAINTY

Article 105(10) CRR.

Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regulation (EU) 2016/101.

0020

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Market price uncertainty AVAs calculated in accordance with point (b) of Article 9(5) of Delegated Regulation (EU) 2016/101.

0030

CLOSE-OUT COSTS

Article 105(10) CRR.

Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 2016/101.

0040

OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH

Close-out costs AVAs calculated in accordance with point (b) of Article 10(6) of Delegated Regulation (EU) 2016/101.

0050

MODEL RISK

Article 105(10) CRR

Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 2016/101.

0060

OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 2016/101.

0070

CONCENTRATED POSITIONS

Article 105(11) CRR

Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101.

0080

FUTURE ADMINISTRATIVE COSTS

Article 105(10) CRR

Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101.

0090

EARLY TERMINATION

Article 105(10) CRR

Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101.

0100

OPERATIONAL RISK

Article 105(10) CRR

Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 2016/101.

0110

TOTAL AVA

Row 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 105 CRR and reported accordingly in row 0290 of C 01.00. The total AVA shall be the sum of rows 0030 and 0180.

Row 0020: Share of the total AVA reported in row 0010 stemming from trading book positions (absolute value).

Rows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100.

Rows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach.

0120

UPSIDE UNCERTAINTY

Article 8(2) of Delegated Regulation (EU) 2016/101.

The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0110, 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 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these amounts may have to be approximated or allocated based on expert judgement.

Row 0010: Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.

Row 0010 is the sum of row 0030 and row 0180.

Row 0020: share of total absolute value of fair-valued assets and liabilities reported in row 0010 stemming from trading book positions (absolute value).

Row 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of rows 0090 to 0130.

Row 0050: 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 Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.

Row 0060: 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 Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.

Row 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) 2016/101.

Row 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in paragraphs 2 and 3 of Article 10 of Delegated Regulation (EU) 2016/101.

Rows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.

Row 0180: 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) 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 shall 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 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 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 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 in accordance with point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101 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 Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.

0020

OF WHICH: TRADING BOOK

Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value).

0030

1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGULATION (EU) 2016/101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION

Point (a) of Article 7(2) of Delegated Regulation (EU) 2016/101.

For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101.

That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 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 that Regulation.

That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.

Row 0030 shall be the difference between rows 0040 and 0140.

0040 – 0130

1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities.

To that 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 be allocated to the same relevant risk category 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 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100.

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 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 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 that Regulation.

Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130.

0050

OF WHICH: UNEARNED CREDIT SPREADS AVA

Article 105(10) CRR, Article 12 of Delegated Regulation (EU) 2016/101.

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 Delegated Regulation (EU) 2016/101.

Column 0110: 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 0130 and 0140: 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 Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.

0060

OF WHICH: INVESTMENT AND FUNDING COSTS AVA

Article 105(10) CRR, Article 17 of Delegated Regulation (EU) 2016/101.

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 Delegated Regulation (EU) 2016/101.

Column 0110: 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 0130 and 0140: 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 Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.

0070

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF Delegated Regulation (EU) 2016/101

Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101.

0080

OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF Delegated Regulation (EU) 2016/101

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 Delegated Regulation (EU) 2016/101.

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 0150 and 0160.

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 Delegated Regulation (EU) 2016/101, 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 Delegated Regulation (EU) 2016/101, 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

Point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101.

For portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210.

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 Delegated Regulation (EU) 2016/101 shall be provided in column 0270.

0190

1.2.1 Fall-back approach; 100 % unrealised profit

Point (b)(i) of Article 7(2) of Delegated Regulation (EU) 2016/101.

0200

1.2.2 Fall-back approach; 10 % notional value

Point (b)(ii) of Article 7(2) of Delegated Regulation (EU) 2016/101.

0210

1.2.3 Fall-back approach; 25 % of inception value

Point (b)(iii) of Article 7(2) of Delegated Regulation (EU) 2016/101.

6.3.   C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)

6.3.1.   General remarks

181. This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101 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.

182. 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 Delegated Regulation (EU) 2016/101. That information corresponds to the information reported in column 0050 of template C 32.02.

183. 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.

184. Products corresponding to those top individual model risk AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.

185. 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 template. 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 point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, 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 Delegated Regulation (EU) 2016/101.

Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.

0060

OF WHICH: USING EXPERT-BASED APPROACH

Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.

0070

OF WHICH: AGGREGATED USING METHOD 2

Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.

0080

AGGREGATED AVA CALCULATED UNDER METHOD 2

The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount 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 0010 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 Article 105(8) 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 0110.

0130 – 0140

FAIR VALUE ADJUSTMENTS

Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

0150

DAY 1 P&L

Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

6.4.   C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)

6.4.1.   General remarks

186. This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101. 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.

187. 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 Delegated Regulation (EU) 2016/101. This information shall correspond to the information reported in column 0070 of template C 32.02.

188. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs.

189. Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.

190. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible 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 template. 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 point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.

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 in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050.

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 0040.

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 in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) 2016/101.

0080

CONCENTRATED POSITIONS AVA

The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 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 Article 105(8) 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

191. The information for the purpose of template C 33.00 shall cover all exposures to ‘General governments’ as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.

192. Where the exposures to ‘General governments’ are subject to own funds requirements in accordance with Title II of Part Three CRR, exposures to ‘General governments’ are included in different exposure classes in accordance with Article 112 and Article 147 CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.

193. Table 2 (Standardised Approach) and Table 3 (IRB Approach), included in Part 3 of Annex V to this Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector ‘General governments’.

194. 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.

195. 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 shall include the incidence of credit risk mitigation techniques, including substitution effects.

196. 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 laid down in Article 6(3) of this Implementing Regulation.

7.2.   SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’

197. The scope of the GOV template covers on-balance sheet, 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.

198. An exposure is a direct exposure when the immediate counterparty is an entity that is a ‘General government’ as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.

199. 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

0010-0260

DIRECT EXPOSURES

0010-0140

ON-BALANCE SHEET EXPOSURES

0010

Total gross carrying amount of non-derivative financial assets

Aggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of Annex V to this Implementing Regulation, 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 of Part 1 of Annex V to this Implementing Regulation, and listed in columns 0030 to 0120

Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.

0020

Total carrying amount of non-derivative financial assets (net of short positions)

Aggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this Implementing Regulation, 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 of Part 1 of Annex V to this Implementing Regulation and listed in columns 0030 to 0120, net of short positions.

Where the institution has a short position for the same residual maturity and 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. That net amount shall be considered to be zero when it is a negative amount. Where an institution has a short position without a matching direct position, the amount of the short position shall be considered zero for the purposes of this column.

0030-0120

NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS

Aggregate carrying amount of non-derivative financial assets, as defined in the row above of this table, to General governments, broken down by accounting portfolio under the applicable accounting framework.

0030

Financial assets held for trading

IFRS 7.8(a)(ii); IFRS 9 Appendix A

0040

Trading financial assets

Articles 32 and 33 BAD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; point (a) of Article 8(1) AD

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0050

Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 7.8(a)(ii); IFRS 9.4.1.4

0060

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5 and point (a) of Article 8(1) and Article 8(6) AD

0070

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

Article 36(2) BAD; point (a) of Article 8(1) AD

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0080

Financial assets at fair value through other comprehensive income

IFRS 7.8(d); IFRS 9.4.1.2 A

0090

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

Point (a) of Article 8(1) and Article 8(8) AD

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0100

Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation

0110

Non-trading non-derivative financial assets measured at a cost-based method

Article 35 BAD; point (i) of Article 6(1) and Article 8(2) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0120

Other non-trading non-derivative financial assets

Article 37 BAD; Article 12(7) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation

Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).

0130

Short positions

Carrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct counterparty is a General government as defined in paragraphs 155 to 160 of this Annex.

Short positions arise where the institution sells securities acquired in a reverse repurchase loan or borrowed in a securities lending transaction.

The carrying amount is the fair value of the short positions.

Short positions shall be reported by residual maturity bucket, as listed in rows 0170 to 0230, and by immediate counterparty.

The short positions reported in this column can be netted against positions with the same residual maturity and immediate counterparty and denominated in the same currency that are reported in columns 0030 to 0120 in order to obtain the net position that is reported in column 0020.

0140

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, where the direct counterparty of those securities is a General government and that are included in the held for trading or trading financial assets accounting portfolios (columns 0030 or 0040).

Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.

0150

Accumulated impairment

Aggregate accumulated impairment related to non-derivative financial assets reported in columns 0080 to 0120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation)

0160

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 0080 and 0090.

0170

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 0050, 0060, 0070, 0080 and 0090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation)

0180

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 0050, 0060 and 0070.

0190

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 0080 and 0090.

0200-0230

DERIVATIVES

Direct derivative positions shall be reported in columns 0200 to 0230.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.

0200-0210

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 those instruments 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 (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).

0200

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.

0210

Derivatives with positive fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reporting reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is positive for the institution at the reference date.

0220-0230

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 those instruments 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 (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).

0220

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.

0230

Derivatives with negative fair value: Notional amount

Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is negative for the institution at the reference date.

0240-0260

OFF-BALANCE SHEET EXPOSURES

0240

Nominal amount

Where the direct counterparty of the off-balance sheet item is a General government as defined in paragraphs 155 to 160 of this Annex, 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 (paragraphs 102-119 of Part 2 of Annex V to this Implementing Regulation,).

In accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing Regulation, 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.

0250

Provisions

Point (6)(c) and ‘Off balance sheet items’ of Article 4, Articles 27(11), 28(8) and Article 33 BAD; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Part 2.11 of Annex V to this Implementing Regulation.

Provisions on all off-balance sheet exposures regardless of 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 where 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 0250.

0260

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 (paragraph 110 of Part 2 of Annex V to this Implementing Regulation)

0270-280

Memorandum item: credit derivatives sold on general government exposures

Credit derivatives that do not meet the definition of financial guarantees in Annex V, Part 2, paragraph 58 that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government shall be reported.

These columns shall not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 0020 to 0160).

0270

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 shall be the fair value of the derivatives with a positive fair value at the reference reporting date, independently of how they are accounted for.

0280

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 shall be 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 of how they are accounted for.

0290

Exposure value

Exposure value for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see Article 111 CRR. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) CRR.

For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.

The exposures reported in columns 0270 and 0280 are not to be considered for the purposes of this column, as the value in this column is based solely on direct exposures.

0300

Risk weighted exposure amount

Risk weighted exposure amount for exposures subject to the credit risk framework.

For exposures under the Standardised Approach (SA): see paragraphs 1 to 5 of Article 113 CRR. For exposures under the IRB Approach: see paragraphs 1 and 3 of Article 153 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.

The exposures reported in columns 0270 and 0280 shall not be considered for the purposes of this column, as the value in this column is based solely on direct exposures.



Rows

Instructions

BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH

0010

Total exposures

Aggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this Annex.

0020-0155

Exposures under the credit risk framework

Aggregate of exposures to General governments that shall be risk-weighted in accordance with Title II of Part Three 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 (0020 to 0155) and the market risk row (row 0160): 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.

0030

Standardised Approach

Exposures to General governments that shall be risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

0040

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.

0050

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.

0060

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.

0070

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.

0075

Other general government exposures subject to Standardised Approach

Exposures to General governments other than those included in rows 0040 to 0070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements.

0080

IRB Approach

Exposures to General governments that shall be risk-weighted in accordance with Chapter 3 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

0090

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 point (a) of Article 147(3) 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..

0100

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 point (a) of Article 147(3) 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.

0110

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 point (a) of Article 147(4) 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.

0120

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 point (a) of Article 147(3) 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.

0130

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 point (b) of Article 147(4) 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.

0140

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 point (c) of Article 147(3) 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.

0155

Other general government exposures subject to IRB Approach

Exposures to General governments other than those included in rows 0090 to 0140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements.

0160

Exposures subject to market risk

This row covers positions for which one of the following own funds requirements of Title IV of Part Three CRR is calculated:

— Own funds requirements for position risk in accordance with Article 326 CRR

— Own funds requirements for specific or general risk in accordance with Chapter 5 of 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 (0020 to 0155) and the market risk row (row 0160): 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.

0170-0230

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.

Where the contractual date of maturity is earlier than the reporting reference date (i.e. the difference between reporting reference date and maturity date is a negative value), the exposure shall be allocated to the bucket [0 – 3M].

Exposures without a residual maturity shall be allocated to the residual maturity bucket on the basis of their period of notice or other contractual indications about the maturity. If there is no predefined period of notice nor other contractual indication about the maturity, exposures shall be allocated to the residual maturity bucket [10Y – more].

8.   NPE LOSS COVERAGE (NPE LC)

8.1.   GENERAL REMARKS

200. The NPE loss coverage templates contain information about non-performing exposures (NPEs) for the purposes of calculating the minimum loss coverage requirement for non-performing exposures as specified in Articles 47a, 47b and 47c CRR.

201. The block of templates consists of a set of three templates:

a) 

The calculation of deductions for NPEs (C 35.01): this is an overview template indicating the applicable amount of insufficient coverage, calculated as the difference between the total minimum coverage requirements for NPEs and the total provisions and adjustments or deductions already made. The template covers both the non-performing exposures where forbearance measure has not been granted, and non-performing forborne exposures.

b) 

Minimum coverage requirements and exposure values of non-performing exposures, excluding forborne exposures that fall under Article 47c(6) CRR (C 35.02): the template calculates the total minimum coverage requirements for non-performing exposures that are not non-performing forborne exposures that fall under Article 47c(6) CRR, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing.

c) 

Minimum coverage requirements and exposure values of non-performing forborne exposures that fall under Article 47c(6) CRR (C 35.03): the template calculates the total minimum coverage requirements for non-performing forborne exposures that fall under Article 47c(6) CRR, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing.

202. The the minimum loss coverage requirement for non-performing exposures applies to (i) exposures, originated on and after 26 April 2019, that become non-performing, and (ii) exposures originated before 26 April 2019 when they are modified after that date in a way that increases their exposure value to the obligor (Article 469a CRR), that become non-performing.

203. Institutions shall calculate the deductions for NPEs in accordance with points (a) and (b) of Article 47c(1) CRR„ including the calculation of minimum coverage requirements and total provisions and adjustments or deductions, at individual exposure level (‘transaction based’) and not at debtor or portfolio levels.

204. For the purposes of calculating the deductions for NPEs, institutions shall differentiate between the unsecured and secured part of a NPE in accordance with Article 47c(1) CRR. To this end, institutions shall report exposure values and minimum coverage requirements separately for the unsecured part of NPEs and for the secured part of NPEs.

205. For the purposes of mapping of relevant applicable factors and calculating minimum coverage requirements, institutions shall classify the secured part of NPEs depending on the type of credit protection in accordance with Article 47c(3) CRR as follows: (i) ‘secured by immovable property or residential loan guaranteed by an eligible protection provider as referred to in Art. 201’, (ii) ‘secured by other funded or unfunded credit protection’ or (iii) ‘guaranteed or insured by an official export credit agency’,. When a non-performing exposure is secured by more than one type of credit protection, its exposure value shall be allocated according to the quality of the credit protection, starting from the one with the best quality.

8.2.   C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)

8.2.1.   Instructions concerning specific positions



Columns

Instructions

0010 – 0100

Time passed since exposures classified as non-performing

The ‘time passed since exposures classified as non-performing’ shall mean the time in years passed, as of the reference date, since exposure has been classified as non-performing. For purchased non-performing exposures, the time in years shall start to run from the date on which the exposures was originally classified as non- performing, and not from the date of their purchase.

Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures.

For the time interval, ‘> X year(s), <= Y year(s)’, institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing.

0110

Total

Institutions shall report the sum of all columns from 0010 to 0100.



Rows

Instructions

0010

Applicable amount of insufficient coverage

Article 47c(1) CRR

For the calculation of the applicable amount of insufficient coverage, institutions shall deduct the total provisions and adjustments or deductions (capped) (row 0080) from the total minimum coverage requirement for non-performing exposures (row 0020).

The applicable amount of insufficient coverage (i.e. the shortfall in the total minimum coverage requirement for non-performing exposures) shall be equal to or greater than zero.

0020

Total minimum coverage requirement for non-performing exposures

Point (a) of Article 47c(1) CRR

For the calculation of the total minimum coverage requirement for non-performing exposures, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0030) and for the secured part of NPEs (row 0040).

0030

Unsecured part of NPEs

Point (a)(i) of Article 47c(1), Article 47c(2), Article 47c(6) CRR

Institution shall report the total minimum coverage requirement for the unsecured part of NPEs, i.e. the aggregate of calculations at exposure level.

The amount reported in each column shall be equal to the sum of the amounts reported in row 0020 of C 35.02 and row 0020 of C 35.03 (where applicable) in the respective columns.

0040

Secured part of NPEs

Point (a)(ii) Article 47c(1), Article 47c(3), Article 47c(4), Article 47c(6) CRR.

Institutions shall report the total minimum coverage requirement for the secured part of NPEs, i.e. the aggregate of calculations at exposure level.

The amount reported in each column shall be equal to the sum of the amounts reported in row 0030-0050 of C 35.02 and row 0030-0040 of C 35.03 (where applicable) in the respective columns.

0050

Exposure value

Article 47a(2) CRR

Institutions shall report the total exposure value of NPEs including both unsecured and secured exposures. This shall correspond to the sum of row 0060 and row 0070.

0060

Unsecured part of NPEs

Article 47a(2) and Article 47c(1) CRR

0070

Secured part of NPEs

Article 47a(2) and Article 47c(1) CRR

0080

Total provisions and adjustments or deductions (capped)

Institutions shall report the capped amount of the sum of the items listed in rows 0100-0150 in accordance with point (b) of Article 47c(1) CRR. The maximum limit for capped provisions and adjustment or deductions is the amount of minimum coverage requirement at exposure level.

Capped amount shall be calculated separately for each exposure as the lower amount between minimum coverage requirement for this exposure and total provisions and adjustments or deductions for the same exposure.

0090

Total provisions and adjustments or deductions (uncapped)

Institutions shall report the sum of uncapped amount of the items listed in rows 0100-0150 in accordance with point (b) of Article 47c(1) CRR. Provisions and adjustment or deductions (uncapped) shall not be limited to the amount of minimum coverage requirement at exposure level.

0100

Specific credit risk adjustments

Point (b)(i) of Article 47c(1) CRR

0110

Additional valuation adjustments

Point (b)(ii) of Article 47c(1) CRR

0120

Other own funds reductions

Point (b)(iii) of Article 47c(1) CRR

0130

IRB shortfall

Point (b)(iv) of Article 47c(1) CRR

0140

Difference between the purchase price and the amount owed by the debtor

Point (b)(v) of Article 47c(1) CRR

0150

Amounts written-off by the institution since the exposure was classified as non-performing

Point (b)(vi) of Article 47c(1) CRR

8.3.   C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)

8.3.1.   Instructions concerning specific positions



Columns

Instructions

0010 – 0100

Time passed since exposures classified as non-performing

The ‘time passed since exposures classified as non-performing’ shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures.

For the time interval, ‘> X year(s), <= Y year(s)’, institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing.

0110

Total

Institutions shall report the sum of all columns from 0010 to 0100.



Rows

Instructions

0010

Total minimum coverage requirement

Point (a) of Article 47c(1) CRR

For the calculation of the total minimum coverage requirement for non-performing exposures, excluding forborne exposures that fall under Article 47c(6) CRR, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0020) and the minimum coverage requirement for the secured part of NPEs (rows 0030-0050).

0020

Unsecured part of NPEs

Point (a)(i) of Article 47c(1), Article 47c(2) CRR

The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0070 by the corresponding factor per column.

0030

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3) CRR

The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0080 by the corresponding factor per column.

0040

Part of NPEs secured by other funded or unfunded credit protection

Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3) CRR

The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0090 by the corresponding factor per column.

0050

Part of NPEs guaranteed or insured by an official export credit agency

Article 47c(4) CRR.

The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0100 by the corresponding factor per column.

0060

Exposure value

Article 47a(2) CRR

For the calculation of row 0060, institutions shall sum the exposure values reported for the unsecured part of NPEs (row 0070), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0080), the part of NPEs secured by other funded or unfunded credit protection (row 0090) and the part of NPEs guaranteed or insured by an official export credit agency (row 0100).

0070

Unsecured part of NPEs

Article 47a(2), Article 47c(1), Article 47c(2) CRR

Institutions shall report the total exposure value of unsecured part of NPEs broken-down by time passed since exposures classified as non-performing.

0080

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Article 47a(2), Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3) CRR

Institutions shall report the total exposure value of the parts of NPEs secured by immovable property pursuant to Title II of Part Three CRR or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 CRR.

0090

Part of NPEs secured by other funded or unfunded credit protection

Article 47a(2), Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3) CRR

Institutions shall report the total exposure value of the parts of NPEs secured by other funded or unfunded credit protection pursuant to Title II of Part Three CRR.

0100

Part of NPEs guaranteed or insured by an official export credit agency

Article 47a(2) and Article 47c(4) CRR

Institutions shall report the total exposure value of the parts of NPEs guaranteed or insured by an official export credit agency or guaranteed or counter-guaranteed by another eligible protection provider as referred to in article 47c(4) CRR.

8.4.   C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)

8.4.1.   Instructions concerning specific positions



Columns

Instructions

0010 – 0100

Time passed since exposures classified as non-performing

The ‘time passed since exposures classified as non-performing’ shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures.

For the time interval, ‘> X year(s), <= Y year(s)’, institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing.

0110

Total

Institutions shall report the sum of all columns from 0010 to 0100.



Rows

Instructions

0010

Total minimum coverage requirement

Point (a) of Article 47c(1) and Article 47c(6) CRR

For the calculation of total minimum coverage requirement of non-performing forborne exposures that fall under Article 47c(6) CRR, institutions shall sum minimum coverage requirements for the unsecured part of forborne NPEs (row 0020), the part of forborne NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0030) and the part of forborne NPEs secured by other funded or unfunded credit protection (row 0040).

0020

Unsecured part of NPEs

Point (a)(i) of Article 47c(1), Article 47c(2), Article 47c(6) CRR

Institutions shall report the total minimum coverage requirement for the unsecured part of non-performing forborne exposures that fall under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level.

0030

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3), Article 47c(6) CRR

Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures secured by immovable property pursuant to Title II of Part Three CRR or that are residential loans guaranteed by an eligible protection provider as referred to in Article 201 CRR, falling under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level.

0040

Part of NPEs secured by other funded or unfunded credit protection

Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3), Article 47c(6) CRR

Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures se-cured by other funded or unfunded credit protection, falling under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level.

0050

Exposure value

Article 47a(2) and Article 47c(6) CRR

For the calculation of exposure value, institutions shall sum exposure values for the unsecured part of NPEs (row 0060), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0070) and the part of NPEs secured by other funded or unfunded credit protection (row 0120), where applicable.

0060

Unsecured part of NPEs

Article 47a(2), Article 47c(1), Article 47c(2), Article 47c(6) CRR

Institutions shall report the total exposure value of unsecured part of forborne NPEs that fall under Article 47c(6) CRR where the first forbearance measure has been granted between the first and the last day of the second year after the classification of the exposure as non-performing (> 1 year; <=2 years).

0070

Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider

Article 47a(2), Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3), Article 47c(6) CRR

Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property pursuant to Title II or Part Three CRR or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 CRR.

0080

> 2 and <= 3 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing.

0090

> 3 and <= 4 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing.

0100

> 4 and <= 5 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing.

0110

> 5 and <= 6 years after classification as NPE

Institutions shall report exposure value of forborne NPEs secured that fall under Article 47c(6) CRR by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing.

0120

Part of NPEs secured by other funded or unfunded credit protection

Article 47c(1), and points (a), (b), (c), (e) and (g) of Article 47c(3), Article 47c(6) CRR

Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection pursuant to Title II of Part Three CRR.

0130

> 2 and <= 3 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing.

0140

> 3 and <= 4 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing.

0150

> 4 and <= 5 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing.

0160

> 5 and <= 6 years after classification as NPE

Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing.



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

Loans and advances other than held for trading, trading or held for sale assets by product

6.1

F 06.01

Breakdown of loans and advances other than held for trading, trading or held for sale assets to non-financial corporations by NACE codes

 

 

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

13.2.1

F 13.02.1

Collateral obtained by taking possession during the period [held at the reference date]

13.3.1

F 13.03.1

Collateral obtained by taking possession 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

16.8

F 16.08

Other administrative expenses

 

 

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

 

 

Information on performing and non-performing exposures

18

F 18.00

Information on performing and non-performing exposures

18.1

F 18.01

Inflows and outflows of non-performing exposures - loans and advances by counterparty sector

18.2

F 18.02

Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property

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

 

 

Loans and advances: additional information

23.1

F 23.01

Loans and advances: Number of instruments

23.2

F 23.02

Loans and advances: Additional information on gross carrying amounts

23.3

F 23.03

Loans and advances collateralised by immovable property: Breakdown by LTV ratios

23.4

F 23.04

Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk

23.5

F 23.05

Loans and advances: Collateral received and financial guarantees received

23.6

F 23.06

Loans and advances: Accumulated partial write-offs

 

 

Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year

24.1

F 24.01

Loans and advances: Inflows and outflows of non-performing exposures

24.2

F 24.02

Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures

24.3

F 24.03

Loans and advances: Inflow of write-offs of non-performing exposures

 

 

Collateral obtained by taking possession and execution processes

25.1

F 25.01

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and Outflows

25.2

F 25.02

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained

25.3

F 25.03

Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)

26

F 26.00

Forbearance management and quality of forbearance

 

 

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 40.01

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

Staff expenses by type of benefits

44.4

F 44.04

Staff expenses by structure and category of staff

 

 

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

47

F 47.00

Average duration and recovery periods

1.    Balance Sheet Statement [Statement of Financial Position]

1.1    Assets



 

References

Breakdown in table

Carrying amount

Annex V.Part 1.27

0010

0010

Cash, cash balances at central banks and other demand deposits

IAS 1.54 (i)

 

 

0020

Cash on hand

Annex V.Part 2.1

 

 

0030

Cash balances at central banks

Annex V.Part 2.2

 

 

0040

Other demand deposits

Annex V.Part 2.3

5

 

0050

Financial assets held for trading

IFRS 9.Appendix A

 

 

0060

Derivatives

IFRS 9.Appendix A

10

 

0070

Equity instruments

IAS 32.11

4

 

0080

Debt securities

Annex V.Part 1.31

4

 

0090

Loans and advances

Annex V.Part 1.32

4

 

0096

Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 7.8(a)(ii); IFRS 9.4.1.4

4

 

0097

Equity instruments

IAS 32.11

4

 

0098

Debt securities

Annex V.Part 1.31

4

 

0099

Loans and advances

Annex V.Part 1.32

4

 

0100

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5

4

 

0120

Debt securities

Annex V.Part 1.31

4

 

0130

Loans and advances

Annex V.Part 1.32

4

 

0141

Financial assets at fair value through other comprehensive income

IFRS 7.8(h); IFRS 9.4.1.2A

4

 

0142

Equity instruments

IAS 32.11

4

 

0143

Debt securities

Annex V.Part 1.31

4

 

0144

Loans and advances

Annex V.Part 1.32

4

 

0181

Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2

4

 

0182

Debt securities

Annex V.Part 1.31

4

 

0183

Loans and advances

Annex V.Part 1.32

4

 

0240

Derivatives – Hedge accounting

IFRS 9.6.2.1; Annex V.Part 1.22

11

 

0250

Fair value changes of the hedged items in portfolio hedge of interest rate risk

IAS 39.89A(a); IFRS 9.6.5.8

 

 

0260

Investments in subsidiaries, joint ventures and associates

IAS 1.54(e); Annex V.Part 1.21, Part 2.4

40

 

0270

Tangible assets

 

 

 

0280

Property, Plant and Equipment

IAS 16.6; IAS 1.54(a); IFRS 16.47(a)

21, 42

 

0290

Investment property

IAS 40.5; IAS 1.54(b); IFRS 16.48

21, 42

 

0300

Intangible assets

IAS 1.54(c); CRR art 4(1)(115)

 

 

0310

Goodwill

IFRS 3.B67(d); CRR art 4(1)(113)

 

 

0320

Other intangible assets

IAS 38.8,118; IFRS 16.47 (a)

21, 42

 

0330

Tax assets

IAS 1.54(n-o)

 

 

0340

Current tax assets

IAS 1.54(n); IAS 12.5

 

 

0350

Deferred tax assets

IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)

 

 

0360

Other assets

Annex V.Part 2.5

 

 

0370

Non-current assets and disposal groups classified as held for sale

IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7

 

 

0380

TOTAL ASSETS

IAS 1.9(a), IG 6

 

 

1.2    Liabilities



 

References

Breakdown in table

Carrying amount

Annex V.Part 1.27

0010

0010

Financial liabilities held for trading

IFRS 7.8 (e) (ii); IFRS 9.BA.6

8

 

0020

Derivatives

IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)

10

 

0030

Short positions

IFRS 9.BA7(b)

8

 

0040

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

8

 

0050

Debt securities issued

Annex V.Part 1.37

8

 

0060

Other financial liabilities

Annex V.Part 1.38-41

8

 

0070

Financial liabilities designated at fair value through profit or loss

IFRS 7.8 (e)(i); IFRS 9.4.2.2

8

 

0080

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

8

 

0090

Debt securities issued

Annex V.Part 1.37

8

 

0100

Other financial liabilities

Annex V.Part 1.38-41

8

 

0110

Financial liabilities measured at amortised cost

IFRS 7.8(g); IFRS 9.4.2.1

8

 

0120

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

8

 

0130

Debt securities issued

Annex V.Part 1.37

8

 

0140

Other financial liabilities

Annex V.Part 1.38-41

8

 

0150

Derivatives – Hedge accounting

IFRS 9.6.2.1; Annex V.Part 1.26

11

 

0160

Fair value changes of the hedged items in portfolio hedge of interest rate risk

IAS 39.89A(b), IFRS 9.6.5.8

 

 

0170

Provisions

IAS 37.10; IAS 1.54(l)

43

 

0180

Pensions and other post employment defined benefit obligations

IAS 19.63; IAS 1.78(d); Annex V.Part 2.9

43

 

0190

Other long term employee benefits

IAS 19.153; IAS 1.78(d); Annex V.Part 2.10

43

 

0200

Restructuring

IAS 37.71

43

 

0210

Pending legal issues and tax litigation

IAS 37.14, Appendix C. Examples 6 and 10

43

 

0220

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

91243

 

0230

Other provisions

IAS 37.14

43

 

0240

Tax liabilities

IAS 1.54(n-o)

 

 

0250

Current tax liabilities

IAS 1.54(n); IAS 12.5

 

 

0260

Deferred tax liabilities

IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)

 

 

0270

Share capital repayable on demand

IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12

 

 

0280

Other liabilities

Annex V.Part 2.13

 

 

0290

Liabilities included in disposal groups classified as held for sale

IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14

 

 

0300

TOTAL LIABILITIES

IAS 1.9(b);IG 6

 

 

1.3    Equity



 

References

Breakdown in table

Carrying amount

0010

0010

Capital

IAS 1.54(r), BAD art 22

46

 

0020

Paid up capital

IAS 1.78(e)

 

 

0030

Unpaid capital which has been called up

Annex V.Part 2.14

 

 

0040

Share premium

IAS 1.78(e); CRR art 4(1)(124)

46

 

0050

Equity instruments issued other than capital

Annex V.Part 2.18-19

46

 

0060

Equity component of compound financial instruments

IAS 32.28-29; Annex V.Part 2.18

 

 

0070

Other equity instruments issued

Annex V.Part 2.19

 

 

0080

Other equity

IFRS 2.10; Annex V.Part 2.20

 

 

0090

Accumulated other comprehensive income

CRR art 4(1)(100)

46

 

0095

Items that will not be reclassified to profit or loss

IAS 1.82A(a)

 

 

0100

Tangible assets

IAS 16.39-41

 

 

0110

Intangible assets

IAS 38.85-87

 

 

0120

Actuarial gains or (-) losses on defined benefit pension plans

IAS 1.7, IG6; IAS 19.120(c)

 

 

0122

Non-current assets and disposal groups classified as held for sale

IFRS 5.38, IG Example 12

 

 

0124

Share of other recognised income and expense of investments in subsidaries, joint ventures and associates

IAS 1.IG6; IAS 28.10

 

 

0320

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

 

 

0330

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

 

 

0340

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

 

 

0350

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

 

 

0360

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

 

 

0128

Items that may be reclassified to profit or loss

IAS 1.82A(a) (ii)

 

 

0130

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

 

 

0140

Foreign currency translation

IAS 21.52(b); IAS 21.32, 38-49

 

 

0150

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

 

 

0155

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

 

 

0165

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

 

 

0170

Non-current assets and disposal groups classified as held for sale

IFRS 5.38, IG Example 12

 

 

0180

Share of other recognised income and expense of investments in subsidaries, joint ventures and associates

IAS 1.IG6; IAS 28.10

 

 

0190

Retained earnings

CRR art 4(1)(123)

 

 

0200

Revaluation reserves

IFRS 1.30, D5-D8; Annex V.Part 2.28

 

 

0210

Other reserves

IAS 1.54; IAS 1.78(e)

 

 

0220

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

 

 

0230

Other

Annex V.Part 2.29

 

 

0240

(-)  Treasury shares

IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30

46

 

0250

Profit or loss attributable to owners of the parent

IAS 1.81B (b)(ii)

2

 

0260

(-)  Interim dividends

IAS 32.35

 

 

0270

Minority interests [Non-controlling interests]

IAS 1.54(q)

 

 

0280

Accumulated Other Comprehensive Income

CRR art 4(1)(100)

46

 

0290

Other items

 

46

 

0300

TOTAL EQUITY

IAS 1.9(c), IG 6

46

 

0310

TOTAL EQUITY AND TOTAL LIABILITIES

IAS 1.IG6

 

 

2.    Statement of profit or loss



 

References

Breakdown in table

Current period

0010

0010

Interest income

IAS 1.97; Annex V.Part 2.31

16

 

0020

Financial assets held for trading

IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34

 

 

0025

Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1

 

 

0030

Financial assets designated at fair value through profit or loss

IFRS 7.20(a)(i), B5(e)

 

 

0041

Financial assets at fair value through other comprehensive income

IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A

 

 

0051

Financial assets at amortised cost

IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2

 

 

0070

Derivatives - Hedge accounting, interest rate risk

IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35

 

 

0080

Other assets

Annex V.Part 2.36

 

 

0085

Interest income on liabilities

IFRS 9.5.7.1, Annex V.Part 2.37

 

 

0090

(Interest expenses)

IAS 1.97; Annex V.Part 2.31

16

 

0100

(Financial liabilities held for trading)

IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34

 

 

0110

(Financial liabilities designated at fair value through profit or loss)

IFRS 7.20(a)(i), B5(e)

 

 

0120

(Financial liabilities measured at amortised cost)

IFRS 7.20(b); IFRS 9.5.7.2

 

 

0130

(Derivatives - Hedge accounting, interest rate risk)

IAS 39.9; Annex V.Part 2.35

 

 

0140

(Other liabilities)

Annex V.Part 2.38

 

 

0145

(Interest expense on assets)

IFRS 9.5.7.1, Annex V.Part 2.39

 

 

0150

(Expenses on share capital repayable on demand)

IFRIC 2.11

 

 

0160

Dividend income

Annex V.Part 2.40

31

 

0170

Financial assets held for trading

IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40

 

 

0175

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

 

 

0191

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

 

 

0192

Investments in subsidiaries, joint ventures and associates accounted for using other than equity method

Annex V Part 2 .42

 

 

0200

Fee and commission income

IFRS 7.20(c)

22

 

0210

(Fee and commission expenses)

IFRS 7.20(c)

22

 

0220

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

 

0231

Financial assets at fair value through other comprehensive income

IFRS 9.4.12A; IFRS 9.5.7.10-11

 

 

0241

Financial assets at amortised cost

IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2

 

 

0260

Financial liabilities measured at amortised cost

IFRS 7.20(a)(v); IFRS 9.5.7.2

 

 

0270

Other

 

 

 

0280

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

 

0287

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

 

 

0290

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

 

0300

Gains or (-) losses from hedge accounting, net

Annex V.Part 2.47

16

 

0310

Exchange differences [gain or (-) loss], net

IAS 21.28, 52 (a)

 

 

0320

Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net

Annex V.Part 2.56

 

 

0330

Gains or (-) losses on derecognition of non-financial assets, net

IAS 1.34; Annex V. Part 2.48

45

 

0340

Other operating income

Annex V.Part 2.314-316

45

 

0350

(Other operating expenses)

Annex V.Part 2.314-316

45

 

0355

TOTAL OPERATING INCOME, NET

 

 

 

0360

(Administrative expenses)

 

 

 

0370

(Staff expenses)

IAS 19.7; IAS 1.102, IG 6

44

 

0380

(Other administrative expenses)

 

16

 

0385

(Cash contributions to resolution funds and deposit guarantee schemes)

Annex V.Part 2.48i

 

 

0390

(Depreciation)

IAS 1.102, 104

 

 

0400

(Property, Plant and Equipment)

IAS 1.104; IAS 16.73(e)(vii)

 

 

0410

(Investment Properties)

IAS 1.104; IAS 40.79(d)(iv)

 

 

0420

(Other intangible assets)

IAS 1.104; IAS 38.118(e)(vi)

 

 

0425

Modification gains or (-) losses, net

IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49

 

 

0426

Financial assets at fair value through other comprehensive income

IFRS 7.35J

 

 

0427

Financial assets at amortised cost

IFRS 7.35J

 

 

0430

(Provisions or (-) reversal of provisions)

IAS 37.59, 84; IAS 1.98(b)(f)(g)

91243

 

0435

(payment commitments to resolution funds and deposit guarantee schemes)

Annex V.Part 2.48i

 

 

0440

(Commitments and guarantees given)

IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50

 

 

0450

(Other provisions)

 

 

 

0460

(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

 

0481

(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

 

0491

(Financial assets at amortised cost)

IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8

12

 

0510

(Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates)

IAS 28.40-43

16

 

0520

(Impairment or (-) reversal of impairment on non-financial assets)

IAS 36.126(a)(b)

16

 

0530

(Property, plant and equipment)

IAS 16.73(e)(v-vi)

 

 

0540

(Investment properties)

IAS 40.79(d)(v)

 

 

0550

(Goodwill)

IFRS 3.Appendix B67(d)(v); IAS 36.124

 

 

0560

(Other intangible assets)

IAS 38.118 (e)(iv)(v)

 

 

0570

(Other)

IAS 36.126 (a)(b)

 

 

0580

Negative goodwill recognised in profit or loss

IFRS 3.Appendix B64(n)(i)

 

 

0590

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

 

 

0600

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

 

 

0610

PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS

IAS 1.102, IG 6; IFRS 5.33 A

 

 

0620

(Tax expense or (-) income related to profit or loss from continuing operations)

IAS 1.82(d); IAS 12.77

 

 

0630

PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS

IAS 1, IG 6

 

 

0640

Profit or (-) loss after tax from discontinued operations

IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56

 

 

0650

Profit or (-) loss before tax from discontinued operations

IFRS 5.33(b)(i)

 

 

0660

(Tax expense or (-) income related to discontinued operations)

IFRS 5.33 (b)(ii),(iv)

 

 

0670

PROFIT OR (-) LOSS FOR THE YEAR

IAS 1.81A(a)

 

 

0680

Attributable to minority interest [non-controlling interests]

IAS 1.81B (b)(i)

 

 

0690

Attributable to owners of the parent

IAS 1.81B (b)(ii)

 

 

3.    Statement of comprehensive income



 

References

Current period

0010

0010

Profit or (-) loss for the year

IAS 1.7, IG6

 

0020

Other comprehensive income

IAS 1.7, IG6

 

0030

Items that will not be reclassified to profit or loss

IAS 1.82A(a)(i)

 

0040

Tangible assets

IAS 1.7, IG6; IAS 16.39-40

 

0050

Intangible assets

IAS 1.7; IAS 38.85-86

 

0060

Actuarial gains or (-) losses on defined benefit pension plans

IAS 1.7, IG6; IAS 19.120(c)

 

0070

Non-current assets and disposal groups held for sale

IFRS 5.38

 

0080

Share of other recognised income and expense of entities accounted for using the equity method

IAS 1.IG6; IAS 28.10

 

0081

Fair value changes of equity instruments measured at fair value through other comprehensive income

IAS 1.7(d)

 

0083

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

 

0084

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

 

0085

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

 

0086

Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk

IAS 1.7(f)

 

0090

Income tax relating to items that will not be reclassified

IAS 1.91(b); Annex V.Part 2.66

 

0100

Items that may be reclassified to profit or loss

IAS 1.82A(a)(ii)

 

0110

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

 

0120

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

 

0130

Transferred to profit or loss

IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59

 

0140

Other reclassifications

Annex V.Part 2.65

 

0150

Foreign currency translation

IAS 1.7, IG6; IAS 21.52(b)

 

0160

Translation gains or (-) losses taken to equity

IAS 21.32, 38-47

 

0170

Transferred to profit or loss

IAS 1.7, 92-95; IAS 21.48-49

 

0180

Other reclassifications

Annex V.Part 2.65

 

0190

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);

 

0200

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)

 

0210

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

 

0220

Transferred to initial carrying amount of hedged items

IAS 1.IG6;IFRS 9.6.5.11(d)(i)

 

0230

Other reclassifications

Annex V.Part 2.65

 

0231

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

 

0232

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)

 

0233

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

 

0234

Other reclassifications

Annex V.Part 2.65

 

0241

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

 

0251

Valuation gains or (-) losses taken to equity

IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4

 

0261

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

 

0270

Other reclassifications

IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65

 

0280

Non-current assets and disposal groups held for sale

IFRS 5.38

 

0290

Valuation gains or (-) losses taken to equity

IFRS 5.38

 

0300

Transferred to profit or loss

IAS 1.7, 92-95; IFRS 5.38

 

0310

Other reclassifications

IFRS 5.IG Example 12

 

0320

Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates

IAS 1.IG6; IAS 28.10

 

0330

Income tax relating to items that may be reclassified to profit or (-) loss

IAS 1.91(b), IG6; Annex V.Part 2.66

 

0340

Total comprehensive income for the year

IAS 1.7, 81A(a), IG6

 

0350

Attributable to minority interest [Non-controlling interest]

IAS 1.83(b)(i), IG6

 

0360

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

0010

0005

Derivatives

 

 

0010

Equity instruments

IAS 32.11, Annex V.Part 1.44(b)

 

0030

of which: credit institutions

Annex V.Part 1.42(c)

 

0040

of which: other financial corporations

Annex V.Part 1.42(d)

 

0050

of which: non-financial corporations

Annex V.Part 1.42(e)

 

0060

Debt securities

Annex V.Part 1.31, 44(b)

 

0070

Central banks

Annex V.Part 1.42(a)

 

0080

General governments

Annex V.Part 1.42(b)

 

0090

Credit institutions

Annex V.Part 1.42(c)

 

0100

Other financial corporations

Annex V.Part 1.42(d)

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

 

0130

Central banks

Annex V.Part 1.42(a)

 

0140

General governments

Annex V.Part 1.42(b)

 

0150

Credit institutions

Annex V.Part 1.42(c)

 

0160

Other financial corporations

Annex V.Part 1.42(d)

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

 

0180

Households

Annex V.Part 1.42(f)

 

0190

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

0010

0020

0010

Equity instruments

IAS 32.11, Annex V.Part 1.44(b)

 

 

0020

of which: credit institutions

Annex V.Part 1.42(c)

 

 

0030

of which: other financial corporations

Annex V.Part 1.42(d)

 

 

0040

of which: non-financial corporations

Annex V.Part 1.42(e)

 

 

0050

Debt securities

Annex V.Part 1.31, 44(b)

 

 

0060

Central banks

Annex V.Part 1.42(a)

 

 

0070

General governments

Annex V.Part 1.42(b)

 

 

0080

Credit institutions

Annex V.Part 1.42(c)

 

 

0090

Other financial corporations

Annex V.Part 1.42(d)

 

 

0100

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0110

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

0120

Central banks

Annex V.Part 1.42(a)

 

 

0130

General governments

Annex V.Part 1.42(b)

 

 

0140

Credit institutions

Annex V.Part 1.42(c)

 

 

0150

Other financial corporations

Annex V.Part 1.42(d)

 

 

0160

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0170

Households

Annex V.Part 1.42(f)

 

 

0180

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

0010

0020

0060

Debt securities

Annex V.Part 1.31, 44(b)

 

 

0070

Central banks

Annex V.Part 1.42(a)

 

 

0080

General governments

Annex V.Part 1.42(b)

 

 

0090

Credit institutions

Annex V.Part 1.42(c)

 

 

0100

Other financial corporations

Annex V.Part 1.42(d)

 

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

0130

Central banks

Annex V.Part 1.42(a)

 

 

0140

General governments

Annex V.Part 1.42(b)

 

 

0150

Credit institutions

Annex V.Part 1.42(c)

 

 

0160

Other financial corporations

Annex V.Part 1.42(d)

 

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0180

Households

Annex V.Part 1.42(f)

 

 

0190

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 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)

Purchased or originated credit-impaired financial assets

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)

Purchased or originated credit-impaired financial assets

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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67

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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d)

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

0010

0015

0020

0030

0040

0041

0050

0060

0070

0071

0080

0090

0010

Equity instruments

IAS 32.11; Annex V.Part 1.44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0050

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0060

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0070

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0080

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0090

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0100

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0110

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0120

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0130

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0140

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0150

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0160

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0165

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

0170

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0180

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

IFRS 7.8(h); IFRS 9.4.1.2A

 

 

 

 

 

 

 

 

 

 

 

 

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 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)

Purchased or originated credit-impaired financial assets

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)

Purchased or originated credit-impaired financial assets

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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67

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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d)

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

0010

0015

0020

0030

0040

0041

0050

0060

0070

0071

0080

0090

0010

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0020

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0030

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0070

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0080

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0090

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0100

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0110

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0125

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

0130

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0140

FINANCIAL ASSETS AT AMORTISED COST

IFRS 7.8(f); IFRS 9.4.1.2

 

 

 

 

 

 

 

 

 

 

 

 

4.5    Subordinated financial assets



 

References

Carrying amount

Annex V.Part 1.27

0010

0010

Loans and advances

Annex V.Part 1.32

 

0020

Debt securities

Annex V.Part 1.31

 

0030

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, trading or held for sale 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)

0005

0010

0020

0030

0040

0050

0060

By product

0010

On demand [call] and short notice [current account]

Annex V.Part 2.85(a)

 

 

 

 

 

 

 

0020

Credit card debt

Annex V.Part 2.85(b)

 

 

 

 

 

 

 

0030

Trade receivables

Annex V.Part 2.85(c)

 

 

 

 

 

 

 

0040

Finance leases

Annex V.Part 2.85(d)

 

 

 

 

 

 

 

0050

Reverse repurchase loans

Annex V.Part 2.85(e)

 

 

 

 

 

 

 

0060

Other term loans

Annex V.Part 2.85(f)

 

 

 

 

 

 

 

0070

Advances that are not loans

Annex V.Part 2.85(g)

 

 

 

 

 

 

 

0080

LOANS AND ADVANCES

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

By collateral

0090

of which: Loans collateralized by immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

0100

of which: other collateralized loans

Annex V.Part 2.86(b), 87

 

 

 

 

 

 

 

By purpose

0110

of which: credit for consumption

Annex V.Part 2.88(a)

 

 

 

 

 

 

 

0120

of which: lending for house purchase

Annex V.Part 2.88(b)

 

 

 

 

 

 

 

By subordination

0130

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, trading or held for sale assets to non-financial corporations by NACE codes



 

References

Non-financial corporations

Annex V.Part 1.42(e), Part 2.91

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

 

of which: defaulted

 

 

Annex V.Part 1.34

Annex V.Part 2.93

Annex V.Part 2. 213-232

CRR art 178; Annex V.Part 2.237(b)

Annex V.Part 2.70-71

Annex V.Part 2.69

0010

0011

0012

0013

0021

0022

0010

A Agriculture, forestry and fishing

NACE Regulation

 

 

 

 

 

 

0020

B Mining and quarrying

NACE Regulation

 

 

 

 

 

 

0030

C Manufacturing

NACE Regulation

 

 

 

 

 

 

0040

D Electricity, gas, steam and air conditioning supply

NACE Regulation

 

 

 

 

 

 

0050

E Water supply

NACE Regulation

 

 

 

 

 

 

0060

F Construction

NACE Regulation

 

 

 

 

 

 

0070

G Wholesale and retail trade

NACE Regulation

 

 

 

 

 

 

0080

H Transport and storage

NACE Regulation

 

 

 

 

 

 

0090

I Accommodation and food service activities

NACE Regulation

 

 

 

 

 

 

0100

J Information and communication

NACE Regulation

 

 

 

 

 

 

0105

K Financial and insurance activities

NACE Regulation, Annex V.Part 2.92

 

 

 

 

 

 

0110

L Real estate activities

NACE Regulation

 

 

 

 

 

 

0120

M Professional, scientific and technical activities

NACE Regulation

 

 

 

 

 

 

0130

N Administrative and support service activities

NACE Regulation

 

 

 

 

 

 

0140

O Public administration and defence, compulsory social security

NACE Regulation

 

 

 

 

 

 

0150

P Education

NACE Regulation

 

 

 

 

 

 

0160

Q Human health services and social work activities

NACE Regulation

 

 

 

 

 

 

0170

R Arts, entertainment and recreation

NACE Regulation

 

 

 

 

 

 

0180

S Other services

NACE Regulation

 

 

 

 

 

 

0190

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)

Purchased or originated credit-impaired financial assets

≤ 30 days

> 30 days ≤ 90 days

> 90 days

≤ 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

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0060

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0070

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0080

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0090

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0100

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0130

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0140

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0150

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0160

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0180

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0190

TOTAL DEBT INSTRUMENTS

Annex V Part 2.94-95

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans and advances by product, by collateral and by subordination

 

 

 

 

 

 

 

 

 

 

 

 

0200

On demand [call] and short notice [current account]

Annex V.Part 2.85(a)

 

 

 

 

 

 

 

 

 

 

 

 

0210

Credit card debt

Annex V.Part 2.85(b)

 

 

 

 

 

 

 

 

 

 

 

 

0220

Trade receivables

Annex V.Part 2.85(c)

 

 

 

 

 

 

 

 

 

 

 

 

0230

Finance leases

Annex V.Part 2.85(d)

 

 

 

 

 

 

 

 

 

 

 

 

0240

Reverse repurchase loans

Annex V.Part 2.85(e)

 

 

 

 

 

 

 

 

 

 

 

 

0250

Other term loans

Annex V.Part 2.85(f)

 

 

 

 

 

 

 

 

 

 

 

 

0260

Advances that are not loans

Annex V.Part 2.85(g)

 

 

 

 

 

 

 

 

 

 

 

 

0270

of which: Loans collateralized by inmovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

0280

of which: other collateralized loans

Annex V.Part 2.86(b), 87

 

 

 

 

 

 

 

 

 

 

 

 

0290

of which: credit for consumption

Annex V.Part 2.88(a)

 

 

 

 

 

 

 

 

 

 

 

 

0300

of which: lending for house purchase

Annex V.Part 2.88(b)

 

 

 

 

 

 

 

 

 

 

 

 

0310

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

0010

0020

0030

0037

0040

0010

Derivatives

IFRS 9.BA.7(a)

 

 

 

 

 

0020

Short positions

FRS 9.BA.7(b)

 

 

 

 

 

0030

Equity instruments

IAS 32.11

 

 

 

 

 

0040

Debt securities

Annex V.Part 1.31

 

 

 

 

 

0050

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

 

 

0060

Central banks

Annex V.Part 1.42(a), 44(c)

 

 

 

 

 

0070

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

0080

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

0090

Deposits redeemable at notice

ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97

 

 

 

 

 

0100

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

0110

General governments

Annex V.Part 1.42(b), 44(c)

 

 

 

 

 

0120

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

0130

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

0140

Deposits redeemable at notice

ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97

 

 

 

 

 

0150

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

0160

Credit institutions

Annex V.Part 1.42(c),44(c)

 

 

 

 

 

0170

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

0180

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

0190

Deposits redeemable at notice

ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97

 

 

 

 

 

0200

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

0210

Other financial corporations

Annex V.Part 1.42(d),44(c)

 

 

 

 

 

0220

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

0230

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

0240

Deposits redeemable at notice

ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97

 

 

 

 

 

0250

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

0260

Non-financial corporations

Annex V.Part 1.42(e), 44(c)

 

 

 

 

 

0270

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

0280

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

0290

Deposits redeemable at notice

ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97

 

 

 

 

 

0300

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

0310

Households

Annex V.Part 1.42(f), 44(c)

 

 

 

 

 

0320

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

0330

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

0340

Deposits redeemable at notice

ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97

 

 

 

 

 

0350

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

0360

Debt securities issued

Annex V.Part 1.37, Part 2.98

 

 

 

 

 

0370

Certificates of deposits

Annex V.Part 2.98(a)

 

 

 

 

 

0380

Asset-backed securities

CRR art 4(1)(61)

 

 

 

 

 

0390

Covered bonds

CRR art 129

 

 

 

 

 

0400

Hybrid contracts

Annex V.Part 2.98(d)

 

 

 

 

 

0410

Other debt securities issued

Annex V.Part 2.98(e)

 

 

 

 

 

0420

Convertible compound financial instruments

IAS 32.AG 31

 

 

 

 

 

0430

Non-convertible

 

 

 

 

 

 

0440

Other financial liabilities

Annex V.Part 1.38-41

 

 

 

 

 

0445

of which: lease liabilities

IFRS 16.22, 26-28, 47(b)

 

 

 

 

 

0450

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

0010

0020

0010

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0020

Debt securities issued

Annex V.Part 1.37

 

 

0030

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)

Purchased or originated credit-impaired instruments

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)

Purchased or originated credit-impaired instruments

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 7.35M; Annex V.Part 2.107

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)

IFRS 7.35M;Annex V.Part 2.107

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

0010

0020

0030

0035

0040

0050

0060

0065

0100

0110

0120

0130

0010

Loan commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116

 

 

 

 

 

 

 

 

 

 

 

 

0021

of which: non-performing

Annex V.Part 2.117

 

 

 

 

 

 

 

 

 

 

 

 

0030

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0040

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0050

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0060

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0070

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0080

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0090

Financial guarantees given

IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116

 

 

 

 

 

 

 

 

 

 

 

 

0101

of which: non-performing

Annex V.Part 2.117

 

 

 

 

 

 

 

 

 

 

 

 

0110

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0120

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0130

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0140

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0150

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0160

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0170

Other Commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116

 

 

 

 

 

 

 

 

 

 

 

 

0181

of which: non-performing

Annex V.Part 2.117

 

 

 

 

 

 

 

 

 

 

 

 

0190

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0200

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0210

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0220

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0230

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0240

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

0010

0020

0010

Loan commitments received

IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113

 

 

0020

Central banks

Annex V.Part 1.42(a)

 

 

0030

General governments

Annex V.Part 1.42(b)

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0070

Households

Annex V.Part 1.42(f)

 

 

0080

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

 

 

0090

Central banks

Annex V.Part 1.42(a)

 

 

0100

General governments

Annex V.Part 1.42(b)

 

 

0110

Credit institutions

Annex V.Part 1.42(c)

 

 

0120

Other financial corporations

Annex V.Part 1.42(d)

 

 

0130

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0140

Households

Annex V.Part 1.42(f)

 

 

0150

Other Commitments received

Annex V.Part 1.44(h), Part 2.102-103, 115

 

 

0160

Central banks

Annex V.Part 1.42(a)

 

 

0170

General governments

Annex V.Part 1.42(b)

 

 

0180

Credit institutions

Annex V.Part 1.42(c)

 

 

0190

Other financial corporations

Annex V.Part 1.42(d)

 

 

0200

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0210

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

0010

0020

0030

0040

0010

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

0020

of which: economic hedges

Annex V.Part 2.137-139

 

 

 

 

0030

OTC options

Annex V.Part 2.136

 

 

 

 

0040

OTC other

Annex V.Part 2.136

 

 

 

 

0050

Organized market options

Annex V.Part 2.136

 

 

 

 

0060

Organized market other

Annex V.Part 2.136

 

 

 

 

0070

Equity

Annex V.Part 2.129(b)

 

 

 

 

0080

of which: economic hedges

Annex V.Part 2.137-139

 

 

 

 

0090

OTC options

Annex V.Part 2.136

 

 

 

 

0100

OTC other

Annex V.Part 2.136

 

 

 

 

0110

Organized market options

Annex V.Part 2.136

 

 

 

 

0120

Organized market other

Annex V.Part 2.136

 

 

 

 

0130

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

0140

of which: economic hedges

Annex V.Part 2.137-139

 

 

 

 

0150

OTC options

Annex V.Part 2.136

 

 

 

 

0160

OTC other

Annex V.Part 2.136

 

 

 

 

0170

Organized market options

Annex V.Part 2.136

 

 

 

 

0180

Organized market other

Annex V.Part 2.136

 

 

 

 

0190

Credit

Annex V.Part 2.129(d)

 

 

 

 

0195

of which: economic hedges with use of the fair value option

IFRS 9.6.7.1; Annex V.Part 2.140

 

 

 

 

0201

of which: other economic hedges

Annex V.Part 2.137-140

 

 

 

 

0210

Credit default swap

 

 

 

 

 

0220

Credit spread option

 

 

 

 

 

0230

Total return swap

 

 

 

 

 

0240

Other

 

 

 

 

 

0250

Commodity

Annex V.Part 2.129(e)

 

 

 

 

0260

of which: economic hedges

Annex V.Part 2.137-139

 

 

 

 

0270

Other

Annex V.Part 2.129(f)

 

 

 

 

0280

of which: economic hedges

Annex V.Part 2.137-139

 

 

 

 

0290

DERIVATIVES

IFRS 9.Appendix A

 

 

 

 

0300

of which: OTC - credit institutions

Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142

 

 

 

 

0310

of which: OTC - other financial corporations

Annex V.Part 1.42(d), 44(e), Part 2.141(b)

 

 

 

 

0320

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

0010

0020

0030

0040

0010

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

0020

OTC options

Annex V.Part 2.136

 

 

 

 

0030

OTC other

Annex V.Part 2.136

 

 

 

 

0040

Organized market options

Annex V.Part 2.136

 

 

 

 

0050

Organized market other

Annex V.Part 2.136

 

 

 

 

0060

Equity

Annex V.Part 2.129(b)

 

 

 

 

0070

OTC options

Annex V.Part 2.136

 

 

 

 

0080

OTC other

Annex V.Part 2.136

 

 

 

 

0090

Organized market options

Annex V.Part 2.136

 

 

 

 

0100

Organized market other

Annex V.Part 2.136

 

 

 

 

0110

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

0120

OTC options

Annex V.Part 2.136

 

 

 

 

0130

OTC other

Annex V.Part 2.136

 

 

 

 

0140

Organized market options

Annex V.Part 2.136

 

 

 

 

0150

Organized market other

Annex V.Part 2.136

 

 

 

 

0160

Credit

Annex V.Part 2.129(d)

 

 

 

 

0170

Credit default swap

Annex V.Part 2.136

 

 

 

 

0180

Credit spread option

Annex V.Part 2.136

 

 

 

 

0190

Total return swap

Annex V.Part 2.136

 

 

 

 

0200

Other

Annex V.Part 2.136

 

 

 

 

0210

Commodity

Annex V.Part 2.129(e)

 

 

 

 

0220

Other

Annex V.Part 2.129(f)

 

 

 

 

0230

FAIR VALUE HEDGES

IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a)

 

 

 

 

0240

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

0250

OTC options

Annex V.Part 2.136

 

 

 

 

0260

OTC other

Annex V.Part 2.136

 

 

 

 

0270

Organized market options

Annex V.Part 2.136

 

 

 

 

0280

Organized market other

Annex V.Part 2.136

 

 

 

 

0290

Equity

Annex V.Part 2.129(b)

 

 

 

 

0300

OTC options

Annex V.Part 2.136

 

 

 

 

0310

OTC other

Annex V.Part 2.136

 

 

 

 

0320

Organized market options

Annex V.Part 2.136

 

 

 

 

0330

Organized market other

Annex V.Part 2.136

 

 

 

 

0340

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

0350

OTC options

Annex V.Part 2.136

 

 

 

 

0360

OTC other

Annex V.Part 2.136

 

 

 

 

0370

Organized market options

Annex V.Part 2.136

 

 

 

 

0380

Organized market other

Annex V.Part 2.136

 

 

 

 

0390

Credit

Annex V.Part 2.129(d)

 

 

 

 

0400

Credit default swap

Annex V.Part 2.136

 

 

 

 

0410

Credit spread option

Annex V.Part 2.136

 

 

 

 

0420

Total return swap

Annex V.Part 2.136

 

 

 

 

0430

Other

Annex V.Part 2.136

 

 

 

 

0440

Commodity

Annex V.Part 2.129(e)

 

 

 

 

0450

Other

Annex V.Part 2.129(f)

 

 

 

 

0460

CASH FLOW HEDGES

IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b)

 

 

 

 

0470

HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION

IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c)

 

 

 

 

0480

PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK

IAS 39.71, 81A, 89A, AG 114-132

 

 

 

 

0490

PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK

IAS 39.71

 

 

 

 

0500

DERIVATIVES-HEDGE ACCOUNTING

IFRS 7.24A; IAS 39.9; IFRS 9.6.1

 

 

 

 

0510

of which: OTC - credit institutions

Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142

 

 

 

 

0520

of which: OTC - other financial corporations

Annex V.Part 1.42(d), 44(e), Part 2.141(b)

 

 

 

 

0530

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

0010

0020

0030

0010

Non-derivative financial assets

IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2

 

 

 

0020

of which: Financial assets held for trading

IFRS 9.Appendix A

 

 

 

0030

of which: Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 9.4.1.4; IFRS 7.8(a)(ii)

 

 

 

0040

of which: Financial assets designated at fair value through profit or loss

IFRS 9.4.1.5; IFRS 7.8(a)(i)

 

 

 

0050

Non-derivative financial liabilities

IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2

 

 

 

0060

Financial liabilities held for trading

IFRS 9.Appendix A

 

 

 

0070

Financial liabilities designated at fair value through profit or loss

IFRS 9.4.2.1; IFRS 9.6.2.2

 

 

 

0080

Financial assets at amortised cost

IFRS 9.4.2.1; IFRS 9.6.2.2

 

 

 

11.4    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

0010

0020

0030

0040

0050

 

ASSETS

 

 

 

 

 

 

0010

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

 

 

 

 

 

0020

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

 

0030

Equity

Annex V.Part 2.129(b)

 

 

 

 

 

0040

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

 

0050

Credit

Annex V.Part 2.129(d)

 

 

 

 

 

0060

Commodity

Annex V.Part 2.129(e)

 

 

 

 

 

0070

Other

Annex V.Part 2.129(f)

 

 

 

 

 

0080

Financial assets measured at amortised cost

IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151

 

 

 

 

 

0090

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

 

0100

Equity

Annex V.Part 2.129(b)

 

 

 

 

 

0110

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

 

0120

Credit

Annex V.Part 2.129(d)

 

 

 

 

 

0130

Commodity

Annex V.Part 2.129(e)

 

 

 

 

 

0140

Other

Annex V.Part 2.129(f)

 

 

 

 

 

 

LIABILITIES

 

 

 

 

 

 

0150

Financial liabilities measured at amortised costs

IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151

 

 

 

 

 

0160

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

 

0170

Equity

Annex V.Part 2.129(b)

 

 

 

 

 

0180

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

 

0190

Credit

Annex V.Part 2.129(d)

 

 

 

 

 

0200

Commodity

Annex V.Part 2.129(e)

 

 

 

 

 

0210

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

Gains or losses on derecognition of debt instruments

 

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

Annex V.Part 2.166i

0010

0020

0030

0040

0050

0070

0080

0090

0100

0110

0120

0125

0010

Allowances for financial assets without increase in credit risk since initial recognition (Stage 1)

IFRS 9.5.5.5

 

 

 

 

 

 

 

 

 

 

 

 

0015

Cash balances at central banks and other demand deposits

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

0020

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0030

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0040

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0050

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0060

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0070

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0090

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0100

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0110

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0120

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0130

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0140

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: collectively measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: individually measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0180

Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

IFRS 9.5.5.3

 

 

 

 

 

 

 

 

 

 

 

 

0185

Cash balances at central banks and other demand deposits

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

0190

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0200

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0210

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0220

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0230

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0240

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0250

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0260

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0270

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0280

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0290

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0300

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0310

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0330

of which: collectively measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0340

of which: individually measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0350

of which: non-performing

Annex V.Part 2.213-232

 

 

 

 

 

 

 

 

 

 

 

 

0360

Allowances for credit-impaired debt instruments (Stage 3)

IFRS 9.5.5.1, 9. Appendix A

 

 

 

 

 

 

 

 

 

 

 

 

0365

Cash balances at central banks and other demand deposits

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

0370

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0380

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0390

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0400

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0410

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0420

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0430

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0440

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0450

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0460

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0470

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0480

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0490

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0500

of which: collectively measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0510

of which: individually measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0600

Allowances for purchased or originated credit-impaired financial assets

Annex V.Part 2.156

 

 

 

 

 

 

 

 

 

 

 

 

0610

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0620

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0630

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0640

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0650

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0660

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0670

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0680

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0690

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0700

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0710

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0720

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0730

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0740

of which: collectively measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0750

of which: individually measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0520

Total allowance for debt instruments

IFRS 7.B8E

 

 

 

 

 

 

 

 

 

 

 

 

0530

Commitments and financial guarantees given (Stage 1)

IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157

 

 

 

 

 

 

 

 

 

 

 

 

0540

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

 

 

 

 

 

 

 

 

 

 

 

 

0550

of which: non-performing

Annex V.Part 2.117

 

 

 

 

 

 

 

 

 

 

 

 

0560

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

 

 

 

 

 

 

 

 

 

 

 

 

0565

Commitments and financial guarantees given (Purchased or originated credit-impaired)

Annex V.Part 2.156

 

 

 

 

 

 

 

 

 

 

 

 

0570

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

0010

0020

0030

0040

0050

0060

0010

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

0020

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

0030

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

0070

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

0080

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

0090

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

0100

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

0110

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

0130

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

0140

Total debt instruments

 

 

 

 

 

 

 

0150

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 collateralised loans

Financial guarantees received

 

Residential immovable property

Commercial immovable property

Cash, deposits, [debt securities issued]

Movable property

Equity and debt securities

Rest

of which: credit derivatives

IFRS 7.36(b)

Annex V.Part 2.173(a)

Annex V.Part 2.173(a)

Annex V.Part 2.173(b)(i)

Annex V.Part 2.173(b)(ii)

Annex V.Part 2.173(b)(iii)

Annex V.Part 2.173(b)(iv)

Annex V.Part 2.173(c)

Annex V.Part 2.114(b)

 

0010

0020

0030

0031

0032

0041

0050

0055

0010

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

0015

of which: non-performing

CRR Art. 47a (3); Annex V. Part 2. 213-239, 260

 

 

 

 

 

 

 

 

0020

of which: Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0030

of which: Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

0035

of which: Small and Medium-sized Enterprises (SMEs)

SME Art 1 2(a)

 

 

 

 

 

 

 

 

0036

of which: Commercial real estate (CRE) loans to small and medium-sized enterprises

SME Art 1 2(a); Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

0037

of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

0040

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

0050

of which: Lending for house purchase

Annex V.Part 2.88(b)

 

 

 

 

 

 

 

 

0060

of which: Credit for consumption

Annex V.Part 2.88(a)

 

 

 

 

 

 

 

 

13.2.1    Collateral obtained by taking possession during the period [held at the reference date]



 

References

Collateral obtained by taking possession during the period [held at the reference date]

(Annex V.Part 2.175)

 

 

 

Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7)

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Annex V.Part 2.175i

Annex V.Part 1.27-28

Annex V.Part 2.175ii

Annex V.Part 2.175i

Annex V.Part 1.27-28

0010

0020

0030

0040

0050

0010

Property, Plant and Equipment

IAS 16.6

 

 

 

 

 

0020

Other than Property Plant and Equipment

IFRS 7.38(a)

 

 

 

 

 

0030

Residential immovable property

IFRS 7.38(a), Annex V.Part 2.173(a)

 

 

 

 

 

0040

Commercial immovable property

IFRS 7.38(a), Annex V.Part 2.173(a)

 

 

 

 

 

0050

Movable property

IFRS 7.38(a), Annex V.Part 2.173(b)(ii)

 

 

 

 

 

0060

Equity and debt securities

IFRS 7.38(a), Annex V.Part 2.173(b)(iii)

 

 

 

 

 

0070

Other

IFRS 7.38(a), Annex V.Part 2.173(b)(iv)

 

 

 

 

 

0080

Total

 

 

 

 

 

 

13.3.1    Collateral obtained by taking possession accumulated



 

References

Collateral obtained by taking possession accumulated

(Annex V.Part 2.176)

 

 

 

Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7)

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Annex V.Part 2.175i

Annex V.Part 1.27-28

Annex V.Part 2.175ii

Annex V.Part 2.175i

Annex V.Part 1.27-28

0010

0020

0030

0040

0050

0010

Property, Plant and Equipment

IAS 16.6

 

 

 

 

 

0020

Other than Property Plant and Equipment

IFRS 7.38(a)

 

 

 

 

 

0030

Residential immovable property

IFRS 7.38(a), Annex V.Part 2.173(a)

 

 

 

 

 

0040

Commercial immovable property

IFRS 7.38(a), Annex V.Part 2.173(a)

 

 

 

 

 

0050

Movable property

IFRS 7.38(a), Annex V.Part 2.173(b)(ii)

 

 

 

 

 

0060

Equity and debt securities

IFRS 7.38(a), Annex V.Part 2.173(b)(iii)

 

 

 

 

 

0070

Other

IFRS 7.38(a), Annex V.Part 2.173(b)(iv)

 

 

 

 

 

0080

Total

 

 

 

 

 

 

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

0010

0020

0030

0040

0050

0060

0070

0080

ASSETS

 

 

 

 

 

 

 

 

 

0010

Financial assets held for trading

IFRS 7.8(a)(ii);IFRS 9.Appendix A

 

 

 

 

 

 

 

 

0020

Derivatives

IFRS 9.Appendix A

 

 

 

 

 

 

 

 

0030

Equity instruments

IAS 32.11,

 

 

 

 

 

 

 

 

0040

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

0050

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

0056

Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 9.4.1.4; IFRS 7.8(a)(ii)

 

 

 

 

 

 

 

 

0057

Equity instruments

IAS 32.11

 

 

 

 

 

 

 

 

0058

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

0059

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

0060

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5

 

 

 

 

 

 

 

 

0080

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

0090

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

0101

Financial assets at fair value through other comprehensive income

IFRS 7.8 (h); IFRS 9.4.1.2A

 

 

 

 

 

 

 

 

0102

Equity instruments

IAS 32.11

 

 

 

 

 

 

 

 

0103

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

0104

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

0140

Derivatives – Hedge accounting

IFRS 9.6.2.1; Annex V.Part 1.22

 

 

 

 

 

 

 

 

LIABILITIES

 

 

 

 

 

 

 

 

 

0150

Financial liabilities held for trading

IFRS 7.8 (e) (ii); IFRS 9.BA.6

 

 

 

 

 

 

 

 

0160

Derivatives

IFRS 9.BA.7(a)

 

 

 

 

 

 

 

 

0170

Short positions

IFRS 9.BA.7(b)

 

 

 

 

 

 

 

 

0180

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

 

 

 

 

 

0190

Debt securities issued

Annex V.Part 1.37

 

 

 

 

 

 

 

 

0200

Other financial liabilities

Annex V.Part 1.38-41

 

 

 

 

 

 

 

 

0210

Financial liabilities designated at fair value through profit or loss

IFRS 7.8 (e) (i); IFRS 9.4.1.5

 

 

 

 

 

 

 

 

0220

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

 

 

 

 

 

0230

Debt securities issued

Annex V.Part 1.37

 

 

 

 

 

 

 

 

0240

Other financial liabilities

Annex V.Part 1.38-41

 

 

 

 

 

 

 

 

0250

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

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

Financial assets held for trading

IFRS 7.8(a)(ii);IFRS 9.Appendix A

 

 

 

 

 

 

 

 

 

 

 

0020

Equity instruments

IAS 32.11

 

 

 

 

 

 

 

 

 

 

 

0030

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0040

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0045

Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 9.4.1.4

 

 

 

 

 

 

 

 

 

 

 

0046

Equity instruments

IAS 32.11

 

 

 

 

 

 

 

 

 

 

 

0047

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0048

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0050

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5

 

 

 

 

 

 

 

 

 

 

 

0070

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0091

Financial assets at fair value through other comprehensive income

IFRS 7.8(h); IFRS 9.4.1.2A

 

 

 

 

 

 

 

 

 

 

 

0092

Equity instruments

IAS 32.11

 

 

 

 

 

 

 

 

 

 

 

0093

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0094

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0131

Financial assets at amortised cost

IFRS 7.8 (f); IFRS 9.4.1.2

 

 

 

 

 

 

 

 

 

 

 

0132

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0133

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0190

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

0010

0020

0010

Derivatives -Trading

IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193

 

 

0015

of which: interest income from derivatives in economic hedges

Annex V.Part 2.193

 

 

0020

Debt securities

Annex V.Part 1.31, 44(b)

 

 

0030

Central banks

Annex V.Part 1.42(a)

 

 

0040

General governments

Annex V.Part 1.42(b)

 

 

0050

Credit institutions

Annex V.Part 1.42(c)

 

 

0060

Other financial corporations

Annex V.Part 1.42(d)

 

 

0070

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0080

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

0090

Central banks

Annex V.Part 1.42(a)

 

 

0100

General governments

Annex V.Part 1.42(b)

 

 

0110

Credit institutions

Annex V.Part 1.42(c)

 

 

0120

Other financial corporations

Annex V.Part 1.42(d)

 

 

0130

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0140

Households

Annex V.Part 1.42(f)

 

 

0141

of which: lending for house purchase

Annex V.Part 2.88(b), 194i

 

 

0142

of which: credit for consumption

Annex V.Part 2.88(a), 194i

 

 

0150

Other assets

Annex V.Part 2.5

 

 

0160

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0170

Central banks

Annex V.Part 1.42(a)

 

 

0180

General governments

Annex V.Part 1.42(b)

 

 

0190

Credit institutions

Annex V.Part 1.42(c)

 

 

0200

Other financial corporations

Annex V.Part 1.42(d)

 

 

0210

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0220

Households

Annex V.Part 1.42(f)

 

 

0230

Debt securities issued

Annex V.Part 1.37

 

 

0240

Other financial liabilities

Annex V.Part 1.32-34, Part 2.191

 

 

0250

Derivatives - Hedge accounting, interest rate risk

Annex V.Part 2.192

 

 

0260

Other Liabilities

Annex V.Part 1.38-41

 

 

0270

INTEREST

IAS 1.97

 

 

0280

of which: interest-income on credit impaired financial assets

IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194

 

 

0290

of which: interest from leases

IFRS 16.38 (a), 49, Annex V.Part 2.194ii

 

 

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

0010

0020

Debt securities

Annex V.Part 1.31

 

0030

Loans and advances

Annex V.Part 1.32

 

0040

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

0050

Debt securities issued

Annex V.Part 1.37

 

0060

Other financial liabilities

Annex V.Part 1.38-41

 

0070

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

0010

0010

Derivatives

IFRS 9.Appendix A, .BA.1, .BA.7(a)

 

0015

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

 

0020

Equity instruments

IAS 32.11

 

0030

Debt securities

Annex V.Part 1.31

 

0040

Loans and advances

Annex V.Part 1.32

 

0050

Short positions

IFRS 9.BA.7(b)

 

0060

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

0070

Debt securities issued

Annex V.Part 1.37

 

0080

Other financial liabilities

Annex V.Part 1.38-41

 

0090

GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET

IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i)

 

0095

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

0010

0010

Interest rate instruments and related derivatives

Annex V.Part 2.200(a)

 

0020

Equity instruments and related derivatives

Annex V.Part 2.200(b)

 

0030

Foreign exchange trading and derivatives related with foreign exchange and gold

Annex V.Part 2.200(c)

 

0040

Credit risk instruments and related derivatives

Annex V.Part 2.200(d)

 

0050

Derivatives related with commodities

Annex V.Part 2.200(e)

 

0060

Other

Annex V.Part 2.200(f)

 

0070

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

0010

0020

Equity instruments

IAS 32.11

 

0030

Debt securities

Annex V.Part 1.31

 

0040

Loans and advances

Annex V.Part 1.32

 

0090

GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET

IFRS 7.20(a)(i)

 

0100

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

0010

0020

0020

Debt securities

Annex V.Part 1.31

 

 

0030

Loans and advances

Annex V.Part 1.32

 

 

0040

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0050

Debt securities issued

Annex V.Part 1.37

 

 

0060

Other financial liabilities

Annex V.Part 1.38-41

 

 

0070

GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET

IFRS 7.20(a)(i)

 

 

0071

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

 

 

0072

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

0010

0010

Fair value changes of the hedging instrument [including discontinuation]

IFRS 7.24A(c);IFRS 7.24C(b)(vi)

 

0020

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

 

0030

Ineffectiveness in profit or loss from cash flow hedges

IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi)

 

0040

Ineffectiveness in profit or loss from hedges of net investments in foreign operations

IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi)

 

0050

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

 

0010

0020

0040

0060

Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates

IAS 28.40-43

 

 

 

0070

Subsidiaries

IFRS 10 Appendix A

 

 

 

0080

Joint ventures

IAS 28.3

 

 

 

0090

Associates

IAS 28.3

 

 

 

0100

Impairment or (-) reversal of impairment on non-financial assets

IAS 36.126(a),(b)

 

 

 

0110

Property, plant and equipment

IAS 16.73(e)(v-vi)

 

 

 

0120

Investment properties

IAS 40.79(d)(v)

 

 

 

0130

Goodwill

IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)

 

 

 

0140

Other intangible assets

IAS 38.118(e)(iv)(v)

 

 

 

0145

Other

IAS 36.126(a),(b)

 

 

 

0150

TOTAL

 

 

 

 

16.8    Other administrative expenses



 

References National GAAP compatible IFRS

Current period

Expenses

0010

0010

Information Technology expenses

Annex V.Part 2.208i

 

0020

IT outsourcing

Annex V.Part 2.208i-208ii

 

0030

IT expenses other than IT outsourcing expenses

Annex V.Part 2.208i

 

0040

Taxes and duties (other)

Annex V.Part 2.208iii

 

0050

Consulting and professional services

Annex V.Part 2.208iv

 

0060

Advertising, marketing and communication

Annex V.Part 2.208v

 

0070

Expenses related to credit risk

Annex V.Part 2.208vi

 

0080

Litigation expenses not covered by provisions

Annex V.Part 2.208vii

 

0090

Real estate expenses

Annex V.Part 2.208viii

 

0100

Leasing expenses

Annex V.Part 2.208ix

 

0110

Other admininstrative expenses - Rest

Annex V.Part 2.208x

 

0120

OTHER ADMINISTRATIVE EXPENSES

 

 

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

0010

0010

Cash, cash balances at central banks and other demand deposits

IAS 1.54 (i)

 

0020

Cash on hand

Annex V.Part 2.1

 

0030

Cash balances at central banks

Annex V.Part 2.2

 

0040

Other demand deposits

Annex V.Part 2.3

 

0050

Financial assets held for trading

IFRS 7.8(a)(ii);IFRS 9.Appendix A

 

0060

Derivatives

IFRS 9.Appendix A

 

0070

Equity instruments

IAS 32.11

 

0080

Debt securities

Annex V.Part 1.31

 

0090

Loans and advances

Annex V.Part 1.32

 

0096

Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 9.4.1.4

 

0097

Equity instruments

IAS 32.11

 

0098

Debt securities

Annex V.Part 1.31

 

0099

Loans and advances

Annex V.Part 1.32

 

0100

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5

 

0120

Debt securities

Annex V.Part 1.31

 

0130

Loans and advances

Annex V.Part 1.32

 

0141

Financial assets at fair value through other comprehensive income

IFRS 7.8(h); IFRS 9.4.1.2A

 

0142

Equity instruments

IAS 32.11

 

0143

Debt securities

Annex V.Part 1.31

 

0144

Loans and advances

Annex V.Part 1.32

 

0181

Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2

 

0182

Debt securities

Annex V.Part 1.31

 

0183

Loans and advances

Annex V.Part 1.32

 

0240

Derivatives – Hedge accounting

IFRS 9.6.2.1; Annex V.Part 1.22

 

0250

Fair value changes of the hedged items in portfolio hedge of interest rate risk

IAS 39.89A(a); IFRS 9.6.5.8

 

0260

Investments in subsidaries, joint ventures and associates

IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210

 

0270

Assets under reinsurance and insurance contracts

IFRS 4.IG20.(b)-(c); Annex V.Part 2.211

 

0280

Tangible assets

 

 

0290

Intangible assets

IAS 1.54(c); CRR art 4(1)(115)

 

0300

Goodwill

IFRS 3.B67(d); CRR art 4(1)(113)

 

0310

Other intangible assets

IAS 38.8,118

 

0320

Tax assets

IAS 1.54(n-o)

 

0330

Current tax assets

IAS 1.54(n); IAS 12.5

 

0340

Deferred tax assets

IAS 1.54(o); IAS 12.5; CRR art 4(1)(106)

 

0350

Other assets

Annex V.Part 2.5

 

0360

Non-current assets and disposal groups classified as held for sale

IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6

 

0370

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

0010

0010

Loan commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116

 

0020

Financial guarantees given

IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116

 

0030

Other Commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116

 

0040

OFF-BALANCE SHEET EXPOSURES

 

 

17.3    Liabilities and equity



 

References

Accounting scope of consolidation [Carrying amount]

Annex V.Part 1.27, Part 2.209

0010

0010

Financial liabilities held for trading

IFRS 7.8 (e) (ii); IFRS 9.BA.6

 

0020

Derivatives

IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)

 

0030

Short positions

IFRS 9.BA7(b)

 

0040

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

0050

Debt securities issued

Annex V.Part 1.37

 

0060

Other financial liabilities

Annex V.Part 1.38-41

 

0070

Financial liabilities designated at fair value through profit or loss

IFRS 7.8 (e)(i); IFRS 9.4.2.2

 

0080

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

0090

Debt securities issued

Annex V.Part 1.37

 

0100

Other financial liabilities

Annex V.Part 1.38-41

 

0110

Financial liabilities measured at amortised cost

IFRS 7.8(g); IFRS 9.4.2.1

 

0120

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

0130

Debt securities issued

Annex V.Part 1.37

 

0140

Other financial liabilities

Annex V.Part 1.38-41

 

0150

Derivatives – Hedge accounting

IFRS 9.6.2.1; Annex V.Part 1.26

 

0160

Fair value changes of the hedged items in portfolio hedge of interest rate risk

IAS 39.89A(b), IFRS 9.6.5.8

 

0170

Liabilities under insurance and reinsurance contracts

IFRS 4.IG20(a); Annex V.Part 2.212

 

0180

Provisions

IAS 37.10; IAS 1.54(l)

 

0190

Tax liabilities

IAS 1.54(n-o)

 

0200

Current tax liabilities

IAS 1.54(n); IAS 12.5

 

0210

Deferred tax liabilities

IAS 1.54(o); IAS 12.5; CRR art 4(1)(108)

 

0220

Share capital repayable on demand

IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12

 

0230

Other liabilities

Annex V.Part 2.13

 

0240

Liabilities included in disposal groups classified as held for sale

IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14

 

0250

LIABILITIES

IAS 1.9(b);IG 6

 

0260

Capital

IAS 1.54(r), BAD art 22

 

0270

Share premium

IAS 1.78(e); CRR art 4(1)(124)

 

0280

Equity instruments issued other than capital

Annex V.Part 2.18-19

 

0290

Other equity

IFRS 2.10; Annex V.Part 2.20

 

0300

Accumulated other comprehensive income

CRR art 4(1)(100)

 

0310

Retained earnings

CRR art 4(1)(123)

 

0320

Revaluation reserves

IFRS 1.33, D5-D8

 

0330

Other reserves

IAS 1.54; IAS 1.78 (e)

 

0340

(-)  Treasury shares

IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28

 

0350

Profit or loss attributable to owners of the parent

IFRS 10.B94

 

0360

(-)  Interim dividends

IAS 32.35

 

0370

Minority interests [Non-controlling interests]

IAS 1.54(q); IFRS 10.22, .B94

 

0380

TOTAL EQUITY

IAS 1.9(c), IG 6

 

0390

TOTAL EQUITY AND TOTAL LIABILITIES

IAS 1.IG6

 

18.    Information on performing and non-performing exposures (continued)

18.0.    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

Of which: Instruments without significant increase in credit risk since initial recognition (Stage 1)

Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Of which: purchased or originated credit-impaired financial assets

 

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 <= 2 years

Past due > 2 year <= 5 years

Past due > 5 year <= 7 years

Past due > 7 years

Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Of which: defaulted

of which: Credit-impaired instruments (Stage 3)

of which: purchased or originated credit-impaired financial assets

 

of which: Past due > 30 days <= 90 days

of which: Instruments without significant increase in credit risk since initial recognition (Stage 1)

of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

of which: purchased or originated credit-impaired financial assets

 

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 <= 2 year

Past due > 2 year <= 5 year

Past due > 5 year <= 7 years

Past due > 7 years

Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Of which: Credit-impaired instruments (Stage 3)

of which: purchased or originated credit-impaired financial assets

Collateral received on performing exposues

Collateral received on non-performing exposues

Financialguarantees received on performing exposures

Financialguarantees received on non-performing exposures

0010

0020

0030

0055

0056

0057

0058

0060

0070

0080

0090

0101

0102

0106

0107

0109

0110

0121

0900

0130

0140

0910

0141

0142

0143

0150

0160

0170

0180

0191

0192

0196

0197

0950

0951

0952

0201

0200

0205

0210

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

IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d)

IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)

IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)

CRR Art. 47a (3); 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

Annex V. Part 2. 222, 235-236

Annex V. Part 2. 222, 235-236

IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)

CRR art 178; Annex V.Part 2.237(b)

IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a)

IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)

Annex V. Part 2. 238

Annex V. Part 2. 238

Annex V. Part 2. 222, 235, 237(f)

IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d)

IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)

IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)

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. 236, 238

Annex V. Part 2. 236, 238

IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)

IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a)

IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

0005

Cash balances at central banks and other demand deposits

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0010

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

DEBT INSTRUMENTS AT COST OR AT AMORTISED COST

Annex V.Part 2.233(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0181

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0182

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0183

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0184

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0185

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0186

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0191

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0192

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0193

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0194

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0195

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0196

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0900

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0903

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0197

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0910

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0913

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0201

DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT

Annex V.Part 2.233(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0211

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0212

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0213

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0214

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0215

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0216

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0221

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0222

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0223

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0224

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0225

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0226

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0920

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0923

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0227

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0930

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0933

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0231

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0330

DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING

Annex V.Part 2.217

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0335

DEBT INSTRUMENTS HELD FOR SALE

Annex V.Part 2.220

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0340

Loan commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0350

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0360

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0370

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0380

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0390

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0400

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0410

Financial guarantees given

IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0420

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0430

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0440

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0450

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0460

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0470

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0480

Other Commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0490

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0500

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0510

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0520

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0530

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0540

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0550

OFF-BALANCE SHEET EXPOSURES

Annex V.Part 2.217

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

18.1.    Inflows and outflows of non-performing exposures - loans and advances by counterparty sector



 

References

Gross carrying amount of loans and advances

Inflows to non-performing exposures

(-) Outflows from non-performing exposures

0010

0020

Annex V. Part 2.213-216, 224-234, 239i-239iii, 239vi

Annex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi

0010

Central banks

Annex V.Part 1.42(a)

 

 

0020

General governments

Annex V.Part 1.42(b)

 

 

0030

Credit institutions

Annex V.Part 1.42(c)

 

 

0040

Other financial corporations

Annex V.Part 1.42(d)

 

 

0050

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0060

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

0070

Of which: Commercial real estate (CRE) loans to small and medium-sized enterprises

SME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix

 

 

0080

Of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs

Annex V.Part 2.239vii (a), 239ix

 

 

0090

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 239vii (b)

 

 

0100

Households

Annex V.Part 1.42(f)

 

 

0110

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 239vii (b)

 

 

0120

Of which: Credit for consumption

Annex V.Part 2.88(a), 239vii (c)

 

 

0130

LOANS AND ADVANCES OTHER THAN HELD FOR TRADING OR TRADING

Annex V.Part 2.217

 

 

0140

LOANS AND ADVANCES HELD FOR SALE

Annex V.Part 2.220

 

 

0150

TOTAL INFLOWS / OUTFLOWS

 

 

 

18.2    Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property



 

References

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Maximum amount of the collateral or guarantee that can be considered

Annex V. Part 2.119

 

of which: exposures with forbearance measures

Performing

Non-performing

 

Of which: Exposures with forbearance measures

Performing exposures - Accumulated impairments

 

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

of which: performing exposures with forbearance measures

 

 

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 <= 2 years

Past due > 2 year <= 5 years

Past due > 5 year <= 7 years

Past due > 7 years

Of which: defaulted

Of which: Non-performing exposures with forbearance measures

Of which: Performing exposures with forbearance measures

 

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 < = 2 year

Past due> 2 year < = 5 year

Past due> 5 year <= 7 years

Past due > 7 years

Of which: Non-performing exposures with forbearance measures

Collateral received on performing exposures

Collateral received on non-performing exposures

Financialguarantees received on performing exposures

Financialguarantees received on non-performing exposures

of which: Performing forborne exposures under probation reclassified from non-performing

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

0280

0290

0300

0310

0320

0330

0340

Annex V. Part 1.34, Part 2.118, 221

Annex V. Part 1.34, Part 2. 118, 240-245, 251-258

Annex V. Part 2. 213-216, 223-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 222, 235

Annex V. Part 2. 256, 259-262

Annex V. Part 2. 256(b), 261

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

Annex V. Part 2. 222, 235-236

Annex V. Part 2. 222, 235-236

CRR art 178; Annex V.Part 2.237(b)

Annex V. Part 2. 259-263

Annex V. Part 2. 238

Annex V. Part 2. 267

Annex V. Part 2. 238

Annex V. Part 2. 207

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. 236, 238

Annex V. Part 2. 236, 238

Annex V. Part 2. 207

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

0010

Non-financial corporations

Commercial real estate (CRE) loans to small and medium-sized enterprises

SME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Commercial real estate (CRE) loans to non-financial corporations other than SMEs

Annex V.Part 2.239vi (a), 239vii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 239vi (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Of which: Loans with LTV ratio higher than 60% and less than or equal to 80%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Of which: Loans with LTV ratio higher than 80% and less than or equal to 100%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Of which: Loans with LTV ratio higher than 100%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

House-holds

Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 239vi (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Of which: Loans with LTV ratio higher than 60% and less than or equal to 80%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Of which: Loans with LTV ratio higher than 80% and less than or equal to 100%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Of which: Loans with LTV ratio higher than 100%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

Financialguarantees received on exposures with forbearance measures

 

Of which: Collateral received on non-performing exposures with forbearance measures

 

Of which: Financialguarantees received on non-performing exposures with forbearance measures

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0175

0180

0185

CRR Art. 47b (1), (2); Annex V. Part 1.34, Part 2. 118, 240-245, 251-258

Annex V. Part 2. 256, 259-261

CRR Art. 47b (1); Annex V. Part 2.240, 266

CRR Art. 47b (1); Annex V. Part 2. 240, 244, 265-266

CRR Art. 47a (7); Annex V. Part 2. 256, 261

Annex V. Part 2. 259-263

CRR Art. 47b (1); Annex V. Part 2.240, 266

CRR Art. 47b (1); Annex V. Part 2. 240, 244, 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)

CRR Art. 47b (2), lett. c; Annex V. Part 2. 231, 263

Annex V. Part 2. 267

Annex V. Part 2. 207

Annex V. Part 2. 207

CRR Art. 47b (1); Annex V. Part 2. 240, 267

CRR Art. 47b (1); Annex V. Part 2. 240, 244, 267

Annex V. Part 2. 268

Annex V. Part 2. 268

Annex V. Part 2. 268

Annex V. Part 2. 268

0005

Cash balances at central banks and other demand deposits

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0010

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

DEBT INSTRUMENTS AT COST OR AT AMORTISED COST

Annex V.Part 2.249(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0181

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0182

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0183

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0184

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0185

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0186

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0191

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0192

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0193

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0194

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0195

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0196

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0900

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0903

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0197

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0910

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0913

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0201

DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT

Annex V.Part 2.249(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0211

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0212

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0213

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0214

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0215

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0216

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0221

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0222

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0223

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0224

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0225

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0226

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0920

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0923

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0227

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0930

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0933

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0231

DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT

Annex V.Part 2.249

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0330

DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING

Annex V.Part 2.246

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0335

DEBT INSTRUMENTS HELD FOR SALE

Annex V.Part 2.247

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0340

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

0010

0020

0010

Cash, cash balances at central banks and other demand deposits

IAS 1.54 (i)

 

 

0020

Cash on hand

Annex V.Part 2.1

 

 

0030

Cash balances at central banks

Annex V.Part 2.2

 

 

0040

Other demand deposits

Annex V.Part 2.3

 

 

0050

Financial assets held for trading

IFRS 9. Appendix A

 

 

0060

Derivatives

IFRS 9. Appendix A

 

 

0070

Equity instruments

IAS 32.11

 

 

0080

Debt securities

Annex V.Part 1.31

 

 

0090

Loans and advances

Annex V.Part 1.32

 

 

0096

Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 7.8(a)(ii); IFRS 9.4.1.4

 

 

0097

Equity instruments

IAS 32.11

 

 

0098

Debt securities

Annex V.Part 1.31

 

 

0099

Loans and advances

Annex V.Part 1.32

 

 

0100

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5

 

 

0120

Debt securities

Annex V.Part 1.31

 

 

0130

Loans and advances

Annex V.Part 1.32

 

 

0141

Financial assets at fair value through other comprehensive income

IFRS 7.8(h); IFRS 9.4.1.2A

 

 

0142

Equity instruments

IAS 32.11

 

 

0143

Debt securities

Annex V.Part 1.31

 

 

0144

Loans and advances

Annex V.Part 1.32

 

 

0181

Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2

 

 

0182

Debt securities

Annex V.Part 1.31

 

 

0183

Loans and advances

Annex V.Part 1.32

 

 

0240

Derivatives – Hedge accounting

IFRS 9.6.2.1; Annex V.Part 1.22

 

 

0250

Fair value changes of the hedged items in portfolio hedge of interest rate risk

IAS 39.89A(a); IFRS 9.6.5.8

 

 

0260

Tangible assets

 

 

 

0270

Intangible assets

IAS 1.54(c); CRR art 4(1)(115)

 

 

0280

Investments in subsidaries, joint ventures and associates

IAS 1.54(e); Annex V.Part 1.21, Part 2.4

 

 

0290

Tax assets

IAS 1.54(n-o)

 

 

0300

Other assets

Annex V.Part 2.5

 

 

0310

Non-current assets and disposal groups classified as held for sale

IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7

 

 

0320

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

0010

0020

0010

Financial liabilities held for trading

IFRS 7.8 (e) (ii); IFRS 9.BA.6

 

 

0020

Derivatives

IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)

 

 

0030

Short positions

IFRS 9.BA7(b)

 

 

0040

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0050

Debt securities issued

Annex V.Part 1.37

 

 

0060

Other financial liabilities

Annex V.Part 1.38-41

 

 

0070

Financial liabilities designated at fair value through profit or loss

IFRS 7.8 (e)(i); IFRS 9.4.2.2

 

 

0080

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0090

Debt securities issued

Annex V.Part 1.37

 

 

0100

Other financial liabilities

Annex V.Part 1.38-41

 

 

0110

Financial liabilities measured at amortised cost

IFRS 7.8(g); IFRS 9.4.2.1

 

 

0120

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0130

Debt securities issued

Annex V.Part 1.37

 

 

0140

Other financial liabilities

Annex V.Part 1.38-41

 

 

0150

Derivatives – Hedge accounting

IFRS 9.6.2.1; Annex V.Part 1.26

 

 

0160

Fair value changes of the hedged items in portfolio hedge of interest rate risk

IAS 39.89A(b), IFRS 9.6.5.8

 

 

0170

Provisions

IAS 37.10; IAS 1.54(l)

 

 

0180

Tax liabilities

IAS 1.54(n-o)

 

 

0190

Share capital repayable on demand

IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12

 

 

0200

Other liabilities

Annex V.Part 2.13

 

 

0210

Liabilities included in disposal groups classified as held for sale

IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14

 

 

0220

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

0010

0020

0010

Interest income

IAS 1.97; Annex V.Part 2.31

 

 

0020

(Interest expenses)

IAS 1.97; Annex V.Part 2.31

 

 

0030

(Expenses on share capital repayable on demand)

IFRIC 2.11

 

 

0040

Dividend income

Annex V.Part 2.40

 

 

0050

Fee and commission income

IFRS 7.20(c)

 

 

0060

(Fee and commission expenses)

IFRS 7.20(c)

 

 

0070

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

 

 

0080

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

 

 

0083

Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss

IFRS 9.5.7.1

 

 

0090

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

 

 

0100

Gains or (-) losses from hedge accounting, net

Annex V.Part 2.47-48

 

 

0110

Exchange differences [gain or (-) loss], net

IAS 21.28, 52 (a)

 

 

0120

Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net

Annex V Part 2.56

 

 

0130

Gains or (-) losses on derecognition of non financial assets, net

IAS 1.34

 

 

0140

Other operating income

Annex V.Part 2.314-316

 

 

0150

(Other operating expenses)

Annex V.Part 2.314-316

 

 

0155

TOTAL OPERATING INCOME, NET

 

 

 

0160

(Administrative expenses)

 

 

 

0165

(Cash contributions to resolution funds and deposit guarantee schemes)

Annex V.Part 2.48i

 

 

0170

(Depreciation)

IAS 1.102, 104

 

 

0171

Modification gains or (-) losses, net

IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49

 

 

0180

(Provisions or (-) reversal of provisions)

IAS 37.59, 84; IAS 1.98(b)(f)(g)

 

 

0190

(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

 

 

0200

(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)

IAS 28.40-43

 

 

0210

(Impairment or (-) reversal of impairment on non-financial assets)

IAS 36.126(a)(b)

 

 

0220

Negative goodwill recognised in profit or loss

IFRS 3.Appendix B64(n)(i)

 

 

0230

Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates

Annex V.Part 2.54

 

 

0240

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

 

 

0250

PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS

IAS 1.102, IG 6; IFRS 5.33 A

 

 

0260

(Tax expense or (-) income related to profit or loss from continuing operations)

IAS 1.82(d); IAS 12.77

 

 

0270

PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS

IAS 1, IG 6

 

 

0280

Profit or (-) loss after tax from discontinued operations

IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56

 

 

0290

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, including cash balances at central banks and other demand deposits

Of which: forborne

Of which: non-perfoming

 

of which: defaulted

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

CRR art 178; Annex V.Part 2.237(b)

Annex V.Part 2.274

Annex V.Part 2.274

0010

0011

0012

0022

0025

0026

0031

0040

0010

Derivatives

IFRS 9 Appendix A, Annex V.Part 2.272

 

 

 

 

 

 

 

 

0020

Of which: credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

0030

Of which: other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0040

Equity instruments

IAS 32.11

 

 

 

 

 

 

 

 

0050

Of which: credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

0060

Of which: other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0070

Of which: non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

0075

Cash balances at central banks and other demand deposits

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

0080

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

0090

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

0100

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

0110

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

0120

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0130

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

0140

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

0150

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

0160

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

0170

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

0180

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0190

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

0200

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

0210

Of which: Loans collateralized by commercial immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

0220

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

0230

Of which: Loans collateralized by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

0240

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: forborne

Of which: non-perfoming

 

of which: defaulted

 

Annex V.Part 2.118, 271

Annex V.Part 2.240-258

Annex V.Part 2.275

CRR art 178; Annex V.Part 2.237(b)

Annex V.Part 2.276

0010

0022

0025

0026

0030

0010

Loan commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116

 

 

 

 

 

0020

Financial guarantees given

IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116

 

 

 

 

 

0030

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

0010

0010

Derivatives

IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272

 

0020

Of which: credit institutions

Annex V.Part 1.42(c)

 

0030

Of which: other financial corporations

Annex V.Part 1.42(d)

 

0040

Short positions

IFRS 9.BA7(b); Annex V.Part 1.44(d)

 

0050

Of which: credit institutions

Annex V.Part 1.42(c)

 

0060

Of which: other financial corporations

Annex V.Part 1.42(d)

 

0070

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

0080

Central banks

Annex V.Part 1.42(a)

 

0090

General governments

Annex V.Part 1.42(b)

 

0100

Credit institutions

Annex V.Part 1.42(c)

 

0110

Other financial corporations

Annex V.Part 1.42(d)

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

 

0130

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

0010

0011

0012

0021

0022

0010

A Agriculture, forestry and fishing

NACE Regulation

 

 

 

 

 

0020

B Mining and quarrying

NACE Regulation

 

 

 

 

 

0030

C Manufacturing

NACE Regulation

 

 

 

 

 

0040

D Electricity, gas, steam and air conditioning supply

NACE Regulation

 

 

 

 

 

0050

E Water supply

NACE Regulation

 

 

 

 

 

0060

F Construction

NACE Regulation

 

 

 

 

 

0070

G Wholesale and retail trade

NACE Regulation

 

 

 

 

 

0080

H Transport ans storage

NACE Regulation

 

 

 

 

 

0090

I Accommodation and food service activities

NACE Regulation

 

 

 

 

 

0100

J Information and communication

NACE Regulation

 

 

 

 

 

0105

K Financial and insurance activities

NACE Regulation

 

 

 

 

 

0110

L Real estate activities

NACE Regulation

 

 

 

 

 

0120

M Professional, scientific and technical activities

NACE Regulation

 

 

 

 

 

0130

N Administrative and support service activities

NACE Regulation

 

 

 

 

 

0140

O Public administration and defence, compulsory social security

NACE Regulation

 

 

 

 

 

0150

P Education

NACE Regulation

 

 

 

 

 

0160

Q Human health services and social work activities

NACE Regulation

 

 

 

 

 

0170

R Arts, entertainment and recreation

NACE Regulation

 

 

 

 

 

0180

S Other services

NACE Regulation

 

 

 

 

 

0190

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

0010

0010

Property plant and equipment

IAS 16.6; IAS 1.54(a)

 

0020

Revaluation model

IAS 17.49; IAS 16.31, 73(a)(d)

 

0030

Cost model

IAS 17.49; IAS 16.30, 73(a)(d)

 

0040

Investment property

IAS 40.IN5; IAS 1.54(b)

 

0050

Fair value model

IAS 17.49; IAS 40.33-55, 76

 

0060

Cost model

IAS 17.49; IAS 40.56,79(c)

 

0070

Other intangible assets

IAS 38.8, 118

 

0080

Revaluation model

IAS 17.49; IAS 38.75-87, 124(a)(ii)

 

0090

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 )

0010

0010

Fee and commission income

Annex V.Part 2.281-284

 

0020

Securities

 

 

0030

Issuances

Annex V.Part 2.284(a)

 

0040

Transfer orders

Annex V.Part 2.284(b)

 

0050

Other fee and commission income in relation to securities

Annex V.Part 2.284(c)

 

0051

Corporate Finance

 

 

0052

M&A advisory

Annex V.Part 2.284 (e)

 

0053

Treasury services

Annex V.Part 2.284(f)

 

0054

Other fee and commission income in relation to corporate finance activities

Annex V.Part 2.284(g)

 

0055

Fee based advice

Annex V.Part 2.284(h)

 

0060

Clearing and settlement

Annex V.Part 2.284(i)

 

0070

Asset management

Annex V.Part 2.284(j); 285(a)

 

0080

Custody [by type of customer]

Annex V.Part 2.284(j); 285(b)

 

0090

Collective investment

 

 

0100

Other fee and commission income in relation to custody services

 

 

0110

Central administrative services for collective investment

Annex V.Part 2.284(j); 285(c)

 

0120

Fiduciary transactions

Annex V.Part 2.284(j); 285(d)

 

0131

Payment services

Annex V.Part 2.284(k), 285(e)

 

0132

Current accounts

Annex V.Part 2.284(k), 285(e)

 

0133

Credit cards

Annex V.Part 2.284(k), 285(e)

 

0134

Debit cards and other card payments

Annex V.Part 2.284(k), 285(e)

 

0135

Transfers and other payment orders

Annex V.Part 2.284(k), 285(e)

 

0136

Other fee and commission income in relation to payment services

Annex V.Part 2.284(k), 285(e)

 

0140

Customer resources distributed but not managed [by type of product]

Annex V.Part 2.284 (l); 285(f)

 

0150

Collective investment

 

 

0160

Insurance products

 

 

0170

Other fee and commission income in relation to customer resources distributed but not managed

 

 

0180

Structured Finance

Annex V.Part 2.284(n)

 

0190

Loan servicing activities

Annex V.Part 2.284(o)

 

0200

Loan commitments given

IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)

 

0210

Financial guarantees given

IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)

 

0211

Loans granted

Annex V.Part 2.284(r)

 

0213

Foreign exchange

Annex V.Part 2.284(s)

 

0214

Commodities

Annex V.Part 2.284(t)

 

0220

Other fee and commission income

Annex V.Part 2.284(u)

 

0230

(Fee and commission expenses)

Annex V.Part 2.281-284

 

0235

(Securities)

Annex V.Part 2.284(d)

 

0240

(Clearing and settlement)

Annex V.Part 2.284(i)

 

0245

(Asset management)

Annex V.Part 2.284(j); 285(a)

 

0250

(Custody)

Annex V.Part 2.284(j); 285 (b)

 

0255

(Payment services)

Annex V.Part 2.284(k), 285(e)

 

0256

(of which: Credit, Debit and other Cards)

 

 

0260

(Loan servicing activities)

Annex V.Part 2.284(o)

 

0270

(Loan commitments received)

Annex V.Part 2.284(q)

 

0280

(Financial guarantees received)

Annex V.Part 2.284(q)

 

0281

(Externally provided distribution of products)

Annex V.Part 2.284(m)

 

0282

(Foreign exchange)

Annex V.Part 2.284(s)

 

0290

(Other fee and commission expenses)

Annex V.Part 2.284(u)

 

22.2    Assets involved in the services provided



 

References

Amount of the assets involved in the services provided

Annex V.Part 2.285(g)

0010

0010

Asset management [by type of customer]

Annex V.Part 2.285(a)

 

0020

Collective investment

 

 

0030

Pension funds

 

 

0040

Customer portfolios managed on a discretionary basis

 

 

0050

Other investment vehicles

 

 

0060

Custody assets [by type of customer]

Annex V.Part 2.285(b)

 

0070

Collective investment

 

 

0080

Other

 

 

0090

Of which: entrusted to other entities

 

 

0100

Central administrative services for collective investment

Annex V.Part 2.285(c)

 

0110

Fiduciary transactions

Annex V.Part 2.285(d)

 

0120

Payment services

Annex V.Part 2.285(e)

 

0130

Customer resources distributed but not managed [by type of product]

Annex V.Part 2.285(f)

 

0140

Collective investment

 

 

0150

Insurance products

 

 

0160

Other

 

 

23.    Loans and advances: additional information

23.1    Loans and advances: Number of instruments



 

 

Number of instruments

(Annex V.Part 2.320)

 

Performing

Non Performing

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances

Annex V.Part 1.32, 44(a), Part 2.319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances in pre-litigation status

Annex V.Part 1.32, 44(a), Part 2.319, 321

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Loans and advances in litigation status

Annex V.Part 1.32, 44(a), Part 2.319; 322

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.2    Loans and advances: Additional information on gross carrying amounts



 

 

Gross carrying amount

(Annex V.Part 1.34)

 

Performing

Non Performing

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances

Annex V.Part 1.32, 44(a), Part 2.319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances at cost or at amortised cost

Annex V.Part 1.32, 44(a), Part 2.233 (a), 319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Loans and advances in pre-litigation status

Annex V.Part 1.32, 44(a), Part 2.319, 321

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

Loans and advances in litigation status

Annex V.Part 1.32, 44(a), Part 2.319, 322

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0240

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0250

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0260

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0270

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0280

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0290

Unsecured loans and advances without guarantees

Annex V.Part 1.32, 44(a), Part 2.319, 323

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0300

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0310

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0320

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0330

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0340

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0350

Loans and advances with an accumulated coverage ratio > 90%

Annex V.Part 1.32, 44(a), Part 2.319, 324

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0360

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0370

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0380

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0390

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0400

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0410

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.3    Loans and advances collateralised by immovable property: Breakdown by LTV ratios



 

 

Gross carrying amount

(Annex V.Part 1.34)

 

Performing

Non Performing

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances collateralised by immovable property

Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Loans and advances to small and medium-sized enterprises (NFCs) collateralised by commercial immovable property

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Loans and advances to non-financial corporations (NFCs) other than SMEs collateralised by commercial immovable property

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Commercial Real Estate loans to small and medium-sized enterprises (NFCs) collateralised by immovable property

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Commercial Real Estate loans to non-financial corporations (NFCs) other than SMEs collateralised by immovable property

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.4    Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk



 

 

Accumulated impairment, accumulated negative changes in fair value due to credit risk

(Annex V. Part 2.69-71)

 

Performing

Non Performing

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235, 237(f)

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances

Annex V.Part 1.32, 44(a), Part 2.319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances at cost or at amortised cost

Annex V.Part 1.32, 44(a), Part 2.233 (a), 319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Unsecured loans and advances without guarantees

Annex V.Part 1.32, 44(a), Part 2.319, 323

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.5    Loans and advances: Collateral received and financial guarantees received



 

 

Maximum amount of the collateral or guarantee that can be considered

Annex V.Part 2.171-172, 174

 

Performing

Non Performing

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Financial guarantees received on loans and advances

Annex V.Part 2.319, 326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Collateral received on loans and advances

Annex V.Part 2.319, 326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Immovable property collateral received on loans and advances

Annex V.Part 2.319, 326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

Memorandum item: Collateral received on loans and advances - uncapped amounts

Annex V.Part 2.319, 326, 327

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

of which: Immovable property collateral

Annex V.Part 2.319, 326, 327

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.6    Loans and advances: Accumulated partial write-offs



 

 

Accumulated partial write-offs

(Annex V.Part 2.72, 74)

 

Performing

Non Performing

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances

Annex V.Part 1.32, 44(a), Part 2.319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

24.    Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year

24.1    Loans and advances: Inflows and outflows of non-performing exposures



 

References

Gross Carrying amount (Annex V. Part 1.34)

Non-performing exposures - loans and advances

 

of which: Households

of which: Non-financial corporations

 

 

of which: Loans collateralised by residential immovable property

 

of which: SMEs

of which: CRE loans to NFCs other than SMEs

 

 

 

 

of which: Commercial Real Estate (CRE) loans

Annex V.Part 1.32, 34, Part 2.213-216, 223-239

Annex V.Part 1.42(f), 44(a)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e), 44(a)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

0010

0020

0030

0040

0050

0060

0070

0010

Opening balance

Annex V.Part 2.328

 

 

 

 

 

 

 

0020

Inflows

Annex V.Part 2.239ii, 239iii, 239vi, 329

 

 

 

 

 

 

 

0030

Inflow due to reclassification from performing not forborne

Annex V.Part 2.239ii, 239iii, 239vi, 329

 

 

 

 

 

 

 

0040

Inflow due to reclassification from performing forborne

Annex V.Part 2.239ii, 239iii, 239vi, 329

 

 

 

 

 

 

 

0050

of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing

Annex V.Part 2.239ii, 239iii, 239vi, 329(b)

 

 

 

 

 

 

 

0060

Inflow due to purchase of exposures

Annex V.Part 2.239ii, 239iii, 239vi, 329

 

 

 

 

 

 

 

0070

Inflow due to accrued interest

Annex V.Part 2.239ii, 239iii, 239vi, 329 (a)

 

 

 

 

 

 

 

0080

Inflow due to other reasons

Annex V.Part 2.239ii, 239iii, 239vi, 329 (c)

 

 

 

 

 

 

 

0090

Of which: Inflow more than once

Annex V.Part 2.239ii, 239iii, 239vi, 330 (a)

 

 

 

 

 

 

 

0100

Of which: Inflow of exposures granted in the past 24 months

Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)

 

 

 

 

 

 

 

0110

Of which: Inflow of exposures granted during the period

Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)

 

 

 

 

 

 

 

0120

Outflows

Annex V.Part 2.239iii-239v, 331, 332

 

 

 

 

 

 

 

0130

Outflow due to reclassification as performing not forborne

Annex V.Part 2.239iii-239v(a), 331, 332

 

 

 

 

 

 

 

0140

Outflow due to reclassification as performing forborne

Annex V.Part 2.239iii-239v(a), 331, 332

 

 

 

 

 

 

 

0150

Outflow due to partial or total loan repayment

Annex V.Part 2.239iii-239v(b), 331, 332

 

 

 

 

 

 

 

0160

Outflow due to collateral liquidations

Annex V.Part 2.239iii-239v(c), 331, 332

 

 

 

 

 

 

 

0170

Net cumulated recoveries from collateral liquidation

Annex V.Part 2.333

 

 

 

 

 

 

 

0180

of which: Write-offs in the context of collateral liquidations

Annex V.Part 2.239iii-239v(c)

 

 

 

 

 

 

 

0190

Outflow due to taking possession of collateral

Annex V.Part 2.239iii-239v(d), 331, 332

 

 

 

 

 

 

 

0200

Net cumulated recoveries from taking possession of collateral

Annex V.Part 2.333

 

 

 

 

 

 

 

0210

of which: Write-offs in the context of taking possession of collateral

Annex V.Part 2.239iii-239v(d)

 

 

 

 

 

 

 

0220

Outflow due to sale of instruments

Annex V.Part 2.239iii-239v(e), 331, 332

 

 

 

 

 

 

 

0230

Net cumulated recoveries from sale of instruments

Annex V.Part 2.333

 

 

 

 

 

 

 

0240

of which: Write-offs in the context of sale of instruments

Annex V.Part 2.239iii-239v(e)

 

 

 

 

 

 

 

0250

Outflow due to risk transfers

Annex V.Part 2.239iii-239v(f), 331, 332

 

 

 

 

 

 

 

0260

Net cumulated recoveries from risk transfers

Annex V.Part 2.333

 

 

 

 

 

 

 

0270

of which: Write-offs in the context of risk transfers

Annex V.Part 2.239iii-239v(f)

 

 

 

 

 

 

 

0280

Outflow due to write-offs

Annex V.Part 2.239iii-239v(g), 331, 332

 

 

 

 

 

 

 

0290

Outflow due to reclassification as held for sale

Annex V.Part 2.239iii-239vi, 331, 332

 

 

 

 

 

 

 

0300

Outflow due to other reasons

Annex V.Part 2.239iii-239v(h), 331, 332

 

 

 

 

 

 

 

0310

Of which: Outflow of non-performing exposures that became non-performing during the period

Annex V.Part 2.334

 

 

 

 

 

 

 

0320

Closing balance

Annex V.Part 2.328

 

 

 

 

 

 

 

24.2    Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures



 

References

Accumulated impairment and accumulated negative changes in fair value due to credit risk

Non-performing exposures - loans and advances

 

of which: Households

of which: Non-financial corporations

 

 

of which: Loans collateralised by residential immovable property

 

of which: SMEs

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

 

 

 

 

of which: Commercial Real Estate (CRE) loans

Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239

Annex V.Part 1.42(f), 44(a)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e), 44(a)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

0010

0020

0030

0040

0050

0060

0070

0010

Opening balance

Annex V.Part 2.335

 

 

 

 

 

 

 

0020

Increases during the period

Annex V.Part 2.336

 

 

 

 

 

 

 

0030

Of which: impairments against interest accrued

Annex V.Part 2.337

 

 

 

 

 

 

 

0040

Decreases during the period

Annex V.Part 2.338

 

 

 

 

 

 

 

0050

Of which: Reversal of impairment and negative changes in fair value due to credit risk

Annex V.Part 2.339(a)

 

 

 

 

 

 

 

0060

Of which: Release of allowances due to unwinding process

Annex V.Part 2.339(b)

 

 

 

 

 

 

 

0070

Closing balance

Annex V.Part 2.335

 

 

 

 

 

 

 

24.3    Loans and advances: Write-offs of non-performing exposures during the period



 

References

Gross Carrying amount

Non-performing exposures - Loans and advances

 

of which: Households

of which: Non-financial corporations

 

 

of which: Loans collateralised by residential immovable property

 

Of which: SMEs

Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

 

 

 

 

Of which:Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 1.32, 34, Part 2.213-216, 223-239

Annex V.Part 1.42(f), 44(a)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e), 44(a)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

0010

0020

0030

0040

0050

0060

0070

0010

Write-offs during the period

Annex V.Part 2.340

 

 

 

 

 

 

 

0020

Of which: Debt forgiveness

Annex V.Part 2.340

 

 

 

 

 

 

 

25.    Collateral obtained by taking possession and execution processes

25.1    Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows



 

References

Debt balance reduction

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)

 

Time passed since recognition in balance sheet

Of which: Non-current assets held-for-sale

<= 2 years

> 2 years <= 5 years

> 5 years

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Value at initial recognition

Carrying amount

Value at initial recognition

Carrying amount

Value at initial recognition

Carrying amount

Value at initial recognition

Carrying amount

Value at initial recognition

Carrying amount

Annex V.Part 1.34, Part 2.343

Annex V.Part 2.69-71, 343

Annex V.Part 2.175, 175i, 344

Annex V.Part 1.27, Part 2.175

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

IFRS 5.6, Annex V.Part 2.175, 175i, 344

IFRS 5.6, Annex V.Part 1.27, Part 2.175

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0010

Opening balance

Annex V.Part 2.341, 342

 

 

 

 

 

 

 

 

 

 

 

 

0020

Inflows of collateral during the period

Annex V.Part 2.345, 349

 

 

 

 

 

 

 

 

 

 

 

 

0030

Inflow due to new collateral obtained by taking possession

Annex V.Part 2.345, 349

 

 

 

 

 

 

 

 

 

 

 

 

0040

Inflow due to positive changes in value

Annex V.Part 2.345, 349

 

 

 

 

 

 

 

 

 

 

 

 

0050

Outflows of collateral during the period

Annex V.Part 2.346, 349

 

 

 

 

 

 

 

 

 

 

 

 

0060

Outflow for which cash was collected

Annex V.Part 2.347, 349

 

 

 

 

 

 

 

 

 

 

 

 

0070

Cash collected net of costs

Annex V.Part 2.347

 

 

 

 

 

 

 

 

 

 

 

 

0080

Profits/(-) losses from sale of collateral obtained by taking possession

Annex V.Part 2.347

 

 

 

 

 

 

 

 

 

 

 

 

0090

Outflow with replacement by financial instrument

Annex V.Part 2.346, 349

 

 

 

 

 

 

 

 

 

 

 

 

0100

Financing granted

Annex V.Part 2.347

 

 

 

 

 

 

 

 

 

 

 

 

0110

Outflow due to negative changes in value

Annex V.Part 2.346, 349

 

 

 

 

 

 

 

 

 

 

 

 

0120

Closing balance

Annex V.Part 2.341, 342

 

 

 

 

 

 

 

 

 

 

 

 

25.2    Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained



 

References

Debt balance reduction

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)

 

Time passed since recognition in balance sheet

Of which: Non-current assets held-for-sale

<= 2 years

> 2 years <= 5 years

> 5 years

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Annex V.Part 1.34, Part 2.343

Annex V.Part 2.69-71, 343

Annex V.Part 2.175, 175i, 344

Annex V.Part 1.27, Part 2.175

Annex V.Part 2.175, 175ii

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175ii, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175ii, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175ii, 348

IFRS 5.6, Annex V.Part 2.175, 175i

IFRS 5.6, Annex V.Part 1.27, Part 2.175

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0010

Residential immovable property

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Of which: under construction / development

Annex V. Part 2.350, 352(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Commercial immovable property

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Of which: under construction / development

Annex V. Part 2.350, 352(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Of which: Land related to commercial real estate corporations (excluding agricultural land)

Annex V. Part 2.350, 352(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Of which: Land with planning permission for development

Annex V. Part 2.350, 352(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Of which: Land without planning permission for development

Annex V. Part 2.350, 352(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Movable property

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Equity and debt securities

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Other

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Total

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Number of Collateral obtained by taking possession

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25.3    Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)



 

References

Debt balance reduction

Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Value at initial recognition

Carrying amount

Accumulated negative changes

Annex V.Part 1.34, Part 2.343

Annex V.Part 2.69-71, 343

IAS 16.6, Annex V.Part 2.175, 175i

IAS 16.6, Annex V.Part 1.27, Part 2.175

IAS 16.6, Annex V.Part 2.175, 175ii

0010

0020

0030

0040

0050

0010

Total

Annex V.Part 2.341, 357-358

 

 

 

 

 

0020

Inflows due to new collateral obtained by taking possession

Annex V.Part 2.341, 345, 357-358

 

 

 

 

 

26.    Forbearance management and quality of forbearance



 

References

Loans and advances with forbearance measures

 

 

 

of which: Households

of which: Non-financial corporations

 

of which: performing

of which: having been granted forbearance measures during the period

 

of which: performing

of which: having been granted forbearance measures during the period

 

of which: performing

of which: having been granted forbearance measures during the period

Annex V.Part 1.32, Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

0010

0020

0030

0040

0050

0060

0070

0080

0090

0010

Number of instruments

Annex V. Part 2.320, 355, 356

 

 

 

 

 

 

 

 

 

0020

Gross carrying amount of instruments, for the following types of forbearance measures:

Annex V.Part 1.34, Part 2.355, 357, 359

 

 

 

 

 

 

 

 

 

0030

Grace period/payment moratorium

Annex V.Part 2.358(a)

 

 

 

 

 

 

 

 

 

0040

Interest rate reduction

Annex V.Part 2.358(b)

 

 

 

 

 

 

 

 

 

0050

Extension of maturity/term

Annex V.Part 2.358(c)

 

 

 

 

 

 

 

 

 

0060

Rescheduled payments

Annex V.Part 2.358(d)

 

 

 

 

 

 

 

 

 

0070

Debt forgiveness

Annex V.Part 2.358(e)

 

 

 

 

 

 

 

 

 

0080

Debt asset swaps

Annex V.Part 2.358(f)

 

 

 

 

 

 

 

 

 

0090

Other forbearance measures

Annex V.Part 2.358(g)

 

 

 

 

 

 

 

 

 

 

Gross carrying amount of instruments that were subject to forbearance measures at multiple points in time

Annex V.Part 1.34, Part 2.355

 

 

 

 

 

 

 

 

 

0100

Loans and advances having been forborne twice

Annex V.Part 2.360(a)(i)

 

 

 

 

 

 

 

 

 

0110

Loans and advances having been forborne more than twice

Annex V.Part 2.360(a)(i)

 

 

 

 

 

 

 

 

 

0120

Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures

Annex V.Part 2.360(a)(ii)

 

 

 

 

 

 

 

 

 

0130

Gross carrying amount of non-performing forborne loans and advances that failed to meet the non-performing exit criteria

Annex V.Part 1.34, Part 2.232, 355, 360(b)

 

 

 

 

 

 

 

 

 

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

0010

0020

0030

0040

0050

0060

0080

0010

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)

0010

0020

0030

0010

Selected financial assets recognised in the reporting institution's balance sheet

IFRS 12.29(a),(b)

 

 

 

0021

of which: non-performing

Annex V.Part 2.213-239

 

 

 

0030

Derivatives

IFRS 9 Appendix A; Annex V.Part 2.272

 

 

 

0040

Equity instruments

IAS 32.11

 

 

 

0050

Debt securities

Annex V.Part 1.31

 

 

 

0060

Loans and advances

Annex V.Part 1.32

 

 

 

0070

Selected equity and financial liabilites recognised in the reporting institution's balance sheet

IFRS 12.29(a),(b)

 

 

 

0080

Equity instruments issued

IAS 32.11

 

 

 

0090

Derivatives

IFRS 9 Appendix A; Annex V.Part 2.272

 

 

 

0100

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

0110

Debt securities issued

Annex V.Part 1.37

 

 

 

 

Nominal amount

0120

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

 

 

 

0131

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)

0010

0020

0030

0040

0050

0010

Selected financial assets

IAS 24.18(b)

 

 

 

 

 

0020

Equity instruments

IAS 32.11

 

 

 

 

 

0030

Debt securities

Annex V.Part 1.31

 

 

 

 

 

0040

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

0050

of which: non-performing

Annex V. Part 2.213-239

 

 

 

 

 

0060

Selected financial liabilities

IAS 24.18(b)

 

 

 

 

 

0070

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

 

 

0080

Debt securities issued

Annex V.Part 1.37

 

 

 

 

 

0090

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

 

 

 

 

 

0100

of which: non-performing

IAS 24.18(b); Annex V. Part 2.117

 

 

 

 

 

0110

Loan commitments, financial guarantees and other commitments received

IAS 24.18(b); Annex V.Part 2.290

 

 

 

 

 

0120

Notional amount of derivatives

Annex V.Part 2.133-135

 

 

 

 

 

0131

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

 

 

 

 

 

0132

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)

0010

0020

0030

0040

0050

0010

Interest income

IAS 24.18(a); Annex V.Part 2.31

 

 

 

 

 

0020

Interest expenses

IAS 24.18(a); IAS 1.97; Annex V.Part 2.31

 

 

 

 

 

0030

Dividend income

IAS 24.18(a); Annex V.Part 2.40

 

 

 

 

 

0040

Fee and commission income

IAS 24.18(a); IFRS 7.20(c)

 

 

 

 

 

0050

Fee and commission expenses

IAS 24.18(a); IFRS 7.20(c)

 

 

 

 

 

0060

Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss

IAS 24.18(a)

 

 

 

 

 

0070

Gains or (-) losses on de-recognition of other than financial assets

IAS 24.18(a); Annex V.Part 2.292

 

 

 

 

 

0080

Impairment or (-) reversal of impairment on non-performing exposures

IAS 24.18(d); Annex V.Part 2.293

 

 

 

 

 

0090

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’



Code

Type of code

National 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)

Annex V.Part 2.294-295, 296(c)

IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(d)

Annex V.Part 2.294-295, 296(e)

Annex V.Part 2.294-295, 296(f)

IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)

IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)

IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)

IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(h)

Annex V.Part 2.294-295, 296(i)

Annex V.Part 2.294-295, 296(j)

IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k)

IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(l)

IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(m)

IFRS 12.21(b); Annex V.Part 2.294-295, 296(n)

CRR art 18; Annex V.Part 2.294-295, 296(o)

Annex V.Part 2.294-295, 296(p)

Annex V.Part 2.294-295, 296(q)

Annex V.Part 2.294-295, 296(r)

IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(s)

0011

0015

0025

0030

0040

0050

0060

0070

0080

0090

0095

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40.2    Group structure: ‘instrument-by-instrument’



Security code

Investee

Holding company

Accumulated equity interest (%)

Carrying amount

Acquisition cost

Code

Type of code

Code

Type of code

National code

Holding company name

Annex V.Part 2.297(a)

Annex V.Part 2.296(a), 297(e)

Annex V.Part 2.296(b), 297(e)

Annex V.Part 2.297(b)

Annex V.Part 2.297(c)

Annex V.Part 2.297(d)

 

Annex V.Part 2.296(j), 297(e)

Annex V.Part 2.296(o), 297(e)

Annex V.Part 2.296(p), 297(e)

0010

0021

0025

0031

0035

0045

0050

0060

0070

0080

 

 

 

 

 

 

 

 

 

 

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

0010

0020

0030

0040

ASSETS

 

 

 

 

0015

Financial assets at amortised cost

IFRS 7.8(f); IFRS 9.4.1.2

 

 

 

 

0016

Debt securities

Annex V.Part 1.31

 

 

 

 

0017

Loans and advances

Annex V.Part 1.32

 

 

 

 

LIABILITIES

 

 

 

 

0070

Financial liabilities measured at amortised cost

IFRS 7.8(g); IFRS 9.4.2.1

 

 

 

 

0080

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

 

0090

Debt securities issued

Annex V.Part 1.37

 

 

 

 

0100

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

0010

0020

0030

0040

ASSETS

 

 

 

 

0010

Financial assets designated at fair value through profit or loss

IFRS 7.8(a)(i); IFRS 9.4.1.5

 

 

 

 

0030

Debt securities

Annex V.Part 1.31

 

 

 

 

0040

Loans and advances

Annex V.Part 1.32

 

 

 

 

ASSETS

 

 

 

 

0050

Financial liabilities designated at fair value through profit or loss

IFRS 7.8 (e)(i); IFRS 9.4.2.2

 

 

 

 

0060

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

 

0070

Debt securities issued

Annex V.Part 1.37

 

 

 

 

0080

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

 

of which: right-of-use assets

IFRS 16.47(a), 53(j), Annex V.Part 2.303i

0010

0020

0010

Property plant and equipment

IAS 16.6; IAS 16.29; IAS 1.54(a)

 

 

0015

Of which: Software assets

IAS 38.4; Annex V.Part 2.303

 

 

0020

Revaluation model

IAS 16.31, 73(a),(d)

 

 

0030

Cost model

IAS 16.30, 73(a),(d)

 

 

0040

Investment property

IAS 40.5, 30; IAS 1.54(b)

 

 

0050

Fair value model

IAS 40.33-55, 76

 

 

0060

Cost model

IAS 40.56, 79(c)

 

 

0070

Other intangible assets

IAS 38.8, 118, 122 ; Annex V.Part 2.303

 

 

0075

Of which: Software assets

IAS 38.9; Annex V.Part 2.303

 

 

0080

Revaluation model

IAS 38.75-87, 124(a)(ii)

 

 

0090

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, 84 (a)

IAS 37.14, 84(a)

IAS 37; IFRS 4; Annex V. Part 2.304-305

IAS 37.14

0010

0020

0030

0040

0055

0060

0010

Opening balance [carrying amount at the beginning of the period]

IAS 37.84 (a)

 

 

 

 

 

 

0020

Additions, including increases in existing provisions

IAS 37.84 (b)

 

 

 

 

 

 

0030

(-) Amounts used

IAS 37.84 (c)

 

 

 

 

 

 

0040

(-) Unused amounts reversed during the period

IAS 37.84 (d)

 

 

 

 

 

 

0050

Increase in the discounted amount [passage of time] and effect of any change in the discount rate

IAS 37.84 (e)

 

 

 

 

 

 

0060

Other movements

 

 

 

 

 

 

 

0070

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

0010

0010

Fair value of defined benefit plan assets

IAS 19.140(a)(i), 142

 

0020

Of which: Financial instruments issued by the institution

IAS 19.143

 

0030

Equity instruments

IAS 19.142(b)

 

0040

Debt instruments

IAS 19.142(c)

 

0050

Real estate

IAS 19.142(d)

 

0060

Other defined benefit plan assets

 

 

0070

Present value of defined benefit obligations

IAS 19.140(a)(ii)

 

0080

Effect of the asset ceiling

IAS 19.140(a)(iii)

 

0090

Net defined benefit assets [Carrying amount]

IAS 19.63; Annex V.Part 2.308

 

0100

Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]

IAS 19.63, IAS 1.78(d); Annex V.Part 2.9

 

0110

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

0010

0010

Opening balance [present value]

IAS 19.140(a)(ii)

 

0020

Current service cost

IAS 19.141(a)

 

0030

Interest cost

IAS 19.141(b)

 

0040

Contributions paid

IAS 19.141(f)

 

0050

Actuarial (-) gains or losses from changes in demographic assumptions

IAS 19.141(c)(ii)

 

0060

Actuarial (-) gains or losses from changes in financial assumptions

IAS 19.141(c)(iii)

 

0070

Foreign currency exchange increase or (-) decrease

IAS 19.141(e)

 

0080

Benefits paid

IAS 19.141(g)

 

0090

Past service cost, including gains and losses arising from settlements

IAS 19.141(d)

 

0100

Increase or (-) decrease through business combinations and disposals

IAS 19.141(h)

 

0110

Other increases or (-) decreases

 

 

0120

Closing balance [present value]

IAS 19.140(a)(ii); Annex V.Part 2.310

 

44.3    Staff expenses by type of benefits



 

References

Current period

0010

0010

Pension and similar expenses

Annex V.Part 2.311(a)

 

0020

Share based payments

IFRS 2.44; Annex V.Part 2.311(b)

 

0030

Wages and salaries

Annex V.Part 2.311(c)

 

0040

Social security contributions

Annex V.Part 2.311(d)

 

0050

Severance payments

IAS 19.8, Annex V.Part 2.311(e)

 

0060

Other types of staff expenses

Annex V.Part 2.311(f)

 

0070

STAFF EXPENSES

 

 

44.4    Staff expenses by category of remuneration and category of staff



 

References

Current period

Total staff

 

 

 

 

of which: Identified staff

 

 

 

of which: Management body (in its management function) and senior management

of which: Management body (in its supervisory function)

 

Annex V.Part 2.311i (a)

Annex V.Part 2.311i

Annex V.Part 2.311i (b)

0010

0020

0030

0040

0010

Fixed remuneration

Annex V.Part 2.311i (a)

 

 

 

 

0020

Variable remuneration

Annex V.Part 2.311i (a)

 

 

 

 

0030

Staff expenses other than remuneration

 

 

 

 

 

0040

STAFF EXPENSES

 

 

 

 

 

0050

NUMBER OF STAFF

Annex V.Part 2.311ii

 

 

 

 

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

0010

0020

0010

Financial assets designated at fair value through profit or loss

IFRS 7.20(a)(i); IFRS 9.4.1.5

 

 

0020

Financial liabilities designated at fair value through profit or loss

IFRS 7.20(a)(i); IFRS 9.4.2.2

 

 

0030

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

0010

0010

Property, Plant and Equipment

IAS 16.68, 71

 

0020

Investment property

IAS 40.69; IAS 1.34(a), 98(d)

 

0030

Intangible assets

IAS 38.113-115A; IAS 1.34(a)

 

0040

Other assets

IAS 1.34 (a)

 

0050

GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS

IAS 1.34

 

45.3    Other operating income and expenses



 

References

Income

Expenses

0010

0020

0010

Changes in fair value in tangible assets measured using the fair value model

IAS 40.76(d); Annex V.Part 2.314

 

 

0020

Investment property

IAS 40.75(f); Annex V.Part 2.314

 

 

0030

Operating Leases other than investment property

IFRS 16.81,82; Annex V.Part 2.315

 

 

0040

Other

Annex V.Part 2.316

 

 

0050

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

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0010

Opening balance [before restatement]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Effects of corrections of errors

IAS 1.106.(b); IAS 8.42

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Effects of changes in accounting policies

IAS 1.106.(b); IAS 1.IG6; IAS 8.22

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Opening balance [current period]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Issuance of ordinary shares

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Issuance of preference shares

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Issuance of other equity instruments

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Exercise or expiration of other equity instruments issued

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Conversion of debt to equity

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Capital reduction

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Dividends

IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Purchase of treasury shares

IAS 1.106.(d).(iii); IAS 32.33

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Sale or cancellation of treasury shares

IAS 1.106.(d).(iii); IAS 32.33

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Reclassification of financial instruments from equity to liability

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Reclassification of financial instruments from liability to equity

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Transfers among components of equity

IAS 1.106.(d).(iii); Annex V.Part 2.318

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Equity increase or (-) decrease resulting from business combinations

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

Share based payments

IAS 1.106.(d).(iii); IFRS 2.10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

Other increase or (-) decrease in equity

IAS 1.106.(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

Total comprehensive income for the year

IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

Closing balance [current period]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

47.    Loans and advances: Average duration and recovery periods



 

References

TOTAL

 

of which: Households

of which: Non-financial corporations

 

of which: loans collateralised by residential immovable property

 

of which: SMEs

Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

 

of which: Commercial Real Estate (CRE) loans

 

Annex V.Part 1.42(f)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

0010

0020

0030

0040

0050

0060

0070

0010

Non-performing loans and advances: weighted average time since past due date (in years)

Annex V.Part 2.362, 363

 

 

 

 

 

 

 

0020

Net cumulated recoveries from litigation procedures concluded during the period

Annex V.Part 2.362, 364(a)

 

 

 

 

 

 

 

0030

Gross carrying amount reduction from litigation procedures concluded during the period

Annex V.Part 2.362, 364(b)

 

 

 

 

 

 

 

0040

Average duration of litigation procedures concluded in the period (in years)

Annex V.Part 2.362, 364(c)

 

 

 

 

 

 

 



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

Loans and advances other than held for trading, trading or held for sale assets by product

6.1

F 06.01

Breakdown of loans and advances other than held for trading, trading or held for sale assets to non-financial corporations by NACE codes

 

 

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

13.2.1

F 13.02.1

Collateral obtained by taking possession during the period [held at the reference date]

13.3.1

F 13.03.1

Collateral obtained by taking possession 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

16.8

F 16.08

Other administrative expenses

 

 

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

 

 

Information on performing and non-performing exposures

18

F 18.00

Information on performing and non-performing exposures

18.1

F 18.01

Inflows and outflows of non-performing exposures - loans and advances by counterparty sector

18.2

F 18.02

Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property

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

 

 

Loans and advances: additional information

23.1

F 23.01

Loans and advances: Number of instruments

23.2

F 23.02

Loans and advances: Additional information on gross carrying amounts

23.3

F 23.03

Loans and advances collateralised by immovable property: Breakdown by LTV ratios

23.4

F 23.04

Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk

23.5

F 23.05

Loans and advances: Collateral received and financial guarantees received

23.6

F 23.06

Loans and advances: Accumulated partial write-offs

 

 

Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year

24.1

F 24.01

Loans and advances: Inflows and outflows of non-performing exposures

24.2

F 24.02

Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures

24.3

F 24.03

Loans and advances: Inflow of write-offs of non-performing exposures

 

 

Collateral obtained by taking possession and execution processes

25.1

F 25.01

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and Outflows

25.2

F 25.02

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained

25.3

F 25.03

Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)

26

F 26.00

Forbearance management and quality of forbearance

 

 

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 40.01

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

Staff expenses by type of benefits

44.4

F 44.04

Staff expenses by structure and category of staff

 

 

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

47

F 47.00

Average duration and recovery periods



 

 

 

 

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

0010

0010

Cash, cash balances at central banks and other demand deposits

BAD art 4.Assets(1)

IAS 1.54 (i)

 

 

0020

Cash on hand

Annex V.Part 2.1

Annex V.Part 2.1

 

 

0030

Cash balances at central banks

BAD art 13(2); Annex V.Part 2.2

Annex V.Part 2.2

 

 

0040

Other demand deposits

Annex V.Part 2.3

Annex V.Part 2.3

5

 

0050

Financial assets held for trading

Accounting Directive art 8(1)(a), (5); IAS 39.9

IFRS 9.Appendix A

 

 

0060

Derivatives

CRR Annex II

IFRS 9.Appendix A

10

 

0070

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

4

 

0080

Debt securities

Annex V.Part 1.24, 26

Annex V.Part 1.31

4

 

0090

Loans and advances

Annex V.Part 1.24, 27

Annex V.Part 1.32

4

 

0091

Trading financial assets

BAD Article 32-33; Annex V.Part 1.17

 

 

 

0092

Derivatives

CRR Annex II; Annex V.Part 1.17, 27

 

10

 

0093

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

4

 

0094

Debt securities

Annex V.Part 1.31

 

4

 

0095

Loans and advances

Annex V.Part 1.32

 

4

 

0096

Non-trading financial assets mandatorily at fair value through profit or loss

 

IFRS 7.8(a)(ii); IFRS 9.4.1.4

4

 

0097

Equity instruments

 

IAS 32.11

4

 

0098

Debt securities

 

Annex V.Part 1.31

4

 

0099

Loans and advances

 

Annex V.Part 1.32

4

 

0100

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

 

0110

Equity instruments

 

IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5

4

 

0120

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

4

 

0130

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

4

 

0141

Financial assets at fair value through other comprehensive income

 

IFRS 7.8(h); IFRS 9.4.1.2A

4

 

0142

Equity instruments

 

IAS 32.11

4

 

0143

Debt securities

 

Annex V.Part 1.31

4

 

0144

Loans and advances

 

Annex V.Part 1.32

4

 

0171

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

BAD art 36(2)

 

4

 

0172

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

4

 

0173

Debt securities

Annex V.Part 1.31

 

4

 

0174

Loans and advances

Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32

 

4

 

0175

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

Accounting Directive art 8(1)(a), (8)

 

4

 

0176

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

4

 

0177

Debt securities

Annex V.Part 1.31

 

4

 

0178

Loans and advances

Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32

 

4

 

0181

Financial assets at amortised cost

 

IFRS 7.8(f); IFRS 9.4.1.2

4

 

0182

Debt securities

 

Annex V.Part 1.31

4

 

0183

Loans and advances

 

Annex V.Part 1.32

4

 

0231

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

 

0390

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

4

 

0232

Debt securities

Annex V.Part 1.31

 

4

 

0233

Loans and advances

Annex V.Part 1.32

 

4

 

0234

Other non-trading non-derivative financial assets

BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20

 

4

 

0235

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

4

 

0236

Debt securities

Annex V.Part 1.31

 

4

 

0237

Loans and advances

Annex V.Part 1.32

 

4

 

0240

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

 

0250

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

 

 

0260

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

 

0270

Tangible assets

BAD art 4.Assets(10)

 

 

 

0280

Property, Plant and Equipment

 

IAS 16.6; IAS 1.54(a); IFRS 16.47(a)

21, 42

 

0290

Investment property

 

IAS 40.5; IAS 1.54(b); IFRS 16.48

21, 42

 

0300

Intangible assets

BAD art 4.Assets(9); CRR art 4(1)(115)

IAS 1.54(c); CRR art 4(1)(115)

 

 

0310

Goodwill

BAD art 4.Assets(9); CRR art 4(1)(113)

IFRS 3.B67(d); CRR art 4(1)(113)

 

 

0320

Other intangible assets

BAD art 4.Assets(9)

IAS 38.8,118; IFRS 16.47 (a)

21, 42

 

0330

Tax assets

 

IAS 1.54(n-o)

 

 

0340

Current tax assets

 

IAS 1.54(n); IAS 12.5

 

 

0350

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)

 

 

0360

Other assets

Annex V.Part 2.5, 6

Annex V.Part 2.5

 

 

0370

Non-current assets and disposal groups classified as held for sale

 

IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7

 

 

0375

(-)  Haircuts for trading assets at fair value

Annex V Part 1.29

 

 

 

0380

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

0010

0010

Financial liabilities held for trading

 

IFRS 7.8 (e) (ii); IFRS 9.BA.6

8

 

0020

Derivatives

 

IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)

10

 

0030

Short positions

 

IFRS 9.BA7(b)

8

 

0040

Deposits

 

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

8

 

0050

Debt securities issued

 

Annex V.Part 1.37

8

 

0060

Other financial liabilities

 

Annex V.Part 1.38-41

8

 

0061

Trading financial liabilities

Accounting Directive art 8(1)(a),(3),(6)

 

8

 

0062

Derivatives

CRR Annex II; Annex V.Part 1.25

 

10

 

0063

Short positions

 

 

8

 

0064

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

8

 

0065

Debt securities issued

Annex V.Part 1.37

 

8

 

0066

Other financial liabilities

Annex V.Part 1.38-41

 

8

 

0070

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

 

0080

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

 

0090

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

8

 

0100

Other financial liabilities

Annex V.Part 1.38-41

Annex V.Part 1.38-41

8

 

0110

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

 

0120

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

 

0130

Debt securities issued

Annex V.Part 1.31

Annex V.Part 1.37

8

 

0140

Other financial liabilities

Annex V.Part 1.32-34

Annex V.Part 1.38-41

8

 

0141

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

Accounting Directive art 8(3)

 

8

 

0142

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

8

 

0143

Debt securities issued

Annex V.Part 1.37

 

8

 

0144

Other financial liabilities

Annex V.Part 1.38-41

 

8

 

0150

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

 

0160

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

 

 

0170

Provisions

BAD art 4.Liabilities(6)

IAS 37.10; IAS 1.54(l)

43

 

0175

Funds for general banking risks [if presented within liabilities]

BAD art 38.1; CRR art 4(112); Annex V.Part 2.15

 

 

 

0180

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

 

0190

Other long term employee benefits

Annex V.Part 2.10

IAS 19.153; IAS 1.78(d); Annex V.Part 2.10

43

 

0200

Restructuring

 

IAS 37.71

43

 

0210

Pending legal issues and tax litigation

 

IAS 37.14, Appendix C. Examples 6 and 10

43

 

0220

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

 

0230

Other provisions

BAD Article 4 Liabilities (6)(c ), Off balance sheet items

IAS 37.14

43

 

0240

Tax liabilities

 

IAS 1.54(n-o)

 

 

0250

Current tax liabilities

 

IAS 1.54(n); IAS 12.5

 

 

0260

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)

 

 

0270

Share capital repayable on demand

 

IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12

 

 

0280

Other liabilities

Annex V.Part 2.13

Annex V.Part 2.13

 

 

0290

Liabilities included in disposal groups classified as held for sale

 

IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14

 

 

0295

Haircuts for trading liabilities at fair value

Annex V Part 1.29

 

 

 

0300

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

0010

0010

Capital

BAD art 4.Liabilities(9), BAD art 22

IAS 1.54(r), BAD art 22

46

 

0020

Paid up capital

BAD art 4.Liabilities(9)

IAS 1.78(e)

 

 

0030

Unpaid capital which has been called up

BAD art 4.Liabilities(9); Annex V.Part 2.17

Annex V.Part 2.14

 

 

0040

Share premium

BAD art 4.Liabilities(10); CRR art 4(1)(124)

IAS 1.78(e); CRR art 4(1)(124)

46

 

0050

Equity instruments issued other than capital

Annex V.Part 2.18-19

Annex V.Part 2.18-19

46

 

0060

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

 

 

0070

Other equity instruments issued

Annex V.Part 2.19

Annex V.Part 2.19

 

 

0080

Other equity

Annex V.Part 2.20

IFRS 2.10; Annex V.Part 2.20

 

 

0090

Accumulated other comprehensive income

CRR art 4(1)(100)

CRR art 4(1)(100)

46

 

0095

Items that will not be reclassified to profit or loss

 

IAS 1.82A(a)

 

 

0100

Tangible assets

 

IAS 16.39-41

 

 

0110

Intangible assets

 

IAS 38.85-87

 

 

0120

Actuarial gains or (-) losses on defined benefit pension plans

 

IAS 1.7, IG6; IAS 19.120(c)

 

 

0122

Non-current assets and disposal groups classified as held for sale

 

IFRS 5.38, IG Example 12

 

 

0124

Share of other recognised income and expense of investments in subsidaries, joint ventures and associates

 

IAS 1.IG6; IAS 28.10

 

 

0320

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

 

 

0330

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

 

 

0340

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

 

 

0350

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

 

 

0360

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

 

 

0128

Items that may be reclassified to profit or loss

 

IAS 1.82A(a) (ii)

 

 

0130

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

 

 

0140

Foreign currency translation

BAD art 39(6)

IAS 21.52(b); IAS 21.32, 38-49

 

 

0150

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

 

 

0155

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

 

 

0165

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

 

 

0170

Non-current assets and disposal groups classified as held for sale

 

IFRS 5.38, IG Example 12

 

 

0180

Share of other recognised income and expense of investments in subsidaries, joint ventures and associates

 

IAS 1.IG6; IAS 28.10

 

 

0190

Retained earnings

BAD art 4.Liabilities(13); CRR art 4(1)(123)

CRR art 4(1)(123)

 

 

0200

Revaluation reserves

BAD art 4.Liabilities(12)

IFRS 1.30, D5-D8; Annex V.Part 2.28

 

 

0201

Tangible assets

Accounting Directive art 7(1)

 

 

 

0202

Equity instruments

Accounting Directive art 7(1)

 

 

 

0203

Debt securities

Accounting Directive art 7(1)

 

 

 

0204

Other

Accounting Directive art 7(1)

 

 

 

0205

Fair value reserves

Accounting Directive art 8(1)(a)

 

 

 

0206

Hedge of net investments in foreign operations

Accounting Directive art 8(1)(a), (8)(b)

 

 

 

0207

Hedging derivatives.Cash flow hedges

Accounting Directive art 8(1)(a), (8)(a); CRR article 30(a)

 

 

 

0208

Hedging derivatives. Other hedges

Accounting Directive art 8(1)(a), (8)(a)

 

 

 

0209

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

Accounting Directive art 8(1)(a), 8(2)

 

 

 

0210

Other reserves

BAD art 4 Liabilities(11)-(13)

IAS 1.54; IAS 1.78(e)

 

 

0215

Funds for general banking risks [if presented within equity]

BAD art 38.1; CRR art 4(112); Annex V.Part 2.15

 

 

 

0220

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

 

 

0230

Other

Annex V.Part 2.29

Annex V.Part 2.29

 

 

0235

First consolidation differences

Accounting Directive art 24(3)(c)

 

 

 

0240

(-)  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

 

0250

Profit or loss attributable to owners of the parent

BAD art 4.Liabilities(14)

IAS 1.81B (b)(ii)

2

 

0260

(-)  Interim dividends

CRR Article 26(2b)

IAS 32.35

 

 

0270

Minority interests [Non-controlling interests]

Accounting Directive art 24(4)

IAS 1.54(q)

 

 

0280

Accumulated Other Comprehensive Income

CRR art 4(1)(100)

CRR art 4(1)(100)

46

 

0290

Other items

 

 

46

 

0300

TOTAL EQUITY

 

IAS 1.9(c), IG 6

46

 

0310

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

0010

0010

Interest income

BAD art 27.Vertical layout(1); Annex V.Part 2.31

IAS 1.97; Annex V.Part 2.31

16

 

0020

Financial assets held for trading

 

IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34

 

 

0025

Non-trading financial assets mandatorily at fair value through profit or loss

 

IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1

 

 

0030

Financial assets designated at fair value through profit or loss

 

IFRS 7.20(a)(i), B5(e)

 

 

0041

Financial assets at fair value through other comprehensive income

 

IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A

 

 

0051

Financial assets at amortised cost

 

IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2

 

 

0070

Derivatives - Hedge accounting, interest rate risk

 

IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35

 

 

0080

Other assets

 

Annex V.Part 2.36

 

 

0085

Interest income on liabilities

Annex V.Part 2.37

IFRS 9.5.7.1, Annex V.Part 2.37

 

 

0090

(Interest expenses)

BAD art 27.Vertical layout(2); Annex V.Part 2.31

IAS 1.97; Annex V.Part 2.31

16

 

0100

(Financial liabilities held for trading)

 

IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34

 

 

0110

(Financial liabilities designated at fair value through profit or loss)

 

IFRS 7.20(a)(i), B5(e)

 

 

0120

(Financial liabilities measured at amortised cost)

 

IFRS 7.20(b); IFRS 9.5.7.2

 

 

0130

(Derivatives - Hedge accounting, interest rate risk)

 

IAS 39.9; Annex V.Part 2.35

 

 

0140

(Other liabilities)

 

Annex V.Part 2.38

 

 

0145

(Interest expense on assets)

Annex V.Part 2.39

IFRS 9.5.7.1, Annex V.Part 2.39

 

 

0150

(Expenses on share capital repayable on demand)

 

IFRIC 2.11

 

 

0160

Dividend income

BAD art 27.Vertical layout(3); Annex V.Part 2.40

Annex V.Part 2.40

31

 

0170

Financial assets held for trading

 

IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40

 

 

0175

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

 

 

0191

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

 

 

0192

Investments in subsidiaries, joint ventures and associates accounted for using other than equity method

Annex V Part 2 .42

Annex V Part 2 .42

 

 

0200

Fee and commission income

BAD art 27.Vertical layout(4)

IFRS 7.20(c)

22

 

0210

(Fee and commission expenses)

BAD art 27.Vertical layout(5)

IFRS 7.20(c)

22

 

0220

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

 

0231

Financial assets at fair value through other comprehensive income

 

IFRS 9.4.12A; IFRS 9.5.7.10-11

 

 

0241

Financial assets at amortised cost

 

IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2

 

 

0260

Financial liabilities measured at amortised cost

 

IFRS 7.20(a)(v); IFRS 9.5.7.2

 

 

0270

Other

 

 

 

 

0280

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

 

0285

Gains or (-) losses on trading financial assets and liabilities, net

BAD art 27.Vertical layout(6)

 

16

 

0287

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

 

 

0290

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

 

0295

Gains or (-) losses on non-trading financial assets and liabilities, net

BAD art 27.Vertical layout(6)

 

16

 

0300

Gains or (-) losses from hedge accounting, net

Accounting Directive art 8(1)(a), (6), (8)

Annex V.Part 2.47

16

 

0310

Exchange differences [gain or (-) loss], net

BAD art 39

IAS 21.28, 52 (a)

 

 

0320

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

Annex V.Part 2.56

 

 

0330

Gains or (-) losses on derecognition of non-financial assets, net

Annex V. Part 2.48

IAS 1.34; Annex V. Part 2.48

45

 

0340

Other operating income

BAD art 27.Vertical layout(7); Annex V.Part 2.314-316

Annex V.Part 2.314-316

45

 

0350

(Other operating expenses)

BAD art 27.Vertical layout(10); Annex V.Part 2.314-316

Annex V.Part 2.314-316

45

 

0355

TOTAL OPERATING INCOME, NET

 

 

 

 

0360

(Administrative expenses)

BAD art 27.Vertical layout(8)

 

 

 

0370

(Staff expenses)

BAD art 27.Vertical layout(8)(a)

IAS 19.7; IAS 1.102, IG 6

44

 

0380

(Other administrative expenses)

BAD art 27.Vertical layout(8)(b);

 

16

 

0385

(Cash contributions to resolution funds and deposit guarantee schemes)

Annex V.Part 2.48i

Annex V.Part 2.48i

 

 

0390

(Depreciation)

 

IAS 1.102, 104

 

 

0400

(Property, Plant and Equipment)

BAD art 27.Vertical layout(9)

IAS 1.104; IAS 16.73(e)(vii)

 

 

0410

(Investment Properties)

BAD art 27.Vertical layout(9)

IAS 1.104; IAS 40.79(d)(iv)

 

 

0415

(Goodwill)

BAD art 27.Vertical layout(9)

 

 

 

0420

(Other intangible assets)

BAD art 27.Vertical layout(9)

IAS 1.104; IAS 38.118(e)(vi)

 

 

0425

Modification gains or (-) losses, net

 

IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49

 

 

0426

Financial assets at fair value through other comprehensive income

 

IFRS 7.35J

 

 

0427

Financial assets at amortised cost

 

IFRS 7.35J

 

 

0430

(Provisions or (-) reversal of provisions)

 

IAS 37.59, 84; IAS 1.98(b)(f)(g)

9

12

43

 

0435

(payment commitments to resolution funds and deposit guarantee schemes)

Annex V.Part 2.48i

Annex V.Part 2.48i

 

 

0440

(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

 

 

0450

(Other provisions)

 

 

 

 

0455

(Increases or (-) decreases of the fund for general banking risks, net)

BAD art 38.2

 

 

 

0460

(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

 

0481

(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

 

0491

(Financial assets at amortised cost)

 

IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8

12

 

0510

(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

 

0520

(Impairment or (-) reversal of impairment on non-financial assets)

 

IAS 36.126(a)(b)

16

 

0530

(Property, plant and equipment)

BAD art 27.Vertical layout(9)

IAS 16.73(e)(v-vi)

 

 

0540

(Investment properties)

BAD art 27.Vertical layout(9)

IAS 40.79(d)(v)

 

 

0550

(Goodwill)

BAD art 27.Vertical layout(9)

IFRS 3.Appendix B67(d)(v); IAS 36.124

 

 

0560

(Other intangible assets)

BAD art 27.Vertical layout(9)

IAS 38.118 (e)(iv)(v)

 

 

0570

(Other)

 

IAS 36.126 (a)(b)

 

 

0580

Negative goodwill recognised in profit or loss

Accounting Directive art 24(3)(f)

IFRS 3.Appendix B64(n)(i)

 

 

0590

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

 

 

0600

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

 

 

0610

PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS

 

IAS 1.102, IG 6; IFRS 5.33 A

 

 

0620

(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

 

 

0630

PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS

BAD art 27.Vertical layout(16)

IAS 1, IG 6

 

 

0632

Extraordinary profit or (-) loss after tax

BAD art 27.Vertical layout(21)

 

 

 

0633

Extraordinary profit or loss before tax

BAD art 27.Vertical layout(19)

 

 

 

0634

(Tax expense or (-) income related to extraordinary profit or loss)

BAD art 27.Vertical layout(20)

 

 

 

0640

Profit or (-) loss after tax from discontinued operations

 

IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56

 

 

0650

Profit or (-) loss before tax from discontinued operations

 

IFRS 5.33(b)(i)

 

 

0660

(Tax expense or (-) income related to discontinued operations)

 

IFRS 5.33 (b)(ii),(iv)

 

 

0670

PROFIT OR (-) LOSS FOR THE YEAR

BAD art 27.Vertical layout(23)

IAS 1.81A(a)

 

 

0680

Attributable to minority interest [non-controlling interests]

 

IAS 1.81B (b)(i)

 

 

0690

Attributable to owners of the parent

 

IAS 1.81B (b)(ii)

 

 

3.    Statement of comprehensive income



 

References National GAAP compatible IFRS

Current period

0010

0010

Profit or (-) loss for the year

IAS 1.7, IG6

 

0020

Other comprehensive income

IAS 1.7, IG6

 

0030

Items that will not be reclassified to profit or loss

IAS 1.82A(a)(i)

 

0040

Tangible assets

IAS 1.7, IG6; IAS 16.39-40

 

0050

Intangible assets

IAS 1.7; IAS 38.85-86

 

0060

Actuarial gains or (-) losses on defined benefit pension plans

IAS 1.7, IG6; IAS 19.120(c)

 

0070

Non-current assets and disposal groups held for sale

IFRS 5.38

 

0080

Share of other recognised income and expense of entities accounted for using the equity method

IAS 1.IG6; IAS 28.10

 

0081

Fair value changes of equity instruments measured at fair value through other comprehensive income

IAS 1.7(d)

 

0083

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

 

0084

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

 

0085

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

 

0086

Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk

IAS 1.7(f)

 

0090

Income tax relating to items that will not be reclassified

IAS 1.91(b); Annex V.Part 2.66

 

0100

Items that may be reclassified to profit or loss

IAS 1.82A(a)(ii)

 

0110

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

 

0120

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

 

0130

Transferred to profit or loss

IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59

 

0140

Other reclassifications

Annex V.Part 2.65

 

0150

Foreign currency translation

IAS 1.7, IG6; IAS 21.52(b)

 

0160

Translation gains or (-) losses taken to equity

IAS 21.32, 38-47

 

0170

Transferred to profit or loss

IAS 1.7, 92-95; IAS 21.48-49

 

0180

Other reclassifications

Annex V.Part 2.65

 

0190

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);

 

0200

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)

 

0210

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

 

0220

Transferred to initial carrying amount of hedged items

IAS 1.IG6;IFRS 9.6.5.11(d)(i)

 

0230

Other reclassifications

Annex V.Part 2.65

 

0231

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

 

0232

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)

 

0233

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

 

0234

Other reclassifications

Annex V.Part 2.65

 

0241

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

 

0251

Valuation gains or (-) losses taken to equity

IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4

 

0261

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

 

0270

Other reclassifications

IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65

 

0280

Non-current assets and disposal groups held for sale

IFRS 5.38

 

0290

Valuation gains or (-) losses taken to equity

IFRS 5.38

 

0300

Transferred to profit or loss

IAS 1.7, 92-95; IFRS 5.38

 

0310

Other reclassifications

IFRS 5.IG Example 12

 

0320

Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates

IAS 1.IG6; IAS 28.10

 

0330

Income tax relating to items that may be reclassified to profit or (-) loss

IAS 1.91(b), IG6; Annex V.Part 2.66

 

0340

Total comprehensive income for the year

IAS 1.7, 81A(a), IG6

 

0350

Attributable to minority interest [Non-controlling interest]

IAS 1.83(b)(i), IG6

 

0360

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

0010

0005

Derivatives

 

 

 

0010

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11, Annex V.Part 1.44(b)

 

0030

of which: credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

0040

of which: other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

0050

of which: non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

0060

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31, 44(b)

 

0070

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

0080

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

0090

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

0100

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

0120

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32, 44(a)

 

0130

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

0140

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

0150

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

0160

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

0180

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

0190

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

0010

0020

0010

Equity instruments

 

IAS 32.11, Annex V.Part 1.44(b)

 

 

0020

of which: credit institutions

 

Annex V.Part 1.42(c)

 

 

0030

of which: other financial corporations

 

Annex V.Part 1.42(d)

 

 

0040

of which: non-financial corporations

 

Annex V.Part 1.42(e)

 

 

0050

Debt securities

 

Annex V.Part 1.31, 44(b)

 

 

0060

Central banks

 

Annex V.Part 1.42(a)

 

 

0070

General governments

 

Annex V.Part 1.42(b)

 

 

0080

Credit institutions

 

Annex V.Part 1.42(c)

 

 

0090

Other financial corporations

 

Annex V.Part 1.42(d)

 

 

0100

Non-financial corporations

 

Annex V.Part 1.42(e)

 

 

0110

Loans and advances

 

Annex V.Part 1.32, 44(a)

 

 

0120

Central banks

 

Annex V.Part 1.42(a)

 

 

0130

General governments

 

Annex V.Part 1.42(b)

 

 

0140

Credit institutions

 

Annex V.Part 1.42(c)

 

 

0150

Other financial corporations

 

Annex V.Part 1.42(d)

 

 

0160

Non-financial corporations

 

Annex V.Part 1.42(e)

 

 

0170

Households

 

Annex V.Part 1.42(f)

 

 

0180

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

0010

0020

0010

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

 

 

0020

of which: at cost

 

IAS 39.46(c)

 

 

0030

of which: credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.38(c)

 

 

0040

of which: other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.38(d)

 

 

0050

of which: non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.38(e)

 

 

0060

Debt securities

Annex V.Part 1.31, 44(b)

Annex V.Part 1.31, 44(b)

 

 

0070

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

0080

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

0090

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

0100

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

0130

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

0140

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

0150

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

0160

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

0180

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

0190

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 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)

Purchased or originated credit-impaired financial assets

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)

Purchased or originated credit-impaired financial assets

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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67

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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d)

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

0010

0015

0020

0030

0040

0041

0050

0060

0070

0071

0080

0090

0010

Equity instruments

 

IAS 32.11; Annex V.Part 1.44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: credit institutions

 

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: other financial corporations

 

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: non-financial corporations

 

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0050

Debt securities

 

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0060

Central banks

 

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0070

General governments

 

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0080

Credit institutions

 

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0090

Other financial corporations

 

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0100

Non-financial corporations

 

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0110

Loans and advances

 

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0120

Central banks

 

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0130

General governments

 

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0140

Credit institutions

 

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0150

Other financial corporations

 

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0160

Non-financial corporations

 

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0165

Of which: Small and Medium-sized Enterprises

 

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

0170

Households

 

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0180

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

 

IFRS 7.8(h); IFRS 9.4.1.2A

 

 

 

 

 

 

 

 

 

 

 

 

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 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)

Purchased or originated credit-impaired financial assets

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)

Purchased or originated credit-impaired financial assets

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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67

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 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d)

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

0010

0015

0020

0030

0040

0041

0050

0060

0070

0071

0080

0090

0010

Debt securities

 

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0020

Central banks

 

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0030

General governments

 

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0040

Credit institutions

 

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0050

Other financial corporations

 

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0060

Non-financial corporations

 

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0070

Loans and advances

 

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0080

Central banks

 

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0090

General governments

 

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0100

Credit institutions

 

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0110

Other financial corporations

 

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0120

Non-financial corporations

 

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0125

Of which: Small and Medium-sized Enterprises

 

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

0130

Households

 

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0140

FINANCIAL ASSETS AT AMORTISED COST

 

IFRS 7.8(f); IFRS 9.4.1.2

 

 

 

 

 

 

 

 

 

 

 

 

4.5    Subordinated financial assets



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Carrying amount

Annex V.Part 1.27-28

0010

0010

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

0020

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

0030

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

0010

0005

Derivatives

CRR Annex II; Annex V.Part 1.17, Part 2.68

 

0010

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)

 

0020

of which: unquoted

 

 

0030

of which: credit institutions

Annex V.Part 1.42(c)

 

0040

of which: other financial corporations

Annex V.Part 1.42(d)

 

0050

of which: non-financial corporations

Annex V.Part 1.42(e)

 

0060

Debt securities

Annex V.Part 1.31, 44(b)

 

0070

Central banks

Annex V.Part 1.42(a)

 

0080

General governments

Annex V.Part 1.42(b)

 

0090

Credit institutions

Annex V.Part 1.42(c)

 

0100

Other financial corporations

Annex V.Part 1.42(d)

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

 

0130

Central banks

Annex V.Part 1.42(a)

 

0140

General governments

Annex V.Part 1.42(b)

 

0150

Credit institutions

Annex V.Part 1.42(c)

 

0160

Other financial corporations

Annex V.Part 1.42(d)

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

 

0180

Households

Annex V.Part 1.42(f)

 

0190

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

0010

0021

0010

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)

 

 

0020

of which: unquoted

 

 

 

0030

of which: credit institutions

Annex V.Part 1.42(c)

 

 

0040

of which: other financial corporations

Annex V.Part 1.42(d)

 

 

0050

of which: non-financial corporations

Annex V.Part 1.42(e)

 

 

0060

Debt securities

Annex V.Part 1.31, 44(b)

 

 

0070

Central banks

Annex V.Part 1.42(a)

 

 

0080

General governments

Annex V.Part 1.42(b)

 

 

0090

Credit institutions

Annex V.Part 1.42(c)

 

 

0100

Other financial corporations

Annex V.Part 1.42(d)

 

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

0130

Central banks

Annex V.Part 1.42(a)

 

 

0140

General governments

Annex V.Part 1.42(b)

 

 

0150

Credit institutions

Annex V.Part 1.42(c)

 

 

0160

Other financial corporations

Annex V.Part 1.42(d)

 

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0180

Households

Annex V.Part 1.42(f)

 

 

0190

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

0010

0030

0035

0040

0050

0060

0070

0080

0090

0100

0010

Equity instruments

ECB/2013/33 Annex 2. Part 2.4-5; Annex V Part 1.44(b)

 

 

 

 

 

 

 

 

 

 

0020

of which: unquoted

 

 

 

 

 

 

 

 

 

 

 

0030

of which: credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

0040

of which: other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

0050

of which: non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

0060

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

0070

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

0080

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

0090

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

0100

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

0130

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

0140

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

0150

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

0160

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

0175

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

0180

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

0190

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

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

Unimpaired assets

 

Impaired assets

 

of which: assets under LOCOM

of which: assets under LOCOM

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

0010

0015

0020

0025

0030

0041

0045

0050

0060

0070

0080

0090

0100

0005

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

0006

of which: unquoted

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0007

of which: credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

0008

of which: other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

0009

of which: non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

0010

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

0125

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

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

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

Unimpaired assets

 

Impaired assets

 

of which: assets under LOCOM

of which: assets under LOCOM

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

0015

0016

0020

0025

0030

0040

0050

0010

0070

0080

0090

0100

0110

0010

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5; Annex V.Part 1.44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: unquoted

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

0175

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

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, trading or held for sale 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)

0005

0010

0020

0030

0040

0050

0060

By product

0010

On demand [call] and short notice [current account]

Annex V.Part 2.85(a)

 

 

 

 

 

 

 

0020

Credit card debt

Annex V.Part 2.85(b)

 

 

 

 

 

 

 

0030

Trade receivables

Annex V.Part 2.85(c)

 

 

 

 

 

 

 

0040

Finance leases

Annex V.Part 2.85(d)

 

 

 

 

 

 

 

0050

Reverse repurchase loans

Annex V.Part 2.85(e)

 

 

 

 

 

 

 

0060

Other term loans

Annex V.Part 2.85(f)

 

 

 

 

 

 

 

0070

Advances that are not loans

Annex V.Part 2.85(g)

 

 

 

 

 

 

 

0080

LOANS AND ADVANCES

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

By collateral

0090

of which: Loans collateralized by immovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

0100

of which: other collateralized loans

Annex V.Part 2.86(b), 87

 

 

 

 

 

 

 

By purpose

0110

of which: credit for consumption

Annex V.Part 2.88(a)

 

 

 

 

 

 

 

0120

of which: lending for house purchase

Annex V.Part 2.88(b)

 

 

 

 

 

 

 

By subordination

0130

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, trading or held for sale assets to non-financial corporations by NACE codes



 

References

Non-financial corporations Annex V.Part 1.42(e), Part 2.91

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

 

of which: defaulted

 

 

Annex V.Part 1.34

Annex V.Part 2.93

Annex V.Part 2. 213-232

CRR art 178; Annex V.Part 2.237(b)

Annex V.Part 2.70-71

Annex V.Part 2.69

0010

0011

0012

0013

0021

0022

0010

A Agriculture, forestry and fishing

NACE Regulation

 

 

 

 

 

 

0020

B Mining and quarrying

NACE Regulation

 

 

 

 

 

 

0030

C Manufacturing

NACE Regulation

 

 

 

 

 

 

0040

D Electricity, gas, steam and air conditioning supply

NACE Regulation

 

 

 

 

 

 

0050

E Water supply

NACE Regulation

 

 

 

 

 

 

0060

F Construction

NACE Regulation

 

 

 

 

 

 

0070

G Wholesale and retail trade

NACE Regulation

 

 

 

 

 

 

0080

H Transport and storage

NACE Regulation

 

 

 

 

 

 

0090

I Accommodation and food service activities

NACE Regulation

 

 

 

 

 

 

0100

J Information and communication

NACE Regulation

 

 

 

 

 

 

0105

K Financial and insurance activities

NACE Regulation, Annex V.Part 2.92

 

 

 

 

 

 

0110

L Real estate activities

NACE Regulation

 

 

 

 

 

 

0120

M Professional, scientific and technical activities

NACE Regulation

 

 

 

 

 

 

0130

N Administrative and support service activities

NACE Regulation

 

 

 

 

 

 

0140

O Public administration and defence, compulsory social security

NACE Regulation

 

 

 

 

 

 

0150

P Education

NACE Regulation

 

 

 

 

 

 

0160

Q Human health services and social work activities

NACE Regulation

 

 

 

 

 

 

0170

R Arts, entertainment and recreation

NACE Regulation

 

 

 

 

 

 

0180

S Other services

NACE Regulation

 

 

 

 

 

 

0190

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)

Purchased or originated credit-impaired financial assets

≤ 30 days

> 30 days ≤ 90 days

> 90 days

≤ 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

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0060

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0070

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0080

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0090

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0100

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0130

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0140

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0150

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0160

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0180

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0190

TOTAL DEBT INSTRUMENTS

Annex V Part 2.94-95

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans and advances by product, by collateral and by subordination

 

 

 

 

 

 

 

 

 

 

 

 

0200

On demand [call] and short notice [current account]

Annex V.Part 2.85(a)

 

 

 

 

 

 

 

 

 

 

 

 

0210

Credit card debt

Annex V.Part 2.85(b)

 

 

 

 

 

 

 

 

 

 

 

 

0220

Trade receivables

Annex V.Part 2.85(c)

 

 

 

 

 

 

 

 

 

 

 

 

0230

Finance leases

Annex V.Part 2.85(d)

 

 

 

 

 

 

 

 

 

 

 

 

0240

Reverse repurchase loans

Annex V.Part 2.85(e)

 

 

 

 

 

 

 

 

 

 

 

 

0250

Other term loans

Annex V.Part 2.85(f)

 

 

 

 

 

 

 

 

 

 

 

 

0260

Advances that are not loans

Annex V.Part 2.85(g)

 

 

 

 

 

 

 

 

 

 

 

 

0270

of which: Loans collateralized by inmovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

0280

of which: other collateralized loans

Annex V.Part 2.86(b), 87

 

 

 

 

 

 

 

 

 

 

 

 

0290

of which: credit for consumption

Annex V.Part 2.88(a)

 

 

 

 

 

 

 

 

 

 

 

 

0300

of which: lending for house purchase

Annex V.Part 2.88(b)

 

 

 

 

 

 

 

 

 

 

 

 

0310

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

0010

0020

0030

0040

0050

0060

0060

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

0070

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

0080

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

0090

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

0100

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

0110

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

0120

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

0130

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

0140

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

0150

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

0160

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

0170

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

0180

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

0190

TOTAL DEBT INSTRUMENTS

Annex V Part 2.94-95

 

 

 

 

 

 

 

Loans and advances by product, by collateral and by subordination

 

 

 

 

 

 

 

0200

On demand [call] and short notice [current account]

Annex V.Part 2.85(a)

 

 

 

 

 

 

0210

Credit card debt

Annex V.Part 2.85(b)

 

 

 

 

 

 

0220

Trade receivables

Annex V.Part 2.85(c)

 

 

 

 

 

 

0230

Finance leases

Annex V.Part 2.85(d)

 

 

 

 

 

 

0240

Reverse repurchase loans

Annex V.Part 2.85(e)

 

 

 

 

 

 

0250

Other term loans

Annex V.Part 2.85(f)

 

 

 

 

 

 

0260

Advances that are not loans

Annex V.Part 2.85(g)

 

 

 

 

 

 

0270

of which: Loans collateralized by inmovable property

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

0280

of which: other collateralized loans

Annex V.Part 2.86(b), 87

 

 

 

 

 

 

0290

of which: credit for consumption

Annex V.Part 2.88(a)

 

 

 

 

 

 

0300

of which: lending for house purchase

Annex V.Part 2.88(b)

 

 

 

 

 

 

0310

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 based on BAD

References National GAAP compatible IFRS

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

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

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

0010

0020

0030

0034

0035

0037

0040

0010

Derivatives

CRR Annex II

IFRS 9.BA.7(a)

 

 

 

 

 

 

 

0020

Short positions

 

FRS 9.BA.7(b)

 

 

 

 

 

 

 

0030

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

 

 

 

 

 

 

 

0040

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

 

 

 

 

 

 

0050

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

 

 

 

 

 

 

 

0060

Central banks

Annex V.Part 1.42(a), 44(c)

Annex V.Part 1.42(a), 44(c)

 

 

 

 

 

 

 

0070

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

 

 

0080

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

 

 

0090

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

 

 

 

 

 

 

 

0100

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

 

 

0110

General governments

Annex V.Part 1.42(b), 44(c)

Annex V.Part 1.42(b), 44(c)

 

 

 

 

 

 

 

0120

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

 

 

0130

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

 

 

0140

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

 

 

 

 

 

 

 

0150

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

 

 

0160

Credit institutions

Annex V.Part 1.42(c),44(c)

Annex V.Part 1.42(c),44(c)

 

 

 

 

 

 

 

0170

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

 

 

0180

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

 

 

0190

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

 

 

 

 

 

 

 

0200

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

 

 

0210

Other financial corporations

Annex V.Part 1.42(d),44(c)

Annex V.Part 1.42(d),44(c)

 

 

 

 

 

 

 

0220

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

 

 

0230

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

 

 

0240

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

 

 

 

 

 

 

 

0250

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

 

 

0260

Non-financial corporations

Annex V.Part 1.42(e), 44(c)

Annex V.Part 1.42(e), 44(c)

 

 

 

 

 

 

 

0270

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

 

 

0280

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

 

 

0290

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

 

 

 

 

 

 

 

0300

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

 

 

0310

Households

Annex V.Part 1.42(f), 44(c)

Annex V.Part 1.42(f), 44(c)

 

 

 

 

 

 

 

0320

Current accounts / overnight deposits

ECB/2013/33 Annex 2.Part 2.9.1

ECB/2013/33 Annex 2.Part 2.9.1

 

 

 

 

 

 

 

0330

Deposits with agreed maturity

ECB/2013/33 Annex 2.Part 2.9.2

ECB/2013/33 Annex 2.Part 2.9.2

 

 

 

 

 

 

 

0340

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

 

 

 

 

 

 

 

0350

Repurchase agreements

ECB/2013/33 Annex 2.Part 2.9.4

ECB/2013/33 Annex 2.Part 2.9.4

 

 

 

 

 

 

 

0360

Debt securities issued

Annex V.1.37, Part 2.98

Annex V.Part 1.37, Part 2.98

 

 

 

 

 

 

 

0370

Certificates of deposits

Annex V.Part 2.98(a)

Annex V.Part 2.98(a)

 

 

 

 

 

 

 

0380

Asset-backed securities

CRR art 4(61)

CRR art 4(1)(61)

 

 

 

 

 

 

 

0390

Covered bonds

CRR art 129

CRR art 129

 

 

 

 

 

 

 

0400

Hybrid contracts

Annex V.Part 2.98(d)

Annex V.Part 2.98(d)

 

 

 

 

 

 

 

0410

Other debt securities issued

Annex V.Part 2.98(e)

Annex V.Part 2.98(e)

 

 

 

 

 

 

 

0420

Convertible compound financial instruments

 

IAS 32.AG 31

 

 

 

 

 

 

 

0430

Non-convertible

 

 

 

 

 

 

 

 

 

0440

Other financial liabilities

Annex V.Part 1.38-41

Annex V.Part 1.38-41

 

 

 

 

 

 

 

0445

of which: lease liabilities

 

IFRS 16.22, 26-28, 47(b)

 

 

 

 

 

 

 

0450

FINANCIAL LIABILITIES

 

 

 

 

 

 

 

 

 

8.2    Subordinated financial liabilities



 

References National GAAP

References National GAAP compatible IFRS

Carriyng amount

Designated at fair value through profit or loss

At amortized cost

At a cost-based method

IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5

IFRS 7.8(g); IFRS 9.4.2.1

 

Accounting Directive art 8(1)(a), (6); IAS 39.9

Accounting Directive art 8(3), (6); IAS 39.47

Accounting Directive art 8(3)

0010

0020

0030

0010

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

 

 

 

0020

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

 

 

 

0030

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



 

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)

Purchased or originated credit-impaired instruments

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)

Purchased or originated credit-impaired instruments

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 7.35M; Annex V.Part 2.107

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)

IFRS 7.35M; Annex V.Part 2.107

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

0010

0020

0030

0035

0040

0050

0060

0065

0100

0110

0120

0130

0010

Loan commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116

 

 

 

 

 

 

 

 

 

 

 

 

0021

of which: non-performing

Annex V.Part 2.117

 

 

 

 

 

 

 

 

 

 

 

 

0030

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0040

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0050

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0060

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0070

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0080

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0090

Financial guarantees given

IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116

 

 

 

 

 

 

 

 

 

 

 

 

0101

of which: non-performing

Annex V.Part 2.117

 

 

 

 

 

 

 

 

 

 

 

 

0110

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0120

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0130

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0140

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0150

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0160

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0170

Other Commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116

 

 

 

 

 

 

 

 

 

 

 

 

0181

of which: non-performing

Annex V.Part 2.117

 

 

 

 

 

 

 

 

 

 

 

 

0190

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0200

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0210

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0220

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0230

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0240

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

9.1    Off-balance sheet exposures under national GAAP: Loan commitments, financial guarantees and other commitments given



 

References National GAAP

Nominal amount

Provisions

CRR Annex I; Annex V.Part 2.118

CRR Annex I; Annex V.Part 2.11

0010

0020

0010

Loan commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113

 

 

0021

of which: non-performing

Annex V. Part 2.117

 

 

0030

Central banks

Annex V.Part 1.42(a)

 

 

0040

General governments

Annex V.Part 1.42(b)

 

 

0050

Credit institutions

Annex V.Part 1.42(c)

 

 

0060

Other financial corporations

Annex V.Part 1.42(d)

 

 

0070

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0080

Households

Annex V.Part 1.42(f)

 

 

0090

Financial guarantees given

CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114

 

 

0101

of which: non-performing

Annex V. Part 2.117

 

 

0110

Central banks

Annex V.Part 1.42(a)

 

 

0120

General governments

Annex V.Part 1.42(b)

 

 

0130

Credit institutions

Annex V.Part 1.42(c)

 

 

0140

Other financial corporations

Annex V.Part 1.42(d)

 

 

0150

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0160

Households

Annex V.Part 1.42(f)

 

 

0170

Other Commitments given

CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115

 

 

0181

of which: non-performing

Annex V. Part 2.117

 

 

0190

Central banks

Annex V.Part 1.42(a)

 

 

0200

General governments

Annex V.Part 1.42(b)

 

 

0210

Credit institutions

Annex V.Part 1.42(c)

 

 

0220

Other financial corporations

Annex V.Part 1.42(d)

 

 

0230

Non-financial corporations

Annex V.Part 1.42(e)

 

 

0240

Households

Annex V.Part 1.42(f)

 

 

9.2    Loan commitments, financial guarantees and other commitments received



 

References National GAAP

References National GAAP compatible IFRS

Maximum amount of the guarantee that can be considered

Nominal amount

IFRS 7.36 (b); Annex V.Part 2.119

Annex V.Part 2.119

Annex V.Part 2.119

Annex V.Part 2.119

0010

0020

0010

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

 

 

0020

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

0030

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

0070

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

0080

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

 

 

0090

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

0100

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

0110

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

0120

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

0130

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

0140

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

0150

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

 

 

0160

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

0170

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

0180

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

0190

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

0200

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

0210

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

References National GAAP based on BAD

References National GAAP compatible IFRS

Carrying amount

Fair value

Notional amount

Financial assets Held for trading and trading

 

Financial liabilities Held for trading and trading

 

Positive value

Negative value

Total Trading

of which: sold

of which: Financial assets measured at a cost-based method / LOCOM

of which: Financial liabilities measured at a cost-based method / LOCOM

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

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

0010

0011

0020

0016

0022

0025

0030

0040

0010

Interest rate

Annex V.Part 2.129(a)

Annex V.Part 2.129(a)

 

 

 

 

 

 

 

 

0020

of which: economic hedges

Annex V.Part 2.137-139

Annex V.Part 2.137-139

 

 

 

 

 

 

 

 

0030

OTC options

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0040

OTC other

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0050

Organized market options

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0060

Organized market other

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0070

Equity

Annex V.Part 2.129(b)

Annex V.Part 2.129(b)

 

 

 

 

 

 

 

 

0080

of which: economic hedges

Annex V.Part 2.137-139

Annex V.Part 2.137-139

 

 

 

 

 

 

 

 

0090

OTC options

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0100

OTC other

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0110

Organized market options

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0120

Organized market other

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0130

Foreign exchange and gold

Annex V.Part 2.129(c)

Annex V.Part 2.129(c)

 

 

 

 

 

 

 

 

0140

of which: economic hedges

Annex V.Part 2.137-139

Annex V.Part 2.137-139

 

 

 

 

 

 

 

 

0150

OTC options

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0160

OTC other

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0170

Organized market options

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0180

Organized market other

Annex V.Part 2.136

Annex V.Part 2.136

 

 

 

 

 

 

 

 

0190

Credit

Annex V.Part 2.129(d)

Annex V.Part 2.129(d)

 

 

 

 

 

 

 

 

0195

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

 

 

 

 

 

 

 

 

0201

of which: other economic hedges

Annex V.Part 2.137-140

Annex V.Part 2.137-140

 

 

 

 

 

 

 

 

0210

Credit default swap

 

 

 

 

 

 

 

 

 

 

0220

Credit spread option

 

 

 

 

 

 

 

 

 

 

0230

Total return swap

 

 

 

 

 

 

 

 

 

 

0240

Other

 

 

 

 

 

 

 

 

 

 

0250

Commodity

Annex V.Part 2.129(e)

Annex V.Part 2.129(e)

 

 

 

 

 

 

 

 

0260

of which: economic hedges

Annex V.Part 2.137-139

Annex V.Part 2.137-139

 

 

 

 

 

 

 

 

0270

Other

Annex V.Part 2.129(f)

Annex V.Part 2.129(f)

 

 

 

 

 

 

 

 

0280

of which: economic hedges

Annex V.Part 2.137-139

Annex V.Part 2.137-139

 

 

 

 

 

 

 

 

0290

DERIVATIVES

CRR Annex II; Annex V.Part 1.16(a)

IFRS 9.Appendix A

 

 

 

 

 

 

 

 

0300

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

 

 

 

 

 

 

 

 

0310

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)

 

 

 

 

 

 

 

 

0320

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

References National GAAP compatible IFRS

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

0010

0020

0030

0040

0010

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

0020

OTC options

Annex V.Part 2.136

 

 

 

 

0030

OTC other

Annex V.Part 2.136

 

 

 

 

0040

Organized market options

Annex V.Part 2.136

 

 

 

 

0050

Organized market other

Annex V.Part 2.136

 

 

 

 

0060

Equity

Annex V.Part 2.129(b)

 

 

 

 

0070

OTC options

Annex V.Part 2.136

 

 

 

 

0080

OTC other

Annex V.Part 2.136

 

 

 

 

0090

Organized market options

Annex V.Part 2.136

 

 

 

 

0100

Organized market other

Annex V.Part 2.136

 

 

 

 

0110

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

0120

OTC options

Annex V.Part 2.136

 

 

 

 

0130

OTC other

Annex V.Part 2.136

 

 

 

 

0140

Organized market options

Annex V.Part 2.136

 

 

 

 

0150

Organized market other

Annex V.Part 2.136

 

 

 

 

0160

Credit

Annex V.Part 2.129(d)

 

 

 

 

0170

Credit default swap

Annex V.Part 2.136

 

 

 

 

0180

Credit spread option

Annex V.Part 2.136

 

 

 

 

0190

Total return swap

Annex V.Part 2.136

 

 

 

 

0200

Other

Annex V.Part 2.136

 

 

 

 

0210

Commodity

Annex V.Part 2.129(e)

 

 

 

 

0220

Other

Annex V.Part 2.129(f)

 

 

 

 

0230

FAIR VALUE HEDGES

IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a)

 

 

 

 

0240

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

0250

OTC options

Annex V.Part 2.136

 

 

 

 

0260

OTC other

Annex V.Part 2.136

 

 

 

 

0270

Organized market options

Annex V.Part 2.136

 

 

 

 

0280

Organized market other

Annex V.Part 2.136

 

 

 

 

0290

Equity

Annex V.Part 2.129(b)

 

 

 

 

0300

OTC options

Annex V.Part 2.136

 

 

 

 

0310

OTC other

Annex V.Part 2.136

 

 

 

 

0320

Organized market options

Annex V.Part 2.136

 

 

 

 

0330

Organized market other

Annex V.Part 2.136

 

 

 

 

0340

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

0350

OTC options

Annex V.Part 2.136

 

 

 

 

0360

OTC other

Annex V.Part 2.136

 

 

 

 

0370

Organized market options

Annex V.Part 2.136

 

 

 

 

0380

Organized market other

Annex V.Part 2.136

 

 

 

 

0390

Credit

Annex V.Part 2.129(d)

 

 

 

 

0400

Credit default swap

Annex V.Part 2.136

 

 

 

 

0410

Credit spread option

Annex V.Part 2.136

 

 

 

 

0420

Total return swap

Annex V.Part 2.136

 

 

 

 

0430

Other

Annex V.Part 2.136

 

 

 

 

0440

Commodity

Annex V.Part 2.129(e)

 

 

 

 

0450

Other

Annex V.Part 2.129(f)

 

 

 

 

0460

CASH FLOW HEDGES

IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b)

 

 

 

 

0470

HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION

IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c)

 

 

 

 

0480

PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK

IAS 39.71, 81A, 89A, AG 114-132

 

 

 

 

0490

PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK

IAS 39.71

 

 

 

 

0500

DERIVATIVES-HEDGE ACCOUNTING

IFRS 7.24A; IAS 39.9; IFRS 9.6.1

 

 

 

 

0510

of which: OTC - credit institutions

Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142

 

 

 

 

0520

of which: OTC - other financial corporations

Annex V.Part 1.42(d), 44(e), Part 2.141(b)

 

 

 

 

0530

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

Assets

 

Liabilities

 

Total Hedging

 

of which: sold

 

Positive value

Negative value

of which: assets carried at amortised cost / LOCOM

of which: liabilities carried at amortised cost / LOCOM

of which: derivatives carried at amortised cost / LOCOM

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

0005

0006

0007

0008

0010

0011

0020

0021

0030

0040

0010

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

 

 

 

 

 

 

0020

OTC options

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0030

OTC other

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0040

Organized market options

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0050

Organized market other

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0060

Equity

Annex V.Part 2.129(b)

 

 

 

 

 

 

 

 

 

 

0070

OTC options

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0080

OTC other

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0090

Organized market options

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0100

Organized market other

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0110

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

 

 

 

 

 

 

0120

OTC options

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0130

OTC other

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0140

Organized market options

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0150

Organized market other

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0160

Credit

Annex V.Part 2.129(d)

 

 

 

 

 

 

 

 

 

 

0170

Credit default swap

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0180

Credit spread option

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0190

Total return swap

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0200

Other

Annex V.Part 2.136

 

 

 

 

 

 

 

 

 

 

0210

Commodity

Annex V.Part 2.129(e)

 

 

 

 

 

 

 

 

 

 

0220

Other

Annex V.Part 2.129(f)

 

 

 

 

 

 

 

 

 

 

0230

DERIVATIVES-HEDGE ACCOUNTING

Annex V.Part 1.22, 26

 

 

 

 

 

 

 

 

 

 

0231

of which: fair value hedges

Annex V.Part 2.143

 

 

 

 

 

 

 

 

 

 

0232

of which: cash flow hedges

Annex V.Part 2.143

 

 

 

 

 

 

 

 

 

 

0233

of which: cost-price hedges

Annex V.Part 2.143, 144

 

 

 

 

 

 

 

 

 

 

0234

of which: hedge in net investments in a foreign operation

Annex V.Part 2.143

 

 

 

 

 

 

 

 

 

 

0235

of which: portfolio fair value hedges of interest rate risk

Annex V.Part 2.143

 

 

 

 

 

 

 

 

 

 

0236

of which: portfolio cash flow hedges of interest rate risk

Annex V.Part 2.143

 

 

 

 

 

 

 

 

 

 

0240

of which: OTC - credit institutions

Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142

 

 

 

 

 

 

 

 

 

 

0250

of which: OTC - other financial corporations

Annex V.Part 1.42(d), 44(e), Part 2.141(b)

 

 

 

 

 

 

 

 

 

 

0260

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

0010

0020

0030

0010

Non-derivative financial assets

IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2

 

 

 

0020

of which: Financial assets held for trading

IFRS 9.Appendix A

 

 

 

0030

of which: Non-trading financial assets mandatorily at fair value through profit or loss

IFRS 9.4.1.4; IFRS 7.8(a)(ii)

 

 

 

0040

of which: Financial assets designated at fair value through profit or loss

IFRS 9.4.1.5; IFRS 7.8(a)(i)

 

 

 

0050

Non-derivative financial liabilities

IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2

 

 

 

0060

Financial liabilities held for trading

IFRS 9.Appendix A

 

 

 

0070

Financial liabilities designated at fair value through profit or loss

IFRS 9.4.2.1; IFRS 9.6.2.2

 

 

 

0080

Financial assets at amortised cost

IFRS 9.4.2.1; IFRS 9.6.2.2

 

 

 

11.3.1    Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio



 

References National GAAP based on BAD

Carrying amount

Annex V.Part 2.145

0010

0010

Non-derivative financial assets

 

 

0020

of which: Trading financial assets

BAD Article 32-33; Annex V.Part 1.17

 

0030

of which: Non-trading non-derivative financial assets measured at fair value through profit or loss

BAD art 36(2)

 

0040

of which: Non-trading non-derivative financial assets measured at fair value to equity

Accounting Directive art 8(1)(a), (8)

 

0050

of which: Other non-trading non-derivative financial assets

BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20

 

0060

Non-derivative financial liabilities

 

 

0070

of which: Trading financial liabilities

Accounting Directive art 8(1)(a),(3),(6)

 

0080

of which: Non-trading non-derivative financial liabilities measured at a cost-based method

Accounting Directive art 8(3)

 

11.4    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

0010

0020

0030

0040

0050

 

ASSETS

 

 

 

 

 

 

0010

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

 

 

 

 

 

0020

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

 

0030

Equity

Annex V.Part 2.129(b)

 

 

 

 

 

0040

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

 

0050

Credit

Annex V.Part 2.129(d)

 

 

 

 

 

0060

Commodity

Annex V.Part 2.129(e)

 

 

 

 

 

0070

Other

Annex V.Part 2.129(f)

 

 

 

 

 

0080

Financial assets measured at amortised cost

IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151

 

 

 

 

 

0090

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

 

0100

Equity

Annex V.Part 2.129(b)

 

 

 

 

 

0110

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

 

0120

Credit

Annex V.Part 2.129(d)

 

 

 

 

 

0130

Commodity

Annex V.Part 2.129(e)

 

 

 

 

 

0140

Other

Annex V.Part 2.129(f)

 

 

 

 

 

 

LIABILITIES

 

 

 

 

 

 

0150

Financial liabilities measured at amortised costs

IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151

 

 

 

 

 

0160

Interest rate

Annex V.Part 2.129(a)

 

 

 

 

 

0170

Equity

Annex V.Part 2.129(b)

 

 

 

 

 

0180

Foreign exchange and gold

Annex V.Part 2.129(c)

 

 

 

 

 

0190

Credit

Annex V.Part 2.129(d)

 

 

 

 

 

0200

Commodity

Annex V.Part 2.129(e)

 

 

 

 

 

0210

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

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

 

 

 

 

 

0330

Specific allowances for credit risk

CRR art 428 (g)(ii)

 

 

 

 

 

 

 

 

 

 

0335

Cash balances at central banks and other demand deposits

BAD art 13(2); Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

0340

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

0350

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

0360

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

0370

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

0380

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

0390

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

0400

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

0410

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

0420

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

0430

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

0440

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

0450

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

0460

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

0470

General allowances for credit risk

CRR art 4(1)(95)

 

 

 

 

 

 

 

 

 

 

0475

Cash balances at central banks and other demand deposits

BAD art 13(2); Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

0480

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

0490

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

0500

General allowance for banking risks

BAD art 37.2; CRR art 4(95)

 

 

 

 

 

 

 

 

 

 

0505

Cash balances at central banks and other demand deposits

BAD art 13(2); Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

0510

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

0520

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

0530

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

Gains or losses on derecognition of debt instruments

 

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

Annex V.Part 2.166i

0010

0020

0030

0040

0050

0070

0080

0090

0100

0110

0120

0125

0010

Allowances for financial assets without increase in credit risk since initial recognition (Stage 1)

IFRS 9.5.5.5

 

 

 

 

 

 

 

 

 

 

 

 

0015

Cash balances at central banks and other demand deposits

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

0020

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0030

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0040

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0050

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0060

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0070

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0090

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0100

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0110

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0120

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0130

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0140

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: collectively measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: individually measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0180

Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

IFRS 9.5.5.3

 

 

 

 

 

 

 

 

 

 

 

 

0185

Cash balances at central banks and other demand deposits

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

0190

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0200

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0210

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0220

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0230

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0240

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0250

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0260

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0270

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0280

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0290

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0300

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0310

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0330

of which: collectively measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0340

of which: individually measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0350

of which: non-performing

Annex V.Part 2.213-232

 

 

 

 

 

 

 

 

 

 

 

 

0360

Allowances for credit-impaired debt instruments (Stage 3)

IFRS 9.5.5.1, 9. Appendix A

 

 

 

 

 

 

 

 

 

 

 

 

0365

Cash balances at central banks and other demand deposits

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

0370

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0380

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0390

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0400

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0410

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0420

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0430

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0440

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0450

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0460

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0470

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0480

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0490

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0500

of which: collectively measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0510

of which: individually measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0600

Allowances for purchased or originated credit-impaired financial assets

Annex V.Part 2.156

 

 

 

 

 

 

 

 

 

 

 

 

0610

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

0620

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0630

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0640

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0650

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0660

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0670

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

0680

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

0690

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

0700

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

0710

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

0720

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

0730

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

0740

of which: collectively measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0750

of which: individually measured allowances

IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158

 

 

 

 

 

 

 

 

 

 

 

 

0520

Total allowance for debt instruments

IFRS 7.B8E

 

 

 

 

 

 

 

 

 

 

 

 

0530

Commitments and financial guarantees given (Stage 1)

IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157

 

 

 

 

 

 

 

 

 

 

 

 

0540

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

 

 

 

 

 

 

 

 

 

 

 

 

0550

of which: non-performing

Annex V.Part 2.117

 

 

 

 

 

 

 

 

 

 

 

 

0560

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

 

 

 

 

 

 

 

 

 

 

 

 

0565

Commitments and financial guarantees given (Purchased or originated credit-impaired)

Annex V.Part 2.156

 

 

 

 

 

 

 

 

 

 

 

 

0570

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

0010

0020

0030

0040

0050

0060

0010

Debt securities

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

0020

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

0030

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

0070

Loans and advances

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

0080

Central banks

Annex V.Part 1.42(a)

 

 

 

 

 

 

0090

General governments

Annex V.Part 1.42(b)

 

 

 

 

 

 

0100

Credit institutions

Annex V.Part 1.42(c)

 

 

 

 

 

 

0110

Other financial corporations

Annex V.Part 1.42(d)

 

 

 

 

 

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

 

 

 

 

 

 

0130

Households

Annex V.Part 1.42(f)

 

 

 

 

 

 

0140

Total debt instruments

 

 

 

 

 

 

 

0150

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 National GAAP based on BAD

References National GAAP compatible IFRS

Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174

Loans collateralized by immovable property

Other collateralised loans

Financial guarantees received

 

Residential immovable property

Commercial immovable property

Cash, deposits, [debt securities issued]

Movable property

Equity and debt securities

Rest

of which: credit derivatives

IFRS 7.36(b)

Annex V.Part 2.173(a)

Annex V.Part 2.173(a)

Annex V.Part 2.173(b)(i)

Annex V.Part 2.173(b)(ii)

Annex V.Part 2.173(b)(iii)

Annex V.Part 2.173(b)(iv)

Annex V.Part 2.173(c)

Annex V.Part 2.114(b)

0010

0020

0030

0031

0032

0041

0050

0055

0010

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

0015

of which: non-performing

CRR Art. 47a (3); Annex V. Part 2. 213-239, 260

CRR Art. 47a (3); Annex V. Part 2. 213-239, 260

 

 

 

 

 

 

 

 

0020

of which: Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0030

of which: Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

0035

of which: Small and Medium-sized Enterprises (SMEs)

SME Art 1 2(a)

SME Art 1 2(a)

 

 

 

 

 

 

 

 

0036

of which: Commercial real estate (CRE) loans to small and medium-sized enterprises

SME Art 1 2(a); Annex V.Part 2.239ix

SME Art 1 2(a); Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

0037

of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

0040

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

0050

of which: Lending for house purchase

Annex V.Part 2.88(b)

Annex V.Part 2.88(b)

 

 

 

 

 

 

 

 

0060

of which: Credit for consumption

Annex V.Part 2.88(a)

Annex V.Part 2.88(a)

 

 

 

 

 

 

 

 

13.2.1    Collateral obtained by taking possession during the period [held at the reference date]



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Collateral obtained by taking possession during the period [held at the reference date] (Annex V.Part 2.175)

 

Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7)

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Annex V.Part 2.175i

Annex V.Part 1.27-28

Annex V.Part 2.175ii

Annex V.Part 2.175i

Annex V.Part 1.27-28

0010

0020

0030

0040

0050

0010

Property, Plant and Equipment

 

IAS 16.6

 

 

 

 

 

0020

Other than Property Plant and Equipment

 

IFRS 7.38(a)

 

 

 

 

 

0030

Residential immovable property

Annex V.Part 2.173(a)

IFRS 7.38(a), Annex V.Part 2.173(a)

 

 

 

 

 

0040

Commercial immovable property

Annex V.Part 2.173(a)

IFRS 7.38(a), Annex V.Part 2.173(a)

 

 

 

 

 

0050

Movable property

Annex V.Part 2.173(b)(ii)

IFRS 7.38(a), Annex V.Part 2.173(b)(ii)

 

 

 

 

 

0060

Equity and debt securities

Annex V.Part 2.173(b)(iii)

IFRS 7.38(a), Annex V.Part 2.173(b)(iii)

 

 

 

 

 

0070

Other

Annex V.Part 2.173(b)(iv)

IFRS 7.38(a), Annex V.Part 2.173(b)(iv)

 

 

 

 

 

0080

Total

 

 

 

 

 

 

 

13.3.1    Collateral obtained by taking possession accumulated



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Collateral obtained by taking possession accumulated (Annex V.Part 2.176)

 

Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7)

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Annex V.Part 2.175i

Annex V.Part 1.27-28

Annex V.Part 2.175ii

Annex V.Part 2.175i

Annex V.Part 1.27-28

0010

0020

0030

0040

0050

0010

Property, Plant and Equipment

 

IAS 16.6

 

 

 

 

 

0020

Other than Property Plant and Equipment

 

IFRS 7.38(a)

 

 

 

 

 

0030

Residential immovable property

Annex V.Part 2.173(a)

IFRS 7.38(a), Annex V.Part 2.173(a)

 

 

 

 

 

0040

Commercial immovable property

Annex V.Part 2.173(a)

IFRS 7.38(a), Annex V.Part 2.173(a)

 

 

 

 

 

0050

Movable property

Annex V.Part 2.173(b)(ii)

IFRS 7.38(a), Annex V.Part 2.173(b)(ii)

 

 

 

 

 

0060

Equity and debt securities

Annex V.Part 2.173(b)(iii)

IFRS 7.38(a), Annex V.Part 2.173(b)(iii)

 

 

 

 

 

0070

Other

Annex V.Part 2.173(b)(iv)

IFRS 7.38(a), Annex V.Part 2.173(b)(iv)

 

 

 

 

 

0080

Total

 

 

 

 

 

 

 

14.    Fair value hierachy: financial instruments at fair value



 

References National GAAP based on BAD

References National GAAP compatible IFRS

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

0010

0020

0030

0040

0050

0060

0070

0080

ASSETS

 

 

 

 

 

 

 

 

 

 

0010

Financial assets held for trading

 

IFRS 7.8(a)(ii);IFRS 9.Appendix A

 

 

 

 

 

 

 

 

0020

Derivatives

 

IFRS 9.Appendix A

 

 

 

 

 

 

 

 

0030

Equity instruments

 

IAS 32.11,

 

 

 

 

 

 

 

 

0040

Debt securities

 

Annex V.Part 1.31

 

 

 

 

 

 

 

 

0050

Loans and advances

 

Annex V.Part 1.32

 

 

 

 

 

 

 

 

0051

Trading financial assets

BAD Article 32-33; Annex V.Part 1.17

 

 

 

 

 

 

 

 

 

0052

Derivatives

CRR Annex II; Annex V.Part 1.17

 

 

 

 

 

 

 

 

 

0053

Equity instruments

ECB/2013/33; Annex 2.Part 2.4-5

 

 

 

 

 

 

 

 

 

0054

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

0055

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

0056

Non-trading financial assets mandatorily at fair value through profit or loss

 

IFRS 9.4.1.4; IFRS 7.8(a)(ii)

 

 

 

 

 

 

 

 

0057

Equity instruments

 

IAS 32.11

 

 

 

 

 

 

 

 

0058

Debt securities

 

Annex V.Part 1.31

 

 

 

 

 

 

 

 

0059

Loans and advances

 

Annex V.Part 1.32

 

 

 

 

 

 

 

 

0060

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

 

 

 

 

 

 

 

 

0070

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

 

 

 

 

 

 

 

 

0080

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

 

 

 

 

 

 

 

0090

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

 

 

 

 

 

 

 

0101

Financial assets at fair value through other comprehensive income

 

IFRS 7.8 (h); IFRS 9.4.1.2A

 

 

 

 

 

 

 

 

0102

Equity instruments

 

IAS 32.11

 

 

 

 

 

 

 

 

0103

Debt securities

 

Annex V.Part 1.31

 

 

 

 

 

 

 

 

0104

Loans and advances

 

Annex V.Part 1.32

 

 

 

 

 

 

 

 

0121

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

Accounting Directive art 8(1)(a), (4)

 

 

 

 

 

 

 

 

 

0122

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

 

 

 

 

0123

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

0124

Loans and advances

Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

0125

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

Accounting Directive art 8(1)(a), (6),(8)

 

 

 

 

 

 

 

 

 

0126

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

 

 

 

 

0127

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

0128

Loans and advances

Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

0140

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

 

 

 

 

 

 

 

 

 

 

0150

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

 

 

 

 

 

 

 

 

0160

Derivatives

CRR Annex II

IFRS 9.BA.7(a)

 

 

 

 

 

 

 

 

0170

Short positions

 

IFRS 9.BA.7(b)

 

 

 

 

 

 

 

 

0180

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

 

 

 

 

 

 

 

 

0190

Debt securities issued

Annex V.Part 1.31

Annex V.Part 1.37

 

 

 

 

 

 

 

 

0200

Other financial liabilities

Annex V.Part 1.32-34

Annex V.Part 1.38-41

 

 

 

 

 

 

 

 

0201

Trading financial liabilities

Accounting Directive art 8(1)(a),(3),(6)

 

 

 

 

 

 

 

 

 

0202

Derivatives

CRR Annex II; Annex V.Part 1.25, 27

 

 

 

 

 

 

 

 

 

0203

Short positions

 

 

 

 

 

 

 

 

 

 

0204

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

 

 

 

 

 

 

0205

Debt securities issued

Annex V.Part 1.37

 

 

 

 

 

 

 

 

 

0206

Other financial liabilities

Annex V.Part 1.38-41

 

 

 

 

 

 

 

 

 

0210

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

 

 

 

 

 

 

 

 

0220

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

 

 

 

 

 

 

 

 

0230

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

 

 

 

 

 

 

 

 

0240

Other financial liabilities

Annex V.Part 1.38-41

Annex V.Part 1.38-41

 

 

 

 

 

 

 

 

0250

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



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Transferred financial assets entirely recognized

Transferred financial assets recognized to the extent of the instution's continuing involvement

Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights

Amounts derecognised for capital purposes

Transferred assets

Associated 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

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

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

Financial assets held for trading

 

IFRS 7.8(a)(ii);IFRS 9.Appendix A

 

 

 

 

 

 

 

 

 

 

 

0020

Equity instruments

 

IAS 32.11

 

 

 

 

 

 

 

 

 

 

 

0030

Debt securities

 

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0040

Loans and advances

 

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0041

Trading financial assets

Accounting Directive art 8(1)(a), (6); Annex V.Part 1.15

 

 

 

 

 

 

 

 

 

 

 

 

0042

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

 

 

 

 

 

 

 

0043

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

 

0044

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

 

0045

Non-trading financial assets mandatorily at fair value through profit or loss

 

IFRS 9.4.1.4

 

 

 

 

 

 

 

 

 

 

 

0046

Equity instruments

 

IAS 32.11

 

 

 

 

 

 

 

 

 

 

 

0047

Debt securities

 

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0048

Loans and advances

 

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0050

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

 

 

 

 

 

 

 

 

 

 

 

0060

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

 

 

 

 

 

 

 

 

 

 

 

0070

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0091

Financial assets at fair value through other comprehensive income

 

IFRS 7.8(h); IFRS 9.4.1.2A

 

 

 

 

 

 

 

 

 

 

 

0092

Equity instruments

 

IAS 32.11

 

 

 

 

 

 

 

 

 

 

 

0093

Debt securities

 

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0094

Loans and advances

 

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0121

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

Accounting Directive art 8(1)(a), (4)

 

 

 

 

 

 

 

 

 

 

 

 

0122

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

 

 

 

 

 

 

 

0123

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

 

0124

Loans and advances

Accounting Directive art 8(1)(a), (4)(b); part 1.14, part 3.35

 

 

 

 

 

 

 

 

 

 

 

 

0125

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

Accounting Directive art 8(1)(a), 8(2)

 

 

 

 

 

 

 

 

 

 

 

 

0126

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

 

 

 

 

 

 

 

0127

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

 

0128

Loans and advances

Accounting Directive art 8(1)(a), (4)(b);part 1.14, part 3.35

 

 

 

 

 

 

 

 

 

 

 

 

0131

Financial assets at amortised cost

Accounting Directive art 42a(4)(b),(5a); IAS 39.9

IFRS 7.8 (f); IFRS 9.4.1.2

 

 

 

 

 

 

 

 

 

 

 

0132

Debt securities

Annex V.Part 1.24, 26

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

0133

Loans and advances

Annex V.Part 1.24, 27

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

0181

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

 

 

 

 

 

 

 

 

 

 

 

 

0200

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

 

 

 

 

 

 

 

0182

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

 

0183

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

 

0184

Other non-trading non-derivative financial assets

BAD art 35-37

 

 

 

 

 

 

 

 

 

 

 

 

0185

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

 

 

 

 

 

 

 

0186

Debt securities

Annex V.Part 1.31

 

 

 

 

 

 

 

 

 

 

 

 

0187

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

 

 

 

 

 

 

 

0190

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

0010

0020

0010

Derivatives -Trading

CRR Annex II; Annex V.Part 2.193

IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193

 

 

0015

of which: interest income from derivatives in economic hedges

Annex V.Part 2.193

Annex V.Part 2.193

 

 

0020

Debt securities

Annex V.Part 1.31, 44(b)

Annex V.Part 1.31, 44(b)

 

 

0030

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

0040

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

0050

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

0060

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

0070

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

0080

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

0090

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

0100

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

0110

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

0120

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

0130

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

0140

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

0141

of which: lending for house purchase

Annex V.Part 2.88(b), 194i

Annex V.Part 2.88(b), 194i

 

 

0142

of which: credit for consumption

Annex V.Part 2.88(a), 194i

Annex V.Part 2.88(a), 194i

 

 

0150

Other assets

Annex V.Part 2.5

Annex V.Part 2.5

 

 

0160

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

 

 

0170

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

0180

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

0190

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

0200

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

0210

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

0220

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

0230

Debt securities issued

Annex V.1.37

Annex V.Part 1.37

 

 

0240

Other financial liabilities

Annex V.Part 1.32-34, Part 2.191

Annex V.Part 1.32-34, Part 2.191

 

 

0250

Derivatives - Hedge accounting, interest rate risk

Annex V.Part 2.192

Annex V.Part 2.192

 

 

0260

Other Liabilities

Annex V.Part 1.38-41

Annex V.Part 1.38-41

 

 

0270

INTEREST

BAD art 27.Vertical layout(1), (2)

IAS 1.97

 

 

0280

of which: interest-income on credit impaired financial assets

 

IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194

 

 

0290

of which: interest from leases

Annex V.Part 2.194ii

IFRS 16.38 (a), 49, Annex V.Part 2.194ii

 

 

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

0010

0010

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

Annex V.Part 1.28

 

0020

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

0030

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

0040

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

 

0050

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

 

0060

Other financial liabilities

Annex V.Part 1.38-41

Annex V.Part 1.38-41

 

0070

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

0010

0010

Derivatives

 

IFRS 9.Appendix A, .BA.1, .BA.7(a)

 

0015

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

 

0020

Equity instruments

 

IAS 32.11

 

0030

Debt securities

 

Annex V.Part 1.31

 

0040

Loans and advances

 

Annex V.Part 1.32

 

0050

Short positions

 

IFRS 9.BA.7(b)

 

0060

Deposits

 

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

0070

Debt securities issued

 

Annex V.Part 1.37

 

0080

Other financial liabilities

 

Annex V.Part 1.38-41

 

0090

GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET

 

IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i)

 

0095

of which: gains and losses due to the reclassification of assets at amortised cost

 

IFRS 9.5.6.2; annex V.Part 2.199

 

0100

Derivatives

CRR Annex II

 

 

0110

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

0120

Debt securities

Annex V.Part 1.31

 

 

0130

Loans and advances

Annex V.Part 1.32

 

 

0140

Short positions

 

 

 

0150

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0160

Debt securities issued

Annex V.Part 1.37

 

 

0170

Other financial liabilities

Annex V.Part 1.38-41

 

 

0180

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

0010

0010

Interest rate instruments and related derivatives

 

Annex V.Part 2.200(a)

 

0020

Equity instruments and related derivatives

 

Annex V.Part 2.200(b)

 

0030

Foreign exchange trading and derivatives related with foreign exchange and gold

 

Annex V.Part 2.200(c)

 

0040

Credit risk instruments and related derivatives

 

Annex V.Part 2.200(d)

 

0050

Derivatives related with commodities

 

Annex V.Part 2.200(e)

 

0060

Other

 

Annex V.Part 2.200(f)

 

0070

GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET

BAD art 27.Vertical layout(6)

IFRS 7.20(a)(i)

 

0080

Interest rate instruments and related derivatives

Annex V.Part 2.200(a)

 

 

0090

Equity instruments and related derivatives

Annex V.Part 2.200(b)

 

 

0100

Foreign exchange trading and derivatives related with foreign exchange and gold

Annex V.Part 2.200(c)

 

 

0110

Credit risk instruments and related derivatives

Annex V.Part 2.200(d)

 

 

0120

Derivatives related with commodities

Annex V.Part 2.200(e)

 

 

0130

Other

Annex V.Part 2.200(f)

 

 

0140

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

0010

0020

Equity instruments

 

IAS 32.11

 

0030

Debt securities

 

Annex V.Part 1.31

 

0040

Loans and advances

 

Annex V.Part 1.32

 

0090

GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET

 

IFRS 7.20(a)(i)

 

0100

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

0010

0020

0010

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

 

 

0020

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

 

0030

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

 

0040

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

 

 

0050

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

 

 

0060

Other financial liabilities

Annex V.Part 1.38-41

Annex V.Part 1.38-41

 

 

0070

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)

 

 

0071

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

 

 

0072

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

 

 

0080

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

0090

Debt securities

Annex V.Part 1.31

 

 

 

0100

Loans and advances

Annex V.Part 1.32

 

 

 

0110

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

0120

Debt securities issued

Annex V.Part 1.37

 

 

 

0130

Other financial liabilities

Annex V.Part 1.38-41

 

 

 

0140

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

0010

0010

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)

 

0020

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

 

0030

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)

 

0040

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)

 

0050

GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET

Accounting Directive art 8(1)(a), (6), (8)(a)

 

 

16.7    Impairment on non-financial assets



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Current period

Additions

Reversals

Accumulated impairment

Annex V.Part 2.208

Annex V.Part 2.208

 

0010

0020

0040

0060

Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates

BAD art 27.Vertical layout(13)-(14)

IAS 28.40-43

 

 

 

0070

Subsidiaries

 

IFRS 10 Appendix A

 

 

 

0080

Joint ventures

 

IAS 28.3

 

 

 

0090

Associates

 

IAS 28.3

 

 

 

0100

Impairment or (-) reversal of impairment on non-financial assets

 

IAS 36.126(a),(b)

 

 

 

0110

Property, plant and equipment

BAD art 27.Vertical layout(9)

IAS 16.73(e)(v-vi)

 

 

 

0120

Investment properties

BAD art 27.Vertical layout(9)

IAS 40.79(d)(v)

 

 

 

0130

Goodwill

BAD art 27.Vertical layout(9)

IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)

 

 

 

0140

Other intangible assets

BAD art 27.Vertical layout(9)

IAS 38.118(e)(iv)(v)

 

 

 

0145

Other

 

IAS 36.126(a),(b)

 

 

 

0150

TOTAL

 

 

 

 

 

16.8    Other administrative expenses



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Current period

Expenses

0010

0010

Information Technology expenses

Annex V.Part 2.208i

Annex V.Part 2.208i

 

0020

IT outsourcing

Annex V.Part 2.208i-208ii

Annex V.Part 2.208i-208ii

 

0030

IT expenses other than IT outsourcing expenses

Annex V.Part 2.208i

Annex V.Part 2.208i

 

0040

Taxes and duties (other)

Annex V.Part 2.208iii

Annex V.Part 2.208iii

 

0050

Consulting and professional services

Annex V.Part 2.208iv

Annex V.Part 2.208iv

 

0060

Advertising, marketing and communication

Annex V.Part 2.208v

Annex V.Part 2.208v

 

0070

Expenses related to credit risk

Annex V.Part 2.208vi

Annex V.Part 2.208vi

 

0080

Litigation expenses not covered by provisions

Annex V.Part 2.208vii

Annex V.Part 2.208vii

 

0090

Real estate expenses

Annex V.Part 2.208viii

Annex V.Part 2.208viii

 

0100

Leasing expenses

Annex V.Part 2.208ix

Annex V.Part 2.208ix

 

0110

Other admininstrative expenses - Rest

Annex V.Part 2.208x

Annex V.Part 2.208x

 

0120

OTHER ADMINISTRATIVE EXPENSES

 

 

 

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

0010

0010

Cash, cash balances at central banks and other demand deposits

BAD art 4.Assets(1)

IAS 1.54 (i)

 

0020

Cash on hand

Annex V.Part 2.1

Annex V.Part 2.1

 

0030

Cash balances at central banks

BAD art 13(2); Annex V.Part 2.2

Annex V.Part 2.2

 

0040

Other demand deposits

Annex V.Part 2.3

Annex V.Part 2.3

 

0050

Financial assets held for trading

Accounting Directive art 8(1)(a), (5); IAS 39.9

IFRS 7.8(a)(ii);IFRS 9.Appendix A

 

0060

Derivatives

CRR Annex II

IFRS 9.Appendix A

 

0070

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

 

0080

Debt securities

Annex V.Part 1.24, 26

Annex V.Part 1.31

 

0090

Loans and advances

Annex V.Part 1.24, 27

Annex V.Part 1.32

 

0091

Trading financial assets

BAD Article 32-33; Annex V.Part 1.17

 

 

0092

Derivatives

CRR Annex II; Annex V.Part 1.17

 

 

0093

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

0094

Debt securities

Annex V.Part 1.31

 

 

0095

Loans and advances

Annex V.Part 1.32

 

 

0096

Non-trading financial assets mandatorily at fair value through profit or loss

 

IFRS 9.4.1.4

 

0097

Equity instruments

 

IAS 32.11

 

0098

Debt securities

 

Annex V.Part 1.31

 

0099

Loans and advances

 

Annex V.Part 1.32

 

0100

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

 

0110

Equity instruments

 

IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5

 

0120

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

0130

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

0141

Financial assets at fair value through other comprehensive income

 

IFRS 7.8(h); IFRS 9.4.1.2A

 

0142

Equity instruments

 

IAS 32.11

 

0143

Debt securities

 

Annex V.Part 1.31

 

0144

Loans and advances

 

Annex V.Part 1.32

 

0171

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

BAD art 36(2)

 

 

0172

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

0173

Debt securities

Annex V.Part 1.31

 

 

0174

Loans and advances

Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32

 

 

0175

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

Accounting Directive art 8(1)(a), (8)

 

 

0176

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

0177

Debt securities

Annex V.Part 1.31

 

 

0178

Loans and advances

Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32

 

 

0181

Financial assets at amortised cost

 

IFRS 7.8(f); IFRS 9.4.1.2

 

0182

Debt securities

 

Annex V.Part 1.31

 

0183

Loans and advances

 

Annex V.Part 1.32

 

0231

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

 

 

0380

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

0232

Debt securities

Annex V.Part 1.31

 

 

0233

Loans and advances

Annex V.Part 1.32

 

 

0234

Other non-trading non-derivative financial assets

BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20

 

 

0235

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

0236

Debt securities

Annex V.Part 1.31

 

 

0237

Loans and advances

Annex V.Part 1.32

 

 

0240

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

 

0250

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

 

0260

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

 

0270

Assets under reinsurance and insurance contracts

Annex V.Part 2.211

IFRS 4.IG20.(b)-(c); Annex V.Part 2.211

 

0280

Tangible assets

BAD art 4.Assets(10)

 

 

0290

Intangible assets

BAD art 4.Assets(9); CRR art 4(1)(115)

IAS 1.54(c); CRR art 4(1)(115)

 

0300

Goodwill

BAD art 4.Assets(9); CRR art 4(1)(113)

IFRS 3.B67(d); CRR art 4(1)(113)

 

0310

Other intangible assets

BAD art 4.Assets(9)

IAS 38.8,118

 

0320

Tax assets

 

IAS 1.54(n-o)

 

0330

Current tax assets

 

IAS 1.54(n); IAS 12.5

 

0340

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)

 

0350

Other assets

Annex V.Part 2.5, 6

Annex V.Part 2.5

 

0360

Non-current assets and disposal groups classified as held for sale

 

IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6

 

0365

(-) Haircuts for trading assets valued at fair value

Annex V Part 1.29

 

 

0370

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

0010

0010

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

 

0020

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

 

0030

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

 

0040

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

0010

0010

Financial liabilities held for trading

 

IFRS 7.8 (e) (ii); IFRS 9.BA.6

 

0020

Derivatives

 

IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)

 

0030

Short positions

 

IFRS 9.BA7(b)

 

0040

Deposits

 

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

0050

Debt securities issued

 

Annex V.Part 1.37

 

0060

Other financial liabilities

 

Annex V.Part 1.38-41

 

0061

Trading financial liabilities

Accounting Directive art 8(1)(a),(3),(6)

 

 

0062

Derivatives

CRR Annex II; Annex V.Part 1.25, 27

 

 

0063

Short positions

 

 

 

0064

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0065

Debt securities issued

Annex V.Part 1.37

 

 

0066

Other financial liabilities

Annex V.Part 1.38-41

 

 

0070

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

 

0080

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

 

0090

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

 

0100

Other financial liabilities

Annex V.Part 1.38-41

Annex V.Part 1.38-41

 

0110

Financial liabilities measured at amortised cost

Accounting Directive art 8(3), (6); IAS 39.47

IFRS 7.8(g); IFRS 9.4.2.1

 

0120

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

 

0130

Debt securities issued

Annex V.Part 1.31

Annex V.Part 1.37

 

0140

Other financial liabilities

Annex V.Part 1.32-34

Annex V.Part 1.38-41

 

0141

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

Accounting Directive art 8(3)

 

 

0142

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0143

Debt securities issued

Annex V.Part 1.37

 

 

0144

Other financial liabilities

Annex V.Part 1.38-41

 

 

0150

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

 

0160

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

 

0170

Liabilities under insurance and reinsurance contracts

Annex V.Part 2.212

IFRS 4.IG20(a); Annex V.Part 2.212

 

0180

Provisions

BAD art 4.Liabilities(6)

IAS 37.10; IAS 1.54(l)

 

0190

Tax liabilities

 

IAS 1.54(n-o)

 

0200

Current tax liabilities

 

IAS 1.54(n); IAS 12.5

 

0210

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)

 

0220

Share capital repayable on demand

 

IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12

 

0230

Other liabilities

Annex V.Part 2.13

Annex V.Part 2.13

 

0240

Liabilities included in disposal groups classified as held for sale

 

IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14

 

0245

Haircuts for trading liabilities valued at fair value

Annex V Part 1.29

 

 

0250

LIABILITIES

 

IAS 1.9(b);IG 6

 

0260

Capital

BAD art 4.Liabilities(9), BAD art 22

IAS 1.54(r), BAD art 22

 

0270

Share premium

BAD art 4.Liabilities(10); CRR art 4(124)

IAS 1.78(e); CRR art 4(1)(124)

 

0280

Equity instruments issued other than capital

Annex V.Part 2.18-19

Annex V.Part 2.18-19

 

0290

Other equity

Annex V.Part 2.20

IFRS 2.10; Annex V.Part 2.20

 

0300

Accumulated other comprehensive income

CRR art 4(1)(100)

CRR art 4(1)(100)

 

0310

Retained earnings

CRR art 4(1)(123)

CRR art 4(1)(123)

 

0320

Revaluation reserves

BAD art 4.Liabilities(12)

IFRS 1.33, D5-D8

 

0325

Fair value reserves

Accounting Directive art 8(1)(a)

 

 

0330

Other reserves

BAD art 4.Liabilities (11)-(13)

IAS 1.54; IAS 1.78 (e)

 

0335

First consolidation differences

Accounting Directive art 24(3)(c)

 

 

0340

(-)  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

 

0350

Profit or loss attributable to owners of the parent

BAD art 4.Liabilities(14)

IFRS 10.B94

 

0360

(-)  Interim dividends

CRR Article 26 (2)

IAS 32.35

 

0370

Minority interests [Non-controlling interests]

Accounting Directive art 24(4)

IAS 1.54(q); IFRS 10.22, .B94

 

0380

TOTAL EQUITY

 

IAS 1.9(c), IG 6

 

0390

TOTAL EQUITY AND TOTAL LIABILITIES

BAD art 4.Liabilities

IAS 1.IG6

 

18    Information on performing and non-performing exposures

18.0    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

Of which: Instruments without significant increase in credit risk since initial recognition (Stage 1)

Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Of which: purchased or originated credit-impaired financial assets

 

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 <= 2 years

Past due > 2 year <= 5 years

Past due > 5 year <= 7 years

Past due > 7 years

Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Of which: defaulted

of which: Credit-impaired instruments (Stage 3)

of which: purchased or originated credit-impaired financial assets

of which: impaired

 

of which: Past due > 30 days <= 90 days

of which: Instruments without significant increase in credit risk since initial recognition (Stage 1)

of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

of which: purchased or originated credit-impaired financial assets

 

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 < = 2 year

Past due > 2 year < = 5 year

Past due > 5 year <= 7 years

Past due > 7 years

Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Of which: Credit-impaired instruments (Stage 3)

of which: purchased or originated credit-impaired financial assets

Collateral received on performing exposues

Collateral received on non-performing exposues

Financial guarantees received on performing exposures

Financial guarantees received on non-performing exposures

0010

0020

0030

0055

0056

0057

0058

0060

0070

0080

0090

0101

0102

0106

0107

0109

0110

0121

0900

0122

0130

0140

0910

0141

0142

0143

0150

0160

0170

0180

0191

0192

0196

0197

0950

0951

0952

0201

0200

0205

0210

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

IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d)

IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)

IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)

CRR Art. 47a (3); 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

Annex V. Part 2. 222, 235-236

Annex V. Part 2. 222, 235-236

IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)

CRR art 178; Annex V.Part 2.237(b)

IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a)

IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)

 

Annex V. Part 2. 238

Annex V. Part 2. 238

Annex V. Part 2. 222, 235, 237(f)

IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d)

IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)

IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)

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. 236, 238

Annex V. Part 2. 236, 238

IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c)

IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a)

IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e)

Annex V. Part 2. 239

Annex V. Part 2. 239

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

 

 

 

CRR Art. 47a (3); 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

Annex V. Part 2. 222, 235-236

Annex V. Part 2. 222, 235-236

 

CRR art 178; Annex V.Part 2.237(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. 222, 235

 

 

 

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. 236, 238

Annex V. Part 2. 236, 238

 

 

 

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

0005

Cash balances at central banks and other demand deposits

BAD art 13(2); Annex V.Part 2.2, 3

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0010

Debt securities

Annex V.Part 1.31, 44(b)

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

DEBT INSTRUMENTS AT COST OR AT AMORTISED COST

Annex V.Part 2.233(a)

Annex V.Part 2.233(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0181

Debt securities

Annex V.Part 1.31, 44(b)

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0182

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0183

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0184

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0185

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0186

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0191

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0192

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0193

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0194

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0195

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0196

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0900

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0903

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0197

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0910

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0913

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0201

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)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0211

Debt securities

Annex V.Part 1.31, 44(b)

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0212

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0213

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0214

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0215

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0216

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0221

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0222

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0223

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0224

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0225

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0226

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0920

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0923

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0227

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0930

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0933

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0231

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0330

DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING

 

Annex V.Part 2.217

Annex V.Part 2.217

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0335

DEBT INSTRUMENTS HELD FOR SALE

 

Annex V.Part 2.220

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0340

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0350

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0360

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0370

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0380

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0390

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0400

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0410

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0420

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0430

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0440

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0450

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0460

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0470

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0480

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0490

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0500

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0510

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0520

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0530

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0540

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0550

OFF-BALANCE SHEET EXPOSURES

Annex V.Part 2.217

Annex V.Part 2.217

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

18.1    Inflows and outflows of non-performing exposures - loans and advances by counterparty sector



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Gross carrying amount of loans and advances

Inflows to non-performing exposures

(-) Outflows from non-performing exposures

0010

0020

Annex V. Part 2.213-216, 224-234, 239i-239iii, 239vi

Annex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi

Annex V. Part 2.213-216, 224-234, 239i-239iii, 239vi

Annex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi

0010

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

0020

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

0030

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

0040

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

0050

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

0060

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

SME Art 1 2(a)

 

 

0070

Of which: Commercial real estate (CRE) loans to small and medium-sized enterprises

SME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix

SME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix

 

 

0080

Of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs

Annex V.Part 2.239vii (a), 239ix

Annex V.Part 2.239vii (a), 239ix

 

 

0090

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 239vii (b)

Annex V.Part 2.86(a), 87, 239vii (b)

 

 

0100

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

0110

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 239vii (b)

Annex V.Part 2.86(a), 87, 239vii (b)

 

 

0120

Of which: Credit for consumption

Annex V.Part 2.88(a), 239vii (c)

Annex V.Part 2.88(a), 239vii (c)

 

 

0130

LOANS AND ADVANCES OTHER THAN HELD FOR TRADING OR TRADING

Annex V.Part 2.217

Annex V.Part 2.217

 

 

0140

LOANS AND ADVANCES HELD FOR SALE

 

Annex V.Part 2.220

 

 

0150

TOTAL INFLOWS / OUTFLOWS

 

 

 

 

18.2    Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119

 

of which: exposures with forbearance measures

Performing

Non-performing

 

Of which: Exposures with forbearance measures

Performing exposures - Accumulated impairments

 

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

of which: performing exposures with forbearance measures

 

 

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 <= 2 years

Past due > 2 year <= 5 years

Past due > 5 year <= 7 years

Past due > 7 years

Of which: defaulted

Of which: Non-performing exposures with forbearance measures

 

Of which: Performing exposures with forbearance measures

 

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 < = 2 year

Past due > 2 year < = 5 year

Past due > 5 year <= 7 years

Past due > 7 years

Of which: Non-performing exposures with forbearance measures

Collateral received on performing exposues

Collateral received on non-performing exposues

Financial guarantees received on performing exposures

Financial guarantees received on non-performing exposures

 

of which: Performing forborne exposures under probation reclassified from non-performing

 

 

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

0280

0290

0300

0310

0320

0330

0340

Annex V. Part 1.34, Part 2.118, 221

Annex V. Part 1.34, Part 2. 118, 240-245, 251-258

Annex V. Part 2. 213-216, 223-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 222, 235

Annex V. Part 2. 256, 259-262

Annex V. Part 2. 256(b), 261

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

Annex V. Part 2. 222, 235-236

Annex V. Part 2. 222, 235-236

CRR art 178; Annex V.Part 2.237(b)

Annex V. Part 2. 259-263

Annex V. Part 2. 238

Annex V. Part 2. 267

Annex V. Part 2. 238

Annex V. Part 2. 207

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. 236, 238

Annex V. Part 2. 236, 238

Annex V. Part 2. 207

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 1.34, Part 2.118, 221

Annex V. Part 1.34, Part 2. 118, 240-245, 251-255

Annex V. Part 2. 213-216, 223-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 222, 235

Annex V. Part 2. 256, 259-262

Annex V. Part 2. 256(b), 261

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

Annex V. Part 2. 222, 235-236

Annex V. Part 2. 222, 235-236

CRR art 178; Annex V.Part 2.237(b)

Annex V. Part 2. 259-263

Annex V. Part 2. 238

Annex V. Part 2. 267

Annex V. Part 2. 238

Annex V. Part 2. 207

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. 236, 238

Annex V. Part 2. 236, 238

Annex V. Part 2. 207

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

Annex V. Part 2. 239

0010

Non-finan-cial corpo-rations

Commercial real estate (CRE) loans to small and medium-sized enterprises

SME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii

SME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Commercial real estate (CRE) loans to non-financial corporations other than SMEs

Annex V.Part 2.239vi (a), 239vii

Annex V.Part 2.239vi (a), 239vii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 239vi (b)

Annex V.Part 2.86(a), 87, 239vi (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Of which: Loans with LTV ratio higher than 60% and less than or equal to 80%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Of which: Loans with LTV ratio higher than 80% and less than or equal to 100%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Of which: Loans with LTV ratio higher than 100%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

House-holds

Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 239vi (b)

Annex V.Part 2.86(a), 87, 239vi (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Of which: Loans with LTV ratio higher than 60% and less than or equal to 80%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Of which: Loans with LTV ratio higher than 80% and less than or equal to 100%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Of which: Loans with LTV ratio higher than 100%

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

Annex V.Part 2.86(a), 87, 239vi (b), 239viii

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

19.    Information forborne exposures



 

 

 

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

 

Of which: Collateral received on non-performing exposures with forbearance measures

 

Of which: Financial guarantees received on non-performing exposures with forbearance measures

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0175

0180

0185

References National GAAP compatible IFRS

CRR Art. 47b (1), (2); Annex V. Part 1.34, Part 2. 118, 240-245, 251-258

Annex V. Part 2. 256, 259-261

CRR Art. 47b (1); Annex V. Part 2.240, 266

CRR Art. 47b (1); Annex V. Part 2. 240, 244, 265-266

CRR Art. 47a (7); Annex V. Part 2. 256, 261

Annex V. Part 2. 259-263

CRR Art. 47b (1); Annex V. Part 2.240, 266

CRR Art. 47b (1); Annex V. Part 2. 240, 244, 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)

CRR Art. 47b (2), lett. c; Annex V. Part 2. 231, 263

Annex V. Part 2. 267

Annex V. Part 2. 207

Annex V. Part 2. 207

CRR Art. 47b (1); Annex V. Part 2. 240, 267

CRR Art. 47b (1); Annex V. Part 2. 240, 244, 267

Annex V. Part 2. 268

Annex V. Part 2. 268

Annex V. Part 2. 268

Annex V. Part 2. 268

References National GAAP based on BAD

 

CRR Art. 47b (1), (2); Annex V. Part 1.34, Part 2. 118, 240-245, 251-255

Annex V. Part 2. 256, 259-261

CRR Art. 47b (1); Annex V. Part 2.240, 266

CRR Art. 47b (1); Annex V. Part 2. 240, 265-266

CRR Art. 47a (7); Annex V. Part 2. 256, 261

Annex V. Part 2. 259-263

CRR Art. 47b (1); Annex V. Part 2.240, 266

CRR Art. 47b (1); Annex V. Part 2. 240, 265-266

CRR art 178; Annex V. Part 2.264(b)

CRR art 4(95); Annex V.Part 2.264(a)

CRR Art. 47b (2), lett. c; Annex V. Part 2. 231, 263

Annex V. Part 2. 267

Annex V. Part 2. 207

Annex V. Part 2. 207

CRR Art. 47b (1); Annex V. Part 2. 240, 267

CRR Art. 47b (1); Annex V. Part 2. 240, 267

Annex V. Part 2. 268

Annex V. Part 2. 268

Annex V. Part 2. 268

Annex V. Part 2. 268

0005

Cash balances at central banks and other demand deposits

BAD art 13(2); Annex V.Part 2.2, 3

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0010

Debt securities

Annex V.Part 1.31, 44(b)

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

DEBT INSTRUMENTS AT COST OR AT AMORTISED COST

Annex V.Part 2.249(a)

Annex V.Part 2.249(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0181

Debt securities

Annex V.Part 1.31, 44(b)

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0182

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0183

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0184

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0185

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0186

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0191

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0192

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0193

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0194

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0195

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0196

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0900

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0903

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0197

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0910

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0913

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0201

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)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0211

Debt securities

Annex V.Part 1.31, 44(b)

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0212

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0213

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0214

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0215

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0216

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0221

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0222

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0223

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0224

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0225

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0226

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0920

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0923

Of which: Loans collateralised by commercial immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0227

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0930

Of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0933

Of which: Credit for consumption

Annex V.Part 2.88(a), 234i (b)

Annex V.Part 2.88(a), 234i (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0231

DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT

Annex V.Part 2.249

Annex V.Part 2.249

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0330

DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING

Annex V.Part 2.246

Annex V.Part 2.246

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0335

DEBT INSTRUMENTS HELD FOR SALE

 

Annex V.Part 2.247

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0340

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

0010

0020

0010

Cash, cash balances at central banks and other demand deposits

BAD art 4.Assets(1)

IAS 1.54 (i)

 

 

0020

Cash on hand

Annex V.Part 2.1

Annex V.Part 2.1

 

 

0030

Cash balances at central banks

BAD art 13(2); Annex V.Part 2.2

Annex V.Part 2.2

 

 

0040

Other demand deposits

Annex V.Part 2.3

Annex V.Part 2.3

 

 

0050

Financial assets held for trading

Accounting Directive art 8(1)(a), (5); IAS 39.9

IFRS 9. Appendix A

 

 

0060

Derivatives

CRR Annex II

IFRS 9. Appendix A

 

 

0070

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

 

 

0080

Debt securities

Annex V.Part 1.24, 26

Annex V.Part 1.31

 

 

0090

Loans and advances

Annex V.Part 1.24, 27

Annex V.Part 1.32

 

 

0091

Trading financial assets

BAD Article 32-33; Annex V.Part 1.17

 

 

 

0092

Derivatives

CRR Annex II; Annex V.Part 1.17, 27

 

 

 

0093

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

0094

Debt securities

Annex V.Part 1.31

 

 

 

0095

Loans and advances

Annex V.Part 1.32

 

 

 

0096

Non-trading financial assets mandatorily at fair value through profit or loss

 

IFRS 7.8(a)(ii); IFRS 9.4.1.4

 

 

0097

Equity instruments

 

IAS 32.11

 

 

0098

Debt securities

 

Annex V.Part 1.31

 

 

0099

Loans and advances

 

Annex V.Part 1.32

 

 

0100

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

 

 

0110

Equity instruments

 

IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5

 

 

0120

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

 

0130

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

 

0141

Financial assets at fair value through other comprehensive income

 

IFRS 7.8(h); IFRS 9.4.1.2A

 

 

0142

Equity instruments

 

IAS 32.11

 

 

0143

Debt securities

 

Annex V.Part 1.31

 

 

0144

Loans and advances

 

Annex V.Part 1.32

 

 

0171

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

BAD art 36(2)

 

 

 

0172

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

0173

Debt securities

Annex V.Part 1.31

 

 

 

0174

Loans and advances

Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32

 

 

 

0175

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

Accounting Directive art 8(1)(a), (8)

 

 

 

0176

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

0177

Debt securities

Annex V.Part 1.31

 

 

 

0178

Loans and advances

Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32

 

 

 

0181

Financial assets at amortised cost

 

IFRS 7.8(f); IFRS 9.4.1.2

 

 

0182

Debt securities

 

Annex V.Part 1.31

 

 

0183

Loans and advances

 

Annex V.Part 1.32

 

 

0231

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

 

 

 

0330

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

0232

Debt securities

Annex V.Part 1.31

 

 

 

0233

Loans and advances

Annex V.Part 1.32

 

 

 

0234

Other non-trading non-derivative financial assets

BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20

 

 

 

0235

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

0236

Debt securities

Annex V.Part 1.31

 

 

 

0237

Loans and advances

Annex V.Part 1.32

 

 

 

0240

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

 

 

0250

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

 

 

0260

Tangible assets

BAD art 4.Assets(10)

 

 

 

0270

Intangible assets

BAD art 4.Assets(9); CRR art 4(1)(115)

IAS 1.54(c); CRR art 4(1)(115)

 

 

0280

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

 

 

0290

Tax assets

 

IAS 1.54(n-o)

 

 

0300

Other assets

Annex V.Part 2.5, 6

Annex V.Part 2.5

 

 

0310

Non-current assets and disposal groups classified as held for sale

 

IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7

 

 

0315

(-)  Haircuts for trading assets valued at fair value

Annex V Part 1.29

 

 

 

0320

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

0010

0020

0010

Financial liabilities held for trading

 

IFRS 7.8 (e) (ii); IFRS 9.BA.6

 

 

0020

Derivatives

 

IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a)

 

 

0030

Short positions

 

IFRS 9.BA7(b)

 

 

0040

Deposits

 

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

0050

Debt securities issued

 

Annex V.Part 1.37

 

 

0060

Other financial liabilities

 

Annex V.Part 1.38-41

 

 

0061

Trading financial liabilities

Accounting Directive art 8(1)(a),(3),(6)

 

 

 

0062

Derivatives

CRR Annex II; Annex V.Part 1.25

 

 

 

0063

Short positions

 

 

 

 

0064

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

0065

Debt securities issued

Annex V.Part 1.37

 

 

 

0066

Other financial liabilities

Annex V.Part 1.38-41

 

 

 

0070

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

 

 

0080

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

 

 

0090

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

 

 

0100

Other financial liabilities

Annex V.Part 1.38-41

Annex V.Part 1.38-41

 

 

0110

Financial liabilities measured at amortised cost

Accounting Directive art 8(3), (6); IAS 39.47

IFRS 7.8(g); IFRS 9.4.2.1

 

 

0120

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

 

 

0130

Debt securities issued

Annex V.Part 1.31

Annex V.Part 1.37

 

 

0140

Other financial liabilities

Annex V.Part 1.32-34

Annex V.Part 1.38-41

 

 

0141

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

Accounting Directive art 8(3)

 

 

 

0142

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

0143

Debt securities issued

Annex V.Part 1.37

 

 

 

0144

Other financial liabilities

Annex V.Part 1.38-41

 

 

 

0150

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

 

 

0160

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

 

 

0170

Provisions

BAD art 4.Liabilities(6)

IAS 37.10; IAS 1.54(l)

 

 

0180

Tax liabilities

 

IAS 1.54(n-o)

 

 

0190

Share capital repayable on demand

 

IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12

 

 

0200

Other liabilities

Annex V.Part 2.13

Annex V.Part 2.13

 

 

0210

Liabilities included in disposal groups classified as held for sale

 

IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14

 

 

0215

Haircuts for trading liabilities valued at fair value

Annex V Part 1.29

 

 

 

0220

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

0010

0020

0010

Interest income

BAD art 27.Vertical layout(1); Annex V.Part 2.31

IAS 1.97; Annex V.Part 2.31

 

 

0020

(Interest expenses)

BAD art 27.Vertical layout(2); Annex V.Part 2.31

IAS 1.97; Annex V.Part 2.31

 

 

0030

(Expenses on share capital repayable on demand)

 

IFRIC 2.11

 

 

0040

Dividend income

BAD art 27.Vertical layout(3); Annex V.Part 2.40

Annex V.Part 2.40

 

 

0050

Fee and commission income

BAD art 27.Vertical layout(4)

IFRS 7.20(c)

 

 

0060

(Fee and commission expenses)

BAD art 27.Vertical layout(5)

IFRS 7.20(c)

 

 

0070

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

 

 

0080

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

 

 

0083

Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss

 

IFRS 9.5.7.1

 

 

0085

Gains or (-) losses on trading financial assets and liabilities, net

BAD art 27.Vertical layout(6)

 

 

 

0090

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

 

 

0095

Gains or (-) losses on non-trading financial assets and liabilities, net

BAD art 27.Vertical layout(6)

 

 

 

0100

Gains or (-) losses from hedge accounting, net

Accounting Directive art 8(1)(a), (6), (8)

Annex V.Part 2.47-48

 

 

0110

Exchange differences [gain or (-) loss], net

BAD art 39

IAS 21.28, 52 (a)

 

 

0120

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

Annex V Part 2.56

 

 

0130

Gains or (-) losses on derecognition of non financial assets, net

 

IAS 1.34

 

 

0140

Other operating income

BAD art 27.Vertical layout(7); Annex V.Part 2.314-316

Annex V.Part 2.314-316

 

 

0150

(Other operating expenses)

BAD art 27.Vertical layout(10); Annex V.Part 2.314-316

Annex V.Part 2.314-316

 

 

0155

TOTAL OPERATING INCOME, NET

 

 

 

 

0160

(Administrative expenses)

BAD art 27.Vertical layout(8)

 

 

 

0165

(Cash contributions to resolution funds and deposit guarantee schemes)

Annex V.Part 2.48i

Annex V.Part 2.48i

 

 

0170

(Depreciation)

 

IAS 1.102, 104

 

 

0171

Modification gains or (-) losses, net

 

IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49

 

 

0175

(Increases or (-) decreases of the fund for general banking risks, net)

BAD art 38.2

 

 

 

0180

(Provisions or (-) reversal of provisions)

 

IAS 37.59, 84; IAS 1.98(b)(f)(g)

 

 

0190

(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

 

 

0200

(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)

BAD art 27.Vertical layout(13)-(14)

IAS 28.40-43

 

 

0210

(Impairment or (-) reversal of impairment on non-financial assets)

 

IAS 36.126(a)(b)

 

 

0220

Negative goodwill recognised in profit or loss

Accounting Directive art 24(3)(f)

IFRS 3.Appendix B64(n)(i)

 

 

0230

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

 

 

0240

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

 

 

0250

PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS

 

IAS 1.102, IG 6; IFRS 5.33 A

 

 

0260

(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

 

 

0270

PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS

BAD art 27.Vertical layout(16)

IAS 1, IG 6

 

 

0275

Extraordinary profit or (-) loss after tax

BAD art 27.Vertical layout(21)

 

 

 

0280

Profit or (-) loss after tax from discontinued operations

 

IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56

 

 

0290

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



Country of residence of the counterparty:

 

References National GAAP based on BAD

References National GAAP compatible IFRS

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, including cash balances at central banks and other demand deposits

Of which: forborne

Of which: non-perfoming

 

 

of which: defaulted

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

CRR art 178; Annex V.Part 2.237(b)

Annex V.Part 2.274

Annex V.Part 2.274

0010

0011

0012

0022

0025

0026

0031

0040

0010

Derivatives

CRR Annex II; Annex V.Part 2.272

IFRS 9 Appendix A, Annex V.Part 2.272

 

 

 

 

 

 

 

 

0020

Of which: credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

0030

Of which: other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0040

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b)

IAS 32.11

 

 

 

 

 

 

 

 

0050

Of which: credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

0060

Of which: other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0070

Of which: non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

0075

Cash balances at central banks and other demand deposits

BAD art 13(2); Annex V.Part 2.2, 3, 273

Annex V.Part 2.2, 3

 

 

 

 

 

 

 

 

0080

Debt securities

Annex V.Part 1.31, 44(b)

Annex V.Part 1.31, 44(b)

 

 

 

 

 

 

 

 

0090

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

0100

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

0110

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

0120

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0130

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

0140

Loans and advances

Annex V.Part 1.32, 44(a)

Annex V.Part 1.32, 44(a)

 

 

 

 

 

 

 

 

0150

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

 

 

 

 

 

 

 

0160

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

 

 

 

 

 

 

 

0170

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

 

 

 

 

 

 

 

0180

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

 

 

 

 

 

 

 

0190

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

0200

Of which: Small and Medium-sized Enterprises

SME Art 1 2(a)

SME Art 1 2(a)

 

 

 

 

 

 

 

 

0210

Of which: Loans collateralized by commercial immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

0220

Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

0230

Of which: Loans collateralized by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

0240

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



Country of residence of the counterparty:

 

References National GAAP based on BAD

References National GAAP compatible IFRS

Nominal amount

 

Provisions for commitments and guarantees given

Of which: forborne

Of which: non-perfoming

 

of which: defaulted

Annex V.Part 2.118, 271

Annex V.Part 2.240-258

Annex V.Part 2.275

CRR art 178; Annex V.Part 2.237(b)

Annex V.Part 2.276

0010

0022

0025

0026

0030

0010

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

 

 

 

 

 

0020

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

 

 

 

 

 

0030

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



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

0010

0010

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

 

0020

Of which: credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

0030

Of which: other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

0040

Short positions

Annex V.Part 1.44(d)

IFRS 9.BA7(b); Annex V.Part 1.44(d)

 

0050

Of which: credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

0060

Of which: other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

0070

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

 

0080

Central banks

Annex V.Part 1.42(a)

Annex V.Part 1.42(a)

 

0090

General governments

Annex V.Part 1.42(b)

Annex V.Part 1.42(b)

 

0100

Credit institutions

Annex V.Part 1.42(c)

Annex V.Part 1.42(c)

 

0110

Other financial corporations

Annex V.Part 1.42(d)

Annex V.Part 1.42(d)

 

0120

Non-financial corporations

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

0130

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



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

0010

0011

0012

0021

0022

0010

A Agriculture, forestry and fishing

NACE Regulation

 

 

 

 

 

0020

B Mining and quarrying

NACE Regulation

 

 

 

 

 

0030

C Manufacturing

NACE Regulation

 

 

 

 

 

0040

D Electricity, gas, steam and air conditioning supply

NACE Regulation

 

 

 

 

 

0050

E Water supply

NACE Regulation

 

 

 

 

 

0060

F Construction

NACE Regulation

 

 

 

 

 

0070

G Wholesale and retail trade

NACE Regulation

 

 

 

 

 

0080

H Transport ans storage

NACE Regulation

 

 

 

 

 

0090

I Accommodation and food service activities

NACE Regulation

 

 

 

 

 

0100

J Information and communication

NACE Regulation

 

 

 

 

 

0105

K Financial and insurance activities

NACE Regulation

 

 

 

 

 

0110

L Real estate activities

NACE Regulation

 

 

 

 

 

0120

M Professional, scientific and technical activities

NACE Regulation

 

 

 

 

 

0130

N Administrative and support service activities

NACE Regulation

 

 

 

 

 

0140

O Public administration and defence, compulsory social security

NACE Regulation

 

 

 

 

 

0150

P Education

NACE Regulation

 

 

 

 

 

0160

Q Human health services and social work activities

NACE Regulation

 

 

 

 

 

0170

R Arts, entertainment and recreation

NACE Regulation

 

 

 

 

 

0180

S Other services

NACE Regulation

 

 

 

 

 

0190

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

0010

0010

Property plant and equipment

 

IAS 16.6; IAS 1.54(a)

 

0020

Revaluation model

 

IAS 17.49; IAS 16.31, 73(a)(d)

 

0030

Cost model

 

IAS 17.49; IAS 16.30, 73(a)(d)

 

0040

Investment property

 

IAS 40.IN5; IAS 1.54(b)

 

0050

Fair value model

 

IAS 17.49; IAS 40.33-55, 76

 

0060

Cost model

 

IAS 17.49; IAS 40.56,79(c)

 

0070

Other intangible assets

BAD art 4.Assets(9)

IAS 38.8, 118

 

0080

Revaluation model

 

IAS 17.49; IAS 38.75-87, 124(a)(ii)

 

0090

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 )

0010

0010

Fee and commission income

 

Annex V.Part 2.281-284

 

0020

Securities

 

 

 

0030

Issuances

Annex V.Part 2.284(a)

Annex V.Part 2.284(a)

 

0040

Transfer orders

Annex V.Part 2.284(b)

Annex V.Part 2.284(b)

 

0050

Other fee and commission income in relation to securities

Annex V.Part 2.284(c)

Annex V.Part 2.284(c)

 

0051

Corporate Finance

 

 

 

0052

M&A advisory

Annex V.Part 2.284 (e)

Annex V.Part 2.284 (e)

 

0053

Treasury services

Annex V.Part 2.284(f)

Annex V.Part 2.284(f)

 

0054

Other fee and commission income in relation to corporate finance activities

Annex V.Part 2.284(g)

Annex V.Part 2.284(g)

 

0055

Fee based advice

Annex V.Part 2.284(h)

Annex V.Part 2.284(h)

 

0060

Clearing and settlement

Annex V.Part 2.284(i)

Annex V.Part 2.284(i)

 

0070

Asset management

Annex V.Part 2.284(j); 285(a)

Annex V.Part 2.284(j); 285(a)

 

0080

Custody [by type of customer]

Annex V.Part 2.284(j); 285(b)

Annex V.Part 2.284(j); 285(b)

 

0090

Collective investment

 

 

 

0100

Other fee and commission income in relation to custody services

 

 

 

0110

Central administrative services for collective investment

Annex V.Part 2.284(j); 285(c)

Annex V.Part 2.284(j); 285(c)

 

0120

Fiduciary transactions

Annex V.Part 2.284(j); 285(d)

Annex V.Part 2.284(j); 285(d)

 

0131

Payment services

Annex V.Part 2.284(k), 285(e)

Annex V.Part 2.284(k), 285(e)

 

0132

Current accounts

Annex V.Part 2.284(k), 285(e)

Annex V.Part 2.284(k), 285(e)

 

0133

Credit cards

Annex V.Part 2.284(k), 285(e)

Annex V.Part 2.284(k), 285(e)

 

0134

Debit cards and other card payments

Annex V.Part 2.284(k), 285(e)

Annex V.Part 2.284(k), 285(e)

 

0135

Transfers and other payment orders

Annex V.Part 2.284(k), 285(e)

Annex V.Part 2.284(k), 285(e)

 

0136

Other fee and commission income in relation to payment services

Annex V.Part 2.284(k), 285(e)

Annex V.Part 2.284(k), 285(e)

 

0140

Customer resources distributed but not managed [by type of product]

Annex V.Part 2.284 (l); 285(f)

Annex V.Part 2.284 (l); 285(f)

 

0150

Collective investment

 

 

 

0160

Insurance products

 

 

 

0170

Other fee and commission income in relation to customer resources distributed but not managed

 

 

 

0180

Structured Finance

Annex V.Part 2.284(n)

Annex V.Part 2.284(n)

 

0190

Loan servicing activities

Annex V.Part 2.284(o)

Annex V.Part 2.284(o)

 

0200

Loan commitments given

Annex V.Part 2.284(p)

IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)

 

0210

Financial guarantees given

Annex V.Part 2.284(p)

IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p)

 

0211

Loans granted

Annex V.Part 2.284(r)

Annex V.Part 2.284(r)

 

0213

Foreign exchange

Annex V.Part 2.284(s)

Annex V.Part 2.284(s)

 

0214

Commodities

Annex V.Part 2.284(t)

Annex V.Part 2.284(t)

 

0220

Other fee and commission income

Annex V.Part 2.284(u)

Annex V.Part 2.284(u)

 

0230

(Fee and commission expenses)

 

Annex V.Part 2.281-284

 

0235

(Securities)

Annex V.Part 2.284(d)

Annex V.Part 2.284(d)

 

0240

(Clearing and settlement)

Annex V.Part 2.284(i)

Annex V.Part 2.284(i)

 

0245

(Asset management)

Annex V.Part 2.284(j); 285(a)

Annex V.Part 2.284(j); 285(a)

 

0250

(Custody)

Annex V.Part 2.284(j); 285 (b)

Annex V.Part 2.284(j); 285 (b)

 

0255

(Payment services)

Annex V.Part 2.284(k), 285(e)

Annex V.Part 2.284(k), 285(e)

 

0256

(of which: Credit, Debit and other Cards)

 

 

 

0260

(Loan servicing activities)

Annex V.Part 2.284(o)

Annex V.Part 2.284(o)

 

0270

(Loan commitments received)

Annex V.Part 2.284(q)

Annex V.Part 2.284(q)

 

0280

(Financial guarantees received)

Annex V.Part 2.284(q)

Annex V.Part 2.284(q)

 

0281

(Externally provided distribution of products)

Annex V.Part 2.284(m)

Annex V.Part 2.284(m)

 

0282

(Foreign exchange)

Annex V.Part 2.284(s)

Annex V.Part 2.284(s)

 

0290

(Other fee and commission expenses)

Annex V.Part 2.284(u)

Annex V.Part 2.284(u)

 

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)

0010

0010

Asset management [by type of customer]

Annex V.Part 2.285(a)

Annex V.Part 2.285(a)

 

0020

Collective investment

 

 

 

0030

Pension funds

 

 

 

0040

Customer portfolios managed on a discretionary basis

 

 

 

0050

Other investment vehicles

 

 

 

0060

Custody assets [by type of customer]

Annex V.Part 2.285(b)

Annex V.Part 2.285(b)

 

0070

Collective investment

 

 

 

0080

Other

 

 

 

0090

Of which: entrusted to other entities

 

 

 

0100

Central administrative services for collective investment

Annex V.Part 2.285(c)

Annex V.Part 2.285(c)

 

0110

Fiduciary transactions

Annex V.Part 2.285(d)

Annex V.Part 2.285(d)

 

0120

Payment services

Annex V.Part 2.285(e)

Annex V.Part 2.285(e)

 

0130

Customer resources distributed but not managed [by type of product]

Annex V.Part 2.285(f)

Annex V.Part 2.285(f)

 

0140

Collective investment

 

 

 

0150

Insurance products

 

 

 

0160

Other

 

 

 

23.    Loans and advances: additional information

23.1    Loans and advances: Number of instruments



 

 

 

Number of instruments (Annex V.Part 2.320)

 

 

Performing

Non Performing

 

 

 

 

 

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References National GAAP compatible IFRS

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

References National GAAP based on BAD

 

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances

Annex V.Part 1.32, 44(a), Part 2.319

Annex V.Part 1.32, 44(a), Part 2.319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87, 234i (a)

Annex V.Part 2.86(a), 87, 234i (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances in pre-litigation status

Annex V.Part 1.32, 44(a), Part 2.319, 321

Annex V.Part 1.32, 44(a), Part 2.319, 321

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Loans and advances in litigation status

Annex V.Part 1.32, 44(a), Part 2.319; 322

Annex V.Part 1.32, 44(a), Part 2.319; 322

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.2    Loans and advances: Additional information on gross carrying amounts



 

 

 

Gross carrying amount (Annex V.Part 1.34)

 

 

Performing

Non Performing

 

 

 

 

 

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References National GAAP compatible IFRS

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

References National GAAP based on BAD

 

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances

Annex V.Part 1.32, 44(a), Part 2.319

Annex V.Part 1.32, 44(a), Part 2.319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances at cost or at amortised cost

Annex V.Part 1.32, 44(a), Part 2.233 (a), 319

Annex V.Part 1.32, 44(a), Part 2.233 (a), 319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Loans and advances in pre-litigation status

Annex V.Part 1.32, 44(a), Part 2.319, 321

Annex V.Part 1.32, 44(a), Part 2.319, 321

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

Loans and advances in litigation status

Annex V.Part 1.32, 44(a), Part 2.319, 322

Annex V.Part 1.32, 44(a), Part 2.319, 322

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0240

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0250

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0260

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0270

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0280

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0290

Unsecured loans and advances without guarantees

Annex V.Part 1.32, 44(a), Part 2.319, 323

Annex V.Part 1.32, 44(a), Part 2.319, 323

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0300

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0310

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0320

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0330

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0340

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0350

Loans and advances with an accumulated coverage ratio > 90%

Annex V.Part 1.32, 44(a), Part 2.319, 324

Annex V.Part 1.32, 44(a), Part 2.319, 324

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0360

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0370

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0380

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0390

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0400

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0410

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.3    Loans and advances collateralised by immovable property: Breakdown by LTV ratios



 

 

 

Gross carrying amount (Annex V.Part 1.34)

 

 

Performing

Non Performing

 

 

 

 

 

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References National GAAP compatible IFRS

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

References National GAAP based on BAD

 

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances collateralised by immovable property

Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 319

Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Loans and advances to small and medium-sized enterprises (NFCs) collateralised by commercial immovable property

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Loans and advances to non-financial corporations (NFCs) other than SMEs collateralised by commercial immovable property

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Commercial Real Estate loans to small and medium-sized enterprises (NFCs) collateralised by immovable property

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Commercial Real Estate loans to non-financial corporations (NFCs) other than SMEs) collateralised by immovable property

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)

Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

Of which: Loans with a LTV higher than 60% and lower than or equal to 80%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

Of which: Loans with a LTV higher than 80% and lower than or equal to 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

Of which: Loans with a LTV higher than 100%

Annex V.Part 2.239x, 325

Annex V.Part 2.239x, 325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.4    Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk



 

 

 

Accumulated impairment, accumulated negative changes in fair value due to credit risk (Annex V. Part 2.69-71)

 

 

Performing

Non Performing

 

 

 

 

 

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References National GAAP compatible IFRS

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235, 237(f)

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

References National GAAP based on BAD

 

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2. 222, 235, 237(f)

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances

Annex V.Part 1.32, 44(a), Part 2.319

Annex V.Part 1.32, 44(a), Part 2.319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Loans and advances at cost or at amortised cost

Annex V.Part 1.32, 44(a), Part 2.233 (a), 319

Annex V.Part 1.32, 44(a), Part 2.233 (a), 319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Unsecured loans and advances without guarantees

Annex V.Part 1.32, 44(a), Part 2.319, 323

Annex V.Part 1.32, 44(a), Part 2.319, 323

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.5    Loans and advances: Collateral received and financial guarantees received



 

 

 

Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174

 

 

Performing

Non Performing

 

 

 

 

 

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References National GAAP compatible IFRS

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

References National GAAP based on BAD

 

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Financial guarantees received on loans and advances

Annex V.Part 2.319, 326

Annex V.Part 2.319, 326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Collateral received on loans and advances

Annex V.Part 2.319, 326

Annex V.Part 2.319, 326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Immovable property collateral received on loans and advances

Annex V.Part 2.319, 326

Annex V.Part 2.319, 326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

Memorandum item: Collateral received on loans and advances - uncapped amounts

Annex V.Part 2.319, 326, 327

Annex V.Part 2.319, 326, 327

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

of which: Immovable property collateral

Annex V.Part 2.319, 326, 327

Annex V.Part 2.319, 326, 327

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23.6    Loans and advances: Accumulated partial write-offs



 

 

 

Accumulated partial write-offs (Annex V.Part 2.72, 74)

 

 

Performing

Non Performing

 

 

 

 

 

 

 

Unlikely to pay that are not past due or past due <= 90 days

Past due > 90 days

 

of which: Exposures with forbearance measures

 

of which: Past due > 30 days <= 90 days

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

 

of which: Exposures with forbearance measures

Past due > 90 days <= 180 days

Past due > 180 days <= 1 year

Past due > 1 years <=2 years

Past due > 2 years <=5 years

Past due > 5 years <=7 years

Past due > 7 years

References National GAAP compatible IFRS

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-239

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

References National GAAP based on BAD

 

Annex V.Part 1.32

Annex V. Part 2. 256, 259-263

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2. 222, 235

Annex V. Part 2. 259-261

Annex V. Part 2. 213-216, 226-232

Annex V. Part 2.256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

Annex V. Part 2.222, 235-236

Annex V. Part 2.222, 235-236, 256, 259-262

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

Annex V. Part 2.222, 235-236

 

 

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0010

Loans and advances

Annex V.Part 1.32, 44(a), Part 2.319

Annex V.Part 1.32, 44(a), Part 2.319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

of which: Households

Annex V.Part 1.42(f)

Annex V.Part 1.42(f)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

of which: Loans collateralised by residential immovable property

Annex V.Part 2.86(a), 87

Annex V.Part 2.86(a), 87

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

of which: Non-financial corporations - SMEs

Annex V.Part 1.42(e), SME Art 1 2(a)

Annex V.Part 1.42(e), SME Art 1 2(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: Non-financial corporations - other than SMEs

Annex V.Part 1.42(e)

Annex V.Part 1.42(e)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

Annex V.Part 2.239ix

Annex V.Part 2.239ix

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

24.    Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year

24.1    Loans and advances: Inflows and outflows of non-performing exposures



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Gross Carrying amount (Annex V. Part 1.34)

Non-performing exposures - loans and advances

 

of which: Households

of which: Non-financial corporations

 

of which: Loans collateralised by residential immovable property

 

of which: SMEs

of which: CRE loans to NFCs other than SMEs

 

of which: Commercial Real Estate (CRE) loans

Annex V.Part 1.32, 34, Part 2.213-216, 223-239

Annex V.Part 1.42(f), 44(a)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e), 44(a)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

Annex V.Part 1.32, 34, Part 2.213-216, 223-239

Annex V.Part 1.42(f), 44(a)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e), 44(a)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

0010

0020

0030

0040

0050

0060

0070

0010

Opening balance

Annex V.Part 2.328

Annex V.Part 2.328

 

 

 

 

 

 

 

0020

Inflows

Annex V.Part 2.239ii, 239iii, 239vi, 329

Annex V.Part 2.239ii, 239iii, 239vi, 329

 

 

 

 

 

 

 

0030

Inflow due to reclassification from performing not forborne

Annex V.Part 2.239ii, 239iii, 239vi, 329

Annex V.Part 2.239ii, 239iii, 239vi, 329

 

 

 

 

 

 

 

0040

Inflow due to reclassification from performing forborne

Annex V.Part 2.239ii, 239iii, 239vi, 329

Annex V.Part 2.239ii, 239iii, 239vi, 329

 

 

 

 

 

 

 

0050

of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing

Annex V.Part 2.239ii, 239iii, 239vi, 329(b)

Annex V.Part 2.239ii, 239iii, 239vi, 329(b)

 

 

 

 

 

 

 

0060

Inflow due to purchase of exposures

Annex V.Part 2.239ii, 239iii, 239vi, 329

Annex V.Part 2.239ii, 239iii, 239vi, 329

 

 

 

 

 

 

 

0070

Inflow due to accrued interest

Annex V.Part 2.239ii, 239iii, 239vi, 329 (a)

Annex V.Part 2.239ii, 239iii, 239vi, 329 (a)

 

 

 

 

 

 

 

0080

Inflow due to other reasons

Annex V.Part 2.239ii, 239iii, 239vi, 329 (c)

Annex V.Part 2.239ii, 239iii, 239vi, 329 (c)

 

 

 

 

 

 

 

0090

Of which: Inflow more than once

Annex V.Part 2.239ii, 239iii, 239vi, 330 (a)

Annex V.Part 2.239ii, 239iii, 239vi, 330 (a)

 

 

 

 

 

 

 

0100

Of which: Inflow of exposures granted in the past 24 months

Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)

Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)

 

 

 

 

 

 

 

0110

Of which: Inflow of exposures granted during the period

Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)

Annex V.Part 2.239ii, 239iii, 239vi, 330 (b)

 

 

 

 

 

 

 

0120

Outflows

Annex V.Part 2.239iii-239v, 331, 332

Annex V.Part 2.239iii-239v, 331, 332

 

 

 

 

 

 

 

0130

Outflow due to reclassification as performing not forborne

Annex V.Part 2.239iii-239v(a), 331, 332

Annex V.Part 2.239iii-239v(a), 331, 332

 

 

 

 

 

 

 

0140

Outflow due to reclassification as performing forborne

Annex V.Part 2.239iii-239v(a), 331, 332

Annex V.Part 2.239iii-239v(a), 331, 332

 

 

 

 

 

 

 

0150

Outflow due to partial or total loan repayment

Annex V.Part 2.239iii-239v(b), 331, 332

Annex V.Part 2.239iii-239v(b), 331, 332

 

 

 

 

 

 

 

0160

Outflow due to collateral liquidations

Annex V.Part 2.239iii-239v(c), 331, 332

Annex V.Part 2.239iii-239v(c), 331, 332

 

 

 

 

 

 

 

0170

Net cumulated recoveries from collateral liquidation

Annex V.Part 2.333

Annex V.Part 2.333

 

 

 

 

 

 

 

0180

of which: Write-offs in the context of collateral liquidations

Annex V.Part 2.239iii-239v(c)

Annex V.Part 2.239iii-239v(c)

 

 

 

 

 

 

 

0190

Outflow due to taking possession of collateral

Annex V.Part 2.239iii-239v(d), 331, 332

Annex V.Part 2.239iii-239v(d), 331, 332

 

 

 

 

 

 

 

0200

Net cumulated recoveries from taking possession of collateral

Annex V.Part 2.333

Annex V.Part 2.333

 

 

 

 

 

 

 

0210

of which: Write-offs in the context of taking possession of collateral

Annex V.Part 2.239iii-239v(d)

Annex V.Part 2.239iii-239v(d)

 

 

 

 

 

 

 

0220

Outflow due to sale of instruments

Annex V.Part 2.239iii-239v(e), 331, 332

Annex V.Part 2.239iii-239v(e), 331, 332

 

 

 

 

 

 

 

0230

Net cumulated recoveries from sale of instruments

Annex V.Part 2.333

Annex V.Part 2.333

 

 

 

 

 

 

 

0240

of which: Write-offs in the context of sale of instruments

Annex V.Part 2.239iii-239v(e)

Annex V.Part 2.239iii-239v(e)

 

 

 

 

 

 

 

0250

Outflow due to risk transfers

Annex V.Part 2.239iii-239v(f), 331, 332

Annex V.Part 2.239iii-239v(f), 331, 332

 

 

 

 

 

 

 

0260

Net cumulated recoveries from risk transfers

Annex V.Part 2.333

Annex V.Part 2.333

 

 

 

 

 

 

 

0270

of which: Write-offs in the context of risk transfers

Annex V.Part 2.239iii-239v(f)

Annex V.Part 2.239iii-239v(f)

 

 

 

 

 

 

 

0280

Outflow due to write-offs

Annex V.Part 2.239iii-239v(g), 331, 332

Annex V.Part 2.239iii-239v(g), 331, 332

 

 

 

 

 

 

 

0290

Outflow due to reclassification as held for sale

Annex V.Part 2.239iii-239vi, 331, 332

Annex V.Part 2.239iii-239vi, 331, 332

 

 

 

 

 

 

 

0300

Outflow due to other reasons

Annex V.Part 2.239iii-239v(h), 331, 332

Annex V.Part 2.239iii-239v(h), 331, 332

 

 

 

 

 

 

 

0310

Of which: Outflow of non-performing exposures that became non-performing during the period

Annex V.Part 2.334

Annex V.Part 2.334

 

 

 

 

 

 

 

0320

Closing balance

Annex V.Part 2.328

Annex V.Part 2.328

 

 

 

 

 

 

 

24.2    Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Accumulated impairment and accumulated negative changes in fair value due to credit risk

Non-performing exposures - loans and advances

 

of which: Households

of which: Non-financial corporations

 

of which: Loans collateralised by residential immovable property

 

of which: SMEs

of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

 

of which: Commercial Real Estate (CRE) loans

Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239

Annex V.Part 1.42(f), 44(a)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e), 44(a)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239

Annex V.Part 1.42(f), 44(a)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e), 44(a)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

0010

0020

0030

0040

0050

0060

0070

0010

Opening balance

Annex V.Part 2.335

Annex V.Part 2.335

 

 

 

 

 

 

 

0020

Increases during the period

Annex V.Part 2.336

Annex V.Part 2.336

 

 

 

 

 

 

 

0030

Of which: impairments against interest accrued

Annex V.Part 2.337

Annex V.Part 2.337

 

 

 

 

 

 

 

0040

Decreases during the period

Annex V.Part 2.338

Annex V.Part 2.338

 

 

 

 

 

 

 

0050

Of which: Reversal of impairment and negative changes in fair value due to credit risk

Annex V.Part 2.339(a)

Annex V.Part 2.339(a)

 

 

 

 

 

 

 

0060

Of which: Release of allowances due to unwinding process

Annex V.Part 2.339(b)

Annex V.Part 2.339(b)

 

 

 

 

 

 

 

0070

Closing balance

Annex V.Part 2.335

Annex V.Part 2.335

 

 

 

 

 

 

 

24.3    Loans and advances: Write-offs of non-performing exposures during the period



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Gross Carrying amount

Non-performing exposures - Loans and advances

 

of which: Households

of which: Non-financial corporations

 

of which: Loans collateralised by residential immovable property

 

Of which: SMEs

Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

 

Of which: Commercial Real Estate (CRE) loans to SMEs

Annex V.Part 1.32, 34, Part 2.213-216, 223-239

Annex V.Part 1.42(f), 44(a)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e), 44(a)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

Annex V.Part 1.32, 34, Part 2.213-216, 223-239

Annex V.Part 1.42(f), 44(a)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e), 44(a)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

0010

0020

0030

0040

0050

0060

0070

0010

Write-offs during the period

Annex V.Part 2.340

Annex V.Part 2.340

 

 

 

 

 

 

 

0020

Of which: Debt forgiveness

Annex V.Part 2.340

Annex V.Part 2.340

 

 

 

 

 

 

 

25.    Collateral obtained by taking possession and execution processes

25.1    Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Debt balance reduction

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)

 

 

Time passed since recognition in balance sheet

Of which: Non-current assets held-for-sale

<= 2 years

> 2 years <= 5 years

> 5 years

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Value at initial recognition

Carrying amount

Value at initial recognition

Carrying amount

Value at initial recognition

Carrying amount

Value at initial recognition

Carrying amount

Value at initial recognition

Carrying amount

Annex V.Part 1.34, Part 2.343

Annex V.Part 2.69-71, 343

Annex V.Part 2.175, 175i, 344

Annex V.Part 1.27, Part 2.175

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

IFRS 5.6, Annex V.Part 2.175, 175i, 344

IFRS 5.6, Annex V.Part 1.27, Part 2.175

Annex V.Part 1.34, Part 2.343

Annex V.Part 1.34, Part 2.343

Annex V.Part 2.175, 175i, 344

Annex V.Part 1.27, Part 2.175

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 352

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175i, 344

Annex V.Part 1.27, Part 2.175

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0010

Opening balance

Annex V.Part 2.341, 342

Annex V.Part 2.341, 342

 

 

 

 

 

 

 

 

 

 

 

 

0020

Inflows of collateral during the period

Annex V.Part 2.345, 349

Annex V.Part 2.345, 349

 

 

 

 

 

 

 

 

 

 

 

 

0030

Inflow due to new collateral obtained by taking possession

Annex V.Part 2.345, 349

Annex V.Part 2.345, 349

 

 

 

 

 

 

 

 

 

 

 

 

0040

Inflow due to positive changes in value

Annex V.Part 2.345, 349

Annex V.Part 2.345, 349

 

 

 

 

 

 

 

 

 

 

 

 

0050

Outflows of collateral during the period

Annex V.Part 2.346, 349

Annex V.Part 2.346, 349

 

 

 

 

 

 

 

 

 

 

 

 

0060

Outflow for which cash was collected

Annex V.Part 2.347, 349

Annex V.Part 2.347, 349

 

 

 

 

 

 

 

 

 

 

 

 

0070

Cash collected net of costs

Annex V.Part 2.347

Annex V.Part 2.347

 

 

 

 

 

 

 

 

 

 

 

 

0080

Profits/(-) losses from sale of collateral obtained by taking possession

Annex V.Part 2.347

Annex V.Part 2.347

 

 

 

 

 

 

 

 

 

 

 

 

0090

Outflow with replacement by financial instrument

Annex V.Part 2.346, 349

Annex V.Part 2.346, 349

 

 

 

 

 

 

 

 

 

 

 

 

0100

Financing granted

Annex V.Part 2.347

Annex V.Part 2.347

 

 

 

 

 

 

 

 

 

 

 

 

0110

Outflow due to negative changes in value

Annex V.Part 2.346, 349

Annex V.Part 2.346, 349

 

 

 

 

 

 

 

 

 

 

 

 

0120

Closing balance

Annex V.Part 2.341, 342

Annex V.Part 2.341, 342

 

 

 

 

 

 

 

 

 

 

 

 

25.2    Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Debt balance reduction

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E)

 

 

 

Time passed since recognition in balance sheet

Of which: Non-current assets held-for-sale

<= 2 years

> 2 years <= 5 years

> 5 years

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Accumulated negative changes

Value at initial recognition

Carrying amount

Annex V.Part 1.34, Part 2.343

Annex V.Part 2.69-71, 343

Annex V.Part 2.175, 175i, 344

Annex V.Part 1.27, Part 2.175

Annex V.Part 2.175, 175ii

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175ii, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175ii, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175ii, 348

IFRS 5.6, Annex V.Part 2.175, 175i

IFRS 5.6, Annex V.Part 1.27, Part 2.175

Annex V.Part 1.34, Part 2.343

Annex V.Part 1.34, Part 2.343

Annex V.Part 2.175, 175i, 344

Annex V.Part 1.27, Part 2.175

Annex V.Part 2.175, 175ii

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175ii, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175ii, 348

Annex V.Part 2.175, 175i, 348

Annex V.Part 1.27, Part 2.175, 348

Annex V.Part 2.175, 175ii, 348

Annex V.Part 2.175, 175i

Annex V.Part 1.27, Part 2.175

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0010

Residential immovable property

Annex V. Part 2.350, 351

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Of which: under construction / development

Annex V. Part 2.350, 352(a)

Annex V. Part 2.350, 352(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Commercial immovable property

Annex V. Part 2.350, 351

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Of which: under construction / development

Annex V. Part 2.350, 352(a)

Annex V. Part 2.350, 352(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Of which: Land related to commercial real estate corporations (excluding agricultural land)

Annex V. Part 2.350, 352(b)

Annex V. Part 2.350, 352(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Of which: Land with planning permission for development

Annex V. Part 2.350, 352(b)

Annex V. Part 2.350, 352(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Of which: Land without planning permission for development

Annex V. Part 2.350, 352(b)

Annex V. Part 2.350, 352(b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Movable property

Annex V. Part 2.350, 351

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Equity and debt securities

Annex V. Part 2.350, 351

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Other

Annex V. Part 2.350, 351

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Total

Annex V. Part 2.350, 351

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Number of Collateral obtained by taking possession

Annex V. Part 2.350, 351

Annex V. Part 2.350, 351

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25.3    Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Debt balance reduction

Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Value at initial recognition

Carrying amount

Accumulated negative changes

Annex V.Part 1.34, Part 2.343

Annex V.Part 2.69-71, 343

IAS 16.6, Annex V.Part 2.175, 175i

IAS 16.6, Annex V.Part 1.27, Part 2.175

IAS 16.6, Annex V.Part 2.175, 175ii

Annex V.Part 1.34, Part 2.343

Annex V.Part 1.34, Part 2.343

Annex V.Part 2.175, 175i

Annex V.Part 1.27, Part 2.175

Annex V.Part 2.175, 175ii

0010

0020

0030

0040

0050

0010

Total

Annex V.Part 2.341, 357-358

Annex V.Part 2.341, 357-358

 

 

 

 

 

0020

Inflows due to new collateral obtained by taking possession

Annex V.Part 2.341, 345, 357-358

Annex V.Part 2.341, 345, 357-358

 

 

 

 

 

26.    Forbearance management and quality of forbearance



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Loans and advances with forbearance measures

 

 

 

of which: Households

of which: Non-financial corporations

 

of which: performing

of which: having been granted forbearance measures during the period

 

of which: performing

of which: having been granted forbearance measures during the period

 

of which: performing

of which: having been granted forbearance measures during the period

Annex V.Part 1.32, Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257

Annex V.Part 2.256, 259-261

Annex V.Part 2.361

0010

0020

0030

0040

0050

0060

0070

0080

0090

0010

Number of instruments

Annex V. Part 2.320, 355, 356

Annex V. Part 2.320, 355, 356

 

 

 

 

 

 

 

 

 

0020

Gross carrying amount of instruments, for the following types of forbearance measures:

Annex V.Part 1.34, Part 2.355, 357, 359

Annex V.Part 1.34, Part 2.355, 357, 359

 

 

 

 

 

 

 

 

 

0030

Grace period/payment moratorium

Annex V.Part 2.358(a)

Annex V.Part 2.358(a)

 

 

 

 

 

 

 

 

 

0040

Interest rate reduction

Annex V.Part 2.358(b)

Annex V.Part 2.358(b)

 

 

 

 

 

 

 

 

 

0050

Extension of maturity/term

Annex V.Part 2.358(c)

Annex V.Part 2.358(c)

 

 

 

 

 

 

 

 

 

0060

Rescheduled payments

Annex V.Part 2.358(d)

Annex V.Part 2.358(d)

 

 

 

 

 

 

 

 

 

0070

Debt forgiveness

Annex V.Part 2.358(e)

Annex V.Part 2.358(e)

 

 

 

 

 

 

 

 

 

0080

Debt asset swaps

Annex V.Part 2.358(f)

Annex V.Part 2.358(f)

 

 

 

 

 

 

 

 

 

0090

Other forbearance measures

Annex V.Part 2.358(g)

Annex V.Part 2.358(g)

 

 

 

 

 

 

 

 

 

 

Gross carrying amount of instruments that were subject to forbearance measures at multiple points in time

Annex V.Part 1.34, Part 2.355

Annex V.Part 1.34, Part 2.355

 

 

 

 

 

 

 

 

 

0100

Loans and advances having been forborne twice

Annex V.Part 2.360(a)(i)

Annex V.Part 2.360(a)(i)

 

 

 

 

 

 

 

 

 

0110

Loans and advances having been forborne more than twice

Annex V.Part 2.360(a)(i)

Annex V.Part 2.360(a)(i)

 

 

 

 

 

 

 

 

 

0120

Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures

Annex V.Part 2.360(a)(ii)

Annex V.Part 2.360(a)(ii)

 

 

 

 

 

 

 

 

 

0130

Gross carrying amount of non-performing forborne loans and advances that failed to meet the non-performing exit criteria

Annex V.Part 1.34, Part 2.232, 355, 360(b)

Annex V.Part 1.34, Part 2.232, 355, 360(b)

 

 

 

 

 

 

 

 

 

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

0010

0020

0030

0040

0050

0060

0080

0010

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)

0010

0020

0030

0010

Selected financial assets recognised in the reporting institution's balance sheet

 

IFRS 12.29(a),(b)

 

 

 

0021

of which: non-performing

Annex V.Part 2.213-239

Annex V.Part 2.213-239

 

 

 

0030

Derivatives

CRR Annex II; Annex V.Part 2.272

IFRS 9 Appendix A; Annex V.Part 2.272

 

 

 

0040

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

 

 

 

0050

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

 

 

0060

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

 

 

0070

Selected equity and financial liabilites recognised in the reporting institution's balance sheet

 

IFRS 12.29(a),(b)

 

 

 

0080

Equity instruments issued

 

IAS 32.11

 

 

 

0090

Derivatives

CRR Annex II; Annex V.Part 1.24(a), 25, 26, Part 2.272

IFRS 9 Appendix A; Annex V.Part 2.272

 

 

 

0100

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

 

 

 

0110

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

 

 

 

 

Nominal amount

0120

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

 

 

 

0131

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

0010

0020

0030

0040

0050

0010

Selected financial assets

 

IAS 24.18(b)

 

 

 

 

 

0020

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

IAS 32.11

 

 

 

 

 

0030

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

 

 

 

 

0040

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

 

 

 

 

0050

of which: non-performing

Annex V. Part 2.213-239

Annex V. Part 2.213-239

 

 

 

 

 

0060

Selected financial liabilities

 

IAS 24.18(b)

 

 

 

 

 

0070

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

 

 

 

 

 

0080

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

 

 

 

 

 

0090

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

 

 

 

 

 

0100

of which: non-performing

Annex V. Part 2.117

IAS 24.18(b); Annex V. Part 2.117

 

 

 

 

 

0110

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

 

 

 

 

 

0120

Notional amount of derivatives

Annex V.Part 2.133-135

Annex V.Part 2.133-135

 

 

 

 

 

0131

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

 

 

 

 

 

0132

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

0010

0020

0030

0040

0050

0010

Interest income

BAD art 27.Vertical layout(1); Annex V.Part 2.31

IAS 24.18(a); Annex V.Part 2.31

 

 

 

 

 

0020

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

 

 

 

 

 

0030

Dividend income

BAD art 27.Vertical layout(3); Annex V.Part 2.40

IAS 24.18(a); Annex V.Part 2.40

 

 

 

 

 

0040

Fee and commission income

BAD art 27.Vertical layout(4)

IAS 24.18(a); IFRS 7.20(c)

 

 

 

 

 

0050

Fee and commission expenses

BAD art 27.Vertical layout(5)

IAS 24.18(a); IFRS 7.20(c)

 

 

 

 

 

0060

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)

 

 

 

 

 

0070

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

 

 

 

 

 

0080

Impairment or (-) reversal of impairment on non-performing exposures

Annex V. Part 2.293

IAS 24.18(d); Annex V.Part 2.293

 

 

 

 

 

0090

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’



Code

Type of code

National 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)

Annex V.Part 2.294-295, 296(c)

IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(d)

Annex V.Part 2.294-295, 296(e)

Annex V.Part 2.294-295, 296(f)

IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)

IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)

IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g)

IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(h)

Annex V.Part 2.294-295, 296(i)

Annex V.Part 2.294-295, 296(j)

IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k)

IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(l)

IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(m)

IFRS 12.21(b); Annex V.Part 2.294-295, 296(n)

CRR art 18; Annex V.Part 2.294-295, 296(o)

Annex V.Part 2.294-295, 296(p)

Annex V.Part 2.294-295, 296(q)

Annex V.Part 2.294-295, 296(r)

IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(s)

0011

0015

0025

0030

0040

0050

0060

0070

0080

0090

0095

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40.2.    Group structure: ‘instrument-by-instrument’



Security code

Investee

Holding company

Accumulated equity interest (%)

Carrying amount

Acquisition cost

Code

Type of code

Code

Type of code

National code

Holding company name

Annex V.Part 2.297(a)

Annex V.Part 2.296(a), 297(e)

Annex V.Part 2.296(b), 297(e)

Annex V.Part 2.297(b)

Annex V.Part 2.297(c)

Annex V.Part 2.297(d)

 

Annex V.Part 2.296(j), 297(e)

Annex V.Part 2.296(o), 297(e)

Annex V.Part 2.296(p), 297(e)

0010

0021

0025

0031

0035

0045

0050

0060

0070

0080

 

 

 

 

 

 

 

 

 

 

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

0010

0020

0030

0040

0015

Financial assets at amortised cost

Accounting Directive art 8(4)(b), (6); IAS 39.9

IFRS 7.8(f); IFRS 9.4.1.2

 

 

 

 

0016

Debt securities

Annex V.Part 1.24, 26

Annex V.Part 1.31

 

 

 

 

0017

Loans and advances

Annex V.Part 1.24, 27

Annex V.Part 1.32

 

 

 

 

0021

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

 

 

 

 

 

0022

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

0023

Debt securities

Annex V.Part 1.31

 

 

 

 

 

0024

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

0031

Other non-trading non-derivative financial assets

BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20

 

 

 

 

 

0032

Equity instruments

ECB/2013/33 Annex 2.Part 2.4-5

 

 

 

 

 

0033

Debt securities

Annex V.Part 1.31

 

 

 

 

 

0034

Loans and advances

Annex V.Part 1.32

 

 

 

 

 

LIABILITIES

 

 

 

 

 

 

0070

Financial liabilities measured at amortised cost

Accounting Directive art 8(3), (6); IAS 39.47

IFRS 7.8(g); IFRS 9.4.2.1

 

 

 

 

0080

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

 

 

 

 

0090

Debt securities issued

Annex V.Part 1.31

Annex V.Part 1.37

 

 

 

 

0100

Other financial liabilities

Annex V.Part 1.32-34

Annex V.Part 1.38-41

 

 

 

 

0101

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

Accounting Directive art 8(3)

 

 

 

 

 

0102

Deposits

ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36

 

 

 

 

 

0103

Debt securities issued

Annex V.Part 1.37

 

 

 

 

 

0104

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

0010

0020

0030

0040

0010

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

 

 

 

 

0030

Debt securities

Annex V.Part 1.31

Annex V.Part 1.31

 

 

 

 

0040

Loans and advances

Annex V.Part 1.32

Annex V.Part 1.32

 

 

 

 

LIABILITIES

 

 

 

 

 

 

0050

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

 

 

 

 

0060

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

 

 

 

 

0070

Debt securities issued

Annex V.Part 1.37

Annex V.Part 1.37

 

 

 

 

0080

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

 

of which: right-of-use assets

IFRS 16.47(a), 53(j), Annex V.Part 2.303i

0010

0020

0010

Property plant and equipment

IAS 16.6; IAS 16.29; IAS 1.54(a)

 

 

0015

Of which: Software assets

IAS 38.4; Annex V.Part 2.303

 

 

0020

Revaluation model

IAS 16.31, 73(a),(d)

 

 

0030

Cost model

IAS 16.30, 73(a),(d)

 

 

0040

Investment property

IAS 40.5, 30; IAS 1.54(b)

 

 

0050

Fair value model

IAS 40.33-55, 76

 

 

0060

Cost model

IAS 40.56, 79(c)

 

 

0070

Other intangible assets

IAS 38.8, 118, 122 ; Annex V.Part 2.303

 

 

0075

Of which: Software assets

IAS 38.9; Annex V.Part 2.303

 

 

0080

Revaluation model

IAS 38.75-87, 124(a)(ii)

 

 

0090

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, 84 (a)

IAS 37.14, 84 (a)

 

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)

 

 

0010

0020

0030

0040

0050

0055

0060

0010

Opening balance [carrying amount at the beginning of the period]

 

IAS 37.84 (a)

 

 

 

 

 

 

 

0020

Additions, including increases in existing provisions

 

IAS 37.84 (b)

 

 

 

 

 

 

 

0030

(-)  Amounts used

 

IAS 37.84 (c)

 

 

 

 

 

 

 

0040

(-)  Unused amounts reversed during the period

 

IAS 37.84 (d)

 

 

 

 

 

 

 

0050

Increase in the discounted amount [passage of time] and effect of any change in the discount rate

 

IAS 37.84 (e)

 

 

 

 

 

 

 

0060

Other movements

 

 

 

 

 

 

 

 

 

0070

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

0010

0010

Fair value of defined benefit plan assets

IAS 19.140(a)(i), 142

 

0020

Of which: Financial instruments issued by the institution

IAS 19.143

 

0030

Equity instruments

IAS 19.142(b)

 

0040

Debt instruments

IAS 19.142(c)

 

0050

Real estate

IAS 19.142(d)

 

0060

Other defined benefit plan assets

 

 

0070

Present value of defined benefit obligations

IAS 19.140(a)(ii)

 

0080

Effect of the asset ceiling

IAS 19.140(a)(iii)

 

0090

Net defined benefit assets [Carrying amount]

IAS 19.63; Annex V.Part 2.308

 

0100

Provisions for pensions and other post-employment defined benefit obligations [Carrying amount]

IAS 19.63, IAS 1.78(d); Annex V.Part 2.9

 

0110

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

0010

0010

Opening balance [present value]

IAS 19.140(a)(ii)

 

0020

Current service cost

IAS 19.141(a)

 

0030

Interest cost

IAS 19.141(b)

 

0040

Contributions paid

IAS 19.141(f)

 

0050

Actuarial (-) gains or losses from changes in demographic assumptions

IAS 19.141(c)(ii)

 

0060

Actuarial (-) gains or losses from changes in financial assumptions

IAS 19.141(c)(iii)

 

0070

Foreign currency exchange increase or (-) decrease

IAS 19.141(e)

 

0080

Benefits paid

IAS 19.141(g)

 

0090

Past service cost, including gains and losses arising from settlements

IAS 19.141(d)

 

0100

Increase or (-) decrease through business combinations and disposals

IAS 19.141(h)

 

0110

Other increases or (-) decreases

 

 

0120

Closing balance [present value]

IAS 19.140(a)(ii); Annex V.Part 2.310

 

44.3    Staff expenses by type of benefits



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Current period

0010

0010

Pension and similar expenses

Annex V.Part 2.311(a)

Annex V.Part 2.311(a)

 

0020

Share based payments

Annex V.Part 2.311(b)

IFRS 2.44; Annex V.Part 2.311(b)

 

0030

Wages and salaries

Annex V.Part 2.311(c)

Annex V.Part 2.311(c)

 

0040

Social security contributions

Annex V.Part 2.311(d)

Annex V.Part 2.311(d)

 

0050

Severance payments

Annex V.Part 2.311(e)

IAS 19.8, Annex V.Part 2.311(e)

 

0060

Other types of staff expenses

Annex V.Part 2.311(f)

Annex V.Part 2.311(f)

 

0070

STAFF EXPENSES

 

 

 

44.4    Staff expenses by category of remuneration and category of staff



 

References National GAAP based on BAD

References National GAAP compatible IFRS

Current period

Total staff

 

 

 

 

of which: Identified staff

 

 

 

of which: Management body (in its management function) and senior management

of which: Management body (in its supervisory function)

 

Annex V.Part 2.311i (a)

Annex V.Part 2.311i

Annex V.Part 2.311i (b)

0010

0020

0030

0040

0010

Fixed remuneration

Annex V.Part 2.311i (a)

Annex V.Part 2.311i (a)

 

 

 

 

0020

Variable remuneration

Annex V.Part 2.311i (a)

Annex V.Part 2.311i (a)

 

 

 

 

0030

Staff expenses other than remuneration

 

 

 

 

 

 

0040

STAFF EXPENSES

 

 

 

 

 

 

0050

NUMBER OF STAFF

Annex V.Part 2.311ii

Annex V.Part 2.311ii

 

 

 

 

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

0010

0020

0010

Financial assets designated at fair value through profit or loss

 

IFRS 7.20(a)(i); IFRS 9.4.1.5

 

 

0020

Financial liabilities designated at fair value through profit or loss

 

IFRS 7.20(a)(i); IFRS 9.4.2.2

 

 

0030

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

0010

0010

Property, Plant and Equipment

 

IAS 16.68, 71

 

0020

Investment property

 

IAS 40.69; IAS 1.34(a), 98(d)

 

0030

Intangible assets

 

IAS 38.113-115A; IAS 1.34(a)

 

0040

Other assets

 

IAS 1.34 (a)

 

0050

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

0010

0020

0010

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

 

 

0020

Investment property

Annex V.Part 2.314

IAS 40.75(f); Annex V.Part 2.314

 

 

0030

Operating Leases other than investment property

Annex V.Part 2.315

IFRS 16.81,82; Annex V.Part 2.315

 

 

0040

Other

Annex V.Part 2.316

Annex V.Part 2.316

 

 

0050

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)

 

0010

0020

0030

0040

0050

0060

0070

0075

0080

0085

0090

0100

0110

0120

0130

0140

0010

Opening balance [before restatement]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Effects of corrections of errors

 

IAS 1.106.(b); IAS 8.42

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Effects of changes in accounting policies

 

IAS 1.106.(b); IAS 1.IG6; IAS 8.22

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Opening balance [current period]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Issuance of ordinary shares

 

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Issuance of preference shares

 

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Issuance of other equity instruments

 

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Exercise or expiration of other equity instruments issued

 

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Conversion of debt to equity

 

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Capital reduction

 

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Dividends

 

IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Purchase of treasury shares

 

IAS 1.106.(d).(iii); IAS 32.33

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Sale or cancellation of treasury shares

 

IAS 1.106.(d).(iii); IAS 32.33

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Reclassification of financial instruments from equity to liability

 

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Reclassification of financial instruments from liability to equity

 

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Transfers among components of equity

 

IAS 1.106.(d).(iii); Annex V.Part 2.318

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Equity increase or (-) decrease resulting from business combinations

 

IAS 1.106.(d).(iii)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

Share based payments

 

IAS 1.106.(d).(iii); IFRS 2.10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

Other increase or (-) decrease in equity

 

IAS 1.106.(d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

Total comprehensive income for the year

 

IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

Closing balance [current period]

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

47.    Loans and advances: Average duration and recovery periods



 

References

TOTAL

 

of which: Households

of which: Non-financial corporations

 

 

of which: loans collateralised by residential immovable property

 

of which: SMEs

Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs

 

 

 

 

of which: Commercial Real Estate (CRE) loans

 

Annex V.Part 1.42(f)

Annex V.Part 2.86(a), 87

Annex V.Part 1.42(e)

SME Art 1 2(a)

SME Art 1 2(a), Annex V.Part 2.239ix

Annex V.Part 2.239ix

0010

0020

0030

0040

0050

0060

0070

0010

Non-performing loans and advances: weighted average time since past due date (in years)

Annex V.Part 2.362, 363

 

 

 

 

 

 

 

0020

Net cumulated recoveries from litigation procedures concluded during the period

Annex V.Part 2.362, 364(a)

 

 

 

 

 

 

 

0030

Gross carrying amount reduction from litigation procedures concluded during the period

Annex V.Part 2.362, 364(b)

 

 

 

 

 

 

 

0040

Average duration of litigation procedures concluded in the period (in years)

Annex V.Part 2.362, 364(c)

 

 

 

 

 

 

 



ANNEX V

INSTRUCTIONS FOR 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 reference date) (13.2.1)

12.3.

Collateral obtained by taking possession accumulated (13.3.1)

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 derecognition 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 and trading financial assets and trading financial liabilities by instrument (16.3)

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)

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)

15.9.

Other Administrative Expenses (16.8)

16.

Reconciliation between accounting and CRR scope of consolidation (17)

17.

Non-performing exposures (18)

17.1.

Information on performing and non-performing exposures (18.0)

17.2.

Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1)

17.3.

Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2)

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.

Staff expenses by type of benefits (44.3)

28.4.

Staff expenses by category of remuneration and category of staff (44.4)

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 derecognition of non-financial assets (45.2)

29.3.

Other operating income and expenses (45.3)

30.

Statement of changes in equity (46)

31.

LOANS AND ADVANCES: ADDITIONAL INFORMATION (23)

32.

LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END OF THE LAST FINANCIAL YEAR (24)

32.1.

Loans and advances: Inflows and outflows of non-performing exposures (24.1)

32.2.

Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures (24.2)

32.3.

Loans and advances: Write-offs of non-performing exposures during the period (24.3)

33.

COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25)

33.1.

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): inflows and outflows (25.1)

33.2.

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) – Type of collateral obtained (25.2)

33.3.

Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3)

34.

FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26)

35.

LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47)

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 requirements that are 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 point (77) of Article 4(1) of Regulation (EU) No 575/2013.

4. An institution shall only submit those parts of the templates relating 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 Regulation (EC) No 1606/2002 of the European Parliament and of the Council ( 16 ), which have been adopted by the Commission;

(c) 

‘ECB BSI Regulation’ or ‘ECB/2013/33’: Regulation (EU) No 1071/2013 of the European Central Bank ( 17 );

(d) 

‘NACE Regulation’: Regulation (EC) No 1893/2006 of the European Parliament and of the Council ( 18 );

(e) 

‘NACE codes’: codes in NACE Regulation;

(f) 

‘BAD’: Council Directive 86/635/EEC ( 19 );

(g) 

‘Accounting Directive’: Directive 2013/34/EU of the European Parliament and of the Council ( 20 );

(h) 

‘National GAAP’: national generally accepted accounting principles developed under BAD;

(i) 

‘SME’: micro, small and medium-sized enterprises as defined in Commission Recommendation C(2003)1422 ( 21 );

(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;

(m) 

‘ESRB recommendation on closing real estate data gaps’ refers to the Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) ( 22 ).

2.   CONVENTIONS

6. For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that that 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 shall mean 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. That allocation ensures that all entities that 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 Section 2 of Chapter 2 of Title II of Part 1 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)CRR;

(b) 

institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) CRR;

(c) 

institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) 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. Those 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’, nor 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 those rules 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’;

(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. That classification shall also apply to 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 those 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. That 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 where 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. That classification shall also apply to 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 either shall be 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, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.

32. ‘Loans and advances’ are debt instruments held by the institutions that are not securities. That item includes loans as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation (including demand deposits at credit institutions and central banks, irrespective of their classification as per the applicable accounting framework) as well as advances that cannot be classified as ‘loans’ defined in the Table of Part 2 of Annex II 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 those debt instruments 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 changes in fair value due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purposes 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, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance and for debt instruments at fair value through other comprehensive income, the amortised cost 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 those 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 those financial assets are not subject to impairment requirements, the gross carrying amount of those 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 reference period. Where those 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 those 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, ‘deposits’ shall be deposits as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.

37. ‘Debt securities issued’ shall be debt instruments issued as securities by the institution that are not deposits, as defined in the Table of Part 2 of Annex II to 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 point (1) of Article 4(1) 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 (NFCs): corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services, as defined in the Table of Part 3 of Annex II 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 (including securitisation instruments) 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 underlying 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 ‘loans and advances’ that are balances receivable on demand at central banks.

3. ‘Other demand deposits’ shall include ‘loans and advances’ that are 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, irrespective 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 whether 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 the values of which 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 derecognition 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, those 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), those 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’. Those 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 those classes of instruments where the clean price is used, or as part of gains or losses from those 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 reporting reference period and dividends related to instruments held at the end of the reporting reference period.

42. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of those 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 also include 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 choses 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.

48i. ‘Cash contributions to resolution funds and deposit guarantee schemes’ shall include the amounts of contributions to resolution funds and deposit guarantee schemes where they are paid in the form of cash. Where the contribution is made in the form of a payment commitment, this payment commitment shall be included in ‘provisions or (-) reversal of provisions’, if the payment commitment gives rise to a liability in accordance with the applicable accounting standard.

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 derecognition of these investments shall be reported in accordance with paragraph 55 and 56of 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 derecognition 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. Where investments in subsidiaries, joint ventures and associates are derecognised without being previously classified as held for sale and without being qualified as discontinued operations under IFRS 5, any gains or losses on derecognition of these investments shall be reported in ‘Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net’, irrespective of the consolidation method applied. Under national GAAP based on BAD, all gains and losses on derecognition of investments in subsidiaries, joint ventures and associates 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 derecognition 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, except where they are purchased or originated financial assets that are credit-impaired at initial recognition as defined in IFRS 9 Appendix A. For these assets, the gross carrying amount and accumulated impairment shall be separately reported, outside the impairment stages, in templates 4.3.1 and 4.4.1.

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. That amount shall only be reported where 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’ shall have the following meaning:

(a) 

for debt instruments measured at amortised cost or at a cost-based method, that are not purchased or originated credit-impaired financial assets, 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 that are not purchased or originated credit-impaired financial assets, 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.

(d) 

for purchased or originated credit-impaired financial assets, the initial estimate of lifetime expected credit losses is incorporated into the calculation of the credit-adjusted effective interest rate and accumulated impairment is the sum of subsequent changes in lifetime expected credit losses since initial recognition that are recognized as a variation of carrying amount/fair value on a given instrument. Accumulated impairment for purchased or originated credit-impaired financial assets can be positive in case of impairment gains exceeding any previously recognised impairment losses (IFRS 9.5.5.14).

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 and the allowance for purchased or originated credit-impaired financial assets. 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. Those 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 because 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 derecognition 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 by both reductions of the carrying amount of financial assets recognised directly in profit or loss and 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 that are not purchased or originated credit-impaired financial 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.

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 those 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 those 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, trading assets or held for sale 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 as defined in the Table of Part 2 of Annex II to the 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. That 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 in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. That 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, regardless 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, regardless of their loan/collateral ratio (commonly referred to as ‘loan-to-value’ (LTV) ratio) and the legal form of the collateral, other than ‘Loans collateralised by immovable property’. That collateral shall include pledges of securities, cash, and other collateral, regardless of 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 where those loans and advances are secured by immovable property regardless of whether they are also secured by other types of collateral.

88. Loans and advances shall be classified on the basis of their purpose as:

(a) 

‘Credit for consumption’ shall include loans granted mainly for the personal consumption of goods and services, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation;

(b) 

‘Lending for house purchase’ shall include credit extended to households for the purpose of investing in houses for own use or rental, including building and refurbishments, as defined in the Table of Part 2 of Annex II to the 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 referred to in Article 147(8) 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, trading or held for sale 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 are those included in the following accounting portfolios: (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 where 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 financial assets subject to impairment, as 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 and broken down according to the number of days of the oldest past due amount unpaid at the reference date. Under IFRS, the carrying amounts of assets that are not purchased or originated credit-impaired financial assets shall be reported by impairment stages; the carrying amount of purchased or originated credit-impaired financial assets shall be separately reported. Under national GAAP based on BAD, past-due assets shall be reported by impairment status in accordance with the applicable accounting standards.

8.   BREAKDOWN OF FINANCIAL LIABILITIES (8)

97. ‘Deposits’ and the product breakdown shall be defined in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. Regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very similar 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’ shall be securities derived from securitisation transactions as defined in point (61) of Article 4(1) CRR;

(c) 

‘Covered Bonds’ as referred to in Article 129(1) CRR;

(d) 

‘Hybrid contracts’ shall comprise contracts with embedded derivatives that are not included in the products referred to in points (b) and (c) or classified as convertible compound financial instruments under point (e);

(e) 

‘Other debt securities issued’ shall be debt securities that are not included in the products referred to in points (a) to (d) and shall distinguish between 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’ and 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 shall be subordinated debt, as determined in Table of Part 2 of Annex II to the ECB BSI Regulation, 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.

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 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) of paragraph 105 of this Part of this Annex shall be reported as provisions regardless 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, except where they are deemed credit-impaired at initial recognition consistently with the definition of purchased or originated financial assets of IFRS 9 Appendix A. For these exposures, the nominal amount and provisions shall be separately reported, outside the impairment stages in template 9.1.1.

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 identify separately 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 column in template 9.1.1 (IFRS 9.5.5.20 and IFRS 7.B8E).

109. A financial guarantee or a commitment to provide a loan at a below-market rate that is measured in accordance with IFRS 9.4.2.1(d) and for which its loss allowance is determined in accordance with IFRS 9.5.5 shall be reported in the appropriate column.

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 those 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 69of 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 those 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, those 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 derecognition under IFRS 9;

(d) 

‘Transactions with recourse’ that do not meet the criteria for derecognition under IFRS 9;

(e) 

‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IFRS 9;

(f) 

‘Asset sale and repurchase agreements as referred to in paragraphs 3 and 5 of Article 12 of Directive 86/635/EEC’. In those 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, those contracts meet the definition of derivatives in Appendix A to IFRS 9.

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 to 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 would 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 would 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 or are not recognised on the balance sheet 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 identified separately.

125. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where that qualifying hedge relationship concerns 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 those 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 shall not be 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 the cash flows of which are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a treasury bill. That category shall be restricted to those deals where all the legs are exposed to only one currency’s interest rate. It shall thus exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts the predominant risk characteristic of which 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 those 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 swaps 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 shall therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaps and currency warrants. 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 9.4.2.1 (c)). 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: those 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 to either 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 those 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 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 of 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 its 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 point (92) of Article 4(1) 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 Appendix A to IFRS 9 or classified as trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in point (86) of Article 4(1) CRR.

138. ‘Economic hedges’ shall not include derivatives for proprietary trading.

139. Derivatives that meet the definition of ‘economic hedges’ shall be reported separately in template 10 for each type of risk.

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 counterparties using the following categories:

(a) 

‘credit institutions’;

(b) 

‘other financial corporations’;

(c) 

‘rest’ comprising all other counterparties.

142. All OTC derivatives, irrespective of the type of risk to which they are related, shall be broken down by those 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 the carrying amount of those non-derivative hedging instruments according to the applicable measurement rules in IFRS or in GAAP based on BAD for the accounting portfolios to which they belong. 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 shall include hedges of nil net positions as referred to in accordance with IFRS 9.6.6.6.

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 that 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. Those 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 where the national GAAP under BAD require those assets to be subject to impairment (including cash balances at central banks and other demand deposits). 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 (including cash balances at central banks and other demand deposits) and by counterparty. A separate reconciliation for purchased or originated credit-impaired financial assets shall be reported in the template.

157. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages and separately for purchased or originated credit-impaired exposures. 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 of 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 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. That 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. 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 allowances due to financial assets de-recognised totally in the reporting reference 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 reference period due to an increase or decrease in credit risk since initial recognition, irrespective of whether those changes led to a transfer of the financial asset to another stage. The impact on the allowance due to the increase or decrease of the amount of financial assets as a 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 calculated 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 an 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 derecognised 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 reference 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 reference 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 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.

166i. ‘Gains or losses on derecognition of debt instruments’ shall include the difference between the carrying amount of financial assets measured at the date of derecognition and the consideration received.

11.3.    Transfers between impairment stages (gross basis presentation) (12.2)

167. For financial assets included in the accounting portfolios and off-balance exposures, other than purchased or originated credit-impaired financialexposures, that are subject to the impairment requirements of IFRS 9, the gross carrying amount and the nominal amount that have been transferred between impairment stages during the reporting reference period shall be reported in template 12.2 respectively.

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 that 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 included in the accounting portfolios, 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. In the item ‘of which: non-performing’, loans and advances shall be reported as defined in paragraphs 213 to 239 or 260 of this Part.

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 point (75) of Article 4(1) CRR;

(b) 

within ‘Other collateralised loans’:

(i) 

‘Cash, deposits, (Debt securities 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;

(ii) 

‘Movable property’ shall comprise pledges of physical collateral other than immovable property and include cars, airplanes, ships, industrial and mechanical equipment (machinery, mechanical and technical equipment), inventories and commodities (merchandise, finished and semi-finished products, raw materials) and other forms of movable property;

(iii) 

‘Equities and debt securities’ shall include collateral in the form of equity instruments, including investments in subsidiaries, joint ventures and associates, as well as in the form of debt securities issued by third parties;

(iv) 

‘Rest’ shall include pledges of 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 for a loss it incurs because a specified debtor failed to make a payment where due in accordance with the original or modified terms of a debt instrument.

174. For loans and advances that have simultaneously several types 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 reference date) (13.2.1)

175. This template shall be used to report information on 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. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings. The types of collateral shall be the ones referred to in paragraph 173, with the exception of those in point (b) (i) of that paragraph.

175i. ‘Value at initial recognition’ shall mean the gross carrying amount of the collateral obtained by taking possession at the point in time of the initial recognition in the balance sheet of the reporting institution.

175ii. ‘Accumulated negative changes’ shall be the difference, at the level of the individual collateral item, between the value at initial recognition of the collateral and the carrying amount at the reporting reference date, where that difference is negative.

12.3.    Collateral obtained by taking possession accumulated (13.3.1)

176. Collateral obtained by taking possession that remains recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained, shall be reported in template 13.3.1. Both collateral obtained by taking possession classified as ‘Property, plant and equipment’ and other collateral obtained by taking possession shall be included. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

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 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 made 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. Those 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 to be 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 derecognition, 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 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 derecognition.

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 assets included in the accounting portfolios and other assets (including cash, cash balances at central banks and other demand deposits);

(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 liabilities included in the accounting portfolios 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 where the latter are considered as non-performing in accordance with paragraph 215 of this Part. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific impairment allowance for credit risk.

194i. ‘Of which: credit for consumption’ and ‘of which: lending for house purchase’ shall reflect the income and expenses on loans and advances as described in paragraph 88of this Part.

194ii. ‘Of which: interest from leases’ shall reflect the lessor’s interest income on the lease receivable (finance leases) and the lessee’s interest expenses on the lease liability respectively.

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

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

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 in accordance with 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 those 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 derecognition 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 shall be the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated with 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 316of 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 shall be 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 those 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. Those hedging instruments that are not designated shall be reported in accordance with paragraph 60of 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 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 results in the recognition of net income.

15.9.    Other Administrative Expenses (16.8)

208i. ‘Information Technology expenses’ shall be the expenses made to deliver IT-enabled business processes, application services and infrastructure solutions for business outcomes, including costs related to the creation and maintenance of IT systems and excluding compensation for IT specialists on the institution’s payroll which shall be reported under staff expenses.

208ii. Among the Information Technology expenses, ‘IT outsourcing’ shall mean IT expenses related to the use of external service providers. It shall not include expenses related to (i) pure staff services (agency staff) to the extent that the institution just hires staff temporarily and keeps full control of the delivered services and (ii) purely standardised operational hardware/software maintenance contracts on merely purchased assets.

208iii. ‘Taxes and duties (other)’shall include taxes and duties other than (i) taxes related to profit or loss taxes and (ii) taxes and duties from discontinued operations. This item includes taxes and duties such as taxes levied on goods and services and the duties paid by the institution.

208iv. ‘Consulting and professional services’ shall mean expenses made to get expert or strategic advice.

208v. ‘Advertising, marketing and communication’ shall include expenses related to marketing communications activities such as advertising, direct or online marketing, and events.

208vi. ‘Expenses related to credit risk’ shall mean administrative expenses in the context of credit events, such as expenses incurred in respect of taking possession of collateral or legal proceedings.

208vii. ‘Litigation expenses not covered by provisions’ shall mean litigation expenses not related to credit risk that were not covered by an associated provision.

208viii. ‘Real estate expenses’ shall mean expenses for repairs and maintenance that do not improve the use or prolong the useful life of the real estate, as well as utility expenses (water, electricity and heating).

208ix. Under IFRS, ‘leasing expenses’ shall comprise expenses of the lessee due to short-term leases and leases of assets of low value as referred to IFRS 16.5 and 16.6. Under national GAAP, leasing expenses shall comprise expenses of the lessee, where the accounting standard envisages the treatment of lease payments as expenses.

208x. ‘Other administrative expenses – Rest’ shall include all the remaining components of ‘other administrative expenses’, such as supervisory fees or bank levies, administrative and logistic services, postage and transport of documents, surveillance and security services, money counting services and transport. Cash contributions to resolution funds and deposit guarantee schemes shall not be reported in this category since they are reported in a separate row of template 2.

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 all subsidiaries are fully consolidated under the scope of accounting consolidation.

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)

17.1.    Information on performing and non-performing exposures (18.0)

213. For the purposes of template 18, non-performing exposures shall be exposures listed in Article 47a(3) CRR.

215. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3). Exposures included in impairment stages other than Stage 3 and those that are purchased or originated credit-impaired shall be considered as non-performing where they meet the criteria to be considered as non-performing in accordance with Article 47a(3) CRR.

216. Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. With reference to the exposures referred to in point (a) of Article 47a(3) CRR, materiality shall be assessed in accordance with Article 178 CRR and the Commission Delegated Regulation (EU) 2018/171 (RTS on materiality threshold for credit obligations past due).

217. For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances, including 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’ as defined in paragraph 34of Part 1 of this Annex shall be reported. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 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. For the purpose of classification of exposures as non-performing in accordance with point (a) of Article 47a(3) CRR, the counting of 90 days past due commences once the past due amount, being the sum of past due principal, interest and fees, breaches the materiality threshold as defined in paragraph 216 of this Part. If the past due part of exposures continues to be material for 90 consecutive days, the exposure should then be classified as non-performing.

223. For the purpose of template 18, ‘debtor’ shall mean an obligor within the meaning of Article 178 CRR.

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 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 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 consider also exposures to other entities of the group as non-performing shall be assessed, 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 conditions provided in Article 47a(4) CRR are met.

230. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 shall not discontinue their classification as non-performing exposure in accordance with Article 47a(5) CRR.

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 conditions provided in Article 47a(6) CRR are met.

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 Article 47a(6) CRR, 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 18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9.

234i. The following exposures shall be identified in separate rows:

(a) 

Loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;

(b) 

Credit for consumption as defined in paragraph 88(a) of this Part.

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 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. In case of application of the debtor approach for the classification of exposures as non-performing referred to in paragraph 226 of this Part of this Annex, the exposures of the debtor shall be reported in the past-due time bands of non-performing in accordance with their individual past-due status. Exposures that are not past due or are past due by 90 days or less, but are nevertheless 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) which does not include purchased or originated credit impaired assets, shall be reported; under national GAAP, the amount of impaired assets shall be reported;

(b) 

exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR;

(c) 

under IFRS, assets with significant increase in credit risk since initial recognition, but not credit-impaired (Stage 2) which do not include purchased or originated credit impaired assets;

(d) 

under IFRS, for performing exposures, assets without significant increase in credit risk since initial recognition (Stage 1);

(e) 

exposures which are considered as purchased or originated financial assets that are credit-impaired at initial recognition in accordance with IFRS 9 Appendix A, including any off-balance sheet exposures that are deemed credit-impaired upon their initial recognition;

(f) 

for performing exposures, the amount of accumulated impairment for exposures past due by more than 30 days.

238. 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 110of this Part.

239. Information on collateral held and guarantees received on performing and non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure.

17.2.    Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1)

239i. Template 18.1 shall provide the inflows and outflows of loans and advances, excluding loans and advances classified as trading financial assets or held for trading, that were classified into or out of the category of non-performing exposures as defined in paragraphs 213 to 239 or 260of this Part. Inflows and outflows of non-performing loans and advances shall be broken down by counterparty sector.

239ii. Inflows to the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The inflow shall reflect the gross carrying amount of exposures that have become non-performing as defined in paragraphs 213 to 239 or 260 of this Part during the period, including purchased non-performing exposures. An increase in the gross carrying amount of a non-performing exposure due to accrued interest or due to an increase in the accumulated negative changes in fair value due to credit risk shall be reported as an inflow as well.

239iii. For an exposure that during the period has been reclassified multiple times from non-performing to performing or vice versa, the amount of inflows and outflows shall be identified based on a comparison between the status of the exposure (performing or non-performing) at the beginning of the financial year or at initial recognition and its status at the reporting reference date.

239iv. Outflows from the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The outflow shall reflect the sum of the gross carrying amounts of exposures that cease to be non-performing during the period, and, where applicable, shall include the amount of write-offs made in the context of the partial or full derecognition of the exposure. A decrease in the gross carrying amount of a non-performing exposure due to interest paid or a decrease in the accumulated negative changes in fair value due to credit risk shall be reported as an outflow as well.

239v. An outflow shall be reported in the following cases:

(a) 

a non-performing exposure meets the criteria for ceasing to be classified as non-performing as laid out in paragraphs 228 – 232 of this Part and is reclassified as performing not forborne or performing forborne;

(b) 

a non-performing exposure is partially or totally repaid; in case of partial repayment, only the repaid amount shall be classified as outflow;

(c) 

collateral is liquidated, including outflows due to other liquidation or legal procedures, such as the liquidation of assets other than collateral obtained via legal procedures, and the voluntary sale of the collateral;

(d) 

the institution takes possession of the collateral as referred in paragraph 175 of this Part including cases of debt asset swaps, voluntary surrenders and debt equity swaps;

(e) 

a non-performing exposure is sold;

(f) 

the risk pertaining to a non-performing exposure is transferred and the exposure meets the criteria to be derecognised;

(g) 

a non-performing exposure is written-off partially or totally; in case of partial write-offs, only the written-off amount shall be classified as outflow;

(h) 

a non-performing exposure, or parts of a non-performing exposure, ceases to be non-performing for other reasons.

239vi. The reclassification of a non-performing exposure from one accounting portfolio to another shall be reported neither as inflow nor as outflow. As an exception, the reclassification of a non-performing exposure from any accounting portfolio to ‘held for sale’ shall be reported as outflow from the original accounting portfolio and inflow to ‘held for sale’.

239vii. The following exposures shall be identified in separate rows:

(a) 

commercial real estate (CRE) loans as defined in paragraph 239ix, broken down into CRE loans to SMEs and CRE loans to non-financial corporations other than SMEs;

(b) 

loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;

(c) 

credit for consumption as defined in paragraph 88(a) of this Part.

17.3.    Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2)

239viii. Template 18.2 shall present information on commercial real estate loans to non-financial corporations and on loans collateralised by commercial or residential immovable property to non-financial corporations and households respectively, broken down by loan to value ratio (LTV ratio). Loans and advances classified as held for trading, trading financial assets and debt instruments held for sale shall be excluded.

239ix. ‘Commercial real estate (CRE) loans’ shall comprise exposures as defined in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps ( 23 ).

239x. The LTV ratio shall be calculated in accordance with the method for the calculation of the ‘current loan-to-value ratio’ (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps.

239xi. Information on collateral received and financial guarantees received on loans shall be reported in accordance with paragraph 239of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying 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 as defined in Article 47b(1) and (2) CRR have been applied.

243. Forbearance measures also include 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’) and which 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’ shall mean the use of debt contracts to ensure the total or partial payment of other debt contracts the terms of which the debtor is unable to comply with.

245. For the purpose of template 19, ‘debtor’ means an obligor within the meaning of Article 47b(4) CRR.

246. For the purpose of template 19, ‘debt’ shall include loans and advances (including also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, including those loan commitments that are 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 purposes of template 19, ‘exposure’ shall have the same meaning as ‘debt’ in paragraphs 246 and 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 in accordance with paragraph 233 of this Part.

250. For the purposes of template 19, ‘institution’ shall mean the institution, which applied the forbearance measures.

251. In template 19 for ‘debt’, the ‘gross carrying amount’ shall be reported in accordance with 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 in accordance with Article 47b(1) CRR, 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 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 where a concession as defined in Article 47b(1) CRR has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition.

254. There is a rebuttable presumption that forbearance has taken place in any of the circumstances listed in Article 47b(3) CRR.

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 in the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 239 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the conditions provided in Article 47a(7) CRR are met.

257. Where the conditions referred to in Article 47a(7) CRR 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 forborne exposure under probation reclassified out of non-performing category becomes more than 30 days past due, the exposure shall be classified as non-performing in accordance with point (c) of Article 47a(3) CRR.

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 that are included in the performing exposures category. Performing forborne exposures shall be under probation until all the criteria laid down in Article 47a(7) CRR, including where paragraph 259 of this Part applies, are met. Performing forborne exposures under probation that have been reclassified out of the non-performing forborne 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 that 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, in accordance with the applicable accounting framework, to be impaired. Under IFRS, the amount of credit-impaired assets (Stage 3) and the amount of purchased or originated credit-impaired financial assets where they are considered as non-performing in accordance with paragraph 215 of this Part shall be reported in this column;

(b) 

exposures in respect of which a default is considered to have occurred in accordance with Article 178 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’, depending on 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 that exposure’s derecognition 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. In addition, collateral and financial guarantees received on non-performing exposures with forbearance measures shall be shown 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 of the related on-balance sheet exposure or nominal amount after deduction of provisions of the related off-balance sheet exposure.

19.   GEOGRAPHICAL BREAKDOWN (20)

269. Template 20 shall be reported where the institution exceeds the threshold described in point (4) of Article 5(a) 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’ shall mean the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability. For branches, it shall mean the jurisdiction of its residence. ‘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 43of 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. For the purpose of template 20.4, cash balances at central banks and other demand deposits shall be reported together with financial assets subject to impairment. 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’, as determined in accordance with paragraphs 69 to 71 of this Part shall be reported.

275. In template 20.4 for debt instruments, ‘gross carrying amount’, as determined in accordance with paragraph 34 of Part 1 of this Annex, shall be reported. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column ‘Of which: Non-performing’ debt instruments, as determined in accordance with paragraphs 213 to 239 or 260of this Part shall be reported. Debt forbearance shall comprise all ‘debt’ contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 268of 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, trading or held for sale 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 the 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 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. Those transaction costs shall form part of the initial acquisition/issue value of those instruments and shall be amortised to profit or loss over their residual life using the effective interest rate (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 those transaction costs are classified. Those transaction costs shall not be part of the initial acquisition or issuance value of those instruments and shall be immediately recognized in profit or loss.

284. Institutions shall report fee and commission income and expenses in accordance with 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 fee and commission income in relation to securities’ shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;

(d) 

Under fee and commission expenses, ‘securities’ shall include fees and commissions charged to the institution where it is receiving services related with securities regardless of whether they are originated or issued by the institution or not;

(e) 

‘Corporate Finance. M&A advisory’ shall include fees and commissions for advisory services surrounding corporate clients’ mergers and acquisitions activities;

(f) 

‘Corporate Finance. Treasury services’ shall include fees and commissions for corporate finance services related to capital market advisory for corporate clients;

(g) 

‘Corporate Finance. Other fee and commission income in relation to corporate finance activities’ shall include all other corporate finance related fees and commissions;

(h) 

‘Fee based advice’ shall include fees and commissions charged for advisory services to clients that are not directly linked to asset management, such as private banking related fees. M&A advisory fees shall not be included here, but under ‘Corporate Finance. M&A advisory’;

(i) 

‘Clearing and settlement’ shall include fees and commission income (expenses) generated by (charged to) the institution where that institution participates in counterparty, clearing and settlement facilities;

(j) 

‘Asset management’, ‘Custody’, ‘Central administrative services for collective investment undertakings’ and ‘Fiduciary transactions’ shall include fees and commission income (expenses) generated by (charged to) the institution that provides those services;

(k) 

‘Payment services’ shall include fees and commission income (expenses) generated by (charged to) the institution that provides (receives) payment services as referred to in Annex I to Directive (EU) 2015/2366 of the European Parliament and of the Council ( 24 ). Information on the fee and commission income shall be reported separately for current accounts, credit cards, debit cards and other card payments, transfers and other payment orders as well as other fee and commission income in relation to payment services. ‘Other fee and commissions income in relation to payment services’ shall include charges for the use of the institution’s ATM network by cards not issued by the institution. Information on fee and commission expenses on credit, debit and other cards shall be reported separately;

(l) 

‘Customer resources distributed but not managed (by type of product)’ shall comprise fee and commission income for distribution of products issued by entities outside the prudential group to its current customers. This information shall be reported by type of product;

(m) 

Under fee and commission expenses, ‘Externally provided distribution of products’ shall comprise the expenses for distribution of the institution’s products and services via an external agent network/distribution arrangement with external providers such as mortgage brokers, online loan platforms or Fintech frontends;

(n) 

‘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;

(o) 

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;

(p) 

‘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 those activities initially recognised as ‘other liabilities’;

(q) 

‘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’;

(r) 

Under ‘loans granted’, fees and commissions shall be reported which are charged in the process of granting loans, but are not part of the effective interest rate calculation;

(s) 

‘Foreign exchange’ includes fee and commission income (expenses) for foreign exchange services (including exchange of foreign banknotes or coins, fees on international currency cheques, bid-ask-spread) and fee income from/expenses on international transactions. Where the income (expenses) attributable to foreign exchange transactions can be separated from the other credit/debit card related fee income, this item shall also include foreign-exchange related fees and commissions generated via credit or debit cards;

(t) 

‘Commodities’ include fee and commission income related to the commodity business, except for income related to commodity trading which shall be reported as other operating income;

(u) 

‘Other fee and commission income (expenses)’ shall include the fee and commission income (expenses) generated by (charged to) the institution that cannot be allocated to any of the other listed items.

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 irrespective of whether the institution provides other services;

(e) 

‘Payment services’ shall refer to the payment services listed in Annex I of Directive (EU) 2015/2366;

(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 or pension funds, the assets concerned may be shown at the value at which those entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where applicable.

22.   INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)

286. For the purposes of Annexes III and IV as well as this Annex, ‘liquidity support drawn’ shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.

287. ‘Losses incurred by the reporting institution in the current period’ shall include losses due to impairment and any other losses which are incurred by a reporting institution during the reporting reference period and concern the reporting institution’s interests in unconsolidated structured entities.

23.   RELATED PARTIES (31)

288. Institutions shall report amounts or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party as referred to in 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 within the scope of the prudential consolidation or because the subsidiaries are excluded from the scope of prudential consolidation in accordance with Article 19 CRR 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.

291. ‘Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures’, as determined in paragraphs 69 to 71, in this Part shall be reported for non-performing exposures only. ‘Provisions on non-performing off-balance sheet exposures’ shall include provisions in accordance with paragraphs 11, 106 and 111 of this Part for exposures which are non-performing, as determined in accordance with paragraphs 213 to 239of this Part.

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

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

(a) 

‘Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates’, where reporting under national GAAP based on BAD;

(b) 

‘Gains or losses on derecognition 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 provisions as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing as referred in paragraphs 213 to 239 of this Part.

24.   GROUP STRUCTURE (40)

294. Institutions shall provide, as of the reporting date, detailed information on subsidiaries, joint ventures and associates fully or proportionally consolidated within the scope of accounting consolidation as well as entities reported as ‘Investments in subsidiaries, joint ventures and associates’ in accordance with paragraph 4 of this Part, including those entities in which investments are held for sale under IFRS 5. All entities shall be reported, regardless of the activity they perform.

295. Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and in own shares of the reporting institution owned by it (‘Treasury shares’) shall be excluded from 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 requirements shall apply for the purposes of Annexes III and IV as well as this Annex:

(a) 

‘Code’ shall be the identification code of the investee. The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value;

(b) 

‘Type of code’: institutions shall identify the type of code reported in the column ‘Code’ as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported;

(c) 

‘National code’: institutions may additionally report the national code when they report LEI code as identifier in the column ‘Code’;

(d) 

‘Entity name’ shall include the name of the investee;

(e) 

‘Entry date’ shall mean the date on which the investee entered within the ‘scope of the group’;

(f) 

‘Share capital of investee’ shall mean the total amount of capital issued by the investee as of the reference date;

(g) 

‘Equity of investee’, ‘Total assets of the Investee’ and ‘Profit or (loss) of the Investee’ shall include the amounts of those items in the last financial statements approved by the investee’s board of directors or similar authorised body;

(h) 

‘Residence of investee’ shall mean the country of residence of the investee;

(i) 

‘Sector of investee’ shall mean the sector of counterparty referred to in paragraph 42 of Part 1 of this Annex;

(j) 

the ‘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’);

(k) 

‘Accumulated equity interest (%)’ shall be the percentage of ownership instruments held by the institution as of the reference date;

(l) 

‘Voting rights (%)’ shall mean the percentage of voting rights associated to the ownership instruments held by the institution as of the reference date;

(m) 

‘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);

(n) 

‘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);

(o) 

‘Accounting treatment (CRR Group)’ shall indicate the relationship between the accounting treatment and the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);

(p) 

‘Carrying amount’ shall mean the amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;

(q) 

‘Acquisition cost’ shall mean the amount paid by investors;

(r) 

‘Goodwill link to the investee’ shall mean 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’;

(s) 

‘Fair value of the investments for which there are published price quotations’ shall mean the price at the reference date. It shall be provided only where 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, 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. The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value;

(c) 

‘Holding company/Type of code’: institutions shall identify the type of code reported in the column ‘Holding company/Code’ as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported;

(d) 

‘Holding company/National code’: institutions may additionally report the national code when they report LEI code as identifier in the column ‘Holding company/Code’;

(e) 

‘Investee/Code’, ‘Investee/Type of code’, ‘Accumulated equity interest (%)’, ‘Carrying amount’ and ‘Acquisition cost’ are defined in paragraph 296 of this Part. 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, for liabilities, include the carrying amount of hybrid financial instruments classified, as a whole, in the accounting portfolio of financial liabilities designated at fair value through profit or loss It shall thus include non-separated hybrid instruments in their entirety.

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 intangible assets other than goodwill. Software assets shall be reported within ‘Other intangible assets’ or within ‘Property, plant and equipment’ in accordance with the applicable accounting framework.

303i. Where the institution assumes the role of a lessee, it shall provide separate information on lease assets (right-of-use assets).

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. The 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. The 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.    Staff expenses by type of benefits (44.3)

311. For reporting of staff expenses by type of benefits, the following definitions shall be used:

(a) 

‘Pension and similar expenses’ shall include the amount recognised in the period as staff expenses for any post-employment benefit obligations (both defined contribution plans and defined benefit plans), including post-employment-related contributions to social security funds (pension funds) maintained by the government or social security entities;

(b) 

‘Share based payments’ shall include the amount recognised in the reference period as staff expenses for share based payments;

(c) 

‘Wages and salaries’ shall include the remuneration of the institution’s employees for their labour or services, but shall exclude severance payments and remuneration in the form of share-based items which shall be reported in separate items;

(d) 

‘Social security contributions’ shall include contributions to social security funds, amounts paid to the government or to social security entities in order to receive a future social benefit, but shall exclude post-employment-related contributions to social security funds in terms of pensions (contributions to pension funds);

(e) 

‘Severance payments’ shall mean payments relating to the early termination of a contract and shall include termination benefits as defined in IAS 19.8;

(f) 

‘Other types of staff expenses’ shall include staff expenses that cannot be allocated to any of the categories above.

28.4.    Staff expenses by category of remuneration and category of staff (44.4)

311i. For reporting of staff expenses by category of remuneration and category of staff, the following definitions shall be used:

(a) 

‘Fixed remuneration’, ‘variable remuneration’, ‘identified staff’ and ‘management body in its management function’ shall have the same meaning as in the EBA Guidelines ‘on sound remuneration policies under Articles 74(3) and 75(2) of Directive 2013/36/EU and disclosures under Article 450 of Regulation (EU) No 575/2013’ (EBA/GL/2015/22);

(b) 

‘Management body’, ‘management body in its supervisory function’ and ‘senior management’ shall comprise staff as defined in points (7), (8) and (9) of Article 3(1) CRD.

311ii. ‘Number of staff’ shall include, as of the reporting reference date, the number of staff, expressed in full time equivalents (FTEs), plus the number of members in the management body expressed in terms of headcount for prudential (CRR) scope of consolidation. Of those, the number of identified staff, and the number of representatives in the management body in its management function and in senior management, as well as the number of representatives in the management body in its supervisory function shall be reported separately.

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 derecognition of non-financial assets (45.2)

313. ‘Gains or losses on derecognition 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 its 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 costs 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 shall disclose 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 derecognition.

31.   LOANS AND ADVANCES: ADDITIONAL INFORMATION (23)

319. Template 23 presents additional information on loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets and debt instruments held for sale.

320. For the purposes of determining the ‘number of instruments’, an instrument shall be understood as a banking product with an outstanding balance and, where applicable, a credit limit, typically being associated with an account. An exposure towards a specific counterparty can consist of multiple instruments. The number of instruments shall be determined based on the way the institution manages the exposure. The number of instruments shall be indicated separately for exposures in pre-litigation status and exposures in litigation status as defined in paragraphs 321 and 322 of this Part.

321. An exposure shall be ‘in pre-litigation status’ where the debtor has been formally notified that the institution will take legal action against the debtor within a defined time period, unless certain contractual or other payment obligations are met. That shall also include cases where the contract has been terminated by the reporting institution because the debtor is in formal breach of the terms and conditions of the contract and the debtor has been notified accordingly, but no legal action against the debtor has formally been taken by the institution yet. Exposures classified as ‘in pre-litigation status’ can exit this classification if the outstanding amounts are paid or if they enter into litigation status as defined in the following paragraph.

322. An exposure shall be ‘in litigation status’ where legal action against the debtor has formally been taken. This comprises cases where a court of law confirmed that formal judiciary proceedings have occurred or the judiciary system has been notified of the intention to commence legal proceedings.

323. ‘Unsecured loans and advances without guarantees’ refers to exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall not be included.

324. Loans and advances with an accumulated coverage ratio of more than 90 % shall be reported separately. For that purpose, the ‘accumulated coverage ratio’ shall be the ratio between the accumulated impairments, respectively the accumulated negative changes in fair value due to credit risk related to a loan or advance as numerator, and the gross carrying amount of that loan or advance as denominator.

325. Loans collateralised by immovable property as defined in paragraphs 86(a) and 87 of this Part as well as commercial real estate loans as defined in paragraph 239ix of this Part shall be reported broken down by loan/collateral ratio (‘loan-to-value’ (LTV) ratio) as defined in paragraph 239x of this Part.

326. Information on collateral held and guarantees received on the loans and advances shall be reported in accordance with paragraph 239 of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure. Immovable property pledged as collateral shall be reported separately in addition.

327. By way of derogation from the previous paragraph, ‘collateral received on loans and advances – uncapped amounts’ shall reflect the full value of the collateral received without a cap at the carrying amount of the related exposure.

32.   LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END OF THE LAST FINANCIAL YEAR (24)

32.1.    Loans and advances: Inflows and outflows of non-performing exposures (24.1)

328. Template 24.1 shall provide a reconciliation of the opening and closing balances of the stock of loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, trading financial assets, held for trading or as held for sale, that are classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part and reported in template 18. Inflows and outflows of non-performing loans and advances shall be broken down by type of inflow or outflow.

329. Inflows to the category of non-performing exposures shall be reported in accordance with paragraphs 239ii to 239iii and 239vi of this Part, with the exception of inflows to the category ‘held for sale’, which are outside the scope of this template. Inflows shall be broken down by type (source) of inflow. In this context:

(a) 

‘Inflow due to accrued interest’ shall represent interest accrued on non-performing loans and advances that have not been included in any of the other categories of the breakdown by type (source); in this regard, this inflow captures the interest accrued on non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since; interest accrued on exposures that were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part only during the period shall be reported together with the inflow itself in the corresponding type (source) category;

(b) 

‘of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing’ shall include ‘performing forborne exposures under probation reclassified from non-performing’, as defined in paragraph 261 of this Part, that were reclassified again as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period;

(c) 

‘Inflow due to other reasons’ shall capture inflows that cannot be linked to any of the other, specified sources of inflows and shall include, among others, increases in the gross carrying amount of non-performing exposures due to additional amounts disbursed during the period, the capitalisation of past due amounts including capitalised fees and expenses and changes in exchange rates related to non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since.

330. The following exposures shall be reported in separate rows:

(a) 

‘Inflow more than once’ shall comprise loans and advances that were reclassified multiple times from non-performing to performing or vice versa during the period;

(b) 

‘Inflow of exposures granted in the past 24 months’ shall represent loans and advances that were granted in the 24 months prior to the reference date and that were classified as non-performing in accordance paragraphs 213 to 239 or 260 of this Part during the period. Of these exposures, those granted during the period shall be reported separately in addition.

331. Outflows from the category of non-performing exposures shall be reported in accordance with paragraphs 239iii to 239vi of this Part, and be broken down by type (reason) of the outflow. In this context, ‘outflow due to write-offs’ shall reflect the amount of write-offs made during the period that cannot be linked to any of the other specified outflow types and shall include also write-offs related to the total extinguishment of all the reporting institution’s rights by expiry of the statue-of-limitations period, forgiveness or other causes occurred during the period.

332. In those cases where an exposure is partially derecognised and the remaining part is reclassified as performing, the outflow pertaining to the reclassification and the outflow pertaining to the derecognition shall be reported as separate outflows. For outflows due to collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, the net cumulated recoveries obtained shall be reported. If, at the moment of collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, a write-off was made, that amount shall be reported as a part of the related outflow type.

333. ‘Net cumulated recoveries’ shall mean (i) the amount of cash or cash equivalents collected, net of related costs, in the context of collateral liquidations, of the sale of exposures and of risk transfers, respectively (ii) the value at initial recognition as defined in paragraph 175i of this Part of the collateral obtained in the context of outflows due to taking possession of collateral.

334. The outflow pertaining to loans and advances that became non-performing during the period and afterwards ceased to meet the criteria for being classified as non-performing shall be reported separately.

32.2.    Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures (24.2)

335. Template 24.2 shall contain a reconciliation of the opening and closing balances of the allowance accounts and the stock of accumulated negative changes in fair value due to credit risk pertaining to loans and advances that are or were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part, excluding loans and advances classified as cash balances at central banks and other demand deposits or as held for sale.

336. ‘Increases during the period’ shall comprise:

(a) 

the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and are still classified as non-performing at the reporting reference date;

(b) 

the stock, as of the derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and were derecognised during the period; and

(c) 

the increase of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are either still classified as such at the reporting reference date or were derecognised during the period.

337. The part of the increase attributable to impairments and accumulated negative changes in fair value booked against interest accrued shall be reported separately in addition.

338. ‘Decreases during the period’ shall comprise:

(a) 

the stock, as of derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and exited the institution’s portfolio during the period;

(b) 

the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and are still not classified as non-performing at the reference date;

(c) 

the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were reclassified as ‘held for sale’ during the period; and

(d) 

the decrease of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are still classified as such at the reporting reference date.

339. The following items shall be reported separately:

(a) 

the decrease attributable to the reversal of allowances and the reversal of negative changes in fair value due to credit risk;

(b) 

the decrease attributable to the ‘unwinding’ of discounts in the context of application of effective interest rate’s accounting method.

32.3.    Loans and advances: Write-offs of non-performing exposures during the period (24.3)

340. Template 24.3 shall be used to report the write-offs as defined in paragraph 74 of this Part to the extent that they (i) were made during the period (inflows) and (ii) refer to loans and advances classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period, excluding loans and advances classified as held for trading, trading financial assets or held for sale. Both partial and total write-offs shall be reported. Of these write-offs, those attributable to the forfeiture of the right to legally recover an exposure, or part of it, shall be reported separately.

33.   COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25)

341. ‘Collateral obtained by taking possession’ shall include both assets that were pledged by the debtor as collateral and assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

33.1.    Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): inflows and outflows (25.1)

342. Template 25.1 shall be used to present the reconciliation of the opening balance, as of the beginning of the financial year, and the closing balance of the stock of collateral obtained by taking possession, other than collateral classified as property, plant and equipment (PP&E). In addition, the template shall provide information on the related ‘debt balance reduction’ and the value at initial recognition of collateral obtained by taking possession.

343. ‘Debt balance reduction’ shall mean the gross carrying amount of the exposure that was derecognised from the balance sheet in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, and the related impairments and negative changes in fair value due to credit risk accumulated at that point in time. Where, at the moment of exchange, a write-off was made, that amount shall be considered part of the debt balance reduction as well. Derecognitions from the balance sheet due to other reasons, such as cash collections, shall not be reported.

344. ‘Value at initial recognition’ shall have the same meaning as described in paragraph 175i of this Part.

345. With regard to the ‘inflows during the period’:

a) 

the collateral obtained by taking possession shall include: (i) new collateral obtained by taking possession during the period (since the beginning of the financial year), irrespective of whether the collateral is still recognised in the institution’s balance sheet (held) at the reference date or not and (ii) positive changes in valuation of collateral during the period due to different reasons (such as positive changes in fair value, appreciation, reversal of impairment, changes of accounting policies). These types of inflows shall be reported separately in addition.

b) 

the ‘debt balance reduction’ shall reflect the debt balance reduction of the exposure derecognised related to the collateral that was obtained during the period.

346. With regard to the ‘outflows during the period’:

a) 

the collateral obtained by taking possession shall include: (i) collateral sold for cash during the period; (ii) collateral sold with replacement by financial instruments during the period; and (iii) negative changes in valuation of collateral during the period due to different reasons (such as negative changes in fair value, depreciation, impairment, write-off, changes of accounting policies). Those types of outflows shall be reported separately. Where collateral is derecognised in exchange for both cash and financial instruments, the relevant amounts shall be split and allocated to the two outflow types. ‘Collateral sold with replacement by financial instruments’ shall describe cases where the collateral is sold to a counterparty, and the acquisition by that counterparty is financed by the reporting institution.

b) 

the ‘debt balance reduction’ shall reflect the debt balance reduction of the exposure related to cases where the collateral was sold for cash or replaced by financial instruments during the period.

347. In case of a sale of collateral for cash, the ‘Outflow for which cash was collected’ shall be equal to the sum of ‘Cash collected net of costs’ and ‘Profits/(-) losses from sale of collateral obtained by taking possession’. ‘Cash collected net of costs’ shall mean the amount of cash received net of transaction costs, such as fees and commissions paid to agents, transfer taxes and duties. ‘Profits/(-) losses from sale of collateral obtained by taking possession’ shall mean the difference between the carrying amount of the collateral measured at the date of derecognition and the amount of cash received net of transaction costs. In case of replacement of collateral with financial instruments as described in paragraph 346 of this Part, the carrying amount of the financing granted shall be reported.

348. Collateral obtained by taking possession shall be reported broken down by ‘time passed since the collateral has been recognised in the institution’s balance sheet.

349. In the context of the presentation of collateral obtained bytime passed since recognition in the balance sheet, the ‘ageing’ of collateral on the balance sheet, i.e. the migration between the predefined time buckets, shall be reported neither as inflow nor as outflow.

33.2.    Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) – Type of collateral obtained (25.2)

350. Template 25.2 shall include a breakdown of the collateral obtained by taking possession as defined in paragraphs 341 of this Part, by type of collateral obtained. The template reflects collateral recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained. In addition, the template provides information on the related ‘debt balance reduction’ and ‘value at initial recognition’ as defined in paragraphs 343 and 344 of this Part and on the number of collateral obtained by taking possession and recognised in the balance sheet at the reference date. The number of collateral obtained by taking possession shall be calculated regardless of the carrying amount of the collateral and it can be one or more than one for each exposure derecognized from the balance sheet in exchange for the collateral obtained by taking possession.

351. The type of collateral shall be the ones referred to in paragraph 173 of this Part with the exception of those in point (b) (i) of that paragraph.

352. With regard to collateral in the form of immovable property, the following information shall be reported in separate rows:

(a) 

immovable property that is under construction or development;

(b) 

with regard to commercial immovable property, collateral in the form of land related to commercial real estate corporations, excluding agricultural land. Separate information on land with and without a planning permission shall be reported in addition.

33.3.    Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3)

353. In template 25.3, information on collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) shall be reported. In addition, the template shall provide information on the related ‘debt balance reduction’ and ‘value at initial recognition’ as defined in paragraphs 343 and 344 of this Part.

354. Information shall be provided on the stock of collateral as of the reference date, irrespective of the point in time it was obtained, and the inflows due to new collateral obtained by taking possession during the period between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. With regard to the ‘debt balance reduction’, the ‘total’ shall reflect the debt balance reduction related to the collateral as of the reference date and the ‘inflows due to new collateral obtained by taking possession’ shall reflect the debt balance reduction related to the collateral that was obtained during the period.

34.   FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26)

355. Template 26 shall include detailed information on loans and advances classified as forborne in accordance with paragraphs 240 to 268 of this Part, excluding instruments classified as cash balances at central banks and other demand deposits or as held for sale. Forborne exposures referring to either a modification of the previous terms and conditions or a total or partial refinancing of a troubled debt contract as defined in paragraph 241 of this Part shall be broken-down in more specific types of forbearance measures.

356. The ‘Number of instruments’ shall be determined as defined in paragraph 320of this Part.

357. The gross carrying amount of exposures with forbearance measures shall be allocated to a category reflecting the type of forbearance measure. Where multiple forbearance measures have been applied to an exposure, the gross carrying amount of exposures with forbearance measures shall be allocated to the most relevant type of forbearance measure. The latter shall be identified based on the type of forbearance measure which has the highest impact on the Net Present Value (NPV) of the forborne exposure or by using any other methods considered applicable.

358. The types of forbearance measures shall be the following:

(a) 

grace period/payment moratorium: temporary suspension of repayment obligations with regard to the principal or the interest, with repayments to be resumed at a later point in time;

(b) 

interest rate reduction: permanent or temporary reduction of the interest rate (fixed or variable) to a fair and sustainable rate;

(c) 

extension of maturity/term: extension of the maturity of the exposure, entailing a reduction in instalment amounts by spreading the repayments over a longer period;

(d) 

rescheduled payments: adjustment of the contractual repayment schedule with or without changes to instalment amounts, other than grace periods/payment moratorium, extension of maturity/term and debt forgiveness. That category shall include, among others, capitalisation of arrears and/or accrued interest arrears to the outstanding principal balance for repayment under a sustainable, rescheduled programme; decrease of the amount of principal repayment instalments over a defined period, regardless of whether interests remain to be paid in full or whether they are capitalised or forfeited;

(e) 

debt forgiveness: partial cancellation of the exposure by the reporting institution through forfeiture of right to legally recover it;

(f) 

debt asset swaps: partial replacement of exposures in the form of debt instruments with assets or equity;

(g) 

other forbearance measures, including among others, total or partial refinancing of a troubled debt contract.

359. Where the forbearance measure affects the gross carrying amount of an exposure, the gross carrying amount at the reference date, i.e. after application of the forbearance measure, shall be reported. In the case of refinancing, the gross carrying amount of the new contract (‘refinancing debt’) granted which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding shall be reported.

360. The following items shall be reported in separate rows:

(a) 

Instruments that were subject to forbearance measures at multiple points in time, where:

(i) 

‘Loans and advances having been forborne ‘twice’ and ‘more than twice’ shall mean exposures classified as forborne in accordance with paragraphs 240 to 268 of this Part at the reporting reference date, to which forbearance measures have been applied at two, respectively more than two different points in time. That includes, among others, originally forborne exposures that exited the forborne status (cured forborne exposures), but were granted new forbearance measures after that;

(ii) 

‘Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures’ shall mean forborne exposures under probation to which forbearance measures were applied in addition to forbearance measures granted at an earlier point in time, without the exposure having cured in between.

(b) 

Non-performing forborne exposures that failed to meet the non-performing exit criteria. That shall comprise non-performing forborne exposures that failed to meet the conditions for ceasing to be non-performing as described in paragraph 232 of this Part at the end of the probation period of 1 year specified in paragraph 231 (b) of this Part.

361. Exposures to which forbearance measures have been granted since the end of the last financial year shall be reported in separate columns.

35.   LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47)

362. The information provided in template 47 shall refer to loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets or held for sale.

363. The ‘weighted average time since past due date (in years)’ shall be calculated as the weighted average of the number of days past due of exposures classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part at the reference date. Non-performing exposures that are not past due shall be considered as being zero days past due in this calculation. Exposures shall be weighted by the gross carrying amount measured at the reference date. The weighted average time since past due date shall be expressed in years (with decimals).

364. The following information on the results of litigation procedures on non-performing loans and advances concluded during the period shall be reported:

(a) 

Net cumulated recoveries: This item shall include recoveries resulting from in-court procedures. Recoveries stemming from voluntary agreements shall not be included.

(b) 

Gross carrying amount reduction: This item shall include the gross-carrying amount of non-performing loans and advances derecognised in response to the conclusion of a litigation procedure. This includes related write-offs.

(c) 

Average duration of litigation procedures concluded in the period: shall be calculated as the average of the elapsed time between the date of classification of the instrument as ‘in litigation status’ in accordance with paragraph 322 of this Part and the date of the finalisation of legal proceedings; it shall be expressed in years (with decimals).

PART 3

MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS

1. Tables 2 and 3 map exposure classes to be used to calculate capital requirements in accordance with 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.



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

0010

0020

0030

0040

050

collateralised by:

 

0010

Residential property

 

 

 

 

 

0020

Commercial immovable property

 

 

 

 

 



ANNEX VII

INSTRUCTIONS FOR REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

1. This Annex contains instructions in relation to the templates included in Annex VI to this Regulation.

2. All the general instructions included in Part I of Annex II to this Regulation shall also apply.

1.   Reporting scope

3. Institutions that use immovable property in accordance with Part Three, Title II of CRR shall report the data specified in Article 430a(1) CRR.

4. The template covers all national markets an institution/group of institutions is exposed to (see Article 430a(1) CRR). In accordance with the third sentence of Article 430a(2) the data shall be reported for each property market within the Union separately.

2.   Definitions

5. ‘Loss’ shall mean the loss defined in point (2) of Article 5 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 as reducing the losses 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. For exposures secured by residential and commercial property the calculation of economic loss shall start from outstanding exposure value at the reporting date and shall include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and recovery costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the recovery unit). All components shall be discounted to the reporting reference date.

7. The exposure value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach).

8. The property value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR.

9. F/X effect: Amounts shall be converted to the reporting currency using the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in a different currency.

3.   Geographical breakdown

10. Institutions shall report the following templates:

a) 

one total template;

b) 

one template for each national market in the Union the institution is exposed to, and;

c) 

one template aggregating the data for all national markets outside the Union the institution is exposed to.

4.   Reporting of exposures and losses

11. Exposures: All exposures that are subject to requirements in Title II of Part Three CRR and where the collateral is used to reduce the risk-weighted exposure amount shall be reported in template C 15.00. This also means that the exposures and losses concerned must not reported if the risk mitigation effect of the immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR).

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 in accordance with accounting rules. The estimated losses shall also be reported. Losses from exposures collateralised by immovable property shall be calculated on a loan-by-loan basis and aggregated for reporting purposes.

13. Reference date: The exposure value at default shall be used.

a) 

Losses shall be reported for all defaults on loans secured by real estate property that occur during the reporting period and irrespective of whether the recovery has been completed. Losses to be reported as of 31 December shall refer to the whole calendar year. Since there may be a long time lag between default and the recognition of losses (which includes incomplete recovery process), loss estimates shall be reported in cases where the recovery 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 recovery, actual loss known); or (iii) incomplete recovery (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii) realisation of collateral (observed losses) and scenario (iii) incomplete recovery (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 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 column 0010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation of a possible recovery from collateral) in columns 0010 and 0030.

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

0010

Sum of losses stemming from lending up to the reference percentages

Points (a) and (d) of Article 430a(1) CRR respectively,

Market value and mortgage lending value in accordance with points (74) and (76) of Article 4(1) 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 in accordance with Article 124(1) CRR.

0020

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.

0030

Sum of overall losses

Points (b) and (e) of Article 430a(1) CRR respectively; market value and mortgage lending value in accordance with points (74) and (76) of Article 4(1) 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 in accordance with Article 124(1) CRR.

0040

Of which: immovable property valued with mortgage lending value

Institutions shall report losses, where the value of the collateral has been calculated as mortgage lending value

0050

Sum of the exposures

Points (c) and (f) of Article 430a(1) CRR

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 reported exposure value shall be the exposure value just before the default.



Rows

0010

Residential property

Residential property as defined in point (75) of Article 4(1) CRR

0020

Commercial immovable property



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



C 26.00 — Large Exposures limits (LE Limits)

 

Applicable limit

010

010

Non institutions

 

020

Institutions

 

030

Institutions in %

 

040

Globally Systemic Important Institutions (G-SIIs)

 



C 27.00 — Identification of the counterparty (LE 1)

COUNTERPARTY IDENTIFICATION

Code

Type of code

Name

National code

Residence of the counterparty

Sector of the counterparty

NACE code

Type of counterparty

011

015

021

035

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 CET 1 or Additional Tier 1 items

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 Tier 1 capital

(-) Debt instruments

(-) Equity instruments

(-) Derivatives

(-) Off balance sheet items

Total

Of which: Non-trading book

% of Tier 1 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 CET 1 or Additional Tier 1 items

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

 

(-) 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 Tier 1 capital

(-) Debt instruments

(-) Equity instruments

(-) Derivatives

(-) Off balance sheet items

Total

Of which: Non-trading book

% of Tier 1 capital

Loan commitments

Financial guarantees

Other commitments

Loan commitments

Financial guarantees

Other commitments

(-) Loan commitments

(-) Financial guarantees

(-) Other commitments

010

020

030

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



ANNEX IX

INSTRUCTIONS FOR REPORTING ON 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 and general instructions 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

PART I: GENERAL INSTRUCTIONS

1.    Structure and conventions

1. The reporting framework on large exposures (‘LE’) shall consist of four 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);

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

1.    Scope and level of the LE reporting

1. In order to report information on large exposures to clients or groups of connected clients in accordance with 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 in accordance with Article 394(1) 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 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 CRR.

4. In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with the second subparagraph of Article 394(1) CRR on a consolidated basis, the parent institutions in a Member State which are subject to Part Three, Title II, Chapter 3, 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, on a consolidated basis, as well as on the ten largest exposures to shadow banking entities which carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2), points (a) to (d), CRR, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. 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. In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital on a consolidated basis according to the last sentence of Article 394(1) of CRR, the parent institutions in a Member State shall use templates LE1, LE2 und LE3. The exposure value calculated in column 210 (‘Total’) of template LE2 is the amount that shall be used for determining these exposures.

7. The data on the large exposures and the relevant largest exposures as well as the data on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital 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).

8. 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

9. 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.

10. 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.

3.    Definitions and general instructions for the purposes of the LE reporting

11. ‘Group of connected clients’ is defined in Article 4(1), point (39), CRR.

12. ‘Institutions’ is defined in Article 4(1), point (3) CRR.

13. 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.

14. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance with Article 389 CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items.

15. ‘Exposures’ are defined in Article 389 CRR.

(a) 

‘exposures’ are any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 CRR, but excluding items which fall under Article 390(6), points (a) to (d), 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 CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act.

16. The exposures to groups of connected clients shall be calculated in accordance with Article 390(1) CRR.

17. 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(3), (4) and (5) CRR. The exposure value of derivative contracts listed in Annex II of CRR and of credit derivative contracts directly entered into with a client shall be determined in accordance with Part Three, Title II, Chapter 6, 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, Section 3 to Section 5, 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, CRR. In accordance with Article 296 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.

18. The ‘value of an exposure’ shall be calculated in accordance with Article 390 CRR.

19. 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 specified in Articles 399 to 403 CRR.

20. Institutions shall report exposures resulting from reverse repurchase agreements in accordance with Article 402(3) 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

Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR

The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of Tier 1 capital, which is reported in row 015 of template C 01.00 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 CRR or the delegated acts adopted in accordance with Article 462 with respect to the requirements referred to in Article 459, point (b), CRR.

020

Institutions

Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR

Institutions shall report the amount of the applicable limit for counterparties that are institutions. In accordance with Article 395(1) CRR, this amount shall be the following:

— if the 25 % of the Tier 1 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 subparagraph of Article 395(1) CRR), 25 % of the Tier 1 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) CRR) is greater than 25 % of the institution’s Tier 1 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 Tier 1 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 CRR or the delegated acts adopted in accordance with Article 462 with respect to the requirements referred to in Article 459, point (b), CRR.

030

Institutions in %

Articles 395(1) and 459, point (a), CRR

The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the Tier 1 capital.

040

Global Systemically Important Institutions (G-SIIs)

Articles 395(1) of CRR

The amount of the applicable limit for counterparties which are institution or group identified as a G-SII or as a non-EU G-SII shall be reported. In accordance with Article 395(1) CRR, this limit shall be the following:

— a G-SII shall not incur an exposure to another institution or group identified as a G-SII or a non-EU G-SII, the value of which, after taking into account the effect of credit risk mitigation, exceeds 15 % of its Tier 1 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 29.00. 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 the third subparagraph of Article 394(1) CRR, institutions shall report the identification of the counterparty to which they have exposures of a value greater than or equal to EUR 300 million but less than 10 % of their Tier 1 capital.

According to Article 394(1), point (a), CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 CRR.

According to Article 394(2), point (a) 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 a shadow banking entity).

011

Code

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

015

Type of code

The institutions shall identify the type of code reported in column 010 as a ‘LEI code’ or ‘Non-LEI code’.

The type of code shall always be reported.

021

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.

035

National code

Institutions may additionally report the national code when they report LEI code as identifier in the ‘Code’ column.

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, Annex V, Part 1, paragraph 42, economic sector classes and splitting other financial corporations into investment firms and other financial corporations as follows:

(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 (excluding investment firms)’ 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 (excluding investment firms)’ 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 (excluding investment firms)’ and ‘Non-financial corporations’ economic sectors shall be derived from FINREP counterparty breakdown.

For groups of connected clients, no NACE code shall be reported.

070

Type of counterparty

Article 394(2) CRR

The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to shadow banking entities shall be specified by using ‘I’ for institutions or ‘S’ for shadow banking entities, which carry out banking activities outside the regulated framework.

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 and "2" for the reporting of exposures to groups of connected clients.

030

Transactions where there is an exposure to underlying assets

Article 390(7) 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 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 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 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 CRR.

Exposures deducted from Common Equity Tier 1 items or Additional Tier 1 items, which are not exposures referred to in Article 390(6), point (e), CRR, shall be included in these columns. These exposures shall be deducted in column 200.

Exposures referred to in Article 390(6), points (a) to (d), CRR shall not be included in these columns.

Original exposures shall include any asset and off-balance sheet items. The exemptions of Article 400 CRR shall be deducted for the purpose of Article 395(1) CRR in column 320.

Exposures from both non-trading and trading book shall be included.

The net position calculated in accordance with point (b) of Article 390(3) CRR shall be reported as direct exposure and included in the column (060 or 070 or 080), that corresponds to the dominant instrument type.

The dominant instrument shall be determined based on the value of the net position in each instrument type.

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 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.

70

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’ in accordance with ECB/2013/33.

080

Derivatives

Article 272(2) and Annex II CRR

The instruments that shall be reported in this column shall include derivatives listed in Annex II CRR and long settlement transactions, as defined in Article 272(2) CRR.

Credit derivatives that are subject to counterparty credit risk shall be included in this column.

090-110

Off balance sheet items

Annex I to 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), 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), 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.

120-170

Indirect exposures

Article 403 of CRR

In accordance with Article 403 CRR, a credit institution shall 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 client under Part Three, Title II, Chapter 2, CRR. In the case of exposures secured by collateral issued by a third party, Article 403(3) CRR offers an alternative treatment.

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 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) 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 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 shall be determined in accordance with Articles 24 and 110 CRR.

Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column.

200

(-) Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items

Article 390(6), point (e), CRR

Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items, 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), point (b), 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 Common Equity Tier 1 or Additional Tier 1 items.

220

Of which: Non-trading book

The amount of the non-trading book from the total exposure before exemptions and CRM

230

% of Tier 1 capital

Articles 392 and 395 CRR

The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to Tier 1 capital of the institution, as defined in Article 25 CRR.

240-310

(-) Eligible credit risk mitigation (CRM) techniques

Articles 399 and 401 to 403, CRR; CRM techniques as defined in Article 4(1), point (57), CRR

The CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, CRR shall be used in accordance with Articles 401 to 403, 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 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 shall treat the portion of the exposure which is guaranteed and/or collateralised by the market value of recognised collateral 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 CRR

The institution shall report the amounts of funded credit protection, as defined in Article 4(1), point (58), CRR, that are deducted from the exposure value due to the application of Article 401 CRR.

In accordance with Article 401(1) CRR, volatility adjustments shall be applied to the exposure value and shall be reported as an increase in the exposure value.

310

(-) Real estate

Article 402 CRR

The institution shall report the amounts deducted from the exposure value due to the application of Article 402 CRR.

320

(-) Amounts exempted

Article 400 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), point (d), 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) 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 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 Tier 1 capital

The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the Tier 1 capital of the institution, as defined in Article 25 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.

The codes shall be used in a consistent way across time.

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.

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.



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

43

C 43.00

Alternative breakdown of leverage ratio exposure measure components

LR4

44

C 44.00

General information

LR5

 

C 48.00

Leverage ratio volatility

LR6

48.01

C 48.01

Leverage ratio volatility: Mean value for the reporting period

LR6.1

48.02

C 48.02

Leverage ratio volatility: Leverage ratio volatility: daily values for the reporting period

LR6.2



C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)

Row

 

Accounting balance sheet value

Accounting value assuming no netting or other CRM

Add-on for SFTs

Notional amount/ nominal value

Capped notional amount

Capped notional amount (same reference name)

Leverage ratio exposure amount

0010

0020

0040

0070

0075

0085

0130

0010

Derivatives

 

 

 

 

 

 

 

0020

Credit derivatives (protection sold)

 

 

 

 

 

 

 

0030

Credit derivatives (protection sold), which are subject to a close out clause

 

 

 

 

 

 

 

0040

Credit derivatives (protection sold), which are not subject to a close out clause

 

 

 

 

 

 

 

0050

Credit derivatives (protection bought)

 

 

 

 

 

 

 

0060

Financial derivatives

 

 

 

 

 

 

 

0071

Security Financing Transactions

 

 

 

 

 

 

 

0090

Other assets

 

 

 

 

 

 

 

0095

Off-balance sheet items

 

 

 

 

 

 

 

0210

Cash collateral received in derivatives transactions

 

 

 

 

 

 

 

0220

Receivables for cash collateral posted in derivatives transactions

 

 

 

 

 

 

 

0230

Securities received in an SFT that are recognised as an asset

 

 

 

 

 

 

 

0240

SFT cash conduit lending (cash receivables)

 

 

 

 

 

 

 

0270

Public sector investments - Claims on central governments

 

 

 

 

 

 

 

0280

Public sector investments - Claims on regional governments

 

 

 

 

 

 

 

0290

Public sector investments - Claims on local authorities

 

 

 

 

 

 

 

0300

Public sector investments - Claims on public sector entities

 

 

 

 

 

 

 

0310

Promotional loans - Claims on central governments

 

 

 

 

 

 

 

0320

Promotional loans - Claims on regional governments

 

 

 

 

 

 

 

0330

Promotional loans - Claims on local authorities

 

 

 

 

 

 

 

0340

Promotional loans - Claims on public sector entities

 

 

 

 

 

 

 

0350

Promotional loans - Claims on non-financial corporations

 

 

 

 

 

 

 

0360

Promotional loans - Claims on households

 

 

 

 

 

 

 

0370

Promotional loans - Passing-through

 

 

 

 

 

 

 

0380

Central bank exposures

 

 

 

 

 

 

 

0390

The central bank exposures value used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR - Leverage ratio exposure amount

 

 

 

 

 

 

 

0400

Leverage ratio exposure measure used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR - Leverage ratio exposure amount

 

 

 

 

 

 

 

0410

Total assets

 

 

 

 

 

 

 



C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)

Row

Off-balance sheet items, derivatives, SFTs and trading book

Leverage Ratio Exposure Value

RWEA

 

0010

0020

 

0010

Off-balance sheet items

 

 

 

0020

of which:Trade finance

 

 

 

0030

of which:Under official export credit insurance scheme

 

 

 

0040

Derivatives and SFTs subject to a cross-product netting agreement

 

 

 

0050

Derivatives not subject to a cross-product netting agreement

 

 

 

0060

SFTs not subject to a cross-product netting agreement

 

 

 

0065

Exposure amounts resulting from the additional treatment for credit derivatives

 

 

 

0070

Other assets belonging to the trading book

 

 

 

Row

Other non-trading book exposures

Leverage Ratio Exposure Value

RWEAs

SA Exposures

IRB Exposures

SA Exposures

IRB Exposures

0010

0020

0030

0040

0080

Covered bonds

 

 

 

 

0090

Exposures treated as sovereigns

 

 

 

 

0100

Central governments and central banks

 

 

 

 

0110

Regional governments and local authorities treated as sovereigns

 

 

 

 

0120

MDBs and International organisations treated as sovereigns

 

 

 

 

0130

PSEs treated as sovereigns

 

 

 

 

0140

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns

 

 

 

 

0150

Regional governments and local authorities not treated as sovereigns

 

 

 

 

0160

MDBs not treated as sovereigns

 

 

 

 

0170

PSEs not treated as sovereigns

 

 

 

 

0180

Institutions

 

 

 

 

0190

Secured by mortgages on immovable properties

 

 

 

 

0200

of which: Secured by mortgages of residential properties

 

 

 

 

0210

Retail exposures

 

 

 

 

0220

of which: Retail SME

 

 

 

 

0230

Corporate

 

 

 

 

0240

Financial

 

 

 

 

0250

Non-financial

 

 

 

 

0260

SME exposures

 

 

 

 

0270

Exposures other than SME exposures

 

 

 

 

0280

Exposures in default

 

 

 

 

0290

Other exposures

 

 

 

 

0300

of which:Securitisation exposures

 

 

 

 

0310

Trade finance (memo item)

 

 

 

 

0320

of which:Under official export credit insurance scheme

 

 

 

 



C 44.00 — GENERAL INFORMATION (LR5)

Row

 

Column

0010

0010

Institution's company structure

 

0020

Derivatives treatment

 

0040

Institution type

 

0070

Institution with a public development unit

 

0080

Central government guaranteeing the public development credit institution / unit

 

0090

Regional government guaranteeing the public development credit institution / unit

 

0100

Local authority guaranteeing the public development credit institution / unit

 

0110

Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - Obligation to protect the credit institutions' viability

 

0120

Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - Direct guarantee of the credit institutions' own funds requirements, funding requirements or promotional loans granted

 

0130

Type of guarantee received in accordance with point (d) of Art 429a(2) CRR - Indirect guarantee of the credit institutions' own funds requirements, funding requirements or promotional loans granted

 



C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc)

Row

Exposure Values

LR Exposure: Reporting reference date

0010

0010

SFTs: Exposure value

 

0020

SFTs: Add-on for counterparty credit risk

 

0030

Derogation for SFTs: Add-on in accordance with Article 429e(5) and 222 CRR

 

0040

Counterparty credit risk of SFT agent transactions

 

0050

(-) Exempted CCP leg of client-cleared SFT exposures

 

0061

Derivatives: replacement cost contribution under the SA-CCR (without the effect of collateral on NICA)

 

0065

(-) Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA-CCR - replacement cost)

 

0071

(-) Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR - replacement cost)

 

0081

(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost)

 

0091

Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1)

 

0092

(-) Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA-CCR - Potential future exposure)

 

0093

(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach-potential future exposure)

 

0101

Derogation for derivatives: replacement costs contribution under the simplified standardised approach

 

0102

(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - replacement costs)

 

0103

Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1)

 

0104

(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - potential future exposure)

 

0110

Derogation for derivatives: original exposure method

 

0120

(-) Exempted CCP leg of client-cleared trade exposures (original exposure method)

 

0130

Capped notional amount of written credit derivatives

 

0140

(-) Eligible purchased credit derivatives offset against written credit derivatives

 

0150

Off-balance sheet items with a 10% CCF in accordance with Article 429f CRR

 

0160

Off-balance sheet items with a 20% CCF in accordance with Article 429f CRR

 

0170

Off-balance sheet items with a 50% CCF in accordance with Article 429f CRR

 

0180

Off-balance sheet items with a 100% CCF in accordance with Article 429f CRR

 

0181

(-) General credit risk adjustments to off balance sheet items

 

0185

Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting

 

0186

Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting

 

0187

(-) Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR

 

0188

Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting

 

0189

(-) Regular-way purchases awaiting settlement: offset to commitments to pay under settlement date accounting in accordance with 429g(3) CRR

 

0190

Other assets

 

0191

(-) General credit risk adjustments to on balance sheet items

 

0193

Cash pooling arrangements that cannot be netted prudentially: value in the accounting framework

 

0194

Cash pooling arrangements that cannot be netted prudentially: effect of grossing-up the netting applied in the accounting framework

 

0195

Cash pooling arrangements that can be netted prudentially: value in the accounting framework

 

0196

Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting applied in the accounting framework

 

0197

(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR

 

0198

(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRR

 

0200

Gross up for derivatives collateral provided

 

0210

(-) Receivables for cash variation margin provided in derivatives transactions

 

0220

(-) Exempted CCP leg of client-cleared trade exposures (initial margin)

 

0230

Adjustments for SFT sales accounting transactions

 

0235

(-) Reduction of the exposure value of pre-financing or intermediate loans

 

0240

(-) Fiduciary assets

 

0250

(-) Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR

 

0251

(-) IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR

 

0252

(-) Excluded guaranteed parts of exposures arising from export credits

 

0253

(-) Excluded excess collateral deposited at triparty agents

 

0254

(-) Excluded securitised exposures representing significant risk transfer

 

0255

(-) Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR

 

0256

(-) Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR

 

0257

(-) Excluded banking-type ancillary services of designated institutions in accordance with point (p) of Article 429a(1) CRR

 

0260

(-) Exposures exempted in accordance with point (j) of Article 429a(1) CRR

 

0261

(-) Excluded exposures of public development credit institutions - Public sector investments

 

0262

(-) Excluded exposures of public development credit institutions - Promotional loans granted by a public development credit institution

 

0263

(-) Excluded exposures of public development credit institutions - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State

 

0264

(-) Excluded exposures of public development credit institutions - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution

 

0265

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) - Promotional loans granted by a public development credit institution

 

0266

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State

 

0267

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution

 

0270

(-) Asset amount deducted - Tier 1 capital - fully phased-in definition

 

0280

Asset amount deducted (-) or added (+) - Tier 1 capital - transitional definition

 

0290

Total Leverage Ratio exposure measure - using a fully phased-in definition of Tier 1 capital

 

0300

Total Leverage Ratio exposure measure - using a transitional definition of Tier 1 capital

 

Row

Capital

 

0310

Tier 1 capital -fully phased-in definition

 

0320

Tier 1 capital - transitional definition

 

Row

Leverage Ratio

 

0330

Leverage Ratio – using a fully phased-in definition of Tier 1 capital

 

0340

Leverage Ratio - using a transitional definition of Tier 1 capital

 

Row

Requirements: amounts

 

0350

Pillar 2 requirement (P2R) to address risks of excessive leverage

 

0360

of which: to be made up of CET1 capital

 

0370

G-SII leverage ratio buffer

 

0380

Pillar 2 guidance (P2G) to address risks of excessive leverage

 

0390

of which: to be made up of CET1 capital

 

0400

of which: to be made up of Tier 1 capital

 

Row

Requirements: ratios

 

0410

Pillar 1 Leverage Ratio requirement

 

0420

Total SREP leverage ratio requirement (TSLRR)

 

0430

TSLRR: to be made up of CET1 capital

 

0440

Overall leverage ratio requirement (OLRR)

 

0450

Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio

 

0460

OLRR and P2G: to be made up of CET1 capital

 

0470

OLRR and P2G: to be made up of Tier 1 capital

 

Row

Memorandum items

 

0480

Leverage ratio as if IFRS 9 or analogous ECL transitional arrangements had not been applied

 

0490

Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied

 



C 48.01 — Leverage ratio volatility: Mean value for the reporting period (LR6.1)

Row

 

SFTs exposure value

Adjustments for SFT sales accounting transactions

0010

0020

0010

Mean value for the reporting period

 

 



C 48.02 — Leverage ratio volatility: daily values for the reporting period (LR6.2)

Reference date within reporting period

SFTs exposure value

Adjustments for SFT sales accounting transactions

0010

0020

0030

 

 

 



ANNEX XI

INSTRUCTIONS FOR REPORTING ON LEVERAGE

PART I: GENERAL INSTRUCTIONS

1.

Structure and other conventions

1.1.

Structure

1.2.

Numbering convention

1.3.

Abbreviations

1.4.

Sign convention

PART II: TEMPLATE RELATED INSTRUCTIONS

1.

Formulas for leverage ratio calculation

2.

Materiality thresholds for derivatives

3.

C 47.00 – Leverage ratio calculation (LRCalc)

4.

C 40.00 – Alternative treatment of the Exposure Measure (LR1)

5.

C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4)

6.

C 44.00 – General information (LR5)

7.

C 48.00 Leverage ratio volatility (LR6)

8.

C 48.01 Leverage ratio volatility: Mean value for the reporting period

9.

C 48.02 Leverage ratio volatility: Daily values for the reporting period

PART I: GENERAL INSTRUCTIONS

1.    Structure and other conventions

1.1.    Structure

1. This Annex contains additional instructions for the templates (hereinafter ‘LR’) included in Annex X of this Regulation.

2. Overall, the framework consists of five templates:

— 
C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;
— 
C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;
— 
C43.00: Leverage Ratio Template 4 (LR4): Alternative breakdown of leverage ratio exposure measure components;
— 
C44.00: Leverage Ratio Template 5 (LR5): General information;
— 
C48.00: Leverage ratio volatility (LR6).

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. 

CRD, which is an abbreviation of Capital Requirements Directive and shall mean Directive 2013/36/EU;

c. 

SFT, which is an abbreviation of Securities Financing Transaction and shall mean “repurchase transaction, securities or commodities lending or borrowing transaction, or margin lending transaction” as referred to in point (139) of Article 4(1) in Regulation (EU) No 575/2013;

d. 

CRM, which is an abbreviation for Credit Risk Mitigation;

e. 

CSD, which is an abbreviation for Central Securities Depository;

f. 

QCCP, which is an abbreviation for Qualifying Central Counterparty;

g. 

PFE, which is an abbreviation for Potential Future Exposure.

1.4.    Sign convention

9. All amounts shall be reported as positive figures. With the exception of:

a. 

The items whose label is preceded by a negative sign (-), where no positive figure is expected to be reported for that item.

b. 

{LRCalc;0310;0010}, {LRCalc;0320;0010}, {LRCalc;0330;0010}, {LRCalc;0340;0010}, which could take negative values in extreme cases, otherwise they take positive values.

c. 

{LRCalc;0280;0010} can take a positive values due to Article 473a(7) CRR, otherwise they take negative values.

PART II: TEMPLATE RELATED INSTRUCTIONS

1.    Formulas for leverage ratio calculation

1. The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from LRCalc.

2. Leverage Ratio – fully phased-in definition = {LRCalc;0310;0010}/{LRCalc;0290;0010}.

3. Leverage Ratio – transitional definition = {LRCalc;0320;0010}/{LRCalc;0300;0010}.

2.    Materiality thresholds for derivatives

4. 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:

5. 
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6. Where the derivative exposure measure is equal to: {LRCalc;0061;0010}+{LRCalc;0065;0010}+{LRCalc;0071;0010}+{LRCalc;0081;0010}+{LRCalc;0091;0010}+{LRCalc;0092;0010}+{LRCalc;0093;0010}+{LRCalc;0101;0010}+{LRCalc;0102;0010}+{LRCalc;0103;0010}+{LRCalc;0104;0010}+{LRCalc;0110;0010}+{LRCalc;0120;0010}+{LRCalc;0130;0010}+{LRCalc;0140;0010}

7. Where total exposure measure is equal to: {LRCalc;0290;0010}.

8. Total notional amount referenced by derivatives = {LR1; 0010;0070}. This is a cell that institutions shall always report.

9. Credit derivatives volume = {LR1;0020;0070} + {LR1;0050;0070}. These are cells that institutions shall always report.

10. Institutions are required to report the cells referred to in paragraph 13 if any of the following conditions is met:

a) 

the derivatives share referred to in paragraph 5 is more than 1,5 %;

b) 

the derivatives share referred to in paragraph 5 exceeds 2,0 %.

The entry and exit criteria of Article 4 of this Regulation shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date, where they have exceeded the threshold on one reporting reference date.

11. Institutions for which the total notional amount referenced by derivatives as defined in paragraph 8 exceeds 10 billion € shall report the cells referred to in paragraph 13, even though their derivatives share does not fulfil the conditions described in paragraph 10.

The entry criteria of Article 4 of this Regulation shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

12. Institutions are required to report the cells referred to in paragraph 14 if any of the following conditions is met:

a) 

the credit derivatives volume referred to in paragraph 9 is more than 300 million €;

b) 

the credit derivatives volume referred to in paragraph 9 exceeds 500 million €.

The entry and exit criteria of Article 4 of this Regulation shall apply, except for point (b) where institutions shall start reporting from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

13. The cells which are required to be reported by institutions in accordance with paragraphs 10 and 11 are the following: {LR1;0010;0010}, {LR1;0010;0020}, {LR1;0020;0010}, {LR1;0020;0020}, {LR1;0030;0070}, {LR1;0040;0070}, {LR1;0050;0010}, {LR1;0050;0020}, {LR1;0060;0010}, {LR1;0060;0020}, and {LR1;0060;0070}.

14. The cells which are required to be reported by institutions in accordance with paragraph 12 are the following: {LR1;0020;0075}, {LR1;0050;0075} and {LR1;0050;0085}.

3.    C 47.00 – Leverage ratio calculation (LRCalc)

15. This template collects the data that are needed to calculate the leverage ratio as defined in Part Seven CRR.

16. 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.

17. Institutions shall report the items in the Exposure values section with positive sign in accordance with the sign convention in paragraph 9 of Part I of this Annex (excluding {LRCalc;0270;0010} and {LRCalc;0280;0010}), as if the items with a negative sign (for example exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex did not apply.

18. 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.

19. Where an amount could qualify for deduction on multiple grounds, the amount shall only be reduced from the exposure in one of the rows of template C47.00.



 

Legal references and instructions

Row and column

Exposure Values

{0010;0010}

SFTs: Exposure value

Point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR

The exposure for SFTs calculated in accordance with point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR.

Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) 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 those items in {0190;0010}.

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 point (a) of Article 429e(7) CRR.

{0020;0010}

SFTs: Add-on for counterparty credit risk

Article 429e(1) CRR

The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with paragraph (2) or (3) and paragraph (4) of Article 429e CRR, as applicable.

Institutions shall consider in this cell transactions in accordance with point (c) Article 429e(7) CRR.

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 point (a) of Article 429e(7) CRR. Institutions shall instead include those items in {0040;0010}.

{0030;0010}

Derogation for SFTs: Add-on in accordance with Articles 429e(5) and 222 CRR

Article 429e(5) and 222 CRR

The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 CRR, subject to a 20 % floor for the applicable risk weight.

Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) 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 refer to in Article 429e(1) CRR.

{0040;0010}

Counterparty credit risk of SFT agent transactions

Point (a) of paragraph (7) and paragraphs (2) and (3) of Article 429e 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 point (a) of Article 429e(7) CRR, consists only of the add-on determined in accordance with paragraph (2) or (3) of Article 429e CRR, as applicable.

Institutions shall not include in this cell transactions in accordance with point (c) of Article 429e(7). Institutions shall instead include those items in {0010;0010} and {0020;0010} or {0010;0010} and {0030;0010}, as applicable.

{0050;0010}

(-) Exempted CCP leg of client-cleared SFT exposures

Point (g) of Article 429a(1) and point (c) of Article 306(1) CRR

The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in point (c) of Article 306(1) 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) CRR) is included at full value.

Institutions shall, as if no exemption applies, also include the amount reported in this cell in {0010;0010}, {0020;0010} and {0030;0010}, and, if it is a re-pledged security that under the applicable accounting framework is included at full value, additionally in {0190;0010}.

Where there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {0190;0010} and not reported in {0020;0010} or {0030;0010}, then the institution can report it in this cell.

{0061;0010}

Derivatives: replacement cost contribution under the SA-CCR (without the effect of collateral on NICA)

Articles 429c(1) CRR

The replacement Cost as per Article 275 CRR without the effect of collateral on NICA, and without the effect of any variation margin. Institutions shall not apply the derogations of paragraph (3) and (4) of Article 429c and point (g) of Article 429a(1) CRR for the purposes of this cell. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

As determined by Article 429c(1) CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) CRR.

Institutions shall include all credit derivatives, not solely those in the trading book.

Institutions shall not consider in this cell contracts measured by application of the simplified standardised approach or the original exposure method.

{0065;0010}

(-) Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA-CCR – replacement cost)

Article 429c(4) CRR

Application of the derogation of 429c(4) CRR on the calculation of the replacement cost for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0061;0010} as if no derogation applies.

{0071;0010}

(-) Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR – replacement cost)

Article 429c(3) 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 429c(3) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Any cash variation margin received on an exempted CCP leg in accordance with point (g) of Article 429a(1) CRR shall not be reported.

Institutions shall include the amount reported in this cell also in {0061;0010} as if no deduction of cash variation margin applies.

{0081;0010}

(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost)

Point (g) of Article 429a(1) 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 point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0061;0010} as if no exemption applies.

{0091;0010}

Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1)

Article 429c(5) CRR

Potential future exposure as per Article 278 CRR assuming a multiplier of 1, i.e. without the application of the derogation regarding contracts with clients where those contracts are cleared by a QCCP of 429c(5) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

{0092;0010}

(-) Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA-CCR – Potential future exposure)

Article 429c(5) CRR

Application of the derogation of Article 429c(5) CRR on the calculation of the PFE for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0091;0010} as if no derogation applies.

{0093;0010}

(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach-potential future exposure)

Point (g) of Article 429a(1) 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 point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0091;0010} as if no exemption applies.

{0101;0010}

Derogation for derivatives: replacement costs contribution under the simplified standardised approach

Articles 429c(6) and 281 CRR

This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the simplified standardised approach set out in Article 281 CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence the exception for derivative contracts with clients where those contracts are cleared by a QCCP in Article 429c(4) CRR shall not apply.

Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the original exposure method.

{0102;0010}

(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – replacement costs)

Point (g) of Article 429a(1) 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 point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0101;0010} as if no exemption applied.

{0103;0010}

Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1)

Point (f) of Article 281(2) and Article 429c(6) CRR

The potential future exposure in accordance with the simplified standardised approach set out in Article 281 CRR, assuming a multiplier of 1. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR.

{0104;0010}

(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – potential future exposure)

Point (g) of Article 429a(1) 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 point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0103;0010} as if no exemption applied.

{0110;0010}

Derogation for derivatives: original exposure method

Articles 429c(6) and 282 CRR

This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the original exposure method set out in Article 282 CRR.

Institutions that apply the original exposure method shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) 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 SA-CCR or the simplified standardised approach.

{0120;0010}

(-) Exempted CCP leg of client-cleared trade exposures (original exposure method)

Point (g) of Article 429a(1) CRR

The exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 282 CRR, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR.

Institutions shall include the amount reported in this cell also in {0110;0010} as if no exemption applied.

{0130;0010}

Capped notional amount of written credit derivatives

Article 429d CRR

Institutions shall determine capped notional amount of written credit derivatives, as defined in Article 429d(1), in accordance with Article 429d CRR.

{0140;0010}

(-) Eligible purchased credit derivatives offset against written credit derivatives

Article 429d CRR

Capped notional amount 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 {0130;0010} for each reference name.

{0150;0010}

Off-balance sheet items with a 10 % CCF in accordance with Article 429f CRR

Article 429f, point (d) of Article 111(1) and Article 166(9) CRR

The exposure value, in accordance with Articles 429f and point (d) of Article 111(1) 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 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. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero.

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) CRR.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

{0160;0010}

Off-balance sheet items with a 20 % CCF in accordance with Article 429f CRR

Article 429f, point (c) of Article 111(1) and Article 166(9) CRR

The exposure value, in accordance with Articles 429f and point (c) of Article 111(1) 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 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. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero.

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) CRR.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

{0170;0010}

Off-balance sheet items with a 50 % CCF in accordance with Article 429f CRR

Article 429f, point (b) of Article 111(1) and Article 166(9) CRR

The exposure value, in accordance with Articles 429f and point (b) of Article 111(1) 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 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. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero.

This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 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) CRR.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

{0180;0010}

Off-balance sheet items with a 100 % CCF in accordance with Article 429f CRR

Article 429f, point (a) of Article 111(1) and Article 166(9) CRR

The exposure value, in accordance with Articles 429f and point (a) of Article 111(1) 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 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. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero.

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) CRR.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

{0181;0010}

(-) General credit risk adjustments to off balance sheet items

Article 429(4) CRR

The amount of general credit risk adjustments corresponding to off-balance sheet items referred to in point (d) of Article 429(4), which institutions deduct in accordance with the last paragraph of Article 429(4) CRR.

The amount reported shall not be taken into account as a reduction in the calculation of off-balance sheet items reported in rows from {0150;0010} to {0180;0010}.

{0185;0010}

Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting

Article 429g(1) CRR

The sum of:

— The amount of the cash related to regular-way purchases which remain on the balance sheet until the settlement date as assets in accordance with point (a) of Article 429(4) CRR;

— The cash receivables related to regular-way sales which remain on the balance sheet as assets until the settlement date in accordance with point (a) of Article 429(4) CRR. This amount is after the effect of offsetting between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchases awaiting settlement, as allowed under the applicable accounting framework.

Institutions that follow the trade date accounting shall report the abovementioned sum in this cell instead of row 0190 “other assets”, while they shall report the securities related to regular-way purchases in row 0190.

{0186;0010}

Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting

Article 429g(2) CRR

The amount offset between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchase awaiting settlement allowed under the accounting framework.

{0187;0010}

(-) Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR

Article 429g(2) CRR

The amount offset between cash receivables and cash payables where both the related regular-way sales and purchases are settled on a delivery-versus-payment basis in accordance with Article 429g(2) CRR.

{0188;0010}

Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting

Article 429g(3) CRR

The full nominal value of commitments to pay related to regular-way purchases, for institutions that, in accordance with the applicable accounting framework, apply settlement date accounting to regular-way purchases and sales.

Securities related to regular-way sales shall be reported in row 0190 “other assets”.

{0189;0010}

(-) Regular-way purchases awaiting settlement: offset to commitments to pay under settlement date accounting in accordance with 429g(3) CRR

Article 429g(3) CRR

The part of the amount reported in row 0188 offset by the full nominal value of cash receivables related to regular-way sales awaiting settlement in accordance with Article 429g(3) CRR.

{0190;0010}

Other assets

Point (a) of Article 429(4) CRR

All assets other than derivatives contracts listed in Annex II 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 429b(1) and 429(7) 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.

The amount reported in row {0191;0010} shall not be taken into account as a reduction in the calculation of this row.

Cash pooling arrangements shall be reported in rows {0193;0010}, {0194;0010}, {0195;0010}, {0196;0010}, {0197;0010} and {0198;0010} and not here.

{0191;0010}

(-) General credit risk adjustments to on balance sheet items

Article 429(4) CRR

The amount of general credit risk adjustments corresponding to on-balance sheet items referred to in point (a) of Article 429(4) CRR, which institutions deduct in accordance with the last paragraph of Article 429(4) CRR.

The amount reported shall not be taking into account as a reduction in the calculation of other assets reported in {0190;0010}.

{0193;0010}

Cash pooling arrangements that cannot be netted prudentially: value in the accounting framework

Paragraphs (2) and (3) of Article 429b CRR

The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that cannot be netted in accordance to paragraphs (2) and (3) of Article 429b CRR.

{0194;0010}

Cash pooling arrangements that cannot be netted prudentially: effect of grossing-up the netting applied in the accounting framework

Article 429 (7(b) and paragraph (2) and (3) of 429b CRR

The amount netted under the applicable accounting framework on the cash pooling arrangements that cannot be netted prudentially, reported in {0193;0010}.

{0195;0010}

Cash pooling arrangements that can be netted prudentially: value in the accounting framework

Paragraphs (2) and (3) of Article 429b CRR

The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that can be netted in accordance to paragraph (2) and (3) of Article 429b CRR.

{0196;0010}

Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting applied in the accounting framework

Paragraphs (2) and (3) of Article 429b CRR

The amount netted under the applicable accounting framework on the cash pooling arrangements that can be netted prudentially, reported in {0195;0010}.

Where the institution meets point (b) of Article 429b(2), they shall not apply the gross-up in this row to balances extinguished on the basis of the process set out in point (a) of Article 429b(2).

{0197;0010}

(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR

Article 429b(2) CRR

The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 0195 and 0196) in accordance with Article 429b(2).

{0198;0010}

(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRR

Article 429b(3) CRR

The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 0195 and 0196) in accordance with Article 429b(3).

{0200;0010}

Gross-up for derivatives collateral provided

Article 429c(2) 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 429c(2) 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 429c(3) CRR.

{0210;0010}

(-) Receivables for cash variation margin provided in derivatives transactions

Point (c) of Article 429c(3) 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 429c(3) CRR are met.

The amount reported shall also be included in the other assets reported in {0190;0010}.

{0220;0010}

(-) Exempted CCP leg of client-cleared trade exposures (initial margin)

Point (g) of Article 429a(1) 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 point (c) of Article 306(1) CRR.

The amount reported shall also be included in the other assets reported in {0190;0010}.

{0230;0010}

Adjustments for SFT sales accounting transactions

Article 429e(6) CRR

The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework.

{0235;0010}

(-) Reduction of the exposure value of pre-financing or intermediate loans

Article 429(8) CRR

The amount reduced from the exposure value of a pre-financing loan or an intermediate loan, in accordance with Article 429(8) CRR.

The amount reported shall be included in the other assets reported in {0190;0010}.

{0240;0010}

(-) Fiduciary assets

Point (i) of Article 429a(1) CRR

The value of fiduciary assets that are recognised on the institution’s balance sheet by national generally accepted accounting principles, meet the IFRS9 criteria for non-recognition and, where applicable, IFRS 10 for non-consolidation, in accordance with point (i) of Article 429a(1) 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 {0190;0010}.

{0250;0010}

(-) Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR

Point (c) of Article 429a(1) and Article 113(6) 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) CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) 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.

{0251;0010}

(-) IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR

Point (c) of Article 429a(1) and Article 113(7) CRR

Exposures that can benefit from the treatment laid down in Article 113(7) CRR, provided that all the conditions set out in points (a) to (i) of Article 113(7) 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.

{0252;0010}

(-) Excluded guaranteed parts of exposures arising from export credits

Point (f) of Article 429a(1) CRR

The guaranteed parts of exposures arising from export credits that can be excluded when the conditions of point (f) of Article 429a(1) CRR are met.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0253;0010}

(-) Excluded excess collateral deposited at triparty agents

Point (k) of Article 429a(1) CRR

The excess collateral deposited at triparty agents that has not been lent out, which can be excluded in accordance with point (k) of Article 429a(1).

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0254;0010}

(-) Excluded securitised exposures representing significant risk transfer

Point (m) of Article 429a(1) CRR

The securitised exposures from traditional securitisations that meet the conditions for significant risk transfer set out in Article 244(2).

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0255;0010}

(-) Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR

Point (n) of Article 429a(1) CRR

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0256;0010}

(-) Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR

Point (o) of Article 429a(1) CRR

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0257;0010}

(-) Excluded banking-type ancillary services of designated institutions in accordance with point (p) of Article 429a(1) CRR

Point (p) of Article 429a(1) CRR

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0260;0010}

(-) Exposures exempted in accordance with point (j) of Article 429a(1) CRR

Point (j) of Article 429a(1) CRR

Exposures exempted in accordance with point (j) of 429a(1) CRR subject to the therein stated conditions being met.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0261;0010}

(-) Excluded exposures of public development credit institutions – Public sector investments

Point (d) of paragraph (1) and paragraph (2) of Article 429a CRR

The exposures arising from assets that constitute claims on central governments, regional governments, local authorities or public sector entities in relation to public sector investments, which can be excluded in accordance with point (d) of Article 429a(1) CRR.

Where the claim also qualifies as promotional loan under Article 429a(3), it shall not be reported in this cell but under rows 0262-0264 as applicable.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0262;0010}

(-) Excluded exposures of public development credit institutions – Promotional loans granted by a public development credit institution

Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR

The exposures arising from promotional loans, including passing-through promotional loans, granted by a public development credit institution, which can be excluded in accordance with point (d) of Article 429a(1) CRR. The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) CRR, shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0263;0010}

(-) Excluded exposures of public development credit institutions – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State

Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR.

The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity directly set up by the central government, regional governments or local authorities of a Member State, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0264;0010}

(-) Excluded exposures of public development credit institutions – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution

Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR.

The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0265;0010}

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by a public development credit institution

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR

The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by a public development credit institution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0266;0010}

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR

The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity directly set up by the central government, regional governments or local authorities of a Member State. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0267;0010}

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR

The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0270;0010}

(-) Asset amount deducted – Tier 1 capital – fully phased-in definition

Point (b) of Article 429a(1) and point (a) of Article 499(1) CRR

It includes all the adjustments that target the value of an asset and which are required by:

— Articles 32 to 35 CRR, or

— Articles 36 to 47 CRR, or

— Articles 56 to 60 CRR,

as applicable.

Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {0010;0010} to {0267;0010}, 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.

{0280;0010}

Asset amount deducted (-) or added (+) – Tier 1 capital – transitional definition

Point (b) of Articles 429a(1) and point (a) of Article 499(1) CRR

It includes all the adjustments that adjust the value of an asset and which are required by:

— Articles 32 to 35 CRR, or

— Articles 36 to 47 CRR, or

— Articles 56 to 60 CRR,

as applicable.

Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, in addition to taking into account the derogations laid down in Chapter 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {0010;0010} to {0267;0010} 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.

In addition, institutions shall report in this row as a positive value the amounts to be added back to the leverage ratio exposure measure in accordance with Article 473a(7) CRR and 473a (7a) CRR.

{0290;0010}

Total Leverage Ratio exposure measure- using a fully phased-in definition of Tier 1 capital

Institutions shall report the sum of all rows from 0010 to 0267 and row 0270.

{0300;0010}

Total Leverage Ratio exposure measure – using a transitional definition of Tier 1 capital

Institutions shall report the sum of all rows from 0010 to 0267 and row 0280.

Row and column

Capital

{0310;0010}

Tier 1 capital – fully phased-in definition

Article 429(3) and point (a) of Article 499(1) CRR

This is the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR.

{0320;0010}

Tier 1 capital – transitional definition

Articles 429(3) and point (b) of Article 499(1) CRR

This shall be the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, after taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR.

Row and column

Leverage Ratio

{0330;0010}

Leverage Ratio – using a fully phased-in definition of Tier 1 capital

Articles 429(2) and 499(1) CRR

This shall be the leverage ratio as calculated under paragraph 4 of Part II of this Annex.

{0340;0010}

Leverage Ratio – using a transitional definition of Tier 1 capital

Articles 429(2) and 499(1) CRR

This shall be the leverage ratio as calculated under paragraph 5 of Part II of this Annex.

Row and column

Requirements: amounts

{0350;0010}

Pillar 2 requirement (P2R) to address risks of excessive leverage

Article 104 and 104a CRD; additional own funds required by the competent authority to address risks of excessive leverage, as referred to in Article 104 of the CRD

{0360;0010}

of which: to be made up of CET1 capital

The part of the P2R, referred to in row 0350, which is required by the competent authority to be held in the form of CET1 capital

{0370;0010}

G-SII leverage ratio buffer

Article 92(1a) CRR

G-SIIs shall report the value of the G-SII add-on for the leverage ratio determined in accordance with Article 92(1a) CRR.

G-SIIs shall report this amount as of the date of application of the buffer following the CRR.

{0380;0010}

Pillar 2 guidance (P2G) to address risks of excessive leverage

Article 104b CRD; additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD

{0390;0010}

of which: to be made up of CET1 capital

The part of P2G, referred to in row 0380, which is required by the competent authority to be held in the form of CET1 capital

{0400;0010}

of which: to be made up of Tier 1 capital

The part of P2G, referred to in row 0380, which is required by the competent authority to be held in the form of Tier 1 capital

Row and column

Requirements: ratios

{0410;0010}

Pillar 1 Leverage Ratio requirement

Point (d) of Article 92(1), Article 429a(7) and point (n) of Article 429a(1) CRR; the leverage ratio required to address risks of excessive leverage, as referred to in point (d) of Article 92(1) CRR

Institutions that exclude exposures to the institution’s central bank as referred to in point (n) of paragraph 1 of Article 429a shall report the Adjusted Leverage Ratio requirement as per Article 429a(7) CRR.

{0420;0010}

Total SREP leverage ratio requirement (TSLRR)

Article 104 and 104a CRD

The sum of (i) and (ii) as follows:

(i)  the Pillar 1 Leverage Ratio Requirement as reported in row 0410;

(ii)  the additional own funds ratio required by the competent authority (P2R) to address risks of excessive leverage, as referred to in Article 104 CRD.

Institutions shall calculate point (ii) by dividing the value in {0350;0010} by that in {0300;0010}.

If no additional own funds requirements were communicated by the competent authority, then only point (i) shall be reported.

{0430;0010}

TSLRR: to be made up of CET1 capital

The part of the additional own funds ratio, referred to in point (ii) of row 0420, that is required by the competent authority to be held in the form of CET1 capital

Institutions shall calculate this value by dividing the value in {0360;0010} with that in {0300;0010}.

{0440;0010}

Overall leverage ratio requirement (OLRR)

Article 92(1a) CRR

The sum of (i) and (ii) as follows:

(i)  the TSLRR referred to in row 0420;

(ii)  the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure.

Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}.

Point (ii) shall only be taken into account by G-SIIs as of the date of application of the buffer following the CRR.

If no G-SII add-on is applicable, only point (i) shall be reported.

{0450;0010}

Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio

Article 104b CRD

The sum of (i) and (ii) as follows:

(i)  the OLRR referred to in row 0440;

(ii)  additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD, expressed as a percentage of the total leverage ratio exposure.

Institutions shall calculate point (ii) by dividing the value in {0380;0010} with that in {0300;0010}.

If no P2G is communicated by the competent authority, then only point (i) shall be reported.

{0460;0010}

OLRR and P2G: to be made up of CET1 capital

The sum of (i) and (ii) as follows:

(i)  the part of the additional own funds ratio which is required by the competent authority to be held in the form of CET1 capital, as referred to in row 0430;

(ii)  the part of the P2G ratio, referred to in point (ii) in row 0450, which is communicated by the competent authority to be held in the form of CET 1 capital.

Institutions shall calculate point (ii) by dividing the value in {0390;0010} with that in {0300;0010}.

If no P2G is communicated by the competent authority, then only point (i) shall be reported.

{0470;0010}

OLRR and P2G: to be made up of Tier 1 capital

The sum of (i), (ii) and (iii) as follows:

(i)  the total SREP leverage ratio requirement, as referred to in row 0420;

(ii)  the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure.

(iii)  the part of the P2G ratio, referred to in point (ii) in row 0450, which is required by the competent authority to be held in the form of Tier 1 capital.

Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}.

Institutions shall calculate point (iii) by dividing the value in {0400;0010} with that in {0300;0010}.

If no G-SII add-on is applicable, only points (i) and (iii) shall be reported.

If no P2G is communicated by the competent authority, then only points (i) and (ii) shall be reported.

Row and column

Memorandum items

{0480;0010}

Leverage ratio as if the IFRS 9 or analogous ECL transitional arrangements had not been applied

Articles 473a(8) CRR

Institutions that have decided to apply the transitional arrangements set out in Article 473a CRR shall report the leverage ratio they would have in case they were not to apply this Article.

{0490;0010}

Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied

Article 468(5) CRR

Institutions that have decided to apply the temporary treatment set out in paragraph 1 of Article 468 CRR shall report the leverage ratio they would have in case they were not to apply that treatment.

4.    C 40.00 – Alternative treatment of the Exposure Measure (LR1)

20. This part of the reporting collects data on an alternative treatment of derivatives, SFTs, off-balance sheet items, exempted public sector investments and exempted exposures to promotional loans.

21. Institutions shall determine the “accounting balance sheet values” in LR1 based on the applicable accounting framework in accordance with point (77) of Article 4(1) 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.

22. Institutions shall report LR1 items as if the items with a negative sign in the LRCalc template (for example exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex, except rows {0270;0010} {0280;0010}, did not apply.

23. {r0410;c0010} in template 40.00 shall only be reported by:

— 
large institutions which are either G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency,
— 
large institutions other than G-SIIs that are not-listed institutions with an annual frequency,
— 
other institutions than large institutions and small and non-complex institutions, which have issued securities that are admitted to trading on a regulated with an annual frequency.



Row and column

Legal references and instructions

{0010;0010}

Derivatives – Accounting balance sheet value

This shall be the sum of {0020;010}, {0050;0010} and {0060;0010}.

{0010;0020}

Derivatives – Accounting value assuming no netting or other CRM

This shall be the sum of {0020;0020}, {0050;0020} and {0060;0020}.

{0010;0070}

Derivatives – Notional amount

This shall be the sum of {0020;0070}, {0050;0070} and {0060;0070}.

{0020;0010}

Credit derivatives (protection sold) – Accounting balance sheet value

Point (77) of Article 4(1) 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

{0020;0020}

Credit derivatives (protection sold) – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) 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)

{0020;0070}

Credit derivatives (protection sold) – Notional amount

This shall be the sum of cells {0030;0070} and {0040;0070}

{0020;0075}

Credit derivatives (protection sold) – Capped notional amount

Institutions shall report the notional amount referenced by the credit derivatives (protection sold) as in {0020; 0070} after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative.

{0030;0070}

Credit derivatives (protection sold), which are subject to a close-out clause – Notional amount

Institutions shall report 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.

{0040;0070}

Credit derivatives (protection sold), which are not subject to a close-out clause – Notional amount

Institutions shall report 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.

{0050;0010}

Credit derivatives (protection bought) – Accounting balance sheet value

Point (77) of Article 4(1) 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.

{0050;0020}

Credit derivatives (protection bought) – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) 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.

{0050;0070}

Credit derivatives (protection bought) – Notional amount

Institutions shall report 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.

{0050;0075}

Credit derivatives (protection bought) – Capped notional amount

Institutions shall report the notional amount referenced by credit derivatives (protection bought) as in {0050;0070} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative.

{0050;0085}

Credit derivatives (protection bought) – Capped notional amount (same reference name)

Institutions shall report 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 shall be 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 taken into for the reporting purpose in this cell shall not exceed the amounts reported in {0020;0075} and {0050;0075}.

{0060;0010}

Financial derivatives – Accounting balance sheet value

Point (77) of Article 4(1) CRR

Institutions shall report the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the balance sheet.

{0060;0020}

Financial derivatives – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II 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)

{0060;0070}

Financial derivatives – Notional amount

This cell shall include the notional amount referenced by contracts listed in Annex II CRR.

{0071;0010}

Security Financing Transactions – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value of SFTs under the applicable accounting framework 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 {0090,0010}.

{0071;0020}

Security Financing Transactions – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework 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).

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 {0090,0020}.

{0090;0010}

Other assets – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs.

{0090;0020}

Other assets – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II 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)

{0095;0070}

Off-balance sheet items

Institutions shall report the nominal value of off-balance sheet items. This value shall not be reduced by specific credit risk adjustments.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives and SFTs in accordance with Article 429f(1) CRR.

{0210;0020}

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 shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be 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.

{0220;0020}

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.

{0230;0020}

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)

{0240;0020}

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 shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be 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 shall be 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.

{0270;0010}

Public sector investments- Claims on central governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to public sector investments

The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0280;0010}

Public sector investments- Claims on regional governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to public sector investments

The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0290;0010}

Public sector investments – Claims on local authorities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to public sector investments

The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0300;0010}

Public sector investments- Claims on public sector entities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to public sector investments

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0310;0010}

Promotional loans – Claims on central governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0310;0070}

Promotional loans – Claims on central governments – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to central governments

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0320;0010}

Promotional loans – Claims on regional governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0320;0070}

Promotional loans – Claims on regional governments – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to regional governments

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0330;0010}

Promotional loans – Claims on local authorities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0330;0070}

Promotional loans – Claims on local authorities – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to local authorities

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

{0340;0010}

Promotional loans – Claims on public sector entities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0340;0070}

Promotional loans – Claims on public sector entities – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to public sector entities

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0350;0010}

Promotional loans – Claims on non-financial corporations – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on non-financial corporations in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0350;0070}

Promotional loans – Claims on non-financial corporations – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to non-financial corporations

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0360;0010}

Promotional loans – Claims on households – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on households in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0360;0070}

Promotional loans – Claims on households – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to households

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0370;0010}

Promotional loans – Passing-through- Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of passing-through promotional loans, when the promotional loans have not been granted by the institution itself

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0370;0070}

Promotional loans – Passing-through- Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of passing-through promotional loans, when the promotional loans have not been granted by the institution itself

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0380;0010}

Central bank exposures – Accounting balance sheet value

Institutions shall report, in accordance with the applicable accounting framework, the value of the following exposures to the institution’s central bank: (i) coins and banknotes constituting legal currency in the jurisdiction of the central bank; (ii) assets representing claims on the central bank, including reserves held at the central bank.

Institutions shall only include exposures that meet both of the following conditions: (a) they are denominated in the same currency as the deposits taken by the institution; (b) their average maturity does not significantly exceed the average maturity of the deposits taken by the institution.

Institutions shall report these exposures irrespectively of whether they are exempted from the total exposure measure following Article 429a(5) and (6) CRR.

{0390;0140}

The central bank exposures value used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount

The daily average total value of the institution’s exposures to its central bank, calculated over the full reserve maintenance period of the central bank just preceding the date referred to in point (c) of Article 429a(5) CRR, that are eligible to be excluded in accordance with point (n) of Article 429a(1) CRR.

{0400;0140}

Leverage ratio exposure measure used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount

The institution’s total exposure measure as defined in Article 429(4) CRR, including any exposures excluded in accordance with point (n) of Article 429(1) CRR, on the date referred to in point (c) of Article 429a(5) CRR

{0410;0010}

Total assets

Institutions shall report in this item the total assets following the scope used in the published financial statements.

5.    C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4)

24. Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions and deductions in the LRCalc template, i.e. the items with a negative sign in accordance with the sign convention in paragraph 9 of Part I of this Annex, except rows {0270;0010} {0280;0010}.

25. In order to avoid double-counting, institutions shall uphold the following equation:

The sum of all rows from {0010; 0010} to {0267;0010} in template LRCalc shall be equal to = [{LR4;0010;0010} + {LR4;0040;0010} + {LR4;0050;0010} + {LR4;0060;0010} + {LR4;0065;0010} + {LR4;0070;0010} + {LR4;0080;0010} + {LR40;080;0020} + {LR4;0090;0010} + {LR4;00090;0020} + {LR4;0140;0010} + {LR4;0140;0020} + {LR4;0180;0010} + {LR4;0180;0020} + {LR4;190;0010} + {LR4;0190;0020} + {LR4;0210;0010} + {LR4;0210;0020} + {LR4;0230;0010} + {LR4;0230;0020} + {LR4;0280;0010} + {LR4;0280;0020} + {LR4;0290;0010} + {LR4;0290;0020}].

26. In order to be consistent with the leverage ratio exposure values, the risk-weighted exposure amounts shall also be reported fully phased in.

27. Institutions shall report the counterparty in relation to RWEA after credit risk mitigation (CRM) techniques and its substitution effects. Institutions shall report the counterparty in relation to LRE in accordance with the original counterparty, i.e. without taking into account any CRM or substitution effect applicable to RWEA.



Row and column

Legal references and instructions

{0010;0010}

Off-balance sheet items– Leverage Ratio Exposure Value

The leverage ratio exposure value calculated as the sum of {LRCalc;0150;0010}, {LRCalc;0160;0010}, {LRCalc;0170;0010} and {LRCalc;0180;0010} excluding the respective intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR.

{0010;0020}

Off-balance sheet items– RWEA

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 of Title II of Part Three CRR. For exposures under the IRB Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3 of Title II of Part Three CRR.

{0020;0010}

of which: Trade Finance;– 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 that are short-term and self-liquidating, and similar transactions.

{0020;0020}

of which: Trade Finance– RWEA

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 that are short-term and self-liquidating, and similar transactions.

{0030;0010}

of which: 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.

{0030;0020}

of which: Under official export credit insurance scheme – RWEA

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.

{0040;0010}

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) CRR

{0040;0020}

Derivatives and SFTs subject to a cross-product netting agreement – RWEA

The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II of Part Three 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) CRR

{0050;0010}

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) CRR

{0050;0020}

Derivatives not subject to a cross-product netting agreement – RWEA

The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as calculated under Title II of Part Three CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) CRR

{0060;0010}

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) CRR

{0060;0020}

SFTs not subject to a cross-product netting agreement – RWEA

The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of Part Three CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) CRR

{0065;0010}

Exposure amounts resulting from the additional treatment for credit derivatives – Leverage Ratio Exposure Value

This cell shall equal the difference between {LRCalc;0130;0010} and {LRCalc;0140;0010} excluding the respective intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR.

{0070;0010}

Other assets belonging to the trading book – Leverage Ratio Exposure Value

The leverage ratio exposure value of items reported in {LRCalc;0190;0010} excluding non-trading book items

{0070;0020}

Other assets belonging to the trading book – RWEA

Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three CRR

{0080;0010}

Covered bonds – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures in the form of covered bonds as in Article 129 CRR

Institutions shall report net of defaulted SA exposures.

{0080;0020}

Covered bonds – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures in the form of covered bonds as in point (d) of Article 161(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0080;0030}

Covered bonds – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures in the form of covered bonds as in Article 129 CRR

Institutions shall report net of defaulted SA exposures.

{0080;0040}

Covered bonds – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures in the form of covered bonds as in point (d) of Article 161(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0090,0010}

Exposures treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

This shall be the sum of cells from {0100,0010} to {0130,0010}.

Institutions shall report net of defaulted SA exposures.

{0090;0020}

Exposures treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

This shall be the sum of cells from {0100,0020} to {0130,0020}.

Institutions shall report net of defaulted IRB exposures.

{0090;0030}

Exposures treated as sovereigns – RWEA – SA exposures

This shall be the sum of cells from {0100,0030} to {0130,0030}.

Institutions shall report net of defaulted SA exposures.

{0090;0040}

Exposures treated as sovereigns – RWEA – IRB exposures

This shall the sum of cells from {0100,0040} to {0130,0040}.

Institutions shall report net of defaulted IRB exposures.

{0100;0010}

Central governments and central banks – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to central governments or central banks as in Article 114 CRR

Institutions shall report net of defaulted SA exposures.

{0100;0020}

Central governments and central banks – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to central governments or central banks as in point (a) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0100;0030}

Central governments and central banks – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to central governments or central banks as in Article 114 CRR

Institutions shall report net of defaulted SA exposures.

{0100;0040}

Central governments and central banks – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to central governments or central banks as in point (a) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0110;0010}

Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to regional governments and local authorities treated as sovereigns that fall under paragraph (2) and (4) of Article 115 CRR

Institutions shall report net of defaulted SA exposures.

{0110;0020}

Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to regional governments and local authorities that fall under point (a) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0110;0030}

Regional governments and local authorities treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to regional governments and local authorities treated as sovereigns that fall under paragraphs (2) and (4) of Article 115 CRR

Institutions shall report net of defaulted SA exposures.

{0110;0040}

Regional governments and local authorities treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to regional governments and local authorities that fall under point (a) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0120;0010}

MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 CRR

Institutions shall report net of defaulted SA exposures.

{0120;0020}

MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to multilateral development banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0120;0030}

MDBs and international organisations treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 CRR

Institutions shall report net of defaulted SA exposures.

{1020;0040}

MDBs and international organisations treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to multilateral development banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0130;0010}

PSEs treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to public sector entities that fall under Article 116(4) CRR

Institutions shall report net of defaulted SA exposures.

{0130;0020}

PSEs treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets that are IRB exposures to public sector entities that fall under point (a) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0130;0030}

PSEs treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to public sector entities that fall under Article 116(4) CRR

Institutions shall report net of defaulted SA exposures.

{0130;0040}

PSEs treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to public sector entities that fall under point (a) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0140;0010}

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

This is shall be the sum of cells from {0150,0010} to {0170,0010}.

Institutions shall report net of defaulted SA exposures.

{0140;0020}

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

This shall be the sum of cells from {0150,0020} to {0170,0020}.

Institutions shall report net of defaulted IRB exposures.

{0140;0030}

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWEA – SA exposures

This shall be the sum of cells from {0150,0030} to {0170,0030}.

Institutions shall report net of defaulted SA exposures.

{0140;0040}

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWEA – IRB exposures

This shall be the sum of cells from {0150,0040} to {0170,0040}.

Institutions shall report net of defaulted IRB exposures.

{0150;0010}

Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to regional governments and local authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 CRR

Institutions shall report net of defaulted SA exposures.

{0150;0020}

Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to regional governments and local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0150;0030}

Regional governments and local authorities not treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to regional governments and local authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 CRR

Institutions shall report net of defaulted SA exposures.

{0150;0040}

Regional governments and local authorities not treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to regional governments and local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0160;0010}

MDBs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to multilateral development banks that fall under paragraphs (1) and (3) of Article 117 CRR

Institutions shall report net of defaulted SA exposures.

{0160;0020}

MDBs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to multilateral development banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0160;0030}

MDBs not treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to multilateral development banks that fall under paragraphs (1) and (3) of Article 117 CRR

Institutions shall report net of defaulted SA exposures.

{0160;0040}

MDBs not treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to multilateral development banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0170;0010}

PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to public sector entities that fall under paragraphs (1), (2), (3) and (5) of Article 116 CRR

Institutions shall report net of defaulted SA exposures.

{0170;0020}

PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to public sector entities not treated as sovereigns that fall under point (b) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0170;0030}

PSEs not treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to public sector entities that fall under paragraphs (1), (2), (3) and (5) of Article 116 CRR

Institutions shall report net of defaulted SA exposures.

{0170;0040}

PSEs not treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount assets that are IRB exposures to public sector entities not treated as sovereigns that fall under point (b) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0180;0010}

Institutions – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to institutions that fall under Articles 119 to 121 CRR

Institutions shall report net of defaulted SA exposures.

{0180;0020}

Institutions – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to institutions that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0180;0030}

Institutions – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to institutions that fall under Articles 119 to 121 CRR

Institutions shall report net of defaulted SA exposures.

{0180;0040}

Institutions – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to institutions that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0190;0010}

Secured by mortgages on immovable properties– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures secured by mortgages on immovable property that fall under Article 124 CRR

Institutions shall report net of defaulted SA exposures.

{0190;0020}

Secured by mortgages on immovable properties– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to corporate under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0190;0030}

Secured by mortgages on immovable properties– RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures secured by mortgages on immovable property that fall under Article 124 CRR

Institutions shall report net of defaulted SA exposures.

{0190;0040}

Secured by mortgages on immovable properties– RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporate under point (c) of Article 147(2 or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0200;0010}

of which: Secured by mortgages of residential properties – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures fully and completely secured by mortgages on residential property that fall under Article 125 CRR

Institutions shall report net of defaulted SA exposures.

{0200;0020}

of which: Secured by mortgages of residential properties – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0200;0030}

of which: Secured by mortgages of residential properties – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures fully and completely secured by mortgages on residential property that fall under Article 125 CRR

Institutions shall report net of defaulted SA exposures.

{0200;0040}

of which: Secured by mortgages of residential properties – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0210;0010}

Retail exposures– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail SA exposures that fall under Article 123 CRR

Institutions shall report net of defaulted SA exposures.

{0210;0020}

Retail exposures– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0210;0030}

Retail exposures– RWEA – SA exposures

The risk-weighted exposure amount of assets that are retail SA exposures that fall under Article 123 CRR

Institutions shall report net of defaulted SA exposures.

{0210;0040}

Retail exposures– RWEA – IRB exposures

The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0220;0010}

of which: Retail SME – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail SA exposures to small- and medium-sized enterprises that fall under Article 123 CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted SA exposures.

{0220;0020}

of which: Retail SME – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted IRB exposures.

{0220;0030}

of which: Retail SME – RWEA – SA exposures

The risk-weighted exposure amount of assets that are retail SA exposures to small- and medium-sized enterprises that fall under Article 123 CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted SA exposures.

{0220;0040}

of which: Retail SME – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted IRB exposures.

{0230;0010}

Corporate– Leverage Ratio Exposure Value – SA exposures

This shall be the sum of {0240,0010} and {0250,0010}.

Institutions shall report net of defaulted SA exposures.

{0230;0020}

Corporate– Leverage Ratio Exposure Value – IRB exposures

This shall be the sum of {0240,0020} and {0250,0020}.

Institutions shall report net of defaulted IRB exposures.

{0230;0030}

Corporate– RWEA – SA exposures

This shall be the sum of {0240,0030} and {0250,0030}.

Institutions shall report net of defaulted SA exposures.

{0230;0040}

Corporate– RWEA – IRB exposures

This shall be the sum of {0240,0040} and {0250,0040}.

Institutions shall report net of defaulted IRB exposures.

{0240;0010}

Financial – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to financial corporates that fall under Article 122 CRR

For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, 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 point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}.

Institutions shall report net of defaulted SA exposures.

{0240;0020}

Financial – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, 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 point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}.

Institutions shall report net of defaulted IRB exposures.

{0240;0030}

Financial – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to financial corporates that fall under Article 122 CRR

For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, 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 point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}.

Institutions shall report net of defaulted SA exposures.

{0240;0040}

Financial – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, 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 point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}.

Institutions shall report net of defaulted IRB exposures.

{0250;0010}

Non-financial– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to non-financial corporates that fall under Article 122 CRR

This shall be the sum of {0260,0010} and {0270,0010}.

Institutions shall report net of defaulted SA exposures.

{0250;0020}

Non-financial– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to non-financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

This shall be the sum of {0260,0020} and {0270,0020}.

Institutions shall report net of defaulted IRB exposures.

{0250;0030}

Non-financial– RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to non-financial corporates that fall under Article 122 CRR

This shall be the sum of {0260,0030} and {0270,0030}.

Institutions shall report net of defaulted SA exposures.

{0250;0040}

Non-financial– RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to non-financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

This shall be the sum of {0260,0040} and {0270,0040}.

Institutions shall report net of defaulted IRB exposures.

{0260;0010}

SME exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted SA exposures.

{0260;0020}

SME exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted IRB exposures.

{0260;0030}

SME exposures – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted SA exposures.

{0260;0040}

SME exposures – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted IRB exposures.

{0270;0010}

Exposures other than SME exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to corporates that fall under Article 122 CRR and that are not reported in {0230;0040} and {0250;0040}

Institutions shall report net of defaulted SA exposures.

{0270;0020}

Exposures other than SME exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and {0250;0040}

Institutions shall report net of defaulted IRB exposures.

{0270;0030}

Exposures other than SME exposures – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to corporates that fall under Article 122 CRR and that are not reported in {0230;0040} and {0250;0040}

Institutions shall report net of defaulted SA exposures.

{0270;0040}

Exposures other than SME exposures – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and {0250;0040}

Institutions shall report net of defaulted IRB exposures.

{0280;0010}

Exposures in default – Leverage Ratio Exposure Value – SA exposures

Institutions shall report the leverage ratio exposure value of assets that are SA exposures in default and thus fall under Article 127 CRR.

{0280;0020}

Exposures in default – Leverage Ratio Exposure Value – IRB exposures

Institutions shall report the leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.

{0280;0030}

Exposures in default – RWEA – SA exposures

Institutions shall report the risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 CRR.

{0280;0040}

Exposures in default – RWEA – IRB exposures

Institutions shall report the risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.

{0290;0010}

Other exposures– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets categorised in the exposures classes listed in paragraphs (k), (m), (n), (o), (p) and (q) of Article 112 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 {*; 0030} and {*; 0040}.

Institutions shall report net of defaulted SA exposures.

{0290;0020}

Other exposures– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets categorised in the exposures classes listed in points (e), (f) and (g) of Article 147(2) 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 {*; 0030} and {*; 0040}.

Institutions shall report net of defaulted IRB exposures.

{0290;0030}

Other exposures– RWEA – SA exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in paragraphs (k), (m), (n), (o), (p) and (q) of Article 112 CRR

Institutions shall report net of defaulted SA exposures.

{0290;0040}

Other exposures– RWEA – IRB exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in points (e), (f) and (g) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0300;0010}

of which: Securitisation exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to securitisations that fall under Article 112(m) CRR

Institutions shall report net of defaulted SA exposures.

{0300;0020}

of which: Securitisation exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to securitisations and fall under point (f) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0300;0030}

of which: Securitisation exposures – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to securitisations that fall under Article 112(m) CRR

Institutions shall report net of defaulted SA exposures.

{0300;0040}

of which: Securitisation exposures – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to securitisations and fall under point (f) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0310;0010}

Trade finance (memo item)– 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 SA exposures.

{0310;0020}

Trade finance (memo item)– 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 IRB exposures.

{0310;0030}

Trade finance (memo item)– RWEA – 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 SA exposures.

{0310;0040}

Trade finance (memo item)– RWEA – 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 IRB exposures.

{0320;0010}

of which: 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 SA exposures.

{0320;0020}

of which: 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 IRB exposures.

{0320;0030}

of which: Under official export credit insurance scheme – RWEA – 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 SA exposures.

{0320;0040}

of which: Under official export credit insurance scheme – RWEA – 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 IRB exposures.

6.    C 44.00 – General information (LR5)

28. 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

{0010;0010}

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.

{0020;0010}

Derivatives treatment

The institution shall specify the regulatory derivatives treatment in accordance with the categories given below:

— Standardised Approach for Counterparty Credit Risk (SA-CCR);

— Simplified Standardised Approach for Counterparty Credit Risk;

— Original exposure method.

{0040;0010}

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;

— Public development credit institutions;

— Other business model.

{0070;0010}

Institution with a public development unit

Institutions that are not public development credit institutions shall indicate whether they have a public development unit.

{0080;0010},

{00090;0010},

{0100;0010}

Entity guaranteeing the public development credit institution/unit in accordance with point (d) of Article 429a(2) CRR: Central government, Regional government, Local authority

The institutions that either are a public development credit institution or have a public development unit shall report whether they are guaranteed by a central government, a regional government or a local authority

Institutions shall indicate ‘TRUE’ in the row corresponding to the applicable type(s) of protection provider and ‘FALSE’ otherwise.

{0080;0010}

Central government guaranteeing the public development credit institutions/unit

{0090;0010}

Regional government guaranteeing the public development credit institutions/unit

{0100;0010}

Local authority guaranteeing the public development credit institutions/unit

{0110;0010};

{0120;0010};

{0130;0010}

Type of guarantee received in accordance with point (d) of Article 429a(2) CRR

The institutions that either are a public development credit institution or have a public development unit shall report the type of protection received

Institutions shall indicate ‘TRUE’ in the row corresponding to the applicable type(s) of protection and ‘FALSE’ otherwise.

{0110;0010}

Obligation to protect the credit institutions’ viability

{0120;0010}

Direct guarantee of the credit institutions’ own funds requirements, funding requirements or promotional loans granted

{0130;0010}

Indirect guarantee of the credit institutions’ own funds requirements, funding requirements or promotional loans granted

7.    C 48.00 Leverage ratio volatility (LR6)

29. Information is collected for the purpose of monitoring the volatility of the leverage ratio. The information shall be reported by large institutions only.

8.    C 48.01 Leverage ratio volatility: Mean value for the reporting period



Row and column

Instructions

{0010;0010}

Mean value for the reporting period – SFTs exposure value

Institutions shall report the mean of the daily values of the reporting quarter of the SFT exposure value net of the exempted CCP leg of client-cleared trade exposures as defined in rows 0010 and 0050 of template C47.00.

{0010;0020}

Mean value for the reporting period – Adjustments for SFT sales accounting transactions

Institutions shall report the mean of the daily values of the reporting quarter of the adjustments for SFT sales accounting transactions as defined in row 0230 of template C47.00.

9.    C 48.02 Leverage ratio volatility: Daily values for the reporting period

30. The daily values over the quarter shall be reported.



Row and column

Instructions

{0010;0010}

Reference date within reporting period

Institutions shall report the date to which the reported daily value reported refers to. Each day of the reporting quarter shall be reported.

{0010;0020}

SFTs exposure value

Institutions shall report the daily values of the reporting quarter of the SFT exposure value net of the exempted CCP leg of client-cleared trade exposures as refer to in rows 0010 and 0050 of template C47.00.

{0010;0030}

Adjustments for SFT sales accounting transactions

Institutions shall report the daily values of the reporting quarter of the adjustments for SFT sales accounting transactions as defined in row 0230 of template C 47.00.

▼C1



ANNEX XII

REPORTING ON NET STABLE FUNDING RATIO



LIQUIDITY TEMPLATES

Template number

Template code

Name of the template/group of templates

NSFR

80

C 80.00

REQUIRED STABLE FUNDING

81

C 81.00

AVAILABLE STABLE FUNDING

SIMPLIFIED NSFR

82

C 82.00

SIMPLIFIED REQUIRED STABLE FUNDING

83

C 83.00

SIMPLIFIED AVAILABLE STABLE FUNDING

SUMMARY NSFR

84

C 84.00

SUMMARY NSFR



C 80.00 — NSFR — REQUIRED STABLE FUNDING

Currency

 

Amount

Standard RSF factor

Applicable RSF factor

Required stable funding

Non-HQLA by maturity

HQLA

Non-HQLA by maturity

HQLA

Non-HQLA by maturity

HQLA

< 6 months

≥ 6 months to < 1 year

≥ 1 year

< 6 months

≥ 6 months to < 1 year

≥ 1 year

< 6 months

≥ 6 months to < 1 year

≥ 1 year

Row

ID

Item

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0010

1

REQUIRED STABLE FUNDING

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

1.1

RSF from central bank assets

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

1.1.1

cash, reserves and HQLA exposures to central banks

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

1.1.1.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

0 %

0 %

0 %

0 %

 

 

 

 

 

0050

1.1.1.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

50 %

50 %

50 %

50 %

 

 

 

 

 

0060

1.1.1.3

encumbered for a residual maturity of one year or more

 

 

 

 

100 %

100 %

100 %

100 %

 

 

 

 

 

0070

1.1.2

other non-HQLA central bank exposures

 

 

 

 

0 %

50 %

100 %

 

 

 

 

 

 

0080

1.2

RSF from liquid assets

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

1.2.1

level 1 assets eligible for 0 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

1.2.1.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

0 %

 

 

 

 

 

0110

1.2.1.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0120

1.2.1.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0130

1.2.2

level 1 assets eligible for 5 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

1.2.2.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

5 %

 

 

 

 

 

0150

1.2.2.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0160

1.2.2.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0170

1.2.3

level 1 eligible for 7 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

1.2.3.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

7 %

 

 

 

 

 

0190

1.2.3.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0200

1.2.3.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0210

1.2.4

level 1 assets eligible for 12 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

1.2.4.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

12 %

 

 

 

 

 

0230

1.2.4.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0240

1.2.4.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0250

1.2.5

level 2A assets eligible for 15 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0260

1.2.5.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

15 %

 

 

 

 

 

0270

1.2.5.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0280

1.2.5.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0290

1.2.6

level 2A assets eligible for 20 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0300

1.2.6.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

20 %

 

 

 

 

 

0310

1.2.6.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0320

1.2.6.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0330

1.2.7

level 2B securitizations eligible for 25 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0340

1.2.7.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

25 %

 

 

 

 

 

0350

1.2.7.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0360

1.2.7.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0370

1.2.8

level 2B assets eligible for 30 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0380

1.2.8.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

30 %

 

 

 

 

 

0390

1.2.8.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0400

1.2.8.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0410

1.2.9

level 2B assets eligible for 35 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0420

1.2.9.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

35 %

 

 

 

 

 

0430

1.2.9.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0440

1.2.9.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0450

1.2.10

level 2B assets eligible for 40 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0460

1.2.10.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

 

 

40 %

 

 

 

 

 

0470

1.2.10.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0480

1.2.10.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0490

1.2.11

level 2B assets eligible for 50 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0500

1.2.11.1

unencumbered or encumbered for a residual maturity of less than one year

 

 

 

 

 

 

 

50 %

 

 

 

 

 

0510

1.2.11.2

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0520

1.2.12

level 2B assets eligible for 55 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0530

1.2.12.1

unencumbered or encumbered for a residual maturity of less than one year

 

 

 

 

 

 

 

55 %

 

 

 

 

 

0540

1.2.12.2

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

 

100 %

 

 

 

 

 

0550

1.2.13

HQLAs encumbered for a residual maturity of one year or morein cover pool

 

 

 

 

 

 

 

85 %

 

 

 

 

 

0560

1.3

RSF from securities other than liquid assets

 

 

 

 

 

 

 

 

 

 

 

 

 

0570

1.3.1

non- HQLA securities and exchange traded equities

 

 

 

 

 

 

 

 

 

 

 

 

 

0580

1.3.1.1

unencumbered or encumbered for a residual maturity of less than one year

 

 

 

 

50 %

50 %

85 %

 

 

 

 

 

 

0590

1.3.1.2

encumbered for a residual maturity of one year or more

 

 

 

 

100 %

100 %

100 %

 

 

 

 

 

 

0600

1.3.2

non-HQLA non-exchange traded equities

 

 

 

 

 

 

100 %

 

 

 

 

 

 

0610

1.3.3

non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool

 

 

 

 

85 %

85 %

85 %

 

 

 

 

 

 

0620

1.4

RSF from loans

 

 

 

 

 

 

 

 

 

 

 

 

 

0630

1.4.1

operational deposits

 

 

 

 

50 %

50 %

100 %

 

 

 

 

 

 

0640

1.4.2

securities financing transactions with financial customers

 

 

 

 

 

 

 

 

 

 

 

 

 

0650

1.4.2.1

collateralized by level 1 assets eligible for 0 % LCR haircut

 

 

 

 

 

 

 

 

 

 

 

 

 

0660

1.4.2.1.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

0 %

50 %

100 %

 

 

 

 

 

 

0670

1.4.2.1.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

50 %

50 %

100 %

 

 

 

 

 

 

0680

1.4.2.1.3

encumbered for a residual maturity of one year or more

 

 

 

 

100 %

100 %

100 %

 

 

 

 

 

 

0690

1.4.2.2

collateralized by other assets

 

 

 

 

 

 

 

 

 

 

 

 

 

0700

1.4.2.2.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

5 %

50 %

100 %

 

 

 

 

 

 

0710

1.4.2.2.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

50 %

50 %

100 %

 

 

 

 

 

 

0720

1.4.2.2.3

encumbered for a residual maturity of one year or more

 

 

 

 

100 %

100 %

100 %

 

 

 

 

 

 

0730

1.4.3

other loans and advances to financial customers

 

 

 

 

10 %

50 %

100 %

 

 

 

 

 

 

0740

1.4.4

assets encumbered for a residual maturity of one year or morein cover pool

 

 

 

 

85 %

85 %

85 %

 

 

 

 

 

 

0750

1.4.5

loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35 % or less

 

 

 

 

 

 

 

 

 

 

 

 

 

0760

1.4.5.0.1

of which, residential mortgages

 

 

 

 

 

 

 

 

 

 

 

 

 

0770

1.4.5.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

50 %

50 %

65 %

 

 

 

 

 

 

0780

1.4.5.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

50 %

50 %

65 %

 

 

 

 

 

 

0790

1.4.5.3

encumbered for a residual maturity of one year or more

 

 

 

 

100 %

100 %

100 %

 

 

 

 

 

 

0800

1.4.6

other loans to non-financial customers other than central banks

 

 

 

 

 

 

 

 

 

 

 

 

 

0810

1.4.6.0.1

of which, residential mortgages

 

 

 

 

 

 

 

 

 

 

 

 

 

0820

1.4.6.1

unencumbered or encumbered for a residual maturity of less than one year

 

 

 

 

50 %

50 %

85 %

 

 

 

 

 

 

0830

1.4.6.2

encumbered for a residual maturity of one year or more

 

 

 

 

100 %

100 %

100 %

 

 

 

 

 

 

0840

1.4.7

trade finance on-balance sheet products

 

 

 

 

10 %

50 %

85 %

 

 

 

 

 

 

0850

1.5

RSF from interdependent assets

 

 

 

 

 

 

 

 

 

 

 

 

 

0860

1.5.1

centralised regulated savings

 

 

 

 

0 %

0 %

0 %

 

 

 

 

 

 

0870

1.5.2

promotional loans and credit and liquidity facilities

 

 

 

 

0 %

0 %

0 %

 

 

 

 

 

 

0880

1.5.3

eligible covered bonds

 

 

 

 

0 %

0 %

0 %

 

 

 

 

 

 

0890

1.5.4

derivatives client clearing activities

 

 

 

 

0 %

0 %

0 %

 

 

 

 

 

 

0900

1.5.5

others

 

 

 

 

0 %

0 %

0 %

 

 

 

 

 

 

0910

1.6

RSF from assets within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

 

 

 

 

 

 

 

0920

1.7

RSF from derivatives

 

 

 

 

 

 

 

 

 

 

 

 

 

0930

1.7.1

required stable funding for derivative liabilities

 

 

 

 

5 %

 

 

 

 

 

 

 

 

0940

1.7.2

NSFR derivative assets

 

 

 

 

100 %

 

 

 

 

 

 

 

 

0950

1.7.3

initial margin posted

 

 

 

 

85 %

85 %

85 %

85 %

 

 

 

 

 

0960

1.8

RSF from contributions to CCP default fund

 

 

 

 

85 %

85 %

85 %

85 %

 

 

 

 

 

0970

1.9

RSF from other assets

 

 

 

 

 

 

 

 

 

 

 

 

 

0980

1.9.1

physically traded commodities

 

 

 

 

 

 

 

 

 

 

 

 

 

0990

1.9.1.1

unencumbered or encumbered for a residual maturity of less than one year

 

 

 

 

 

 

85 %

 

 

 

 

 

 

1000

1.9.1.2

encumbered for a residual maturity of one year or more

 

 

 

 

 

 

100 %

 

 

 

 

 

 

1010

1.9.2

trade date receivables

 

 

 

 

0 %

 

 

 

 

 

 

 

 

1020

1.9.3

non-performing assets

 

 

 

 

100 %

100 %

100 %

 

 

 

 

 

 

1030

1.9.4

other assets

 

 

 

 

50 %

50 %

100 %

 

 

 

 

 

 

1040

1.10

RSF from OBS items

 

 

 

 

 

 

 

 

 

 

 

 

 

1050

1.10.1

committed facilities within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

 

 

 

 

 

 

 

1060

1.10.2

committed facilities

 

 

 

 

5 %

5 %

5 %

 

 

 

 

 

 

1070

1.10.3

trade finance off-balance sheet items

 

 

 

 

5 %

7.5 %

10 %

 

 

 

 

 

 

1080

1.10.4

non-performing off-balance sheet items

 

 

 

 

100 %

100 %

100 %

 

 

 

 

 

 

1090

1.10.5

other off-balance sheet exposures for which the competent authority has determined RSF factors

 

 

 

 

 

 

 

 

 

 

 

 

 



C 81.00 — NSFR — AVAILABLE STABLE FUNDING

Currency

Row

ID

Item

Amount

Standard ASF factor

Applicable ASF factor

Available stable funding

< 6 months

≥ 6 months to < 1 year

≥ 1 year

< 6 months

≥ 6 months to < 1 year

≥ 1 year

< 6 months

≥ 6 months to < 1 year

≥ 1 year

Total

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

2

AVAILABLE STABLE FUNDING

 

 

 

 

 

 

 

 

 

 

0020

2.1

ASF from capital items and instruments

 

 

 

 

 

 

 

 

 

 

0030

2.1.1

Common Equity Tier 1

 

 

 

 

 

100 %

 

 

 

 

0040

2.1.2

Additional Tier 1

 

 

 

0 %

0 %

100 %

 

 

 

 

0050

2.1.3

Tier 2

 

 

 

0 %

0 %

100 %

 

 

 

 

0060

2.1.4

Other capital instruments

 

 

 

0 %

0 %

100 %

 

 

 

 

0070

2.2

ASF from retail deposits

 

 

 

 

 

 

 

 

 

 

0080

2.2.0.1

of which, retail bonds

 

 

 

 

 

 

 

 

 

 

0090

2.2.1

Stable retail deposits

 

 

 

95 %

95 %

100 %

 

 

 

 

0100

2.2.0.2

of which with a material early withdrawable penalty

 

 

 

 

 

100 %

 

 

 

 

0110

2.2.2

Other retail deposits

 

 

 

90 %

90 %

100 %

 

 

 

 

0120

2.2.0.3

of which with a material early withdrawable penalty

 

 

 

 

 

100 %

 

 

 

 

0130

2.3

ASF from other non-financial customers (except central banks)

 

 

 

 

 

 

 

 

 

 

0140

2.3.0.1

of which, securities financing transactions

 

 

 

 

 

 

 

 

 

 

0150

2.3.0.2

of which, operational deposits

 

 

 

 

 

 

 

 

 

 

0160

2.3.1

Liabilities provided by the central government of a Member State or a third country

 

 

 

50 %

50 %

100 %

 

 

 

 

0170

2.3.2

Liabilities provided by regional governments or local authorities of a Member State or a third country

 

 

 

50 %

50 %

100 %

 

 

 

 

0180

2.3.3

Liabilities provided by public sector entities of a Member State or a third country

 

 

 

50 %

50 %

100 %

 

 

 

 

0190

2.3.4

Liabilities provided by multilateral development banks and international organisations

 

 

 

50 %

50 %

100 %

 

 

 

 

0200

2.3.5

Liabilities provided by non-financial corporate customers

 

 

 

50 %

50 %

100 %

 

 

 

 

0210

2.3.6

Liabilities provided by credit unions, personal investment companies and deposit brokers

 

 

 

50 %

50 %

100 %

 

 

 

 

0220

2.4

ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

 

 

 

 

0230

2.5

ASF from financial customers and central banks

 

 

 

 

 

 

 

 

 

 

0240

2.5.0.1

of which, sight deposits provided by network member to central institution

 

 

 

 

 

 

 

 

 

 

0250

2.5.1

Liabilities provided by the ECB or the central bank of a Member State

 

 

 

0 %

50 %

100 %

 

 

 

 

0260

2.5.2

Liabilities provided by the central bank of a third country

 

 

 

0 %

50 %

100 %

 

 

 

 

0270

2.5.3

Liabilities provided by financial customers

 

 

 

 

 

 

 

 

 

 

0280

2.5.3.1

Operational deposits

 

 

 

50 %

50 %

100 %

 

 

 

 

0290

2.5.3.2

Excess operational deposits

 

 

 

0 %

50 %

100 %

 

 

 

 

0300

2.5.3.3

Other liabilities

 

 

 

0 %

50 %

100 %

 

 

 

 

0310

2.6

ASF from liabilities provided where the counterparty cannot be determined

 

 

 

0 %

50 %

100 %

 

 

 

 

0320

2.7

ASF from net derivatives liabilities

 

 

 

0 %

0 %

0 %

 

 

 

 

0330

2.8

ASF from interdependent liabilities

 

 

 

 

 

 

 

 

 

 

0340

2.8.1

Centralised regulated savings

 

 

 

0 %

0 %

0 %

 

 

 

 

0350

2.8.2

Promotional loans and relevant credit and liquidity facilities

 

 

 

0 %

0 %

0 %

 

 

 

 

0360

2.8.3

Eligible covered bonds

 

 

 

0 %

0 %

0 %

 

 

 

 

0370

2.8.4

Derivatives client clearing activities

 

 

 

0 %

0 %

0 %

 

 

 

 

0380

2.8.5

Others

 

 

 

0 %

0 %

0 %

 

 

 

 

0390

2.9

ASF from other liabilities

 

 

 

 

 

 

 

 

 

 

0400

2.9.1

Trade date payables

 

 

 

0 %

0 %

0 %

 

 

 

 

0410

2.9.2

Deferred tax liabilities

 

 

 

0 %

50 %

100 %

 

 

 

 

0420

2.9.3

Minority interests

 

 

 

0 %

50 %

100 %

 

 

 

 

0430

2.9.4

Other liabilities

 

 

 

0 %

50 %

100 %

 

 

 

 



C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING

Currency

 

Amount

Standard RSF factor

Applicable RSF factor

Required stable funding

Non-HQLA by maturity

HQLA

Non-HQLA by maturity

HQLA

Non-HQLA by maturity

HQLA

< 1 year

≥ 1 year

< 1 year

≥ 1 year

< 1 year

≥ 1 year

Row

ID

Item

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

1

REQUIRED STABLE FUNDING

 

 

 

 

 

 

 

 

 

 

0020

1.1

RSF from central bank assets

 

 

 

 

 

 

 

 

 

 

0030

1.1.1

cash, reserves and HQLA exposures to central banks

 

 

 

0 %

0 %

0 %

 

 

 

 

0040

1.1.2

other non-HQLA central bank exposures

 

 

 

0 %

100 %

 

 

 

 

 

0050

1.2

RSF from liquid assets

 

 

 

 

 

 

 

 

 

 

0060

1.2.1

level 1 assets eligible for 0 % LCR haircut

 

 

 

 

 

 

 

 

 

 

0070

1.2.1.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

0 %

 

 

 

 

0080

1.2.1.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

50 %

 

 

 

 

0090

1.2.1.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

100 %

 

 

 

 

0100

1.2.2

level 1 assets eligible for 7 % LCR haircut

 

 

 

 

 

 

 

 

 

 

0110

1.2.2.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

10 %

 

 

 

 

0120

1.2.2.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

50 %

 

 

 

 

0130

1.2.2.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

100 %

 

 

 

 

0140

1.2.3

level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts

 

 

 

 

 

 

 

 

 

 

0150

1.2.3.1

unencumbered or encumbered for a residual maturity of less than six months

 

 

 

 

 

20 %

 

 

 

 

0160

1.2.3.2

encumbered for a residual maturity of at least six months but less than one year

 

 

 

 

 

50 %

 

 

 

 

0170

1.2.3.3

encumbered for a residual maturity of one year or more

 

 

 

 

 

100 %

 

 

 

 

0180

1.2.4

Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 30-55 % LCR haircuts

 

 

 

 

 

 

 

 

 

 

0190

1.2.4.1

unencumbered or encumbered for a residual maturity of less than one year

 

 

 

 

 

55 %

 

 

 

 

0200

1.2.4.2

encumbered for a residual maturity of one year or more

 

 

 

 

 

100 %

 

 

 

 

0210

1.3

RSF from securities other than liquid assets

 

 

 

 

 

 

 

 

 

 

0220

1.3.1

unencumbered or encumbered for a residual maturity of less than one year

 

 

 

50 %

85 %

 

 

 

 

 

0230

1.3.2

encumbered for a residual maturity of one year or more

 

 

 

100 %

100 %

 

 

 

 

 

0240

1.4

RSF from loans

 

 

 

 

 

 

 

 

 

 

0250

1.4.1

loans to non-financials

 

 

 

 

 

 

 

 

 

 

0260

1.4.1.1

unencumbered or encumbered for a residual maturity of less than one year

 

 

 

50 %

85 %

 

 

 

 

 

0270

1.4.1.2

encumbered for a residual maturity of one year or more

 

 

 

100 %

100 %

 

 

 

 

 

0280

1.4.2

loans to financials

 

 

 

 

 

 

 

 

 

 

0290

1.4.2.1

unencumbered or encumbered for a residual maturity of less than one year

 

 

 

50 %

100 %

 

 

 

 

 

0300

1.4.2.2

encumbered for a residual maturity of one year or more

 

 

 

100 %

100 %

 

 

 

 

 

0310

1.4.3

trade finance on-balance sheet products

 

 

 

50 %

85 %

 

 

 

 

 

0320

1.5

RSF from interdependent assets

 

 

 

0 %

0 %

 

 

 

 

 

0330

1.6

RSF from assets within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

 

 

 

 

0340

1.7

RSF from derivatives

 

 

 

 

 

 

 

 

 

 

0350

1.7.1

required stable funding for derivative liabilities

 

 

 

5 %

 

 

 

 

 

 

0360

1.7.2

NSFR derivative assets

 

 

 

100 %

 

 

 

 

 

 

0370

1.7.3

Initial margin posted

 

 

 

85 %

85 %

85 %

 

 

 

 

0380

1.8

RSF from contributions to CCP default fund

 

 

 

 

 

 

 

 

 

 

0390

1.9

RSF from other assets

 

 

 

100 %

100 %

 

 

 

 

 

0400

1.10

RSF from OBS items

 

 

 

 

 

 

 

 

 

 

0410

1.10.1

committed facilities within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

 

 

 

 

0420

1.10.2

commited facilities

 

 

 

5 %

5 %

 

 

 

 

 

0430

1.10.3

trade finance off-balance sheet items

 

 

 

10 %

10 %

 

 

 

 

 

0440

1.10.4

non-performing off-balance sheet items

 

 

 

100 %

100 %

 

 

 

 

 

0450

1.10.5

other off-balance sheet exposures determined by competent authorities

 

 

 

 

 

 

 

 

 

 



C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING

Currency

Row

ID

Item

Amount

Standard ASF factor

Applicable ASF factor

Available stable funding

< 1 year

≥ 1 year

< 1 year

≥ 1 year

< 1 year

≥ 1 year

0010

0020

0030

0040

0050

0060

0070

0010

2

AVAILABLE STABLE FUNDING

 

 

 

 

 

 

 

0020

2.1

ASF from capital items and instruments

 

 

0 %

100 %

 

 

 

0030

2.2

ASF from retail deposits

 

 

 

 

 

 

 

0040

2.2.1

Stable retail deposits

 

 

95 %

100 %

 

 

 

0050

2.2.2

Other retail deposits

 

 

90 %

100 %

 

 

 

0060

2.3

ASF from other non-financial customers (except central banks)

 

 

50 %

100 %

 

 

 

0070

2.4

ASF from operational deposits

 

 

50 %

100 %

 

 

 

0080

2.5

ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

 

0090

2.6

ASF from financial customers and central banks

 

 

0 %

100 %

 

 

 

0100

2.7

ASF from liabilities provided where the counterparty cannot be determined

 

 

0 %

100 %

 

 

 

0110

2.8

ASF from interdependent liabilities

 

 

0 %

 

 

 

 

0120

2.9

ASF from other liabilities

 

 

0 %

100 %

 

 

 



C 84.00 — NSFR Summary

Currency

Row

ID

Item

Amount

Required stable funding

Available stable funding

Ratio

0010

0020

0030

0040

0010

1

REQUIRED STABLE FUNDING

 

 

 

 

0020

1.1

RSF from central bank assets

 

 

 

 

0030

1.2

RSF from liquid assets

 

 

 

 

0040

1.3

RSF from securities other than liquid assets

 

 

 

 

0050

1.4

RSF from loans

 

 

 

 

0060

1.5

RSF from interdependent assets

 

 

 

 

0070

1.6

RSF from assets within a group or an IPS if subject to preferential treatment

 

 

 

 

0080

1.7

RSF from derivatives

 

 

 

 

0090

1.8

RSF from contributions to CCP default fund

 

 

 

 

0100

1.9

RSF from other assets

 

 

 

 

0110

1.10

RSF from OBS items

 

 

 

 

0120

2

AVAILABLE STABLE FUNDING

 

 

 

 

0130

2.1

ASF from capital items and instruments

 

 

 

 

0140

2.2

ASF from retail deposits

 

 

 

 

0150

2.3

ASF from other non-financial customers (except central banks)

 

 

 

 

0160

2.4

ASF from operational deposits

 

 

 

 

0170

2.5

ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment

 

 

 

 

0180

2.6

ASF from financial customers and central banks

 

 

 

 

0190

2.7

ASF from liabilities provided where the counterparty cannot be determined

 

 

 

 

0200

2.8

ASF from interdependent liabilities

 

 

 

 

0210

2.9

ASF from other liabilities

 

 

 

 

0220

3

NSFR

 

 

 

 

▼B



ANNEX XIII

INSTRUCTIONS FOR REPORTING ON STABLE FUNDING

PART I: GENERAL INSTRUCTIONS

PART II: REQUIRED STABLE FUNDING

1.

Specific remarks

2.

Instructions concerning specific columns

3.

Instructions concerning specific rows

PART III: AVAILABLE STABLE FUNDING

1.

Specific remarks

2.

Instructions concerning specific columns

3.

Instructions concerning specific rows

PART IV: SIMPLIFIED REQUIRED STABLE FUNDING

1.

Specific remarks

2.

Instructions concerning specific columns

3.

Instructions concerning specific rows

PART V: SIMPLIFIED AVAILABLE STABLE FUNDING

1.

Specific remarks

2.

Instructions concerning specific columns

3.

Instructions concerning specific rows

PART VI: SUMMARY NSFR

1.

Specific remarks

2.

Instructions concerning specific columns

3.

Instructions concerning specific rows

PART I: GENERAL INSTRUCTIONS

1. This annex covers instructions for the net stable funding ratio (NSFR) templates, which contains information about required and available stable funding items, for the purpose of reporting the NSFR as specified in Title IV of Part Six of Regulation (EU) No 575/2013 (CRR). Items that do not need to be completed by institutions are coloured grey.

2. In accordance with Article 415(1) CRR, institutions shall report the template in the reporting currency, regardless of the actual denomination of assets, liabilities and off-balance sheet items. Institutions shall separately report the template in the corresponding currencies in accordance with Article 415(2) CRR.

3. With regard to the calculation of the NSFR, the CRR refers to stable funding factors. The word ‘factor’ in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount, i.e. the value referred to in Article 428c(2) CRR.

4. In order to avoid any double counting, institutions shall not report assets or liabilities that are associated with collateral posted or received as variation margin in accordance with Article 428k(4) CRR and Article 428ah(2) CRR, initial margin and contribution to the default fund of a CCP in accordance point (a) of Article 428ag and point (b) of Article 428ag CRR.

5. Items provided by and extended to members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential treatment according to Article 428h CRR shall be reported in a separate category. Deposits maintained in the context of an institutional protection scheme or a cooperative network considered as liquid assets shall be reported as liquid assets in accordance with Article 428g CRR. Other items within a group or an institutional protection scheme shall be reported in the relevant categories.

6. For reporting purposes, in the columns referred as “Amount” the accounting value shall always be reported, except for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) CRR.

7. For the purposes of reporting by currency subject to separate reporting as envisaged in Article 415(2) CRR, as regards derivatives as envisaged in Article 428d(4) CRR, institutions shall calculate the fair value for each netting set in its settlement currency. For all netting sets with matching settlement currencies a net amount shall be calculated in accordance with Articles 428k(4) and 428ah(2) CRR, and reported in the relevant currency subject to separate reporting. In this context, settlement currency shall be understood as the currency in which the settlement of a netting set has been agreed. Netting set refers to the group of receivables and payables stemming from derivatives transactions with a counterparty irrespective of whether they are denominated in a different currency to the settlement currency. In the case of multi-currency optionality, the credit institution shall make an assessment of the currency in which the settlement is likely to occur and shall report only in that separate currency.

8. The amount of assets and liabilities resulting from securities financing transactions (SFTs) with a single counterparty and the same type of collateral underlying (level 1 or non-level 1 liquid assets) pursuant to the delegated act referred to in Article 460(1) of CRR shall be reported on a net basis where Article 428e of CRR applies.. In the case of SFTs with collateral baskets underlying, the less liquid collateral within those pool of collateral shall be understood to be first pledged.

9. In accordance with Article 428ai CRR, small and non-complex institutions may choose, with the prior permission of their competent authority, to calculate their NSFR in accordance with the simplified methodology set out in Chapters 6-7 of Title IV of Part Six CRR. Institutions that use this simplified methodology for the calculation of the net stable funding ratio shall use the reporting templates C 82.00 and C 83.00. All other institutions shall use the reporting templates C 80.00 and C 81.00. All institutions shall report the reporting template C 84.00.

PART II: REQUIRED STABLE FUNDING

1.    Specific remarks

10. Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be reported even if these assets are accounted for in their balance sheet. In the case of reverse repos, where the assets borrowed are not accounted for on balance sheet but the bank that received them has their beneficial ownership, the cash leg, or the collateral leg if a higher RSF factor applies, will be reported only.

11. In accordance with Article 428p CRR, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet items by the required stable funding factors.

12. Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity.

13. All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428q CRR. The maturity buckets of the amounts, standard factors and applicable factors are the following:

i. 

Residual maturity of less than six months or without stated maturity;

ii. 

Residual maturity of a minimum of six months but less than one year;

iii. 

Residual maturity of one year or more.

14. In accordance with Article 428q(3) CRR, when calculating the residual maturity of non-HQLA assets and off-balance sheet items, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the asset's maturity. For options exercisable at the discretion of the institution, the institution and competent authority shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular considering markets’ and clients’ expectations that the institution should extend the maturity of certain assets at their maturity date.

15. For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in accordance with paragraphs (4), (5) and (6) of Article 428pCRR.

16. The decision tree for the reporting template C 80.00 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, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals, subtotals and “of which” items; this however does not mean that they shall not be reported as well.

17. As specified under Article 428p(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot mature without the institution returning the asset borrowed. The residual maturity of this encumbrance shall be the higher between: i) the residual maturity of the transaction where the assets were borrowed and ii) the residual maturity of the transaction where the assets were re-pledged.



#

Item

Decision

Action

1

Netting sets of derivative contracts with a negative fair value gross of collateral posted or settlement payments and receipts related to market valuation changes of these contracts?

Yes

ID 1.7.1

No

# 2

2

An asset or an off-balance sheet item posted as initial margin for derivatives?

Yes

ID 1.7.3

No

# 3

3

An asset or an off-balance sheet item posted as contribution to CCP default fund?

Yes

ID 1.8

No

# 4

4

An item on which the institution retains beneficial ownership?

Yes

# 5

No

# 23

5

An asset associated with collateral posted as variation margin for derivatives?

Yes

Do not report.

No

# 6

6

Non-performing assets or defaulted securities?

Yes

ID 1.9.3

No

# 7

7

Trade date receivables?

Yes

ID 1.9.2

No

# 8

8

Interdependent assets?

Yes

Allocate into one relevant item of ID 1.5

No

# 9

9

Assets within a group or an IPS for which the competent authority has granted the preferential treatment?

Yes

ID 1.6

No

# 10

10

Central bank assets?

Yes

Allocate into one relevant item of ID 1.1

No

# 11

11

Liquid assets?

Yes

# 12

No

# 13

12

Liquid assets encumbered for a residual maturity of one year or more in a cover pool?

Yes

ID 1.2.13

No

Allocate into one relevant item of ID 1.2.1 to 1.2.12

13

Non-liquid asset securities?

Yes

Allocate into one relevant item of ID 1.3

No

# 14

14

Trade finance on-balance sheet products?

Yes

ID 1.4.7

No

# 15

15

NSFR derivative assets?

Yes

ID 1.7.2

No

# 16

16

Loans?

Yes

# 17

No

# 21

17

Loans encumbered for a residual maturity of one year or more in a cover pool?

Yes

ID 1.4.4

No

# 18

18

Loans classified as operational deposits?

Yes

ID 1.4.1

No

# 19

19

Securities financing transactions with financial customers?

Yes

Allocate into one relevant item of ID 1.4.2.

No

# 20

20

Other loans and advances to financial customers?

Yes

ID 1.4.3

No

Allocate into one relevant item of ID 1.4.5 or 1.4.6.

21

Physically traded commodities?

Yes

Allocate into one relevant item of ID 1.9.1

No

# 22

22

Any other asset not considered in the above categories?

Yes

ID 1.9.4

No

Do not report.

23

An off-balance sheet exposure?

Yes

# 24

No

Do not report.

24

Non-performing exposure?

Yes

ID 1.10.4

No

# 25

25

Committed facilities?

Yes

# 26

No

# 27

26

Committed facilities for which the competent authority has granted the preferential treatment?

Yes

ID 1.10.1

No

ID 1.10.2

27

Trade finance off-balance sheet item?

Yes

ID 1.10.3

No

# 28

28

Other off-balance sheet exposure for which the competent authority has determined the RSF factor?

Yes

ID 1.10.5

No

Do not report.

2.    Instructions concerning specific columns



Column

Legal references and instructions

0010-0030

Amount of non-HQLA

Institutions shall report in columns 0010-0030 the amount, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, of the assets and off-balance sheet items referred to in Section 2 of Chapter 4 of Title IV of Part Six CRR for each maturity bucket.

The amount shall be reported in columns 0010-0030 when the corresponding item is not eligible as liquid asset pursuant to the Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

0040

Amount of HQLA

See instructions in columns 0010-0030.

The amount shall be reported in column 0040 when the corresponding item is eligible as high-quality liquid asset pursuant to the Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

0050-0080

Standard RSF factor

Section 2 of Chapter 4 of Title IV of Part Six CRR

The standard factors in columns 0050-0080 are those specified in Chapter 4 of Title IV of Part Six CRR by default that would determine the part of the amount of the assets and off-balance sheet items that is required stable funding. They are provided for information only and are not meant to be filled in by institutions.

0090-0120

Applicable RSF factor

Section 2 of Chapter 4 of Title IV of Part Six CRR

Institutions shall report in columns 0090-0120 the applicable factor applied to items in Chapter 4 of Title IV of Part Six CRR. Applicable factors 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 factors may reflect, but are not limited to, firm-specific and national discretions.

0130

Required stable funding:

Institutions shall report in Column 0130 the required stable funding in accordance with Chapter 4 of Title IV of Part Six CRR.

This shall be calculated using the following formula:

c0130 = SUM{(c0010 * c 0090), (c0020 * c 0100), (c0030 * c 0110), (c0040 * c 0120)}.

3.    Instructions concerning specific rows



Row

Legal references and instructions

0010

1  REQUIRED STABLE FUNDING

Chapter 4 of Title IV of Part Six CRR

Institutions shall report here items subject to the required stable funding in accordance with Chapter 4 of Title IV of Part Six CRR.

0020

1.1  RSF from central bank assets

Points (c) and (d) of Article 428r(1) and point (d) of Article 428ad CRR

Institutions shall report here central bank assets.

A reduced RSF factor may apply in accordance with Article 428p(7) CRR.

0030

1.1.1  cash, reserves and HQLA exposures to central banks

Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions shall also report here any other exposures to central banks that are considered as liquid assets pursuant to the Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 shall be reported in the relevant non-HQLA column.

0040

1.1.1.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.1.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0050

1.1.1.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0060

1.1.1.3  encumbered for a residual maturity of one year or more

The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of one year or more

0070

1.1.2  other non-HQLA central bank exposures

Institutions shall report here any other claims on central banks other than those reported under item 1.1.1.

0080

1.2  RSF from liquid assets

Points (a) and (b) of Article 428r(1) to Article 428ae CRR

Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

0090

1.2.1  level 1 assets eligible for 0 % LCR haircut

Institutions shall report here assets that are eligible as level 1 liquid assets and shares or units in CIUs that are eligible for a 0 % haircut pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0100

1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0110

1.2.1.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0120

1.2.1.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of one year or more

0130

1.2.2  level 1 assets eligible for 5 % LCR haircut

Institutions shall report here shares or units in CIUs that are eligible for a 5 % haircut pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0140

1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0150

1.2.2.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0160

1.2.2.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of one year or more

0170

1.2.3  level 1 assets eligible for 7 % LCR haircut

Institutions shall report here assets that are eligible as level 1 extremely high quality covered bonds pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool of funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0180

1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.3 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0190

1.2.3.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0200

1.2.3.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of one year or more

0210

1.2.4  level 1 assets eligible for 12 % LCR haircut

Institutions shall report here shares or units in CIUs that are eligible for a 12 % haircut pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0220

1.2.4.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0230

1.2.4.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0240

1.2.4.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.4 that is encumbered for a residual maturity of one year or more

0250

1.2.5  level 2A assets eligible for 15 % LCR haircut

Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0260

1.2.5.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0270

1.2.5.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.5 that is encumbered for a residual maturity of at least six months but less than one year

0280

1.2.5.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of one year or more

0290

1.2.6  level 2A assets eligible for 20 % LCR haircut

Institutions shall report here shares or units in CIUs that are eligible for a 20 % haircut pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0300

1.2.6.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.6 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0310

1.2.6.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0320

1.2.6.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of one year or more

0330

1.2.7  level 2B securitizations eligible for 25 % LCR haircut

Institutions shall report here level 2B securitizations that are eligible for a 25 % haircut pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0340

1.2.7.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.7 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0350

1.2.7.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0360

1.2.7.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of one year or more

0370

1.2.8  level 2B assets eligible for 30 % LCR haircut

Institutions shall report here high quality covered bonds and shares or units in CIUs that are eligible for a 30 % haircut pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0380

1.2.8.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.8 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0390

1.2.8.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0400

1.2.8.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of one year or more

0410

1.2.9  level 2B assets eligible for 35 % LCR haircut

Institutions shall report here level 2B securitizations and shares or units in CIUs that are eligible for a 35 % haircut pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0420

1.2.9.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.9 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0430

1.2.9.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0440

1.2.9.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of one year or more

0450

1.2.10  level 2B assets eligible for 40 % LCR haircut

Institutions shall report here shares or units in CIUs that are eligible for a 40 % haircut pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0460

1.2.10.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.10 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0470

1.2.10.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0480

1.2.10.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of one year or more

0490

1.2.11  level 2B assets eligible for 50 % LCR haircut

Institutions shall report here level 2B assets pursuant to Delegated Regulation (EU) 2015/61, excluding level 2B securitizations and high quality covered bonds.

Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0500

1.2.11.1  unencumbered or encumbered for a residual maturity of less than one year

The amount reported under 1.2.11 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

0510

1.2.11.2  encumbered for a residual maturity of one year or more

The amount reported under 1.2.11 that is related to assets that are encumbered for a residual maturity of one year or more

0520

1.2.12  level 2B assets eligible for 55 % LCR haircut

Institutions shall report here shares or units in CIUs that are eligible for a 55 % haircut pursuant to Delegated Regulation (EU) 2015/61.

Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

0530

1.2.12.1  unencumbered or encumbered for a residual maturity of less than one year

The amount reported under 1.2.12 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

0540

1.2.12.2  encumbered for a residual maturity of one year or more

The amount reported under 1.2.12 that is related to assets that are encumbered for a residual maturity of one year or more

0550

1.2.13  HQLAs encumbered for a residual maturity of one year or more in a cover pool

Point (h) of Article 428ag CRR; the amount reported in 1.2 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR

0560

1.3  RSF from securities other than liquid assets

Points (e) and (f) of Article 428ag CRR

Institutions shall report here securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements laid down therein.

0570

1.3.1  non-HQLA securities and exchange traded equities

Points (e) and (f) of Article 428ag and point (b) of Article 428ah(1) CRR

The amount reported in 1.3 that is related to non-HQLA securities other than non-exchange traded equities, excluding the securities reported under item 1.3.3. Exchange traded equities shall be reported in the one or more than one year time bucket.

0580

1.3.1.1  unencumbered or encumbered for a residual maturity of less than one year

The amount reported under 1.3.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

0590

1.3.1.2  encumbered for a residual maturity of one year or more

The amount reported under 1.3.1 that is related to assets that are encumbered for a residual maturity of one year or more

0600

1.3.2  non-HQLA non-exchange traded equities

Point (b) of Article 428ah(1) CRR;The amount reported under 1.3 that is related to non-exchange traded equity, excluding the securities reported under item 1.3.3.

0610

1.3.3  non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool

Point (h) of Article 428ag CRR; the amount reported under 1.3 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR

0620

1.4  RSF from loans

Institutions shall report here monies due from loans that are not in default in accordance with Article 178 CRR.

As specified under Article 428q(4) CRR, for amortizing loans with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year respectively.

0630

1.4.1  Operational deposits

Point (b) of Article 428ad and point (b) of article 428ah(1) CRR; the amount reported under 1.4 that is related to deposits that are operational pursuant to Delegated Regulation (EU) 2015/61

0640

1.4.2  securities financing transactions with financial customers

Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported under 1.4 that is related to monies due from securities financing transactions with financial customers

0650

1.4.2.1  collateralized by level 1 assets eligible for 0 % LCR haircut

Point (g) of Article 428r(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the amount reported under 1.4.2 that is related to transactions collateralized by level 1 assets eligible for 0 % haircut pursuant to Delegated Regulation (EU) 2015/61

0660

1.4.2.1.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.4.2.1 related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0670

1.4.2.1.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0680

1.4.2.1.3  encumbered for a residual maturity of one year or more

The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity of one year or more

0690

1.4.2.2  collateralized by other assets

Point (b) of Article 428s(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the amount reported under 1.4.2 that is related to transactions that are collateralized by assets other than level 1 assets eligible for 0 % haircut pursuant to Delegated Regulation (EU) 2015/61

0700

1.4.2.2.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.4.2.2 related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0710

1.4.2.2.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0720

1.4.2.2.3  encumbered for a residual maturity of one year or more

The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity of one year or more

0730

1.4.3  other loans and advances to financial customers

Point (a) of Articles 428v and point (d)(iii) of Article 428ad CRR; the amount reported under 1.4 arising from other loans and advances to financial customers not reported under 1.4.1 and 1.4.2

0740

1.4.4  assets encumbered for a residual maturity of one year or more in a cover pool

Point (h) of Article 428ag CRR; the amount reported under 1.4 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR

0750

1.4.5  loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35 % or less

Point (c) of Articles 428ad and Article 428af CRR; the amount reported under 1.4 that is related to loans secured by mortgages on residential property or residential loans fully guaranteed by an eligible protection provider as referred to in point (e) of Article 129(1) CRR or loans, excluding loans to financial customers and loans referred to in Articles 428r to 428ad CRR, provided that those loans are assigned a risk weight of 35 % or less in accordance with Chapter 2 of Title II of Part Three CRR

0760

1.4.5.0.1.  of which, residential mortgages

The amount reported under 1.4.5 that is related to exposures secured by mortgages on residential property

0770

1.4.5.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.4.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0780

1.4.5.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0790

1.4.5.3  encumbered for a residual maturity of one year or more

The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of one year or more

0800

1.4.6  other loans to non-financial customers other than central banks

Point (c) of Article 428ad and point (c) of 428ag CRR; the amount reported under 1.4.5 that is related to loans to non-financial customers other than central banks with a risk weight of more than 35 % in accordance with Chapter 2 of Title II of Part Three CRR

0810

1.4.6.0.1  of which, residential mortgages

The amount reported under 1.4.6 that is related to exposures secured by mortgages on residential property

0820

1.4.6.1  unencumbered or encumbered for a residual maturity of less than one year

The amount reported under 1.4.6 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

0830

1.4.6.2  encumbered a residual maturity of one year or more

The amount reported under 1.4.6 that is related to assets that are encumbered for a residual maturity of one year or more

0840

1.4.7  trade finance on-balance sheet products

Point (b) of Article 428v, point (e) of Article 428ad and point (d) of Article 428ag CRR; the amount related to trade finance on-balance sheet related products

0850

1.5  RSF from interdependent assets

Article 428f and point (f) of Article 428r(1) CRR

Institutions shall report here assets that are interdependent with liabilities in accordance with Article 428f CRR.

0860

1.5.1  centralised regulated savings

Point (a) of Article 428f(2) CRR; the amount reported under 1.5 that is related to centralized regulated savings

0870

1.5.2  promotional loans and credit and liquidity facilities

Point (b) of Article 428f(2) CRR; the amount reported under 1.5 that is related to promotional loans and credit and liquidity facilities

0880

1.5.3  eligible covered bonds

Point (c) of Article 428f(2) CRR; the amount reported under 1.5 that is related to eligible covered bonds

0890

1.5.4  derivatives client clearing activities

Point (d) of Article 428f(2) CRR; the amount reported under 1.5 that is related to derivative client clearing activities

0900

1.5.5  other

Article 428f(1) CRR; the amount reported under 1.5 that is related to assets not referred to in items 1.5.1 to 1.5.4

0910

1.6  RSF from assets within a group or an IPS if subject to preferential treatment

Institutions shall report here assets authorized by competent authorities for the preferential treatment in accordance with Article 428h CRR.

0920

1.7  RSF from derivatives

Article 428d, Article 428s(2), point (a) of Article 428ag and Article 428ah(2) CRR

Institutions shall report here the amount of required stable funding arising from derivatives.

0930

1.7.1  required stable funding for derivative liabilities

The amount reported under 1.7 that is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428s(2) CRR

0940

1.7.2  NSFR derivative assets

Articles 428d CRR; the amount reported under 1.7 that is calculated as the positive difference between netting sets calculated in accordance with Article 428ah(2) CRR

0950

1.7.3  initial margin posted

Point (a) of Article 428ag CRR; the amount reported under 1.7 that is related to initial margin for derivative contracts

0960

1.8  RSF from contributions to CCP default fund

Point (b) of Article 428ag CRR

Institutions shall report here items posted as contribution to the default fund of a CCP.

0970

1.9  RSF from other assets

Institutions shall report here any asset not referred to in items 1.1 to 1.8.

0980

1.9.1  physically traded commodities

Point (g) of Article 428ag CRR; the amount reported under 1.9 that is related to physically traded commodities

This item shall not include commodity derivatives that fall under item 1.7.

0990

1.9.1.1  unencumbered or encumbered for a residual maturity of less than one year

The amount reported under 1.9.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

1000

1.9.1.2  encumbered for a residual maturity of one year or more

The amount reported under 1.9.1 that is related to assets that are encumbered for a residual maturity of one year or more

1010

1.9.2  trade date receivables

Point (e) of Article 428r(1) CRR; the amount reported under 1.9 that is related to trade date receivables

1020

1.9.3  non-performing assets

Point (b) of Article 428ah(1) CRR; the amount reported in 1.9 that is related to non-performing assets

1030

1.9.4  other assets

Point (b) of Article 428ah(1) CRR; the amount reported under 1.9 that is related to assets that are not referred to in items 1.9.1 to 1.9.3

1040

1.10  RSF from OBS items

Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.9 that are subject to the required stable funding requirements

1050

1.10.1  committed facilities within a group or an IPS if subject to preferential treatment

The amount reported under 1.10 that is related to committed facilities authorized by competent authorities for the preferential treatment in accordance with Article 428h CRR

1060

1.10.2  committed facilities

Point (c) of Article 428s(1) CRR; the amount reported under 1.10 that is related to committed facilities in accordance with Delegated Regulation (EU) 2015/61 that are not reported under item 1.9.1

1070

1.10.3  trade finance off-balance sheet items

Point (d) of Article 428s(1), Article 428u and point (c) of Article 428v CRR; the amount reported under 1.10 that is related to trade finance off-balance sheet related product as referred to in Annex I CRR

1080

1.10.4  non-performing off-balance sheet items

Point (b) of Article 428ah(1) CRR; the amount reported under 1.10 that is related to non-performing off-balance sheet exposures

1090

1.10.5  other off-balance sheet exposures for which the competent authority has determined RSF factors

The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority has determined RSF factors in accordance with Article 428p(10) CRR

PART III: AVAILABLE STABLE FUNDING

1.    Specific remarks

18. All liabilities and own funds shall be reported with a breakdown by their residual maturity in accordance with Article 428j CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and applicable ASF factors are the following:

i. 

Residual maturity of less than six months or without stated maturity;

ii. 

Residual maturity of a minimum of six months but less than one year;

iii. 

Residual maturity of one year or more.

19. All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise specified in Articles 428k to 428n CRR, in accordance with Article 428o CRR.

20. All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than six months.

21. According to Article 428j(2) CRR, institutions shall take into account existing options to determine the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution’s ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity.

22. Furthermore, as established in Article 428o CRR, additional Tier 1 items, Tier 2 items and any other capital instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than one year shall not receive a 100 % ASF factor.

23. According to Article 428j(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 21, institutions shall not take into account options for early withdrawals, where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty as laid down in Article 25(4) of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits.

24. The decision tree for reporting template C 81.00 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, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals, subtotals and “of which” items; this however does not mean that they shall not be reported as well.



#

Item

Decision

Action

1

Common Equity Tier 1capital?

Yes

ID 2.1.1

No

# 2

2

Additional Tier 1 capital?

Yes

ID 2.1.2

No

# 3

3

Tier 2 capital?

Yes

ID 2.1.3

No

# 4

4

Other capital instruments?

Yes

ID 2.1.4

No

# 5

5

A liability associated with collateral received as variation margin for derivatives?

Yes

Do not report.

No

# 6

6

Trade date payables?

Yes

ID 2.9.1

No

# 7

7

Interdependent liability?

Yes

Allocate into one relevant item of ID 2.8

No

# 8

8

Liabilities and committed facilities within a group or an IPS for which the competent authority has granted a preferential treatment?

Yes

ID 2.4

No

# 9

9

NSFR derivative liabilities?

Yes

ID 2.7

No

# 10

10

Deferred tax liabilities?

Yes

ID 2.9.2

No

# 11

11

Minority interests?

Yes

ID 2.9.3

No

# 12

12

Stable retail deposits?

Yes

ID 2.2.1

No

# 13

13

Other retail deposits?

Yes

ID 2.2.2

No

# 14

14

Liabilities where the counterparty cannot be determined?

Yes

ID 2.6

No

# 15

15

Liabilities provided by central banks?

Yes

Allocate into ID 2.5.1 or 2.5.2

No

# 16

16

Liabilities provided by financial customers?

Yes

Allocate into one relevant item of ID 2.5.3

No

# 17

17

Liabilities from non-financial customers other than central banks?

Yes

Allocate into relevant item of ID 2.3

No

# 18

18

Any other liabilities not considered in the above categories?

Yes

ID 2.9.4

No

Do not report.

2.    Instructions concerning specific columns



Column

Legal references and instructions

0010-0030

Amount

Institutions shall report in columns 0010-0030 the amount of liabilities and own funds allocated to the applicable residual maturity bucket.

0040-0060

Standard ASF factor

The standard factors in columns 0040-0060 are those specified in Chapter 3 of Title IV of Part Six CRR by default that would determine the part of the amount of the liabilities and own funds that constitutes available stable funding. They shall be provided for information only and are not meant to be filled in by institutions.

0070-0090

Applicable ASF factor

Chapter 2 and Chapter 3 of Title IV of Part Six CRR.

Institutions shall report in columns 0070-0090 the applicable ASF factors in Chapter 3 of Title IV of Part Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine the amount of the relevant available stable funding. Applicable factors 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 factors may reflect, but are not limited to, firm-specific and national discretions.

0100

Available Stable Funding

Institutions shall report in column 0100 the value of the available stable funding in accordance with the definition set out in Article 428i CRR.

This shall be calculated using the following formula:

c0100 = SUM{(c0010 * c 0070), (c0020 * c 0080), (c0030 * c 0090)}.

3.    Instructions concerning specific rows



Row

Legal references and instructions

0010

2.  AVAILABLE STABLE FUNDING

Chapter 3 of Title IV of Part Six CRR

0020

2.1  ASF from capital items and instruments

Institutions shall report here the sum of items reported under 2.1.1 to 2.1.4.

0030

2.1.1  Common Equity Tier 1

Point (a) of Article 428o CRR; Common Equity Tier 1 items before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR

0040

2.1.2  Additional Tier 1

Point (b) of Article 428o and point (d) of Article 428k(3) CRR; additional Tier 1 items before the application of the deductions and exemptions stipulated in Articles 56 and 79 CRR.

0050

2.1.3  Tier 2

Point (c) of Article 428o and point (d) of Article 428k(3) CRR; Tier 2 items before the application of the deductions and exemptions stipulated in Articles 66 and 79 CRR and having a residual maturity of one year or more at the reporting reference date

0060

2.1.4  Other capital instruments

Point (d) of Article 428o and point (d) of Article 428k(3) CRR; other capital instruments with a residual maturity of one year or more at the reporting reference date

0070

2.2.  ASF from retail deposits

Institutions shall report here the sum of items reported under 2.2.1 and 2.2.2. This item includes both unsecured and secured liabilities.

0080

2.2.0.1  of which, retail bonds

Article 428i CRR

Institutions shall report here bonds and other debt securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds shall be reported also within the corresponding category of retail deposits as “stable retail deposits” or “other retail deposits” under items 2.2.1 and 2.2.2 respectively.

0090

2.2.1.  Stable retail deposits

Article 428n CRR

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 fulfill 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 “other retail deposits”; or

These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as “other retail deposits”.

0100

2.2.0.2  of which with a material early withdrawable penalty

Article 428j(3) CRR

Stable retail deposits that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61.

0110

2.2.2  Other retail deposits

Article 428m CRR

Institutions shall report the amount of other retail deposits than those captured as “stable retail deposits” under item 2.2.1.

0120

2.2.0.3  of which with a material early withdrawable penalty

‘Other retail deposits’ that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61

0130

2.3  ASF from other non-financial customers (except central banks)

Article 428l CRR; liabilities provided by wholesale non-financial customers (except central banks)

Institutions shall report here the sum of items under 2.3.1 to 2.3.6.

0140

2.3.0.1  of which, securities financing transactions

Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported under 2.3 that is related to monies due from securities financing transactions with non-financial customers

0150

2.3.0.2  of which, operational deposits

The amount reported under 2.3 that is provided in the form of operational deposits and is required for the provision of operational services as set out in Article 27 of Delegated Regulation (EU) 2015/61

0160

2.3.1  Liabilities provided by the central government of a Member State or a third country

Point (b)(i) of Article 428l CRR; the amount reported under 2.3 that is provided by the central government of a Member State or a third country

0170

2.3.2  Liabilities provided by regional governments or local authorities of a Member State or a third country

Point (b)(ii) of Article 428l CRR; the amount reported under 2.3 that is provided by regional governments or local authorities of a Member State or a third country

0180

2.3.3  Liabilities provided by public sector entities of a Member State or a third country

Point (b)(iii) of Article 428l CRR; the amount reported under 2.3 that is provided by public sector entities of a Member State or a third country

0190

2.3.4  Liabilities provided by multilateral development banks and international organisations

Point (b)(iv) of Article 428l CRR; the amount reported under 2.3 that is provided by multilateral development banks and international organisations

0200

2.3.5  Liabilities provided by non-financial corporate customers

Point (b)(v) of Article 428l CRR; the amount reported under 2.3 that is provided by non-financial corporate customers

0210

2.3.6  Liabilities provided by credit unions, personal investment companies and deposit brokers

Point (b)(vi) of Article 428l CRR; the amount reported under 2.3 that is provided by credit unions, personal investment companies and deposit brokers

0220

2.4  ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment

Article 428h CRRInstitutions shall report here liabilities and committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR.

0230

2.5  ASF from financial customers and central banks

Institutions shall report here the sum of items reported under 2.5.1 to 2.5.3.

0240

2.5.0.1  of which sight deposits provided by network member to central institution

Article 428g CRR

Central institutions in an IPS or in cooperative networks shall report the sight deposits received by institutions belonging to that IPS or cooperative network that are treated as liquid assets by the depositing institution in accordance with Article 16 of Delegated Regulation (EU) 2015/61.

0250

2.5.1  Liabilities provided by the ECB or the central bank of a Member State

Point (c)(i) of Article 428k(3) and point (c)(i) of Article 428l CRR; liabilities provided by the ECB or the central bank of a Member State irrespective of whether or not they are related to securities financing transactions

0260

2.5.2  Liabilities provided by the central bank of a third country

Point (c)(ii) of Article 428k(3) and point (c)(ii) of Article 428l CRR; liabilities provided by the central bank of a third country irrespective of whether or not they are related to securities financing transactions

0270

2.5.3  Liabilities provided by financial customers

Point (c)(iii) of Article 428k(3) and point (c)(iii) of Article 428l CRR; liabilities provided by financial customers irrespective of whether or not they are related to securities financing transactions

0280

2.5.3.1  Operational deposits

Point (a) of Article 428l CRR

Institutions shall report here the part of the operational deposits from financial customers, in accordance with Article 27 of Delegated Regulation (EU) 2015/61, which is necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits in accordance with Article 27(5) of Delegated Regulation (EU) 2015/61 shall be reported under item 2.5.3.3.

Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 2015/61 shall not be reported here but within item 2.3. ‘ASF from other non-financial customers (except central banks)’.

The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be reported here but shall be reported under item 2.5.3.2.

0290

2.5.3.2  Excess operational deposits

Institutions shall report here the part of the operational deposits from financial customers in excess of those required for the provision of operational services.

Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 2015/61 shall not be reported here but within item 2.3. “ASF from other non-financial customers (except central banks)”.

0300

2.5.3.3  Other liabilities

Institutions shall report here liabilities provided by financial customer that are not operational deposits where the counterparty can be identified.

The part of operational deposits in excess of those required for the provision of operational services shall not be reported here but shall be reported under item 2.5.3.2.

0310

2.6  ASF from liabilities provided where the counterparty cannot be determined

Point (d) of Article 428k(3) and point (d) of Article 428l CRR

Institutions shall report here liabilities where the counterparty cannot be determined, including securities issued where the holder cannot be identified.

0320

2.7  ASF from net derivatives liabilities

The negative difference between netting sets calculated in accordance with Article 428k(4) CRR

0330

2.8  ASF from interdependent liabilities

Institutions shall report here liabilities that are interdependent with assets in accordance with Article 428f CRR. Institutions shall report here the sum of items 2.8.1 to 2.8.5.

0340

2.8.1  Centralised regulated savings

Liabilities related to centralized regulated savings to be treated as interdependent with assets in accordance with point (a) of Article 428f(2) CRR

0350

2.8.2  Promotional loans and relevant credit and liquidity facilities

Liabilities related to promotional loans and credit and liquidity facilities that are interdependent with assets in accordance with point (b) of Article 428f(2) CRR.

0360

2.8.3  Eligible covered bonds

Liabilities related to covered bonds to be treated as interdependent with assets in accordance with point (c) of Article 428f(2) CRR

0370

2.8.4  Derivatives client clearing activities

Liabilities related to derivatives client clearing activities to be treated as interdependent with assets in accordance with point (d) of Article 428f(2) CRR

0380

2.8.5  Others

Liabilities that fulfil all the conditions established in Article 428f(1) CRR and to be treated as interdependent with assets in accordance with Article 428f(1) CRR

0390

2.9  ASF from other liabilities

Institutions shall report here the sum of items reported under 2.9.1 to 2.9.4.

0400

2.9.1  Trade date payables

Point (a) of Article 428k(3) CRR

Institutions shall report here trade date payables arising from purchases of financial instruments, foreign currencies and commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions or that have failed to, but are still expected to settle.

0410

2.9.2  Deferred tax liabilities

Point (a) of Article 428k(1) CRR

Institution shall report here deferred tax liabilities and shall consider the nearest possible date on which their amount can be realised as residual maturity.

0420

2.9.3  Minority interests

Point (b) of Article 428k(1) CRR

Institution shall report here minority interests and shall consider the term of the instrument as residual maturity.

0430

2.9.4  Other liabilities

Articles 428k(1) and 428k(3) CRR

Institutions shall report here other liabilities, including short positions and open maturity positions.

PART IV: SIMPLIFIED REQUIRED STABLE FUNDING

1.    Specific remarks

25. Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be reported even if these assets are accounted for in their balance sheet.

26. In accordance with Article 428aq CRR, unless specified otherwise in Chapter 7 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet items by the required stable funding factors.

27. Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity.

28. All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428ar CRR. The maturity buckets of the amount, standard factors and applicable factors are the following:

i. 

Residual maturity of less than one year or without stated maturity;

ii. 

Residual maturity of one year or more.

29. When calculating the residual maturity of non-HQLA assets and off-balance sheet items, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the asset's maturity. For options exercisable at the discretion of the institution, the institution and competent authority shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular considering markets’ and clients’ expectations that the institution should extend the maturity of certain assets at their maturity date.

30. For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in accordance with paragraphs (4), (5) and (6) of Article 428aq CRR.

31. The decision tree for reporting template C 82.00 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, i.e., 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.

32. As specified under Article 428aq(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot mature without the institution returning the asset borrowed.



#

Item

Decision

Action

1

Netting sets of derivative contracts with a negative fair value gross of collateral posted or settlement payments and receipts related to market valuation changes of these contracts?

Yes

ID 1.7.1

No

# 2

2

An asset or an off-balance sheet item posted as initial margin for derivatives?

Yes

ID 1.7.3

No

# 3

3

An asset or an off-balance sheet item posted as contribution to CCP default fund?

Yes

ID 1.8

No

# 4

4

An item on which the institution retains beneficial ownership?

Yes

# 5

No

# 19

5

An asset associated with collateral posted as initial or variation margin for derivatives or as contribution to CCP default fund?

Yes

Do not report.

No

# 6

6

Non-performing assets or defaulted securities?

Yes

ID 1.9

No

# 7

7

Trade date receivables?

Yes

ID 1.9

No

# 8

8

Interdependent assets?

Yes

Allocate into one relevant item of ID 1.5

No

# 9

9

Assets within a group or an IPS for which the competent authority has granted the preferential treatment?

Yes

ID 1.6

No

# 10

10

Central bank assets?

Yes

Allocate into one relevant item of ID 1.1

No

# 11

11

Liquid assets?

Yes

Allocate into one relevant item of ID 1.2.1 to 1.2.4

No

# 12

12

Non-liquid asset securities?

Yes

ID 1.3

No

# 13

13

Trade finance on-balance sheet products?

Yes

ID 1.4.3

No

# 14

14

NSFR derivative assets?

Yes

ID 1.7.2

No

# 15

15

Loans?

Yes

# 16

No

# 20

16

Loans to non-financial customers?

Yes

ID 1.4.1

No

# 17

17

Loans to financial customers?

Yes

ID 1.4.2

No

# 18

18

Any other asset not considered in the above categories?

Yes

ID 1.9

No

Do not report.

19

An off-balance sheet exposure?

Yes

# 20

No

Do not report.

20

Non-performing exposure?

Yes

ID 1.10.4

No

# 21

21

Committed facilities?

Yes

# 22

No

# 23

22

Committed facilities for which the competent authority has granted the preferential treatment?

Yes

ID 1.10.1

No

ID 1.10.2

23

Trade finance off-balance sheet item?

Yes

ID 1.10.3

No

# 24

24

Other off-balance sheet exposure for which the competent authority has determined the RSF factor?

Yes

ID 1.10.5

No

Do not report.

2.    Instructions concerning specific columns



Column

Legal references and instructions

0010-0020

Amount of non-HQLA

Institutions shall report in columns 0010-0020 the amount, unless specified otherwise in Chapter 7 of Title IV of Part Six CRR, of the assets and off-balance sheet items referred to in Section 2 of Chapter 7 of Title IV of Part Six CRR.

The amount shall be reported in columns 0010-0020 when the corresponding item is not eligible as liquid asset pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

0030

Amount of HQLA

See instructions in columns 0010-0020.

The amount shall be reported in column 0030 when the corresponding item is eligible as liquid asset pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

0040-0060

Standard RSF factor

Section 2 of Chapter 7 of Title IV of Part Six CRR

The standard factors in columns 0040-0060 are those specified in Chapter 7 of Title IV of Part Six CRR by default that would determine the part of the amount of the assets and off-balance sheet items that is required stable funding. They are provided for information only and are not meant to be filled in by institutions.

0070-0900

Applicable RSF factor

Chapter 2 and Chapter 7 CRR

Institutions shall report in columns 0070-0900 the applicable factor applied to items in Chapter 7 of Title IV of Part Six CRR. Applicable factors 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 factors may reflect, but are not limited to, firm-specific and national discretions.

0100

Required stable funding:

Institutions shall report in Column 0100 the required stable funding in accordance with Chapter 7 of Title IV of Part Six CRR.

This shall be calculated using the following formula:

c0100 = SUM{(c0010 * c 0070), (c0020 * c 0080), (c0030 * c 0090)}.

3.    Instructions concerning specific rows



Row

Legal references and instructions

0010

1  REQUIRED STABLE FUNDING

Institutions shall report here items subject to the required stable funding in accordance with Chapter 7 of Title IV of Part Six CRR.

0020

1.1  RSF from central bank assets

Points (b) and (c) of Article 428as(1) and point (d) of Article 428ad CRR

Institutions shall report here central bank assets.

A reduced RSF factor may apply in accordance with Article 428aq(7) CRR.

0030

1.1.1  cash, reserves and HQLA exposures to central banks

Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions shall also report here any other exposures to central banks that are considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 shall be reported in the relevant non-HQLA column.

0040

1.1.2  other non-HQLA central bank exposures

Institutions shall report here any other claims on central banks other than those reported under item 1.1.1.

0050

1.2  RSF from liquid assets

Articles 428ar to 428av and Article 428ax CRR

Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

0060

1.2.1  level 1 assets eligible for 0 % LCR haircut

Institutions shall report here assets that are eligible as level 1 liquid assets pursuant to Article 10 of Delegated Regulation (EU) 2015/61.

0070

1.2.1.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months.

0080

1.2.1.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year.

0090

1.2.1.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of one year or more.

0100

1.2.2  level 1 assets eligible for 7 % LCR haircut

Institutions shall report here level 1 assets that are eligible for a 7 % haircut pursuant to Delegated Regulation (EU) 2015/61 as well as shares or units in CIUs that are eligible for a 5 % haircut pursuant to Delegated Regulation (EU) 2015/61.

0110

1.2.2.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months.

0120

1.2.2.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year.

0130

1.2.2.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of one year or more.

0140

1.2.3  level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts

Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation (EU) 2015/61 and shares or units in CIUs eligible for 0-20 % LCR haircuts pursuant to Delegated Regulation (EU) 2015/61.

0150

1.2.3.1  unencumbered or encumbered for a residual maturity of less than six months

The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

0160

1.2.3.2  encumbered for a residual maturity of at least six months but less than one year

The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

0170

1.2.3.3  encumbered for a residual maturity of one year or more

The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of one year or more

0180

1.2.4  level 2B assets eligible for 25 % LCR haircut and shares or units in CIUs eligible for 30-55 % haircuts

Institutions shall report here level 2B assets that are eligible for a haircut of 25 % pursuant to Delegated Regulation (EU) 2015/61 and shares or units in CIUs eligible for 30-55 % haircuts pursuant to Delegated Regulation (EU) 2015/61.

0190

1.2.4.1  unencumbered or encumbered for a residual maturity of less than one year

The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

0200

1.2.4.2  encumbered for a residual maturity of one year or more

The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of one year or more

0210

1.3  RSF from securities other than liquid assets

Point (b) of Article 428aw, point (d) of Article 428ay and point (b) of Article 428az(1) CRR

Institutions shall report here securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements laid down therein.

0220

1.3.1  unencumbered or encumbered for a residual maturity of less than one year

The amount reported under 1.3 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

0230

1.3.2  encumbered for a residual maturity of one year or more

The amount reported under 1.3 that is related to assets that are encumbered for a residual maturity of one year or more

0240

1.4  RSF from loans

Institutions shall report here monies due from loans that are not in default in accordance with Article 178 CRR.

As specified under Article 428ar(4) CRR, for amortizing loans with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year respectively.

0250

1.4.1  loans to non-financials

The amount reported under 1.4 that is related to loans to non-financial customers

0260

1.4.1.1  unencumbered or encumbered for a residual maturity of less than one year

Point (a) of Article 428aw and point (b) of Article 428ay CRR; the amount reported under 1.4.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year.

0270

1.4.1.2  encumbered for a residual maturity of one year or more

Point (b) of Article 428az(1) CRR; the amount reported under 1.4.1 that is related to assets that are encumbered for a residual maturity of one year or more

0280

1.4.2  loans to financials

The amount reported under 1.4 that is related to loans to financial customers

0290

1.4.2.1  unencumbered or encumbered for a residual maturity of less than one year

Point (a) of Articles 428aw and point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

0300

1.4.2.2  encumbered for a residual maturity of one year or more

Point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that is related to assets that are encumbered for a residual maturity of one year or more

0310

1.4.3  trade finance on-balance sheet products

Point (b) of Article 428aw and point (c) of Article 428ay CRR; the amount reported under 1.4 arising from trade finance on-balance sheet products

0320

1.5  RSF from interdependent assets

Article 428f and point (f) of Article 428r(1) CRR; institutions shall report here assets that are interdependent with liabilities in accordance with Article 428f CRR

0330

1.6  RSF from assets within a group or an IPS if subject to preferential treatment

Institutions shall report here assets for which the competent authority has granted the preferential treatment referred to in Article 428h CRR.

0340

1.7  RSF from derivatives

Article 428d, Article 428at(2), point (a) of Article 428ay and Article 428az(2) CRR

Institutions shall report here the amount of required stable funding arising from derivatives.

0350

1.7.1  required stable funding for derivative liabilities

Article 428at(2) CRR; the amount reported under 1.7 which is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428at(2) CRR.

0360

1.7.2  NSFR derivative assets

Articles 428d; the amount reported under 1.7 which is the positive difference between netting sets calculated in accordance with Article 428az(2) CRR

0370

1.7.3  initial margin posted

Point (a) of Article 428ay CRR; the amount reported under 1.7 that is related to initial margin for derivative contracts

0380

1.8  RSF from contributions to CCP default fund

Point (a) of Article 428ay CRR

Institutions shall report here items posted as contribution to the default fund of a CCP.

0390

1.9  RSF from other assets

Institutions shall report here any asset not referred to in items 1.1 to 1.8.

0400

1.10  RSF from OBS items

Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.8 that are subject to the required stable funding requirements.

0410

1.10.1  committed facilities within a group or an IPS if subject to preferential treatment

The amount reported in 1.10 that is related to committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR

0420

1.10.2  committed facilities

Article 428at(1) CRR; the amount reported under 1.10 that is committed facilities in accordance with Delegated Regulation (EU) 2015/61 that are not considered under item 1.10.1.

0430

1.10.3  trade finance off-balance sheet items

Point (b) of Article 428au CRR; the amount reported under 1.10 that is trade finance off-balance sheet related product as referred to in Annex I CRR

0440

1.10.4  non-performing off-balance sheet items

The amount reported under 1.10 that is related to non-performing exposures

0450

1.10.5  other off-balance sheet exposures determined by competent authorities

The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority has determined RSF factors in accordance with Article 428aq(10) CRR

PART V: SIMPLIFIED AVAILABLE STABLE FUNDING

1.    Specific remarks

33. All liabilities and own funds shall be reported with a breakdown by their residual contractual maturity in accordance with Article 428ak CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and applicable ASF factors are the following:

i. 

Residual maturity of less than one year or without stated maturity;

ii. 

Residual maturity of one year or more.

34. All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise specified in Articles 428al to 428ao CRR, in accordance with Article 428ap CRR.

35. All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than one year.

36. According to Article 428ak(2) CRR institutions shall take into account existing options to determine the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution’s ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity.

37. Furthermore, as established in Article 428ap CRR, additional Tier 1 items, Tier 2 items and any other capital instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than one year shall not receive a 100 % ASF factor.

38. According to Article 428ak(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 36, institutions shall not take into account options for early withdrawals, where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty as laid down in Article 25(4) of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits.

39. The decision tree for reporting template C 83.00 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, i.e., 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.



#

Item

Decision

Action

1

Common Equity Tier 1capital?

Yes

ID 2.1

No

# 2

2

Additional Tier 1 capital?

Yes

ID 2.1

No

# 3

3

Tier 2 capital?

Yes

ID 2.1

No

# 4

4

Other capital instruments?

Yes

ID 2.1

No

# 5

5

A liability associated with collateral received as variation margin for derivatives?

Yes

Do not report.

No

# 6

6

Trade date payables?

Yes

ID 2.9

No

# 7

7

Interdependent liability?

Yes

ID 2.8

No

# 8

8

Liabilities and committed facilities within a group or an IPS for which the competent authority has granted the preferential treatment?

Yes

ID 2.5

No

# 9

9

NSFR derivative liabilities?

Yes

ID 2.9

No

# 10

10

Deferred tax liabilities?

Yes

ID 2.9

No

# 11

11

Minority interest?

Yes

ID 2.9

No

# 12

12

Stable retail deposits?

Yes

ID 2.2.1

No

# 13

13

Other retail deposits?

Yes

ID 2.2.2

No

# 14

14

Operational deposits provided by financial or non-financial customers?

Yes

ID 2.4

No

# 15

15

Liabilities where the counterparty cannot be determined?

Yes

ID 2.7

No

# 16

16

Liabilities provided by central banks?

Yes

ID 2.6

No

# 17

17

Liabilities provided by financial customers?

Yes

ID 2.6

No

# 18

18

Liabilities from non-financial customers other than central banks?

Yes

ID 2.3

No

# 19

19

Any other liabilities not considered in the above categories?

Yes

ID 2.9

No

Do not report.

2.    Instructions concerning specific columns



Column

Legal references and instructions

0010-0020

Amount

Institutions shall report in columns 0010-0020 the amount of liabilities and own funds allocated to the applicable residual maturity bucket.

0030-0040

Standard ASF factor

Section 2 of Chapter 6 of Title IV of Part Six CRR

The standard factors in columns 0030-0040 shall be those specified in Chapter 8 of Title IV of Part Six CRR by default that would determine the part of the amount of the liabilities and own funds that is available stable funding. They shall provided for information only and are not meant to be filled in by institutions.

0050-0060

Applicable ASF factor

Chapter 2 and Chapter 6 of Title IV of Part Six CRR

Institutions shall report in columns 0050-0060 the applicable ASF factors in Chapter 6 of Title IV Part Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine the amount of the relevant available stable funding. Applicable factors 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 factors may reflect, but are not limited to, firm-specific and national discretions.

0070

Available Stable Funding

Institutions shall report in column 0070 the value of the available stable funding in accordance with the definition set out in Article 428aj CRR.

This shall be calculated using the following formula:

c0070 = SUM{(c0010 * c 0050), (c0020 * c 0060)}.

3.    Instructions concerning specific rows



Row

Legal references and instructions

0010

2.  AVAILABLE STABLE FUNDING

Chapter 6 of Title IV of Part Six CRR

0020

2.1  ASF from capital items and instruments

Common Equity Tier 1

Point (a) of Article 428ap CRR; Common Equity Tier 1 items before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR

Additional Tier 1

Point (b) of Article 428ap CRR; additional Tier 1 items before the application of the deductions and exemptions stipulated in Articles 56 and 79 CRR

Tier 2

Point (c) of Article 428ap CRR; Tier 2 items before the application of the deductions and exemptions stipulated in Articles 66 and 79 CRR

Other capital instruments

Point (d) of Article 428ap and point (d) of Article 428al(3) CRR; other capital instruments not referred to in any of the abovementioned categories

0030

2.2  ASF from retail deposits

Institutions shall reporting the following:

— bonds and other debt securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds shall be reported also within the corresponding category of retail deposits as ‘stable retail deposits’ or ‘other retail deposits’ under items 2.2.1 and 2.2.2 respectively; see Article 428aj(2);

— retail deposits maturing not before one year that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material within the corresponding category of retail deposits as “stable retail deposits” or “other retail deposits” under items 2.2.1 and 2.2.2 respectively, in line with Article 25(4) of Delegated Regulation (EU) 2015/61; see Article 428ak(3) CRR.

This item shall include both unsecured and secured liabilities

0040

2.2.1  Stable retail deposits

Article 428ao CRR

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 fulfill the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of Delegated Regulation (EU) 2015/61 in which case they shall be reported as ‘other retail deposits’; or

— these deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as “other retail deposits”.

0050

2.2.2  Other retail deposits

Article 428an CRR

Institutions shall report the amount of other retail deposits than those that are “stable retail deposits” under item 2.2.1.

0060

2.3  ASF from other non-financial customers (except central banks)

Institutions shall report liabilities provided by wholesale non-financial customers (except central banks) that include:

— liabilities provided by the central government of a Member State or a third country; see point (b)(i) of Article 428am CRR;

— liabilities provided by regional governments or local authorities of a Member State or a third country; see point (b)(ii) of Article 428am CRR;

— liabilities provided by public sector entities of a Member State or a third country; see point (b)(iii) of Article 428am CRR;

— liabilities provided by multilateral development banks and international organisations; see point (b)(iv) of Article 428am CRR;

— liabilities provided by non-financial corporate customers; see point (b)(v) of Article 428am CRR;

— liabilities provided by credit unions, personal investment companies and deposit brokers; see point (b)(vi) of Article 428am CRR.

0070

2.4  ASF from operational deposits

Point (a) of Article 428am CRR; deposits received for the provision of operational services that fulfil the criteria for operational deposits set out in Article 27 of Delegated Regulation (EU) 2015/61.

0080

2.5  ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment

Institutions shall report here liabilities and committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR.

0090

2.6  ASF from financial customers and central banks

Institutions shall report the following liabilities:

— liabilities provided by the ECB or the central bank of a Member State (see point (c) of Article 428al(3)):

— 

(i)  liabilities provided by the ECB or the central bank of a Member State irrespective of whether or not they are securities financing transactions; see point (c)(i) of Article 428al(3) CRR;

(ii)  liabilities provided by the central bank of a third country; liabilities provided by the central bank of a third country irrespective of whether or not they are securities financing transactions; see point (c)(ii) of Article 428al(3) CRR;

(iii)  liabilities provided by financial customers; liabilities provided by financial customers irrespective of whether or not they are securities financing transactions; see point (c)(iii) of Article 428al(3) CRR;

— liabilities provided by financial customers and central banks with a residual maturity of one year or more; see point (e) of Article 428ap CRR.

0100

2.7  ASF from liabilities provided where the counterparty cannot be determined

Point (d) of Article 428al(3) and point (e) of Article 428ap CRR

Institutions shall report here liabilities where the counterparty cannot be determined, including securities issued where the holder cannot be identified.

0110

2.8  ASF from interdependent liabilities

Institutions shall report the following liabilities:

— liabilities that are interdependent with assets in accordance with Article 428f CRR; see also point (b) of Article 428al(3) CRR

— liabilities linked to centralized regulated savings to be treated as interdependent with assets in accordance with point (a) of Article 428f(2) CRR;

— liabilities linked to promotional loans and credit and liquidity facilities to be treated as interdependent with assets in accordance with point (b) of Article 428f(2) CRR.

— liabilities linked to covered bonds to be treated as interdependent with assets in accordance with point (c) of Article 428f(2) CRR;

— liabilities linked to derivatives client clearing activities to be treated as interdependent with assets in accordance with point (d) of Article 428f(2) CRR;

— liabilities that fulfil all the conditions set out in Article 428f(1) CRR and are interdependent with assets in accordance with Article 428f(1) CRR.

0120

2.9  ASF from other liabilities

Institutions shall report the following:

— trade date payables arising from purchases of financial instruments, foreign currencies and commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions or that have failed to, but are still expected to settle; see point (a) of Article 428al(3) CRR;

— deferred tax liabilities; the nearest possible date on which their amount can be realised as residual maturity shall be used; see point (a) of Article 428al(1) CRR;

— minority interests; the term of the instrument shall be used as residual maturity; see point (b) of Article 428al(1) CRR;

— other liabilities without a stated maturity, including short positions and open maturity positions unless otherwise specified in this Section; see article 428al(1) CRR;

— the negative difference between netting sets calculated in accordance with Article 428al(4) CRR; all derivative liabilities shall be reported as if having a residual maturity of less than one year;

— any other liabilities not referred to in Articles 428al to 428ap CRR; all capital items shall be reported under item 2.1 regardless of their residual maturity; see also point (d) of Article 428al(3) CRR.

PART VI: SUMMARY NSFR

1.    Specific remarks

40. The purpose of this template is to provide information on the net stable funding ratio, both for institutions reporting the fully-fledged NSFR (reporting templates C 80.00 and C 81.00) and for institutions reporting the simplified NSFR (reporting templates C 82.00 and C 83.00).

41. In accordance with Article 428b(1) CRR, the net stable funding requirement laid down in Article 413(1) CRR shall be equal to the ratio of the institution’s available stable funding as referred to in Chapter 3 and 6 to the institution’s required stable funding as referred to in Chapter 4 and 7, and shall be expressed as a percentage. The rules for the calculation of the ratio are laid down in Chapter 2.

42. The items in rows 0010 to 0210 shall be the same as the equivalent ones reported in reporting templates C 80.00 to C 83.00.

2.    Instructions concerning specific columns



Column

Legal references and instructions

0010

Amount

Institutions shall report in column 0010 the amount of assets, off-balance sheet items, liabilities and own funds allocated to the sum of all applicable residual maturity and HQLA buckets. The amounts to be reported shall be those before application of the relevant ASF and RSF factors.

0020

Required Stable Funding

Institutions shall report in column 0020 the required stable funding calculated in accordance with Chapters 4 and 7 of Title IV of Part Six CRR.

0030

Available Stable Funding

Institutions shall report in column 0030 the available stable funding calculated in accordance with Chapters 3 and 6 of Title IV of Part Six CRR.

0040

Ratio

Institutions shall report in column 0040 the NSFR ratio in accordance to Article 428b(1) CRR.

3.    Instructions concerning specific rows



Row

Legal references and instructions

0010

1.  REQUIRED STABLE FUNDING

Item 1 of reporting templates C 80.00 and C 82.00

0020

1.1  RSF from central bank assets

Item 1.1 of reporting templates C 80.00 and C 82.00

0030

1.2  RSF from liquid assets

Item 1.2 of reporting templates C 80.00 and C 82.00

0040

1.3  RSF from securities other than liquid assets

Item 1.3 of reporting templates C 80.00 and C 82.00

0050

1.4  RSF from loans

Item 1.4 of reporting templates C 80.00 and C 82.00

0060

1.5  RSF from interdependent assets

Item 1.5 of reporting templates C 80.00 and C 82.00

0070

1.6  RSF from assets within a group or an IPS if subject to preferential treatment

Item 1.6 of reporting templates C 80.00 and C 82.00

0080

1.7  RSF from derivatives

Item 1.7 of reporting templates C 80.00 and C 82.00

0090

1.8  RSF from contributions to CCP default fund

Item 1.8 of reporting templates C 80.00 and C 82.00

0100

1.9  RSF from other assets

Item 1.9 of reporting templates C 80.00 and C 82.00

0110

1.10  RSF from OBS items

Item 1.10 of reporting templates C 80.00 and C 82.00

0120

2.  AVAILABLE STABLE FUNDING

Item 2 of reporting templates C 81.00 and C 83.00

0130

2.1  ASF from capital items and instruments

Item 2.1 of reporting templates C 81.00 and C 83.00

0140

2.2  ASF from retail deposits

Item 2.2 of reporting templates C 81.00 and C 83.00

0150

2.3  ASF from other non-financial customers (except central banks)

Item 2.3 (except 2.3.0.2) of reporting template C 81.00 and reporting template C 83.00

0160

2.4  ASF from operational deposits

Items 2.3.0.2 and 2.5.3.1 of reporting template C 81.00 and 2.4 of reporting template C 83.00

0170

2.5  ASF from liabilities within a group or an IPS if subject to preferential treatment

Item 2.4 of reporting template C 81.00 and 2.5 of reporting template C 83.00

0180

2.6  ASF from financial customers and central banks

Item 2.5 (except 2.5.3.1) of reporting template C 81.00 and 2.6 of reporting template C 83.00

0190

2.7  ASF from liabilities provided where the counterparty cannot be determined

Item 2.6 of reporting template C 81.00 and 2.7 of reporting template C 83.00

0200

2.8  ASF from interdependent liabilities

Item 2.8 of reporting template C 81.00 and reporting template C 83.00

0210

2.9  ASF from other liabilities

Item 2.7 and 2.9 of reporting template C 81.00 and 2.9 of reporting template C 83.00

0220

3.  NSFR

NSFR calculated in accordance with Article 428b(1) CRR



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 the Annexes to this Regulation;

(b) 

identify all the business concepts set out in the Annexes to this Regulation;

(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.



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 SECURITISATIONS 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 notionally eligible EHQLA and HQLA

 

of which: central bank's eligible

of which notionally eligible EHQLA and HQLA

 

of which: issued by other entities of the group

of which: central bank's eligible

of which EHQLA and HQLA

 

of which: central bank's eligible

of which EHQLA and HQLA

010

020

030

035

040

050

055

060

070

080

085

090

100

105

010

Assets of the reporting institution

 

 

 

 

 

 

 

 

 

 

 

 

 

 

020

Loans on demand

 

 

 

 

 

 

 

 

 

 

 

 

 

 

030

Equity instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040

Debt securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

050

of which: covered bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

060

of which: securitisations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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: Loans collateralised with Immovable Property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 notionally eligible EHQLA and HQLA

 

of which: issued by other entities of the group

of which: central bank's eligible

of which EHQLA and HQLA

010

020

030

035

040

050

060

065

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: securitisations

 

 

 

 

 

 

 

 

 

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 securitisations

 

 

 

 

 

 

 

 

 

245

Own covered bonds and securitisation issued and not yet pledged

 

 

 

 

 

 

 

 

 

250

TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

 

 

 

 

 

 

 

 

 



F 32.03 - OWN COVERED BONDS AND SECURITISATIONS 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

of which notionally eligible EHQLA and HQLA

010

020

030

035

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 securitisations 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:securitisations 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: securitisations 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 - ADVANCED DATA. PART I (AE-ADV-1)

 

Sources of encumbrance

Assets/Liabilities

Collateral Type - Classification by Asset type

Total

Loans on demand

Equity instruments

Debt Securities

Loans and advances other than loans on demand

Other

assets

Total

of which: covered bonds

of which: securitisations

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: Loans collateralised with Immovable Property

 

of which: Loans collateralised with Immovable Property

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

Securitisations issued

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

Debt securities issued other than covered bonds and securitisations

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 securitisations

Total

of which: covered bonds

of which: securitisations

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: Loans collateralised with Immovable Property

 

of which: Loans collateralised with Immovable Property

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

Securitisations issued

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

140

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

150

Debt securities issued other than Covered bonds and securitisations

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Not to be filled on a consolidated basis template

 

Not to be filled in any case



ANNEX XVII

INSTRUCTION FOR 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 SECURITISATIONS 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 template. Own covered bonds and securitisations issued and not yet pledged;
— 
AE-SOU template. 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. In AE-SOU, institutions shall generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a gross basis of encumbrance of assets and collateral.

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 1 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, shall 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 shall 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 shall 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, shall 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 shall 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 shall be 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 shall be reported in {AE-ASS; *; c010} and {AE-SOU; r070; c030}; its fair value shall be reported in {AE-ASS; *; c040};

(iii) 

where the collateral has been received by the reporting institution, its fair value shall reported in {AE-COL; *; c010}, {AE-SOU; r070; c030} and {AE-SOU; r070; c040}.

(b)    Repo/matching repos

A repurchase agreement (hereinafter ‘repo’) shall be reported as follows:

(i) 

the gross carrying amount of the repo shall be reported as a source of encumbrance in {AE-SOU; r050; c010};

(ii) 

the collateral of the repo shall be reported as follows:

— 
where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c010} and {AE-SOU; r050; c030}; its fair value shall be reported in {AE-ASS; *; c040};
— 
where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value shall be 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 shall be reported as follows:

(i) 

the fair value of the securities borrowed shall be 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} shall reported as zero;

(ii) 

where the securities lent as collateral are an asset of the reporting institution: their carrying amount shall be reported in {AE-ASS; *; c010} and {AE-SOU; r150; c030}; their fair value shall reported in {AE-ASS; *; c040};

(iii) 

where the securities lent as collateral are received by the reporting institution, their fair value shall be reported in {AE-COL; *; c010}, {AE-SOU; r150; c030} and {AE-SOU; r150; c040}.

(e)    Derivatives (liabilities)

Collateralised derivatives with a negative fair value shall be reported as follows:

(i) 

the carrying amount of the derivative shall be 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) shall be reported as follows:

— 
where it is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c010} and {AE-SOU; r020; c030}; its fair value shall be reported in {AE-ASS; *; c040};
— 
where it is collateral received by the reporting institution, its fair value shall be 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 shall be 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) shall be 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 shall be 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.

image

(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)

Institutions shall report 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 shall be 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 31

Institutions shall report 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 1, paragraph 42, 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 1, paragraph 42, point (e)

100

Loans and advances other than loans on demand

Loans and advances that are debt instruments other than securities held by the reporting institutions; other than balances receivable on demand

110

of which: Loans collateralised with Immovable Property

Loans and advances other than loans on demand that are collateralised with Immovable Property according to Annex V, part 2, paragraph 86

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

Institutions shall report the carrying amount of its assets that are encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex. The carrying amount shall mean 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.

035

of which notionally eligible EHQLA and HQLA

The carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA)

For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) No 680/2014.

Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

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

Institutions shall report the fair value of its debt securities that are encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex.

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.

055

of which notionally eligible EHQLA and HQLA

Fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA

For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) No 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

060

Carrying amount of non-encumbered assets

Institutions shall report the carrying amount of its assets that are non-encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex.

Carrying amount shall mean 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.

085

of which EHQLA and HQLA

Carrying amount of unencumbered EHQLA and HQLA that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of that Delegated Regulation

The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

090

Fair value of non-encumbered assets

IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions

Institutions shall report the fair value of its debt securities that are non-encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex.

Fair value of a financial instrument shall be 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.

105

of which EHQLA and HQLA

Fair value of unencumbered EHQLA and HQLA that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of that Delegated Regulation

The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.
(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 securitisations, 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 shall be 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 securitisations

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 shall not be 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 shall not be 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 shall be 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 shall be 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) shall be reported in the AE-NPL template.

245

Own covered bonds and securitisation issued and not yet pledged

Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered

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 Template AE-ASS (F32.01) 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 Template AE-ASS (F32.01) as non-encumbered assets.

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

Institutions shall report the fair value of the collateral received or own debt securities it holds/retains, which are encumbered in accordance with the definition of asset encumbrance referred to in paragraph 11 of this Annex.

The fair value of a financial instrument shall be 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.

035

of which notionally eligible EHQLA and HQLA

Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA

For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) No 680/2014. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

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 securitisations 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.

065

of which EHQLA and HQLA

Fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of that Delegated Regulation

The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

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 shall include 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 securitisations 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 securitisations 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 are 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.

035

of which notionally eligible EHQLA and HQLA

Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA

For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10, 11, 12 and 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Implementing Regulation (EU) No 680/2014. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

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

Gross carrying amount (without any netting allowed in the accounting framework) of the repurchase agreements of the reporting institution insofar as these transactions entail asset encumbrance for that institution

Repurchase agreements (repos) shall be the 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 repurchase 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 shall be reported at their carrying amount; contingent liabilities shall be reported at their nominal value; and securities lent with non-cash collateral shall be 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 securitisations 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 shall be reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be 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 shall include all of the following:

(a)  the assets of the reporting institution (see instruction for row 010 of the AE-ASS template), which shall be 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 shall be reported at fair value.

These amounts shall be 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.

Institutions shall report the amounts at fair value and distribute 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

Institutions shall report the amounts at fair value and distribute 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 shall include 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 shall be 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 rows of the AE-SOU template in point 2.4.2The content of the rows 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, institutions shall report financial liabilities 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, institutions shall report these amounts 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 shall be 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 shall be 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 shall consist 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 shall be 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) shall be 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 market value shall be reported.

030

Asset-specific value

The asset-specific value shall be the economic value of the cover pool assets, as may be described by a fair value in accordance with 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 shall be the accounting value at the covered bond issuer.

5.2.3.   Instructions concerning specific columns



 

 

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 shall be 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" shall be 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 shall 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

Net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value

The cover pool derivative positions shall be 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 shall be reported for the reporting reference date only.

090-140

External credit rating on covered bond

Institutions shall provide information on external credit ratings on the respective covered bond, as existing on the reporting date.

090

Credit rating agency 1

If a credit rating of at least one credit rating agency exists as of the reporting date, institutions shall provide the name of one of these credit rating agencies. 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 shall 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 shall 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 shall include 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" shall be the point in time 6 months after the reporting reference date. Institutions shall report the amounts 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 shall 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

The cover pool derivative positions shall be 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 shall 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) shall 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 shall 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 securitisations

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 shall not be included under this item. Additionally, the collateral assigned to them shall 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

The carrying amount shall 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: Loans collateralised with Immovable Property

Loans and advances other than loans on demand guaranteed with a Loan collateralised with Immovable Property given to non-financial corporations

150

Households

Loans and advances other than loans on demand given to households

160

of which: Loans collateralised with Immovable Property

Loans and advances other than loans on demand guaranteed with a Loan collateralised with Immovable Property 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: Loans collateralised with Immovable Property

Collateral received by the reporting institution that are loans and advances collateralised with immovable property given to non-financial corporations, excluding loans on demand

150

Households

Collateral received by the reporting institution that are loans and advances other than loans on demand given to households

160

of which: Loans collateralised with Immovable Property

Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a Loan collateralised with Immovable Property 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 securitisations

See instructions for row 240 of the AE-COL template.

190

Total

See instructions for rows 130 and 140 of the AE-COL template.



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

Code

Type of code

National code

Counterparty Sector

Residence of Counterparty

Product Type

Amount Received

Weighted average original maturity

Weighted average residual maturity

Row

ID

010

015

016

017

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 in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

Amount not covered by a Deposit Guarantee Scheme in accordance with 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

>7days ≤ 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



ANNEX XIX

INSTRUCTIONS FOR REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS

1.   Additional Monitoring Metrics

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 percentage threshold referred to in 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 that is defined in point (39) of Article 4(1) 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 rows 020 to 110 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.

015

Code

This code is a row identifier and shall be unique for each counterparty. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

016

Type of code

The institutions shall identify the type of code reported in column 015 as a ‘LEI code’ or ‘Non-LEI code’.

The type of code shall always be reported.

017

National code

Institutions may additionally report the national code when they report LEI code as identifier as in the ‘Code’ column.

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 most recent 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 point (82) of Article 4(1) 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 575/2013 or Article 52(4) of Directive 2009/65/EC);

— ABS (funding obtained from asset backed security issuance including asset backed commercial paper);

— IGCP (funding obtained from intragroup counterparties);

— 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 (EU) 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 (EU) 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 (EU) 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 (EU) 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 point (82) of Article 4(1) 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 575/2013 or 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 in accordance with 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 in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

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 in accordance with 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 in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

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.

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.

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 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 template C 69.00 in accordance with the following original maturities:

— 
overnight in columns 010 and 020;
— 
greater than overnight and less than or equal to 1 week (columns 030 and 040);
— 
greater than 1 week and less than or equal to 1 month in columns 050 and 060;
— 
greater than 1 month and less than or equal to 3 months in columns 070 and 080;
— 
greater than 3 months and less than or equal to 6 months in columns 090 and 100;
— 
greater than 6 months and less than or equal to 1 year in columns 110 and 120;
— 
greater than 1 year and less than or equal to 2 years in columns 130 and 140;
— 
greater than 2 years and less than or equal to 5 years in columns 150 and 160;
— 
greater than 5 years and less than or equal to 10 years in columns 170 and 180.

In case of currency revaluations, no new funding is obtained in the original currency and the reporting institution has not paid anything beyond the original price at the initial deposit of the funds. Thus, a positive increment caused by the currency revaluation shall not be reported in this template.

2. For the purposes 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 a similar index for other currencies, 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 in accordance with 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 C 69.00 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 deposits as defined in Article 3(8) of Delegated Regulation (EU) 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 C 69.00, 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 as follows:

— overnight in columns 010 and 020;

— greater than overnight and less than or equal to 1 week in columns 030 and 040;

— greater than 1 week and less than or equal to 1 month in columns 050 and 060;

— greater than 1 month and less than or equal to 3 months in columns 070 and 080;

— greater than 3 months and less than or equal to 6 months in columns 090 and 100;

— greater than 6 months and less than or equal to 1 year in columns 110 and 120;

— greater than 1 year and less than or equal to 2 years in columns 130 and 140;

— greater than 2 years and less than or equal to 5 years in columns 150 and 160;

— 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 in accordance with the original maturity:

— 
overnight in columns 010 to 040);
— 
between 1 and 7 days in columns 050 to 080);
— 
between 7 and 14 days in columns 090 to 120);
— 
between 14 and 1 month in columns 130 to 160);
— 
between 1 and 3 months in columns 170 to 200);
— 
between 3 and 6 months in columns 210 to 240);
— 
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 in accordance with 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

> 7 days ≤ 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.



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

 

 

 

 

 

 

 

 

 



ANNEX XXI

INSTRUCTIONS FOR REPORTING ON CONCENTRATION OF COUNTERBALANCING CAPACITY

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 in accordance with 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 in accordance with 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 REPORTING ON THE MATURITY LADDER

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 in accordance with 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 in accordance with 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 in accordance with 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 in accordance with point (b) of Article 25(4) of Delegated 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 in accordance with 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 row 010, 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 row 010, which is bonds eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Article 52(4) of Directive 2009/65/EC

040

1.1.3 securitisations due

The amount of cash outflows resulting from securities issued, reported in row 010, which is securitisation transactions with third parties, in accordance with point (61) of Article 4(1) of Regulation (EU) No 575/2013

050

1.1.4 other

The amount of cash outflows resulting from securities issued reported in row 010, 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

Institutions shall report only cash flows. Securities flows with regard 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 row 070 that is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction

CIU shares or units in accordance with Article 15 of Delegated 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 row 070 that 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 row 080 that 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 row 080 other than those reported in row 090 that 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 row 080 other than those reported in row 090 that 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 row 080 other than those reported in row 090 that 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 row 070 that is collateralised by assets that are covered bonds

In accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds shall be eligible as Level 1 assets.

140

1.2.2 Level 2A tradable assets

The amount of cash outflows reported in row 060 that is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction

CIU shares or units in accordance with Article 15 of Delegated 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 row 140 that 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 row 140 that 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 row 140 that is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities

In accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall 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 row 060 that is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction

CIU shares or units in accordance with Article 15 of Delegated 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 row 180 that is collateralised by asset backed securities, including RMBS.

In accordance with point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall have credit quality step 1.

200

1.2.3.2 Level 2B covered bonds (CQS 1-6)

The amount of cash outflows reported in row 180 that is collateralised by covered bonds

210

1.2.3.3 Level 2B corporate bonds (CQS 1-3)

The amount of cash outflows reported in row 180 that is collateralised by corporate debt securities

220

1.2.3.4 Level 2B shares

The amount of cash outflows reported in row 180 that is collateralised by shares

230

1.2.3.5 Level 2B public sector (CQS 3-5)

The amount of cash outflows reported in row 180 that is collateralised by Level 2B assets not reported in row 190 to 220.

240

1.2.4 other tradable assets

The amount of cash outflows reported in row 060 that is collateralised by tradable assets not reported in rows 070, 140 or 180.

250

1.2.5 other assets

The amount of cash outflows reported in row 060 that is collateralised by assets not reported in rows 070, 140, 180 or 240.

260

1.3 Liabilities not reported under 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 row 060 and deposits received as collateral

Cash outflows arising from derivative transactions shall be reported in row 350 or 360.

Deposits shall be reported in accordance with 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 row 260 that derives from retail deposits in accordance with point (8) of Article 3 and Article 24 of Delegated Regulation (EU) 2015/61

280

1.3.2 other retail deposits

The amount of cash outflows reported in row 260 that derives from retail deposits in accordance with point (8) of Article 3 of Delegated Regulation (EU) 2015/61 other than those reported in row 270.

290

1.3.3 operational deposits

The amount of cash outflows reported in row 260 that derives from operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61.

300

1.3.4 non-operational deposits from credit institutions

The amount of cash outflows reported in row 260 that derives from deposits by credit institutions other than those reported in row 290.

310

1.3.5 non-operational deposits from other financial customers

The amount of cash outflows reported in row 260 that derives from deposits from financial customers other than those reported in row 290 and 300

320

1.3.6 non-operational deposits from central banks

The amount of cash outflows reported in row 260 that 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 row 260 that 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 row 260 that derives from deposits not reported in rows 270 to 330.

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 under 1.4

Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in Annex II to Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX swaps which shall be reported in row 350.

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 row 010, 060, 260, 350 or 360. Contingent outflows shall not be reported here.

380

1.7 Total outflows

The sum of outflows reported in row 010, 060, 260, 350,360 and 370.

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 row 390 that is collateralised by tradable assets in accordance with Articles 7, 8 and 10 of Delegated Regulation (EU) 2015/61

CIU shares or units in accordance with Article 15 of Delegated 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 row 400 that 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 in row 410 that 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 row 410 other than those reported in row 420 that 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 row 410 other than those reported in row 420 that 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 row 410 other than those reported in row 420 that 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 row 400 that is collateralised by assets that are covered bonds

In accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds shall be eligible as Level 1 assets.

470

2.1.2 Level 2A tradable assets

The amount of cash inflows reported in row 390 that is collateralised by tradable assets in accordance with Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61

CIU shares or units in accordance with Article 15 of Delegated 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 row 470 that 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 row 470 that 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 row 470 that is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities

In accordance with points (a) and (b) of Article 11(1) of Delegated 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 row 390 that is collateralised by tradable assets in accordance with Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61

CIU shares or units in accordance with Article 15 of Delegated 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 row 510 that 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 row 510 that is collateralised by covered bonds.

540

2.1.3.3 Level 2B corporate bonds (CQS 1-3)

The amount of cash inflows reported in row 510 that is collateralised by corporate debt securities.

550

2.1.3.4 Level 2B shares

The amount of cash inflows reported in row 510 that is collateralised by shares.

560

2.1.3.5 Level 2B public sector (CQS 3-5)

The amount of cash inflows reported in row 510 that is collateralised by Level 2B assets not reported in row 520 to 550

570

2.1.4 other tradable assets

The amount of cash inflows reported in row 390 that is collateralised by tradable assets not reported in rows 400, 470 or 510.

580

2.1.5 other assets

The amount of cash inflows reported in row 390 that is collateralised by assets not reported in rows 400, 470, 510 or 570.

590

2.2 Monies due not reported under 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 row 590 that derives from natural persons or SMEs in accordance with point (8) of Article 3 of Delegated Regulation (EU) 2015/61

610

2.2.2 non-financial corporates

The amount of cash inflows reported in row 590 that derives from non- financial corporates

620

2.2.3 credit institutions

The amount of cash inflows reported in row 590 that derives from credit institutions

630

2.2.4 other financial customers

The amount of cash inflows reported in row 590 that derives from financial customers in accordance with point (9) of Article 3 of Delegated Regulation (EU) 2015/61 other than those reported in row 620

640

2.2.5 central banks

The amount of cash inflows reported in row 590 that derives from central banks

650

2.2.6 other counterparties

The amount of cash inflows reported in row 590 that 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 to 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 in accordance with 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 that are not reported in rows 390, 590, 660, 670 or 680

Contingent inflows shall not be reported.

700

2.7 Total inflows

Sum of inflows reported in rows 390, 590, 660, 670, 680 and 690

710

2.8 Net contractual gap

Total inflows reported in row 700 less total outflows reported in row 380

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 under items 3.1 to 3.7, it shall not report the related capacity of those facilities under 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 under 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 under 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 under 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 under item 3.2 and as a cash outflow in the maturity bucket ‘overnight’ for this item. Correspondingly, the resultant cash inflow shall be reported under 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 under item 2.5.

All security values shall be reported in the relevant bucket at current market values.

Only contractually available amounts shall be reported under item 3.8.

To avoid double counting, cash-inflows shall not be accounted for under 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 in accordance with point (b)(iii) of Article 10(1) of Delegated 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 Delegated Regulation (EU) 2015/61

CIU shares or units in accordance with Article 15 of Delegated 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 row 750 that is not covered bonds

770

3.3.1.1 Level 1 central bank

The amount reported in row 760 that is assets representing claims on or guaranteed by central banks

780

3.3.1.2 Level 1 (CQS 1)

The amount reported in row 760 other than the amount reported in row 770 that 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 row 760 other than those reported in row 770 that 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 row 760 other than those reported in row 770 that 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 row 750 that is covered bonds

In accordance with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 only CQS 1 covered bonds shall be 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 Delegated Regulation (EU) 2015/61

CIU shares or units in accordance with Article 15 of Delegated 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 row 820 that 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 row 820 that 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 row 820 that is assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities

In accordance with points (a) and (b) of Article 11(1) of Delegated Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall 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 Delegated Regulation (EU) 2015/61

CIU shares or units in accordance with Article 15 of Delegated 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 row 860 that is asset backed securities (including RMBS)

In accordance with point (a) of Article 13(2) of Delegated Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall have credit quality step 1.

880

3.5.2 Level 2B covered bonds (CQS 1-6)

The amount reported in row 860 that is covered bonds

890

3.5.3 Level 2B corporate bonds (CQS 1-3)

The amount reported in row 860 that is corporate debt securities

900

3.5.4 Level 2B shares

The amount reported in row 860 that is shares

910

3.5.5 Level 2B public sector (CQS 3-5)

The amount reported in row 860 that 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 rows 750, 820 and 860.

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 row 920 that 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 row 920 that 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 row 920 that is shares

960

3.6.4 covered bonds

The amount reported in row 920 that is covered bonds

970

3.6.5 ABS

The amount reported in row 920 that is ABS

980

3.6.6 other tradable assets

The amount reported in row 920 that is other tradable asset not reported in rows 930 to 970

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 to 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 rows 730 to 990, shall not be reported in row 1000. 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 row 1000 that is central bank facility in accordance with point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61

1020

3.8.2 Level 2B restricted use facilities

The amount reported in row 1000 that is facilities in accordance with Article 14 of Delegated Regulation (EU) 2015/61

1030

3.8.3 Level 2B IPS facilities

The amount reported in row 1000 that is liquidity funding in accordance with Article 16(2) of Delegated Regulation (EU) 2015/61

1040

3.8.4 Other facilities

The amount reported in row 1000 other than the amount reported in rows 1010 to 1030

1050

3.8.4.1 from intragroup counterparties

The amount reported in row 1040 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 row 1040 other than the amount reported in row 1050.

1070

3.9 Net change of Counterbalancing Capacity

Net change in exposures referred to in 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.

1100

4.1.1 Committed credit facilities

The amount reported in row 1090 that derives from committed credit facilities in accordance with Article 31 of Delegated Regulation (EU) 2015/61

1110

4.1.1.1 considered as Level 2B by the receiver

The amount reported in row 1100 that is considered liquidity funding in accordance with Article 16(2) of Delegated Regulation (EU) 2015/61

1120

4.1.1.2 other

The amount reported in row 1100, other than the amount reported in row 1110

1130

4.1.2 Liquidity facilities

The amount reported in row 1090 that derives from liquidity facilities in accordance with Article 31 of Delegated 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 reported in rows 010, 060, 260, 360, 370 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 reported in rows 390, 590, 670, 690 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 row 680 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

Sum of the amounts reported in rows 750, 820 and 860 that 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 to 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 row 920 that is 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 row 260 redistributed into the time buckets in accordance with 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 row 590 redistributed into the time buckets in accordance with 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 row 1090 redistributed into the time buckets in accordance with 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



ANNEX XXIV

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 75.01

LIQUIDITY COVERAGE — COLLATERAL SWAPS

 

 

PART V — CALCULATIONS

76

C 76.00

LIQUIDITY COVERAGE — CALCULATIONS

 

 

PART VI — PERIMETER OF CONSOLIDATION

77

C 77.00

LIQUIDITY COVERAGE — PERIMETER



C 72.00 — LIQUIDITY COVERAGE — LIQUID ASSETS

Currency

Row

ID

Item

Amount/Market value

Standard weight

Applicable weight

Value in accordance with Article 9

0010

0020

0030

0040

0010

1

TOTAL UNADJUSTED LIQUID ASSETS

 

 

 

 

0020

1.1

Total unadjusted level 1 assets

 

 

 

 

0030

1.1.1

Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

 

 

 

 

0040

1.1.1.1

Coins and banknotes

 

1,00

 

 

0050

1.1.1.2

Withdrawable central bank reserves

 

1,00

 

 

0060

1.1.1.3

Central bank assets

 

1,00

 

 

0070

1.1.1.4

Central government assets

 

1,00

 

 

0080

1.1.1.5

Regional government / local authorities assets

 

1,00

 

 

0090

1.1.1.6

Public Sector Entity assets

 

1,00

 

 

0100

1.1.1.7

Recognisable domestic and foreign currency central government and central bank assets

 

1,00

 

 

0110

1.1.1.8

Credit institution (protected by Member State government, promotional lender) assets

 

1,00

 

 

0120

1.1.1.9

Multilateral development bank and international organisations assets

 

1,00

 

 

0130

1.1.1.10

Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure

 

1,00

 

 

0140

1.1.1.11

Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds

 

0,95

 

 

0150

1.1.1.12

Alternative Liquidity Approaches: Central bank credit facility

 

1,00

 

 

0160

1.1.1.13

Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution

 

 

 

 

0170

1.1.1.14

Alternative Liquidity Approaches: Level 2A assets recognised as Level 1

 

0,80

 

 

0180

1.1.2

Total unadjusted LEVEL 1 extremely high quality covered bonds

 

 

 

 

0190

1.1.2.1

Extremely high quality covered bonds

 

0,93

 

 

0200

1.1.2.2

Qualifying CIU shares/units: underlying is extremely high quality covered bonds

 

0,88

 

 

0210

1.1.2.3

Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution

 

 

 

 

0220

1.2

Total unadjusted level 2 assets

 

 

 

 

0230

1.2.1

Total unadjusted LEVEL 2A assets

 

 

 

 

0240

1.2.1.1

Regional government / local authorities or Public Sector Entity assets (Member State, RW20%)

 

0,85

 

 

0250

1.2.1.2

Central bank or central / regional government or local authorities or Public Sector Entity assets (Third Country, RW20%)

 

0,85

 

 

0260

1.2.1.3

High quality covered bonds (CQS2)

 

0,85

 

 

0270

1.2.1.4

High quality covered bonds (Third Country, CQS1)

 

0,85

 

 

0280

1.2.1.5

Corporate debt securities (CQS1)

 

0,85

 

 

0290

1.2.1.6

Qualifying CIU shares/units: underlying is Level 2A assets

 

0,80

 

 

0300

1.2.1.7

Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution

 

 

 

 

0310

1.2.2

Total unadjusted LEVEL 2B assets

 

 

 

 

0320

1.2.2.1

Asset-backed securities (residential, CQS1)

 

0,75

 

 

0330

1.2.2.2

Asset-backed securities (auto, CQS1)

 

0,75

 

 

0340

1.2.2.3

High quality covered bonds (RW35%)

 

0,70

 

 

0350

1.2.2.4

Asset-backed securities (commercial or individuals, Member State, CQS1)

 

0,65

 

 

0360

1.2.2.5

Corporate debt securities (CQS2/3)

 

0,50

 

 

0370

1.2.2.6

Corporate debt securities - non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)

 

0,50

 

 

0380

1.2.2.7

Shares (major stock index)

 

0,50

 

 

0390

1.2.2.8

Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

 

0,50

 

 

0400

1.2.2.9

Restricted-use central bank committed liquidity facilities

 

1,00

 

 

0410

1.2.2.10

Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)

 

0,70

 

 

0420

1.2.2.11

Qualifying CIU shares/units: underlying is High quality covered bonds (RW35%)

 

0,65

 

 

0430

1.2.2.12

Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)

 

0,60

 

 

0440

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

 

 

0450

1.2.2.14

Deposits by network member with central institution (no obligated investment)

 

0,75

 

 

0460

1.2.2.15

Liquidity funding available to network member from central institution (non-specified collateralisation)

 

0,75

 

 

0470

1.2.2.16

Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution

 

 

 

 

MEMORANDUM ITEMS

0485

2

Deposits by network member with central institution (obligated investment)

 

 

 

 

0580

3

Level 1/2A/2B assets excluded due to currency reasons

 

 

 

 

0590

4

Level 1/2A/2B assets excluded for operational reasons except for currency reasons

 

 

 

 



C 73.00 — LIQUIDITY COVERAGE — OUTFLOWS

Currency

 

Amount

Market value of collateral extended

Value of collateral extended in accordance with Article 9

Standard Weight

Applicable Weight

Outflow

Row

ID

Item

010

020

030

040

050

060

0010

1

OUTFLOWS

 

 

 

 

 

 

0020

1.1

Outflows from unsecured transactions/deposits

 

 

 

 

 

 

0030

1.1.1

Retail deposits

 

 

 

 

 

 

0035

1.1.1.1

deposits exempted from the calculation of outflows

 

 

 

0,00

 

 

0040

1.1.1.2

deposits where the payout has been agreed within the following 30 days

 

 

 

1,00

 

 

0050

1.1.1.3

deposits subject to higher outflows

 

 

 

 

 

 

0060

1.1.1.3.1

category 1

 

 

 

0,10-0,15

 

 

0070

1.1.1.3.2

category 2

 

 

 

0,15-0,20

 

 

0080

1.1.1.4

stable deposits

 

 

 

0,05

 

 

0090

1.1.1.5

derogated stable deposits

 

 

 

0,03

 

 

0100

1.1.1.6

deposits in third countries where a higher outflow is applied

 

 

 

 

 

 

0110

1.1.1.7

other retail deposits

 

 

 

0,10

 

 

0120

1.1.2

Operational deposits

 

 

 

 

 

 

0130

1.1.2.1

maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

 

 

 

 

 

 

0140

1.1.2.1.1

covered by DGS

 

 

 

0,05

 

 

0150

1.1.2.1.2

not covered by DGS

 

 

 

0,25

 

 

0160

1.1.2.2

maintained in the context of IPS or a cooperative network

 

 

 

 

 

 

0170

1.1.2.2.1

not treated as liquid assets for the depositing institution

 

 

 

0,25

 

 

0180

1.1.2.2.2

treated as liquid assets for the depositing credit institution

 

 

 

1,00

 

 

0190

1.1.2.3

maintained in the context of an established operational relationship (other) with non-financial customers

 

 

 

0,25

 

 

0200

1.1.2.4

maintained to obtain cash clearing and central credit institution services within a network

 

 

 

0,25

 

 

0203

1.1.3

Excess operational deposits

 

 

 

 

 

 

0204

1.1.3.1

deposits by financial customers

 

 

 

1,00

 

 

0205

1.1.3.2

deposits by other customers

 

 

 

 

 

 

0206

1.1.3.2.1

covered by DGS

 

 

 

0,20

 

 

0207

1.1.3.2.2

not covered by DGS

 

 

 

0,40

 

 

0210

1.1.4

Non-operational deposits

 

 

 

 

 

 

0220

1.1.4.1

correspondent banking and provisions of prime brokerage deposits

 

 

 

1,00

 

 

0230

1.1.4.2

deposits by financial customers

 

 

 

1,00

 

 

0240

1.1.4.3

deposits by other customers

 

 

 

 

 

 

0250

1.1.4.3.1

covered by DGS

 

 

 

0,20

 

 

0260

1.1.4.3.2

not covered by DGS

 

 

 

0,40

 

 

0270

1.1.5

Additional outflows

 

 

 

 

 

 

0280

1.1.5.1

collateral other than Level 1 assets collateral posted for derivatives

 

 

 

0,20

 

 

0290

1.1.5.2

Level 1 EHQ Covered Bonds assets collateral posted for derivatives

 

 

 

0,10

 

 

0300

1.1.5.3

material outflows due to deterioration of own credit quality

 

 

 

1,00

 

 

0310

1.1.5.4

impact of an adverse market scenario on derivatives transactions

 

 

 

1,00

 

 

0340

1.1.5.5

outflows from derivatives

 

 

 

1,00

 

 

0350

1.1.5.6

short positions

 

 

 

 

 

 

0360

1.1.5.6.1

covered by collateralized SFT

 

 

 

0,00

 

 

0370

1.1.5.6.2

other

 

 

 

1,00

 

 

0380

1.1.5.7

callable excess collateral

 

 

 

1,00

 

 

0390

1.1.5.8

due collateral

 

 

 

1,00

 

 

0400

1.1.5.9

liquid asset collateral exchangable for non-liquid asset collateral

 

 

 

1,00

 

 

0410

1.1.5.10

loss of funding on structured financing activites

 

 

 

 

 

 

0420

1.1.5.10.1

structured financing instruments

 

 

 

1,00

 

 

0430

1.1.5.10.2

financing facilites

 

 

 

1,00

 

 

0450

1.1.5.11

internal netting of client's positions

 

 

 

0,50

 

 

0460

1.1.6

Committed facilities

 

 

 

 

 

 

0470

1.1.6.1

credit facilities

 

 

 

 

 

 

0480

1.1.6.1.1

to retail customers

 

 

 

0,05

 

 

0490

1.1.6.1.2

to non-financial customers other than retail customers

 

 

 

0,10

 

 

0500

1.1.6.1.3

to credit institutions

 

 

 

 

 

 

0510

1.1.6.1.3.1

for funding promotional loans of retail customers

 

 

 

0,05

 

 

0520

1.1.6.1.3.2

for funding promotional loans of non-financial customers

 

 

 

0,10

 

 

0530

1.1.6.1.3.3

other

 

 

 

0,40

 

 

0540

1.1.6.1.4

to regulated financial institutions other than credit institutions

 

 

 

0,40

 

 

0550

1.1.6.1.5

within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

0560

1.1.6.1.6

within IPS or cooperative network if treated as liquid asset by the depositing institution

 

 

 

0,75

 

 

0570

1.1.6.1.7

to other financial customers

 

 

 

1,00

 

 

0580

1.1.6.2

liquidity facilities

 

 

 

 

 

 

0590

1.1.6.2.1

to retail customers

 

 

 

0,05

 

 

0600

1.1.6.2.2

to non-financial customers other than retail customers

 

 

 

0,30

 

 

0610

1.1.6.2.3

to personal investment companies

 

 

 

0,40

 

 

0620

1.1.6.2.4

to SSPEs

 

 

 

 

 

 

0630

1.1.6.2.4.1

to purchase assets other than securities from non-financial customers

 

 

 

0,10

 

 

0640

1.1.6.2.4.2

other

 

 

 

1,00

 

 

0650

1.1.6.2.5

to credit institutions

 

 

 

 

 

 

0660

1.1.6.2.5.1

for funding promotional loans of retail customers

 

 

 

0,05

 

 

0670

1.1.6.2.5.2

for funding promotional loans of non-financial customers

 

 

 

0,30

 

 

0680

1.1.6.2.5.3

other

 

 

 

0,40

 

 

0690

1.1.6.2.6

within a group or an IPS if subject to preferential treatment

 

 

 

 

 

 

0700

1.1.6.2.7

within IPS or cooperative network if treated as liquid asset by the depositing institution

 

 

 

0,75

 

 

0710

1.1.6.2.8

to other financial customers

 

 

 

1,00

 

 

0720

1.1.7

Other products and services

 

 

 

 

 

 

0731

1.1.7.1

Uncommitted funding facilities

 

 

 

 

 

 

0740

1.1.7.2

undrawn loans and advances to wholesale counterparties

 

 

 

 

 

 

0750

1.1.7.3

mortgages that have been agreed but not yet drawn down

 

 

 

 

 

 

0760

1.1.7.4

credit cards

 

 

 

 

 

 

0770

1.1.7.5

overdrafts

 

 

 

 

 

 

0780

1.1.7.6

planned outflows related to renewal or extension of new retail or wholesale loans

 

 

 

 

 

 

0850

1.1.7.7

derivatives payables

 

 

 

 

 

 

0860

1.1.7.8

trade finance off-balance sheet related products

 

 

 

 

 

 

0870

1.1.7.9

others

 

 

 

 

 

 

0885

1.1.8

Other liabilities and due commitments

 

 

 

 

 

 

0890

1.1.8.1

liabilities resulting from operating expenses

 

 

 

0,00

 

 

0900

1.1.8.2

in the form of debt securities if not treated as retail deposits

 

 

 

1,00

 

 

0912

1.1.8.4

the excess of funding to non-financial customers

 

 

 

 

 

 

0913

1.1.8.4.1

the excess of funding to retail customers

 

 

 

1,00

 

 

0914

1.1.8.4.2

the excess of funding to non financial corporates

 

 

 

1,00

 

 

0915

1.1.8.4.3

the excess of funding to sovereigns, MLDBs and PSEs

 

 

 

1,00

 

 

0916

1.1.8.4.4

the excess of funding to other legal entities

 

 

 

1,00

 

 

0917

1.1.8.5

assets borrowed on an unsecured basis

 

 

 

1,00

 

 

0918

1.1.8.6

others

 

 

 

1,00

 

 

0920

1.2

Outflows from secured lending and capital market-driven transactions

 

 

 

 

 

 

0930

1.2.1

Counterparty is central bank

 

 

 

 

 

 

0940

1.2.1.1

level 1 excl. EHQ Covered Bonds collateral

 

 

 

0,00

 

 

0945

1.2.1.1.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

0950

1.2.1.2

level 1 EHQ Covered Bonds collateral

 

 

 

0,00

 

 

0955

1.2.1.2.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

0960

1.2.1.3

level 2A collateral

 

 

 

0,00

 

 

0965

1.2.1.3.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

0970

1.2.1.4

level 2B asset-backed securities (residential or automobile, CQS1) collateral

 

 

 

0,00

 

 

0975

1.2.1.4.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

0980

1.2.1.5

level 2B covered bonds

 

 

 

0,00

 

 

0985

1.2.1.5.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

0990

1.2.1.6

level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

 

 

 

0,00

 

 

0995

1.2.1.6.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

1000

1.2.1.7

other Level 2B assets collateral

 

 

 

0,00

 

 

1005

1.2.1.7.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

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

 

 

1035

1.2.2.1.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

1040

1.2.2.2

level 1 EHQ Covered Bonds collateral

 

 

 

0,07

 

 

1045

1.2.2.2.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

1050

1.2.2.3

level 2A collateral

 

 

 

0,15

 

 

1055

1.2.2.3.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

1060

1.2.2.4

level 2B asset-backed securities (residential or automobile, CQS1) collateral

 

 

 

0,25

 

 

1065

1.2.2.4.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

1070

1.2.2.5

level 2B covered bonds

 

 

 

0,30

 

 

1075

1.2.2.5.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

1080

1.2.2.6

level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

 

 

 

0,35

 

 

1085

1.2.2.6.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

1090

1.2.2.7

other Level 2B assets collateral

 

 

 

0,50

 

 

1095

1.2.2.7.1

of which collateral extended meets operational requirements

 

 

 

 

 

 

1100

1.2.2.8

non-liquid assets collateral

 

 

 

1,00

 

 

1130

1.3

Total outflows from collateral swaps

 

 

 

 

 

 

MEMORANDUM ITEMS

1170

2

Liquidity outflows to be netted by interdependent inflows

 

 

 

 

 

 

 

3

Operational deposits maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

 

 

 

 

 

 

1180

3.1

provided by credit institutions

 

 

 

 

 

 

1190

3.2

provided by financial customers other than credit institutions

 

 

 

 

 

 

1200

3.3

provided by sovereigns, central banks, MDBs and PSEs

 

 

 

 

 

 

1210

3.4

provided by other customers

 

 

 

 

 

 

 

4

Intra group or IPS outflows

 

 

 

 

 

 

1290

4.1

of which: to financial customers

 

 

 

 

 

 

1300

4.2

of which: to non-financial customers

 

 

 

 

 

 

1310

4.3

of which: secured

 

 

 

 

 

 

1320

4.4

of which: credit facilities without preferential treatment

 

 

 

 

 

 

1330

4.5

of which: liquidity facilites without preferential treatment

 

 

 

 

 

 

1340

4.6

of which: operational deposits

 

 

 

 

 

 

1345

4.7

of which: excess operational deposits

 

 

 

 

 

 

1350

4.8

of which: non-operational deposits

 

 

 

 

 

 

1360

4.9

of which: liabilities in the form of debt securities if not treated as retail deposits

 

 

 

 

 

 

1370

5

FX outflows

 

 

 

 

 

 

 

6

Secured funding waived from Article 17 (2) and (3)

 

 

 

 

 

 

1400

6.1

of which: secured by L1 excl. EHQCB

 

 

 

 

 

 

1410

6.2

of which: secured by L1 EHQCB

 

 

 

 

 

 

1420

6.3

of which: secured by L2A

 

 

 

 

 

 

1430

6.4

of which: secured by L2B

 

 

 

 

 

 

1440

6.5

of which: secured by non-liquid assets

 

 

 

 

 

 



C 74.00 — LIQUIDITY COVERAGE — INFLOWS

Currency

 

Amount

Market value of collateral received

Standard Weight

Applicable Weight

Value of collateral received in accordance with 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

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

Subject to the 75% cap on inflows

Subject to the 90% cap on inflows

Exempted from the cap on inflows

Row

ID

Item

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0010

1

TOTAL INFLOWS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

1.1

Inflows from unsecured transactions/deposits

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

1.1.1

monies due from non-financial customers (except for central banks)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0050

1.1.1.2

other monies due from non-financial customers (except for central banks)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

1.1.1.2.1

monies due from retail customers

 

 

 

 

 

 

0,50

 

 

 

 

 

 

 

 

 

0070

1.1.1.2.2

monies due from non-financial corporates

 

 

 

 

 

 

0,50

 

 

 

 

 

 

 

 

 

0080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

 

 

 

 

 

 

0,50

 

 

 

 

 

 

 

 

 

0090

1.1.1.2.4

monies due from other legal entities

 

 

 

 

 

 

0,50

 

 

 

 

 

 

 

 

 

0100

1.1.2

monies due from central banks and financial customers

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

1.1.2.1

monies due from financial customers being classified as operational deposits

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

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

 

 

 

 

 

 

 

 

 

0140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

1.1.2.2.1

monies due from central banks

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0160

1.1.2.2.2

monies due from financial customers

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0180

1.1.4

monies due from trade financing transactions

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0190

1.1.5

monies due from securities maturing within 30 days

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0201

1.1.6

loans with an undefined contractual end date

 

 

 

 

 

 

0,20

 

 

 

 

 

 

 

 

 

0210

1.1.7

monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0230

1.1.8

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0240

1.1.9

inflows from derivatives

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0250

1.1.10

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0260

1.1.11

other inflows

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0263

1.2

Inflows from secured lending and capital market-driven transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0265

1.2.1

Counterparty is central bank

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0267

1.2.1.1

collateral that qualifies as a liquid asset

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0269

1.2.1.1.1

Level 1 collateral excluding extremely high quality covered bonds

 

 

 

 

 

 

0,00

 

 

 

 

 

 

 

 

 

0271

1.2.1.1.1.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0273

1.2.1.1.2

Level 1 collateral which is extremely high quality covered bonds

 

 

 

 

 

 

0,07

 

 

 

 

 

 

 

 

 

0275

1.2.1.1.2.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0277

1.2.1.1.3

Level 2A collateral

 

 

 

 

 

 

0,15

 

 

 

 

 

 

 

 

 

0279

1.2.1.1.3.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0281

1.2.1.1.4

Level 2B asset backed securities (residential or auto) collateral

 

 

 

 

 

 

0,25

 

 

 

 

 

 

 

 

 

0283

1.2.1.1.4.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0285

1.2.1.1.5

Level 2B high quality covered bonds collateral

 

 

 

 

 

 

0,30

 

 

 

 

 

 

 

 

 

0287

1.2.1.1.5.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0289

1.2.1.1.6

Level 2B asset backed securities (commercial or individuals) collateral

 

 

 

 

 

 

0,35

 

 

 

 

 

 

 

 

 

0291

1.2.1.1.6.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0293

1.2.1.1.7

Level 2B collateral not already captured in section 1.2.1.1.4, 1.2.1.1.5 or 1.2.1.1.6

 

 

 

 

 

 

0,50

 

 

 

 

 

 

 

 

 

0295

1.2.1.1.7.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0297

1.2.1.2

collateral is used to cover a short position

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0299

1.2.1.3

collateral that does not qualify as a liquid asset

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0301

1.2.1.3.1

collateral is non-liquid equity

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0303

1.2.1.3.2

all other non-liquid collateral

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0305

1.2.2

Counterparty is non-central bank

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0307

1.2.2.1

collateral that qualifies as a liquid asset

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0309

1.2.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

 

 

 

 

 

 

0,00

 

 

 

 

 

 

 

 

 

0311

1.2.2.1.1.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0313

1.2.2.1.2

Level 1 collateral which is extremely high quality covered bonds

 

 

 

 

 

 

0,07

 

 

 

 

 

 

 

 

 

0315

1.2.2.1.2.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0317

1.2.2.1.3

Level 2A collateral

 

 

 

 

 

 

0,15

 

 

 

 

 

 

 

 

 

0319

1.2.2.1.3.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0321

1.2.2.1.4

Level 2B asset backed securities (residential or auto) collateral

 

 

 

 

 

 

0,25

 

 

 

 

 

 

 

 

 

0323

1.2.2.1.4.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0325

1.2.2.1.5

Level 2B high quality covered bonds collateral

 

 

 

 

 

 

0,30

 

 

 

 

 

 

 

 

 

0327

1.2.2.1.5.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0329

1.2.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

 

 

 

 

 

 

0,35

 

 

 

 

 

 

 

 

 

0331

1.2.2.1.6.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0333

1.2.2.1.7

Level 2B collateral not already captured in section 1.2.2.1.4, 1.2.2.1.5 or 1.2.2.1.6

 

 

 

 

 

 

0,50

 

 

 

 

 

 

 

 

 

0335

1.2.2.1.7.1

of which collateral received meets operational requirements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0337

1.2.2.2

collateral is used to cover a short position

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0339

1.2.2.3

collateral that does not qualify as a liquid asset

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0341

1.2.2.3.1

margin loans: collateral is non-liquid

 

 

 

 

 

 

0,50

 

 

 

 

 

 

 

 

 

0343

1.2.2.3.2

collateral is non-liquid equity

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0345

1.2.2.3.3

all other non-liquid collateral

 

 

 

 

 

 

1,00

 

 

 

 

 

 

 

 

 

0410

1.3

Total inflows from collateral swaps

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0420

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)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0430

1.5

(Excess inflows from a related specialised credit institution)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MEMORANDUM ITEMS

0450

2

FX inflows

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0460

3

Inflows within a group or an institutional protection scheme

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0470

3.1

Monies due from non-financial customers (except for central banks)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0480

3.2

Monies due from financial customers

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0490

3.3

Secured transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0500

3.4

Monies due from maturing securities within 30 days

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0510

3.5

Any other inflows within a group or an institutional protection scheme

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4

Secured lending waived from Article 17 (2) and (3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0530

4.1

of which: secured by L1 excl. EHQCB

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0540

4.2

of which: secured by L1 EHQCB

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0550

4.3

of which: secured by L2A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0560

4.4

of which: secured by L2B

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0570

4.5

of which: secured by non-liquid assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



C 75.01 — 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

Standard weight

Applicable weight

Outflows

Inflows subject to the 75% cap on inflows

Inflows subject to the 90% cap on inflows

Inflows exempted from the cap on inflows

Row

ID

Item

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

1

TOTAL COLLATERAL SWAPS (counterparty is central bank)

 

 

 

 

 

 

 

 

 

 

0020

1.1

Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

0030

1.1.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,00

 

 

 

 

 

0040

1.1.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0050

1.1.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,07

 

 

 

 

 

0060

1.1.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0070

1.1.3

Level 2A assets

 

 

 

 

0,15

 

 

 

 

 

0080

1.1.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0090

1.1.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,25

 

 

 

 

 

0100

1.1.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0110

1.1.5

Level 2B: high quality covered bonds

 

 

 

 

0,30

 

 

 

 

 

0120

1.1.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0130

1.1.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,35

 

 

 

 

 

0140

1.1.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0150

1.1.7

Other Level 2B

 

 

 

 

0,50

 

 

 

 

 

0160

1.1.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0170

1.1.8

Non-liquid assets

 

 

 

 

1,00

 

 

 

 

 

0180

1.1.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0190

1.2

Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

0200

1.2.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,00

 

 

 

 

 

0210

1.2.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0220

1.2.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

0230

1.2.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0240

1.2.3

Level 2A assets

 

 

 

 

0,08

 

 

 

 

 

0250

1.2.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0260

1.2.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,18

 

 

 

 

 

0270

1.2.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0280

1.2.5

Level 2B: high quality covered bonds

 

 

 

 

0,23

 

 

 

 

 

0290

1.2.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0300

1.2.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,28

 

 

 

 

 

0310

1.2.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0320

1.2.7

Other Level 2B

 

 

 

 

0,43

 

 

 

 

 

0330

1.2.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0340

1.2.8

Non-liquid assets

 

 

 

 

0,93

 

 

 

 

 

0350

1.2.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0360

1.3

Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

0370

1.3.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,00

 

 

 

 

 

0380

1.3.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0390

1.3.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

0400

1.3.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0410

1.3.3

Level 2A assets

 

 

 

 

0,00

 

 

 

 

 

0420

1.3.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0430

1.3.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,10

 

 

 

 

 

0440

1.3.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0450

1.3.5

Level 2B: high quality covered bonds

 

 

 

 

0,15

 

 

 

 

 

0460

1.3.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0470

1.3.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,20

 

 

 

 

 

0480

1.3.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0490

1.3.7

Other Level 2B

 

 

 

 

0,35

 

 

 

 

 

0500

1.3.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0510

1.3.8

Non-liquid assets

 

 

 

 

0,85

 

 

 

 

 

0520

1.3.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0530

1.4

Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

0540

1.4.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,00

 

 

 

 

 

0550

1.4.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0560

1.4.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

0570

1.4.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0580

1.4.3

Level 2A assets

 

 

 

 

0,00

 

 

 

 

 

0590

1.4.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0600

1.4.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,00

 

 

 

 

 

0610

1.4.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0620

1.4.5

Level 2B: high quality covered bonds

 

 

 

 

0,05

 

 

 

 

 

0630

1.4.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0640

1.4.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,10

 

 

 

 

 

0650

1.4.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0660

1.4.7

Other Level 2B

 

 

 

 

0,25

 

 

 

 

 

0670

1.4.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0680

1.4.8

Non-liquid assets

 

 

 

 

0,75

 

 

 

 

 

0690

1.4.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0700

1.5

Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

0710

1.5.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,00

 

 

 

 

 

0720

1.5.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0730

1.5.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

0740

1.5.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0750

1.5.3

Level 2A assets

 

 

 

 

0,00

 

 

 

 

 

0760

1.5.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0770

1.5.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,00

 

 

 

 

 

0780

1.5.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0790

1.5.5

Level 2B: high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

0800

1.5.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0810

1.5.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,05

 

 

 

 

 

0820

1.5.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0830

1.5.7

Other Level 2B

 

 

 

 

0,20

 

 

 

 

 

0840

1.5.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0850

1.5.8

Non-liquid assets

 

 

 

 

0,70

 

 

 

 

 

0860

1.5.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0870

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:

 

 

 

 

 

 

 

 

 

 

0880

1.6.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,00

 

 

 

 

 

0890

1.6.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0900

1.6.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

0910

1.6.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0920

1.6.3

Level 2A assets

 

 

 

 

0,00

 

 

 

 

 

0930

1.6.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0940

1.6.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,00

 

 

 

 

 

0950

1.6.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0960

1.6.5

Level 2B: high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

0970

1.6.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

0980

1.6.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,00

 

 

 

 

 

0990

1.6.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1000

1.6.7

Other Level 2B

 

 

 

 

0,15

 

 

 

 

 

1010

1.6.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1020

1.6.8

Non-liquid assets

 

 

 

 

0,65

 

 

 

 

 

1030

1.6.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1040

1.7

Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

1050

1.7.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,00

 

 

 

 

 

1060

1.7.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1070

1.7.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

1080

1.7.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1090

1.7.3

Level 2A assets

 

 

 

 

0,00

 

 

 

 

 

1100

1.7.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1110

1.7.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,00

 

 

 

 

 

1120

1.7.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1130

1.7.5

Level 2B: high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

1140

1.7.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1150

1.7.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,00

 

 

 

 

 

1160

1.7.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1170

1.7.7

Other Level 2B

 

 

 

 

0,00

 

 

 

 

 

1180

1.7.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1190

1.7.8

Non-liquid assets

 

 

 

 

0,50

 

 

 

 

 

1200

1.7.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1210

1.8

Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

1220

1.8.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,00

 

 

 

 

 

1230

1.8.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1240

1.8.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

1250

1.8.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1260

1.8.3

Level 2A assets

 

 

 

 

0,00

 

 

 

 

 

1270

1.8.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1280

1.8.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,00

 

 

 

 

 

1290

1.8.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1300

1.8.5

Level 2B: high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

1310

1.8.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1320

1.8.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,00

 

 

 

 

 

1330

1.8.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1340

1.8.7

Other Level 2B

 

 

 

 

0,00

 

 

 

 

 

1350

1.8.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1360

1.8.8

Non-liquid assets

 

 

 

 

 

 

 

 

 

 

1370

2

TOTAL COLLATERAL SWAPS (counterparty is non-central bank)

 

 

 

 

 

 

 

 

 

 

1380

2.1

Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

1390

2.1.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,00

 

 

 

 

 

1400

2.1.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1410

2.1.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,07

 

 

 

 

 

1420

2.1.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1430

2.1.3

Level 2A assets

 

 

 

 

0,15

 

 

 

 

 

1440

2.1.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1450

2.1.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,25

 

 

 

 

 

1460

2.1.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1470

2.1.5

Level 2B: high quality covered bonds

 

 

 

 

0,30

 

 

 

 

 

1480

2.1.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1490

2.1.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,35

 

 

 

 

 

1500

2.1.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1510

2.1.7

Other Level 2B

 

 

 

 

0,50

 

 

 

 

 

1520

2.1.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1530

2.1.8

Non-liquid assets

 

 

 

 

1,00

 

 

 

 

 

1540

2.1.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1550

2.2

Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

1560

2.2.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,07

 

 

 

 

 

1570

2.2.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1580

2.2.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

1590

2.2.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1600

2.2.3

Level 2A assets

 

 

 

 

0,08

 

 

 

 

 

1610

2.2.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1620

2.2.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,18

 

 

 

 

 

1630

2.2.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1640

2.2.5

Level 2B: high quality covered bonds

 

 

 

 

0,23

 

 

 

 

 

1650

2.2.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1660

2.2.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,28

 

 

 

 

 

1670

2.2.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1680

2.2.7

Other Level 2B

 

 

 

 

0,43

 

 

 

 

 

1690

2.2.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1700

2.2.8

Non-liquid assets

 

 

 

 

0,93

 

 

 

 

 

1710

2.2.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1720

2.3

Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

1730

2.3.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,15

 

 

 

 

 

1740

2.3.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1750

2.3.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,08

 

 

 

 

 

1760

2.3.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1770

2.3.3

Level 2A assets

 

 

 

 

0,00

 

 

 

 

 

1780

2.3.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1790

2.3.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,10

 

 

 

 

 

1800

2.3.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1810

2.3.5

Level 2B: high quality covered bonds

 

 

 

 

0,15

 

 

 

 

 

1820

2.3.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1830

2.3.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,20

 

 

 

 

 

1840

2.3.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1850

2.3.7

Other Level 2B

 

 

 

 

0,35

 

 

 

 

 

1860

2.3.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1870

2.3.8

Non-liquid assets

 

 

 

 

0,85

 

 

 

 

 

1880

2.3.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1890

2.4

Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

1900

2.4.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,25

 

 

 

 

 

1910

2.4.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1920

2.4.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,18

 

 

 

 

 

1930

2.4.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1940

2.4.3

Level 2A assets

 

 

 

 

0,10

 

 

 

 

 

1950

2.4.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1960

2.4.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,00

 

 

 

 

 

1970

2.4.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

1980

2.4.5

Level 2B: high quality covered bonds

 

 

 

 

0,05

 

 

 

 

 

1990

2.4.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2000

2.4.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,10

 

 

 

 

 

2010

2.4.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2020

2.4.7

Other Level 2B

 

 

 

 

0,25

 

 

 

 

 

2030

2.4.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2040

2.4.8

Non-liquid assets

 

 

 

 

0,75

 

 

 

 

 

2050

2.4.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2060

2.5

Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

2070

2.5.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,30

 

 

 

 

 

2080

2.5.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2090

2.5.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,23

 

 

 

 

 

2100

2.5.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2110

2.5.3

Level 2A assets

 

 

 

 

0,15

 

 

 

 

 

2120

2.5.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2130

2.5.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,05

 

 

 

 

 

2140

2.5.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2150

2.5.5

Level 2B: high quality covered bonds

 

 

 

 

0,00

 

 

 

 

 

2160

2.5.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2170

2.5.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,05

 

 

 

 

 

2180

2.5.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2190

2.5.7

Other Level 2B

 

 

 

 

0,20

 

 

 

 

 

2200

2.5.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2210

2.5.8

Non-liquid assets

 

 

 

 

0,70

 

 

 

 

 

2220

2.5.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2230

2.6

Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

2240

2.6.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,35

 

 

 

 

 

2250

2.6.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2260

2.6.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,28

 

 

 

 

 

2270

2.6.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2280

2.6.3

Level 2A assets

 

 

 

 

0,20

 

 

 

 

 

2290

2.6.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2300

2.6.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,10

 

 

 

 

 

2310

2.6.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2320

2.6.5

Level 2B: high quality covered bonds

 

 

 

 

0,05

 

 

 

 

 

2330

2.6.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2340

2.6.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,00

 

 

 

 

 

2350

2.6.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2360

2.6.7

Other Level 2B

 

 

 

 

0,15

 

 

 

 

 

2370

2.6.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2380

2.6.8

Non-liquid assets

 

 

 

 

0,65

 

 

 

 

 

2390

2.6.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2400

2.7

Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

2410

2.7.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

0,50

 

 

 

 

 

2420

2.7.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2430

2.7.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,43

 

 

 

 

 

2440

2.7.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2450

2.7.3

Level 2A assets

 

 

 

 

0,35

 

 

 

 

 

2460

2.7.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2470

2.7.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,25

 

 

 

 

 

2480

2.7.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2490

2.7.5

Level 2B: high quality covered bonds

 

 

 

 

0,20

 

 

 

 

 

2500

2.7.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2510

2.7.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,15

 

 

 

 

 

2520

2.7.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2530

2.7.7

Other Level 2B

 

 

 

 

0,00

 

 

 

 

 

2540

2.7.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2550

2.7.8

Non-liquid assets

 

 

 

 

0,50

 

 

 

 

 

2560

2.7.8.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2570

2.8

Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

 

 

 

 

 

 

 

 

 

 

2580

2.8.1

Level 1 assets (excl. EHQ covered bonds)

 

 

 

 

1,00

 

 

 

 

 

2590

2.8.1.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2600

2.8.2

Level 1: extremely high quality covered bonds

 

 

 

 

0,93

 

 

 

 

 

2610

2.8.2.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2620

2.8.3

Level 2A assets

 

 

 

 

0,85

 

 

 

 

 

2630

2.8.3.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2640

2.8.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

 

 

 

 

0,75

 

 

 

 

 

2650

2.8.4.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2660

2.8.5

Level 2B: high quality covered bonds

 

 

 

 

0,70

 

 

 

 

 

2670

2.8.5.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2680

2.8.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

 

 

 

 

0,65

 

 

 

 

 

2690

2.8.6.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2700

2.8.7

Other Level 2B

 

 

 

 

0,50

 

 

 

 

 

2710

2.8.7.1

Of which collateral swapped meets operational requirements

 

 

 

 

 

 

 

 

 

 

2720

2.8.8

Non-liquid assets

 

 

 

 

 

 

 

 

 

 

MEMORANDUM ITEMS

2730

3

Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions

 

 

 

 

 

 

 

 

 

 

2740

4

Total collateral swaps with intragroup counterparties

 

 

 

 

 

 

 

 

 

 

 

5

Collateral swaps waived from Article 17 (2) and (3)

 

 

 

 

 

 

 

 

 

 

2750

5.1

of which: collateral borrowed is L1 excl. EHQCB

 

 

 

 

 

 

 

 

 

 

2760

5.2

of which: collateral borrowed is L1 EHQCB

 

 

 

 

 

 

 

 

 

 

2770

5.3

of which: collateral borrowed is L2A

 

 

 

 

 

 

 

 

 

 

2780

5.4

of which: collateral borrowed is L2B

 

 

 

 

 

 

 

 

 

 

2790

5.5

of which: collateral lent is L1 excl. EHQCB

 

 

 

 

 

 

 

 

 

 

2800

5.6

of which: collateral lent is L1 EHQCB

 

 

 

 

 

 

 

 

 

 

2810

5.7

of which: collateral lent is L2A

 

 

 

 

 

 

 

 

 

 

2820

5.8

of which: collateral lent is L2B

 

 

 

 

 

 

 

 

 

 



C 76.00 — LIQUIDITY COVERAGE — CALCULATIONS

Currency

 

 

 

Value / Percentage

Row

ID

Item

010

CALCULATIONS

Numerator, denominator, ratio

0010

1

Liquidity buffer

 

0020

2

Net liquidity outflow

 

0030

3

Liquidity coverage ratio (%)

 

Numerator calculations

0040

4

L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted

 

0050

5

L1 excl. EHQCB collateral 30 day outflows

 

0060

6

L1 excl. EHQCB collateral 30 day inflows

 

0070

7

Secured cash 30 day ouflows

 

0080

8

Secured cash 30 day inflows

 

0091

9

L1 excl. EHQCB "adjusted amount"

 

0100

10

L1 EHQCB value in accordance with Article 9: unadjusted

 

0110

11

L1 EHQCB collateral 30 day outflows

 

0120

12

L1 EHQCB collateral 30 day inflows

 

0131

13

L1 EHQCB ‘adjusted amount’

 

0160

14

L2A value in accordance with Article 9: unadjusted

 

0170

15

L2A collateral 30 day outflows

 

0180

16

L2A collateral 30 day inflows

 

0191

17

L2A ‘adjusted amount’

 

0220

18

L2B value in accordance with Article 9: unadjusted

 

0230

19

L2B collateral 30 day outflows

 

0240

20

L2B collateral 30 day inflows

 

0251

21

L2B ‘adjusted amount’

 

0280

22

Excess liquid asset amount

 

0290

23

Liquidity buffer

 

Denominator calculations

0300

24

Total Outflows

 

0310

25

Fully Exempt Inflows

 

0320

26

Inflows Subject to 90% Cap

 

0330

27

Inflows Subject to 75% Cap

 

0340

28

Reduction for Fully Exempt Inflows

 

0350

29

Reduction for Inflows Subject to 90% Cap

 

0360

30

Reduction for Inflows Subject to 75% Cap

 

0370

31

Net liquidity outflow

 

Pillar 2

0380

32

Pillar 2 requirement as set out in Article 105 CRD

 



C 77.00 — LIQUIDITY COVERAGE — PERIMETER

Parent or subsidiary

Name

Code

Type of code

National code

Country code

Type of entity

0005

0010

0020

0021

0022

0040

0050

 

 

 

 

 

 

 



ANNEX XXV

INSTRUCTIONS FOR COMPLETING LIQUIDITY TEMPLATES OF ANNEX XXIV

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 ( 25 ). 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 Delegated Regulation (EU) 2015/61.

3. By way of derogation from point 2, credit institutions shall not apply currency restrictions in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 when completing the template in a separate currency in accordance with 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 415(2) of Regulation (EU) No 575/2013.

5. In accordance with Article 9 of Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets by taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges referred to in point (b) of Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2 of that Delegated Regulation.

6. 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 referred to in Article 9 of 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 of the template.

1.2.   Specific remarks

1.2.1.   Specific requirements regarding CIUs

8. 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. of the template, 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 Article 15(4) of Delegated Regulation (EU) 2015/61.

1.2.2.   Specific requirements regarding grandfathering and transitional provisions

9. Credit institutions shall report items as referred to in Articles 35 to 37 of Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these Articles shall also be reported in the ‘Memorandum’ section for reference.

1.2.3.   Specific requirements for reporting by Central Institutions

10. 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 in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61.

1.2.4.   Specific requirements regarding settlement and forward starting transactions

11. All assets complying with Articles 7, 8 and 9 of Delegated Regulation (EU) 2015/61 and 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 from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets shall be reported in this template.

1.2.5.   Liquid assets sub template

1.2.5.1.   Instructions concerning specific columns



Column

Legal references and instructions

0010

Amount/Market value

Credit institutions shall report in column 0010 the market value or the amount where applicable, of the liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61.

The amount/market value reported in column 0010:

— 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 point (a) of Article 16(1) 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 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. Credit institutions shall not take into account potential future value changes in the asset.

0020

Standard weight

Column 0020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in value of the liquid assets after applying the appropriate haircuts.

0030

Applicable weight

Credit institutions shall report in column 0030 the applicable weight applied to liquid assets set out in Title II of 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 0030 shall not exceed the figure in column 0020.

0040

Value in accordance with Article 9

Credit institutions shall report in column 0040 the value of the liquid asset determined in accordance with Article 9 of Delegated Regulation (EU) 2015/61, which shall be the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight.

1.2.5.2.   Instructions concerning specific rows



Row

Legal references and instructions

0010

1.  TOTAL UNADJUSTED LIQUID ASSETS

Title II of Delegated Regulation (EU) 2015/61

Credit institutions shall report the total amount/market value of their Liquid assets in column 0010.

Credit institutions shall report the total value calculated in accordance with Article 9 of their Liquid assets in column 0040.

0020

1.1.  Total unadjusted level 1 assets

Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61

Assets reported in this section shall have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61.

Credit institutions shall report the total amount/market value of their Level 1 Liquid assets in column 0010.

Credit institutions shall report the total value calculated in accordance with Article 9 of their Level 1 Liquid assets in column 0040.

0030

1.1.1.  Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

Articles 10, 15, 16 and 19 of Delegated Regulation (EU) 2015/61

Assets reported in this subsection shall have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61. Assets and underlying assets that qualify as extremely high quality covered bonds as referred to in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61 shall not be reported in this subsection.

Credit institutions shall report in column 0010 the sum of total market value/amount of Level 1 assets, excluding extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 0040 the sum of total weighted amount of Level 1 assets, excluding extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

0040

1.1.1.1.  Coins and banknotes

Point (a) of Article 10(1) of Delegated Regulation (EU) 2015/61

Total amount of cash arising from coins and banknotes.

0050

1.1.1.2.  Withdrawable central bank reserves

Point (b)(iii) of Article 10(1) of 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 shall be specified by an agreement between the competent authority of the credit institution and the central bank in which the reserves are held or in the applicable rules of the third country as referred to in point (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61.

0060

1.1.1.3.  Central bank assets

Points (b)(i) and (b)(ii) of Article 10(1) of 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.

0070

1.1.1.4.  Central government assets

Points (c)(i) and (c)(ii) of Article 10(1) of 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 those assets 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.

Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State in accordance with Article 35 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

Assets issued by Member State-sponsored impaired assets management agencies as referred to in Article 36 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

0080

1.1.1.5.  Regional government/local authorities assets

Points (c)(iii) and (c)(iv) of Article 10(1) of 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 Article 35 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

0090

1.1.1.6.  Public Sector Entity assets

Points (c)(v) and (c)(vi) of Article 10(1) 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 those assets are treated as exposures to the central government, regional governments or local authorities of this Member State or third country in accordance with Article 116(4) of Regulation (EU) No 575/2013.

Any exposures to central government of a third country referred to in a preceding paragraph 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 exposures to regional government or local authority of a third country referred to in this subsection 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.

0100

1.1.1.7.  Recognisable domestic and foreign currency central government and central bank assets

Point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the central government, or the central bank and reserves held in a central bank under the conditions of point (d)(ii) of Article 10(1) of Delegated Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a nominated ECAI of at least credit quality step 1, provided that the credit institution recognises such assets in aggregate as Level 1 up to the amount of its stressed net liquidity outflows incurred in the same currency.

Assets representing claims on or guaranteed by the central government, or the central bank and reserves held in a central bank under the conditions of point (d)(ii) of Article 10(1) of Delegated Regulation (EU) 2015/61, of a third country which is not assigned a credit assessment by a nominated ECAI of at least credit quality step 1, and those 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.

0110

1.1.1.8.  Credit institution (protected by Member State government, promotional lender) assets

Points (e)(i) and (e)(ii) of Article 10(1) of 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 in accordance with point (e)(ii) of Article 10(1) of Delegated Regulation (EU) 2015/61.

Any exposures to 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) of Regulation (EU) No 575/2013.

0120

1.1.1.9.  Multilateral development bank and international organisations assets

Point (g) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing claims on or guaranteed by the multilateral development banks and the international organisations as referred to in Article 117(2) and Article 118 of Regulation (EU) No 575/2013.

0130

1.1.1.10.  Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure

Point (a) of Article 15(2) of 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.

0140

1.1.1.11.  Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds

Point (b) of Article 15(2) of 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, to a Member State’s or to a third country’s central bank, and extremely high quality covered bonds as specified in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

0150

1.1.1.12.  Alternative Liquidity Approaches: Central bank credit facility

Point (b) of Article 19(1) of 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 laid down in points (b)(i) to (b)(iii) of Article 19(1) of Delegated Regulation (EU) 2015/61.

0160

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 Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those 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 reporting those assets, shall ensure that the reported amount of those liquid assets after haircut do not exceed the outflow from the corresponding deposits.

Assets referred to in this row shall be level 1 assets excluding extremely high quality covered bonds.

0170

1.1.1.14.  Alternative Liquidity Approaches: Level 2A assets recognised as Level 1

Point (c) of Article 19(1) of 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 point (c) of Article 19(1) of Delegated Regulation (EU) 2015/61. Those assets shall not be reported in the Level 2A assets section.

0180

1.1.2.  Total unadjusted Level 1 extremely high quality covered bonds

Articles 10, 15 and 16 of Delegated Regulation (EU) 2015/61

Assets reported in this subsection have been explicitly identified as or treated as Level 1 assets in accordance with Delegated Regulation (EU) 2015/61 and are, or whose underlying assets do qualify as, extremely high quality covered bonds as referred to in point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 0010 the sum of total market value/amount of Level 1 extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 0040 the sum of total weighted amount of Level 1 extremely high quality covered bonds, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

0190

1.1.2.1.  Extremely high quality covered bonds

Point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of extremely high quality covered bonds which comply with point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

0200

1.1.2.2.  Qualifying CIU shares/units: underlying is extremely high quality covered bonds

Point (c) of Article 15(2) of 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 point (f) of Article 10(1) of Delegated Regulation (EU) 2015/61.

0210

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 Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those liquid assets shall not be counted to cover outflows other than from the corresponding deposits and shall be disregarded for the calculations of the composition of the remaining liquidity buffer under Article 17 of Delegated Regulation (EU) 2015/61 for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut does not exceed the outflow from the corresponding deposits.

Assets referred to in this row are level 1 extremely high quality covered bonds.

0220

1.2.  Total unadjusted level 2 assets

Articles 11 to 16 and Article 19 of 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 in accordance with Delegated Regulation (EU) 2015/61.

Credit institutions shall report the total amount/market value of their Level 2 Liquid assets in column 0010.

Credit institutions shall report the total value calculated in accordance with Article 9 of their Level 2 Liquid assets in column 0040.

0230

1.2.1.  Total unadjusted LEVEL 2A assets

Articles 11, 15 and 19 of Delegated Regulation (EU) 2015/61

Assets reported in this sub-section have been explicitly identified as or treated as Level 2A assets in accordance with Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 0010 the sum of total market/value amount of Level 2A assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 0040 the sum of total weighted amount of Level 2A assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

0240

1.2.1.1.  Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %)

Point (a) of Article 11(1) of 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 %.

0250

1.2.1.2.  Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %)

Point (b) of Article 11(1) of 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 those assets are assigned a 20 % risk weight.

0260

1.2.1.3.  High quality covered bonds (CQS2)

Point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of high quality covered bonds which comply with point (c) of Article 11(1) of Delegated Regulation (EU) 2015/61 provided that those assets 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.

0270

1.2.1.4.  High quality covered bonds (Third Country, CQS1)

Point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of covered bonds issued by credit institutions in third countries which comply with point (d) of Article 11(1) of Delegated Regulation (EU) 2015/61 provided that those assets 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.

0280

1.2.1.5.  Corporate debt securities (CQS1)

Point (e) of Article 11(1) of Delegated Regulation (EU) 2015/61

Corporate debt securities which comply with point (e) of Article 11(1) of Delegated Regulation (EU) 2015/61.

0290

1.2.1.6.  Qualifying CIU shares/units: underlying is Level 2A assets

Point (d) Article 15(2) of 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 Delegated Regulation (EU) 2015/61.

0300

1.2.1.7.  Central credit institutions: Level 2A assets which are considered liquid assets for the depositing credit institution

Article 27(3) of Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of Delegated Regulation (EU) 2015/61, liquid assets are to be identified which correspond to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution. Those 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 of Delegated Regulation (EU) 2015/61 for the central institution at individual level.

Central institutions, when reporting those assets, shall ensure that the reported amount of those liquid assets after haircut does not exceed the outflow from the corresponding deposits.

Assets referred to in this row are level 2A assets.

0310

1.2.2.  Total unadjusted LEVEL 2B assets

Articles 12 to 16 and Article 19 of Delegated Regulation (EU) 2015/61

Assets reported in this subsection have been explicitly identified as Level 2B assets in accordance with Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 0010 the sum of total market value/amount of Level 2B assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 0040 the sum of total weighted amount of Level 2B assets, without taking into account the requirements of Article 17 of Delegated Regulation (EU) 2015/61.

0320

1.2.2.1.  Asset-backed securities (residential, CQS1)

Point (a) of Article 12(1) and points (g)(i) and (g)(ii) of Article 13(2) of Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with the requirements of Article 13 of 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 points (g)(i) and (g)(ii) of Article 13(2) of Delegated Regulation (EU) 2015/61.

Assets which are subject to the transitional provision specified in Article 37 of Delegated Regulation (EU) 2015/61 shall be reported in this row.

0330

1.2.2.2.  Asset-backed securities (auto, CQS1)

Point (a) of Article 12(1) and point (g)(iv) of Article 13(2) of Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by auto loans and leases in accordance with point (g)(iv) of Article 13(2) of Delegated Regulation (EU) 2015/61.

0340

1.2.2.3.  High quality covered bonds (RW35 %)

Point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61

Assets representing exposures in the form of covered bonds issued by credit institutions which comply with point (e) of Article 12(1) of 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.

0350

1.2.2.4.  Asset-backed securities (commercial or individuals, Member State, CQS1)

Point (a) of Article 12(1) and points (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation (EU) 2015/61

Exposures in the form of asset-backed securities which comply with the requirements of Article 13 of Delegated Regulation (EU) 2015/61, provided that they are backed by assets as referred to in points (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of point (g)(iii) of Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.

0360

1.2.2.5.  Corporate debt securities (CQS2/3)

Point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61

Corporate debt securities which comply with point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61

0370

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 Delegated Regulation (EU) 2015/61

A competent authority may allow credit institutions which, in accordance with their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, to derogate from points (b)(ii) and (b)(iii) of Article 12(1) of Delegated Regulation (EU) 2015/61, provided that there is evidence of insufficient availability of non-interest bearing assets meeting the requirements laid down in those points and that the non-interest bearing assets in question are adequately liquid in private markets.

Those credit institutions shall report corporate debt securities containing non-interest bearing assets as long as they meet the requirements of point (b)(i) of Article 12(1) of Delegated Regulation (EU) 2015/61 and have received proper derogation from their competent authority.

0380

1.2.2.7.  Shares (major stock index)

Point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61

Shares, which comply with point (c) of Article 12(1) of 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 point (c) of Article 12(1) 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.

0390

1.2.2.8.  Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

Point (f) of Article 12(1) of Delegated Regulation (EU) 2015/61

For credit institutions which, in accordance with their statutes of incorporation, are unable to hold interest bearing assets for reasons of religious observance, 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.

0400

1.2.2.9.  Restricted-use central bank committed liquidity facilities

Point (d) of Article 12(1) and Article 14 of Delegated Regulation (EU) 2015/61

Undrawn amount of restricted-use committed liquidity facilities provided by central banks which comply with Article 14 of Delegated Regulation (EU) 2015/61.

0410

1.2.2.10.  Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)

Point (e) of Article 15(2) of 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 (g)(i), (g)(ii) and (g)(iv) of Article 13(2) of Delegated Regulation (EC) No 2015/61.

0420

1.2.2.11.  Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %)

Point (f) of Article 15(2) of 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 point (e) of Article 12(1) of Delegated Regulation (EU) 2015/61.

0430

1.2.2.12.  Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)

Point (g) of Article 15(2) of 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 (g)(iii) and (g)(v) of Article 13(2) of Delegated Regulation (EU) 2015/61. Note that for the purpose of point (g)(iii) of Article 13(2), at least 80 % of the borrowers in the pool shall be SMEs at the time of issuance of the securitisation.

0440

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)

Point (h) of Article 15(2) of Delegated Regulation (EU) 2015/61

Shares or units in CIUs whose underlying assets correspond to corporate debt securities that comply with point (b) of Article 12(1) of Delegated Regulation (EU) 2015/61, shares that comply with point (c) of Article 12(1) of the same Regulation or non-interest bearing assets that comply with point (f) of Article 12(1) of the same Regulation.

0450

1.2.2.14.  Deposits by network member with central institution (no obligated investment)

Point (b) of Article 16(1) of 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.

0460

1.2.2.15.  Liquidity funding available to network member from central institution (non-specified collateralisation)

Article 16(2) of Delegated Regulation (EU) 2015/61

Undrawn amount of limited liquidity funding that complies with Article 16(2) of Delegated Regulation (EU) 2015/61.

0470

1.2.2.16.  Central credit institutions: Level 2B assets which are considered liquid assets for the depositing credit institution

Article 27(3) of Delegated Regulation (EU) 2015/61

In accordance with Article 27(3) of 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 reporting those assets, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits.

Assets referred to in this row are level 2B assets.

MEMORANDUM ITEMS

0485

2.  Deposits by network member with central institution (obligated investment)

Point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report total amount of assets reported in the above sections as per the requirements in point (a) of Article 16(1) of Delegated Regulation (EU) 2015/61.

0580

3.  Level 1/2A/2B assets excluded due to currency reasons

Articles 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61

Institution shall report the portion of Level 1, Level 2A and Level 2B assets referred to in Articles 10 to 16 which are not recognisable by institution in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1).

0590

4.  Level 1/2A/2B assets excluded for operational reasons except for currency reasons

Article 8 of Delegated Regulation (EU) 2015/61

Credit institutions shall report assets in compliance with Article 7 of Delegated Regulation (EU) 2015/61 but that do not meet the requirements specified in Article 8 of Delegated Regulation (EU) 2015/61, provided that they have not been reported in row 0580 for currency reasons.

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 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 415(2) of Regulation (EU) No 575/2013.

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. Those 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 Delegated Regulation (EU) 2015/61, liquidity outflows shall:

i. 

include the categories referred to in Article 22(2) of 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 Delegated Regulation (EU) 2015/61.

5. 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. Those outflows shall also be separately reported as memorandum items.

7. The liquidity outflows shall be reported only once in the template unless additional outflows in accordance with Article 30 of Delegated Regulation (EU) 2015/61 are applicable or where the item is an ‘of which’ item or a memorandum item.

8. In the case of separate reporting as referred to in Article 415(2) of Regulation (EU) No 575/2013, 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 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 separate currency.

9. The standard weights in column 0040 of template C 73.00 of Annex XXIV are those specified in 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 Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that Regulation. Where those transactions are made against a collateral pool, the identification of the specific assets pledged for the purposes of reporting in this template will be made, in accordance with the liquid assets categories specified in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid assets. Simultaneously, in case of transactions with different residual maturities made against a collateral pool, less liquid assets are assigned to the transactions with the longest residual maturities first.

11. A separate template is provided for collateral swaps, C 75.01 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 1.1.8.6. 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 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 a 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. If the amount to be received is larger than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an inflow. 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 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 within the 30 day time horizon and mature after the 30-day horizon where the initial leg produces a net outflow

Yes

ID 1.1.8.6.

No

Do not report

4

An item requiring additional outflows in accordance with Article 30 of DA?

Yes

# 5 and subsequently # 51

No

# 5

5

Retail deposit in accordance with Article 411(2) of Regulation (EU) No 575/2013?

Yes

# 6

No

# 12

6

Cancelled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution?

Yes

ID 1.1.1.2.

No

# 7

7

Deposit in accordance with Article 25(4) of DA?

Yes

ID 1.1.1.1.

No

# 8

8

Deposit in accordance with Article 25(5) of DA?

Yes

ID 1.1.1.6.

No

# 9

9

Deposit in accordance with Article 25(2) of DA?

Yes

Allocate into one relevant item of ID 1.1.1.3.

No

# 10

10

Deposit in accordance with Article 24(4) of DA?

Yes

ID 1.1.1.5.

No

# 11

11

Deposit in accordance with Article 24(1) of DA?

Yes

ID 1.1.1.4.

No

ID 1.1.1.7.

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

# 30

13

Liability resulting from the institution's own operating expenses?

Yes

ID 1.1.8.1.

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 1.1.8.2.

No

# 16

16

Deposit received as collateral?

Yes

Allocate across relevant items of ID 1.1.5.

No

# 17

17

Deposit arising out of a corresponding banking or from the prime brokerage?

Yes

ID1.1.4.1.

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

Excess operational deposits?

Yes

Allocate into one relevant item of ID 1.1.3.

No

# 25

25

Other deposit?

Yes

# 26

No

# 27

26

Deposits by financial customers?

Yes

ID 1.1.4.2.

No

Allocate into one relevant item of ID 1.1.4.3.

27

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

# 28

28

Liability from collateral swaps?

Yes

Allocate into one relevant item of C75.01 and ID 1.3. where applicable.

No

# 29

29

Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA?

Yes

ID 1.1.5.5.

No

# 30

30

Any other liability that becomes due in the next 30 days?

Yes

ID 1.1.8.3

No

#31

31

Contractual commitments to extend funding to non-financial customers that is due in the next 30 days in excess of inflows from those customers?

Yes

One of the following IDs: 1.1.8.4.1 to 1.1.8.4.4

No

#32

32

Other outflows that are due in the next 30 days not mentioned above?

Yes

ID 1.1.8.6

No

#33

33

Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA?

Yes

#34

No

# 42

34

Committed credit facility?

Yes

# 35

No

# 37

35

Within IPS or cooperative network treated as liquid asset by the depositing institution?

Yes

ID 1.1.6.1.6.

No

# 36

36

Within a group or an IPS subject to preferential treatment?

Yes

ID 1.1.6.1.5.

No

Allocate into one relevant remaining item of ID 1.1.6.1.

37

Committed liquidity facility?

Yes

#38

n/a

n/a

38

Within IPS or cooperative network treated as liquid asset by the depositing institution?

Yes

ID 1.1.6.2.7.

No

# 39

39

Within a group or an IPS subject to preferential treatment?

Yes

ID 1.1.6.2.6.

No

# 40

40

To SSPEs?

Yes

Allocate into one relevant item of ID 1.1.6.2.4.

No

#41

41

To personal investment companies?

Yes

ID 1.1.6.2.3.

No

Allocate into one relevant remaining item of ID 1.1.6.2.

42

Other product or service in accordance with Article 23 of DA?

Yes

# 43

No

Do not report

43

Trade finance off balance sheet related product?

Yes

ID1.1.7.8.

No

# 44

44

Undrawn loans and advances to wholesale counterparties?

Yes

ID 1.1.7.2.

No

# 45

45

Mortgages that have been agreed but not yet drawn down

Yes

ID 1.1.7.3.

No

# 46

46

Planned outflow related to renewal or extension of new retail or wholesale loans?

Yes

ID 1.1.7.6.

No

# 47

47

Credit cards?

Yes

ID 1.1.7.4.

No

# 48

48

Overdrafts?

Yes

ID 1.1.7.5.

No

# 49

49

Derivatives payable?

Yes

ID1.1.7.7.

No

# 50

50

Other off balance sheet and contingent funding obligation?

Yes

ID1.1.7.1.

No

ID 1.1.7.9.

51

Debt security already reported in item 1.1.8.2 of C 73.00?

Yes

Do not report

No

# 52

52

Liquidity requirement for derivatives in accordance with Article 30.4 of DA already considered in question # 29?

Yes

Do not report

No

Allocate across relevant items of ID 1.1.5.

1.3.   Instructions concerning specific columns



Column

Legal references and instructions

0010

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 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 0010 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 which represent the cash leg of the secured transaction in accordance with Article 22(2) of Delegated Regulation (EU) 2015/61.

0020

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 Delegated Regulation (EU) 2015/61) and subject to the following conditions:

— 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 recognizable part shall be reported within the rows on Level 1, Level 2A and Level 2B assets in accordance with point (c)(ii) of Article 12(1) and point (d) of Article 10(1) of 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 recognised 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).

0030

Value of collateral extended in accordance with 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 Delegated Regulation (EU) 2015/61. This is calculated by multiplying column 0020 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 0030 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.

0040

Standard Weight

Articles 24 to 31a of Delegated Regulation (EU) 2015/61

The standard weights in column 0040 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

0050

Applicable Weight

Both unsecured and secured:

Credit institutions shall report here applicable weights. These weights are those specified in Articles 22 to 31a of 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.

0060

Outflow

Both unsecured and secured:

Credit institutions shall report here the outflows. Those outflows are calculated by multiplying column 0010 C 73.00 of Annex XXIV by column 0050 C 73.00 of Annex XXIV.

1.4.   Instructions concerning specific rows



Row

Legal references and instructions

0010

1.  OUTFLOWS

Chapter 2 of Title III of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows in accordance with Chapter 2 of Title III of Delegated Regulation (EU) 2015/61.

0020

1.1.  Outflows from unsecured transactions/deposits

Articles 20 to 31a of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows in accordance with Articles 21 to 31a of Delegated Regulation (EU) 2015/61, with the exception of outflows reported in accordance with Article 28(3) and (4) of that Delegated Regulation.

0030

1.1.1.  Retail deposits

Articles 24 and 25 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on retail deposits as defined in Article 411(2) of Regulation (EU) No 575/2013.

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, as referred to in Article 28(6) of Delegated Regulation (EU) 2015/61. Credit institutions will consider for this category of liability the applicable outflow rates provided for by 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.

0035

1.1.1.1.  deposits exempted from the calculation of outflows

Article 25(4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here those categories of retail deposits exempted from the calculation of outflows if the conditions of points (a) and (b) of Article 25(4) have been met.

0040

1.1.1.2.  deposits where the pay-out has been agreed within the following 30 days

Article 25(4) of 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.

0050

1.1.1.3.  deposits subject to higher outflows

Articles 25(2) and (3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the full balance of the deposits subject to higher outflow rates in accordance with Article 25(2) and (3) of Delegated Regulation (EU) 2015/61. Those retail deposits where the assessment under Article 25(2) of Delegated Regulation (EU) 2015/61 for their categorization has not been carried out or is not completed shall also be reported here.

0060

1.1.1.3.1.  Category 1

Article 25(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfils the criteria in point (a) or two of the criteria in points (b) to (e) of Article 25(2) of 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) of Delegated Regulation (EU) 2015/61 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 point (a) of Article 25(3) of 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 preceding paragraph and weighted by the cited corresponding amounts.

0070

1.1.1.3.2.  Category 2

Article 25(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of the whole outstanding balance of every retail deposit which fulfils the criteria in point (a) of Article 25(2) of Delegated Regulation (EU) 2015/61 and at least another criterion referred to in Article 25(2) or three or more criteria of Article 25(2) unless these deposits have been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported within this latter category.

Those retail deposits where the assessment under Article 25(2) 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 point (b) of Article 25(3) of Delegated Regulation (EU) 2015/61, or higher ones if applied by a competent authority, which have been applied on the full amount of every deposit referred to in the preceding paragraphs and weighted by the cited corresponding amounts.

0080

1.1.1.4.  stable deposits

Article 24 of 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 Delegated Regulation (EU) 2015/61 respectively and where:

— Those deposits do not fulfil the criteria for a higher outflow rate laid down in Article 25(2), (3) and (5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported as deposits subject to higher outflows; or

— Those deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61, in which case they shall be reported within this category;

— The derogation specified in Article 24(4) of Delegated Regulation (EU) 2015/61 is not applicable.

0090

1.1.1.5.  Derogated stable deposits

Article 24(4) and (6) of 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 Delegated Regulation (EU) 2015/61 respectively and where:

Those deposits do not fulfil the criteria for a higher outflow rate laid down in Article 25(2), (3) and (5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as deposits subject to higher outflows; or

— Those deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported within this category;

— The derogation envisaged in Article 24(4) of Delegated Regulation (EU) 2015/61 is applicable.

0100

1.1.1.6.  deposits in third countries where a higher outflow is applied

Article 25(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of retail deposits taken in a third country where a higher outflow is applied in accordance with the national law which sets out liquidity requirements in that third country.

0110

1.1.1.7.  other retail deposits

Article 25(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of other retail deposits than those captured in the preceding items.

0120

1.1.2.  Operational deposits

Articles 27 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the part of the operational deposits determined in accordance with Article 27 of Delegated Regulation (EU) 2015/61, which are necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits as established in Article 27(5) of Delegated Regulation (EU) 2015/61.

The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be reported here but shall be reported under id 1.1.3.

0130

1.1.2.1.  maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

Point (a) of Article 27(1), Article 27(2) and (4) of Delegated Regulation (EU) 2015/61

Credit institutions shall report 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, as referred to in point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61, which are critically important to the depositor as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61; funds in excess of those required for the provision of operational services shall be treated as non-operational deposits as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61.

Only deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred in the second sentence of Article 27(4) of Delegated Regulation (EU) 2015/61 shall be reported.

Credit institutions shall report separately,, the amount of those deposits covered and not covered by a Deposit Guarantee Scheme or third country equivalent deposit guarantee scheme that are referred to in Article 27(2) of Delegated Regulation (EU) 2015/61, as specified in the following items of the instructions.

0140

1.1.2.1.1.  covered by DGS (Deposit Guarantee Scheme)

Point (a) of Article 27(1), Article 27(2) and (4) of 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 fulfils the criteria set out in point (a) of Article 27(1) and Article 27(4) of 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.

0150

1.1.2.1.2.  not covered by DGS

Point (a) of Article 27(1), Article 27(2) and (4) of 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 fulfils the criteria set out in point (a) of Article 27(1) and Article 27(4) of 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.

0160

1.1.2.2.  maintained in the context of IPS (Institutional Protection Scheme) or a cooperative network

Point (b) of Article 27(1) and Article 27(3) of 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 point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report those 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 Delegated Regulation (EU) 2015/61.

0170

1.1.2.2.1.  not treated as liquid assets for the depositing institution

Point (b) of Article 27(1) of 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 point (b) of Article 27(1) of Delegated Regulation (EU) 2015/61, provided those deposits are not recognised as liquid assets for the depositing credit institution.

0180

1.1.2.2.2.  treated as liquid assets for the depositing credit institution

Point (b) Article 27(1) and Article 27(3) of 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 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 Delegated Regulation (EU) 2015/61.

0190

1.1.2.3.  maintained in the context of an established operational relationship (other) with non-financial customers

Point (c) of Article 27(1), Article 27(4) and (6) of 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 point (a) of Article 27(1) of Delegated Regulation (EU) 2015/61 and subject to the requirements set out in Article 27(6) of Delegated Regulation (EU) 2015/61.

Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61, shall be reported.

0200

1.1.2.4.  maintained to obtain cash clearing and central credit institution services within a network

Point (d) Article 27(1) and Article 27(4) of 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 Delegated Regulation (EU) 2015/61, as set out in point (d) of Article 27(1) of Delegated Regulation (EU) 2015/61. Those cash clearing and central credit institution services only cover such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor as referred to in the first sentence of Article 27(4) of Delegated Regulation (EU) 2015/61; funds in excess of those required for the provision of operational services shall be treated as non-operational deposits as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61).

Only those deposits which have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely, as referred to in Article 27(4) of Delegated Regulation (EU) 2015/61, shall be reported.

0203

1.1.3  Excess operational deposits

Article 27(4) of Delegated Regulation (EU) 2015/61.

Credit institutions shall report here the part of the operational deposits in excess of those required for the provision of operational services.

0204

1.1.3.1  deposits by financial customers

Article 27(4) and 31a(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the operational deposits from financial customers in excess of those required for the provision of the operational services in accordance with Article 27(4) of Delegated Regulation (EU) 2015/61.

0205

1.1.3.2  deposits by other customers

Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the part of the operational deposits from customers other than financial customers, and excluding retail deposits, in excess of those required for the provision of the operational services as referred to in the last sentence of Article 27(4) of Delegated Regulation (EU) 2015/61.

These excess operational deposits shall be reported in two different rows depending on whether or not the entire amount of the excess operational deposit is covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme).

0206

1.1.3.2.1  covered by DGS

Articles 27(4) and 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of these excess operational deposits maintained by other customers if that entire amount is covered by a Deposit Guarantee Scheme 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) of Delegated Regulation (EU) 2015/61.

0207

1.1.3.2.2  not covered by DGS

Article 27(4) and 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of these excess operational deposits maintained by other customers if that entire amount is not covered by a Deposit Guarantee Scheme 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) of Delegated Regulation (EU) 2015/61.

0210

1.1.4.  Non-operational deposits

Articles 27(5), 28(1) and 31(9) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on unsecured deposits referred to in Article 28(1) of Delegated Regulation (EU) 2015/61 and those arising out of a correspondent banking or from the provision of prime brokerage services, as referred to in Article 27(5) of 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, as referred to in Article 27(5) of Delegated Regulation (EU) 2015/61, the 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.

The part of operational deposits in excess of those required for the provision of operational services shall not be reported here but shall be reported under id 1.1.3.

0220

1.1.4.1.  correspondent banking and provisions of prime brokerage deposits

Article 27(5) of 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 Delegated Regulation (EU) 2015/61.

0230

1.1.4.2.  deposits by financial customers

Article 31a(1) of 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 Delegated Regulation (EU) 2015/61.

0240

1.1.4.3.  deposits by other customers

Article 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report on deposits maintained by other customers (other than financial customers and customers considered for the retail deposits) as referred to in Article 28(1) of Delegated Regulation (EU) 2015/61, to the extent those deposits are not considered operational deposits in accordance with Article 27 of Delegated Regulation (EU) 2015/61.

Those deposits shall be reported in two different rows depending on whether or not the entire amount of the deposit is covered (by a Deposit Guarantee Scheme or third country equivalent Deposit Guarantee Scheme).

0250

1.1.4.3.1.  covered by DGS

Article 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of those deposits maintained by other customers if that entire amount is covered by a Deposit Guarantee Scheme 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) of Delegated Regulation (EU) 2015/61.

0260

1.1.4.3.2.  not covered by DGS

Article 28(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the entire amount of the outstanding balance of these deposits maintained by other customers if that entire amount is not covered by a Deposit Guarantee Scheme 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) of Delegated Regulation (EU) 2015/61.

0270

1.1.5.  Additional outflows

Article 30 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here additional outflows as referred to in Article 30 of Delegated Regulation (EU) 2015/61.

Deposits received as collateral, as referred in Article 30(7) of Delegated Regulation (EU) 2015/61, shall not be considered liabilities for the purposes of Article 24, 25, 27 or 31a of Delegated Regulation (EU) 2015/61, but shall be subject to Article 30(1) to (6) of Delegated Regulation (EU) 2015/61, where applicable.

0280

1.1.5.1.  collateral other than Level 1 assets posted for derivatives

Article 30(1) of 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.

0290

1.1.5.2.  level 1 EHQ Covered Bonds assets collateral posted for derivatives

Article 30(1) of 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.

0300

1.1.5.3.  material outflows due to deterioration of own credit quality

Article 30(2) of 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 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 0300 such that the sum of the outflows is 100 % outflow in total for the transaction.

0310

1.1.5.4.  impact of an adverse market scenario on derivatives transactions

Article 30(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of outflows calculated in accordance with Commission Delegated Regulation (EU) 2017/208.

0340

1.1.5.5.  outflows from derivatives

Article 30(4) of 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 and from credit derivatives calculated in accordance with Article 21 of Delegated Regulation (EU) 2015/61.

For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regulation (EU) No 575/2013, 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).

0350

1.1.5.6.  short positions

Article 30(5) of Delegated Regulation (EU) 2015/61

If the credit institution has a short position that is covered by an unsecured security borrowing, the credit institution shall add an additional outflow corresponding to 100 % of the market value of the securities or other assets sold short unless the terms upon which the credit institution has borrowed them require their return only after 30 calendar days. If the short position is covered by a collateralised securities financing transaction, the credit institution shall assume the short positon will be maintained throughout the 30 calendar day period and received a 0 % outflow.

0360

1.1.5.6.1.  covered by collateralised SFT (securities financing transactions)

Article 30(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of securities or other assets sold short that are covered by collateralised securities financing transactions and to be delivered within 30 calendar days unless the credit institution has borrowed them at terms requiring their return only after the 30 calendar day period.

0370

1.1.5.6.2.  other

Article 30(5) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the market value of securities or other assets sold short other than those covered by collateralised securities financing transactions and to be delivered within 30 calendar days unless the credit institution has borrowed them at terms requiring their return only after the 30 calendar day period.

0380

1.1.5.7.  callable excess collateral

Point (a) of Article 30(6) of 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.

0390

1.1.5.8.  due collateral

Point (b) of Article 30(6) of 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.

0400

1.1.5.9.  liquid asset collateral exchangeable for non liquid assets

Point (c) of Article 30(6) of 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.

0410

1.1.5.10.  loss of funding on structured financing activities

Article 30(8) to 30(10) of 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.

0420

1.1.5.10.1.  structured financing instruments

Article 30(8) of 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.

0430

1.1.5.10.2.  financing facilities

Article 30(9) of 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 1.1.5.10.1., 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.

0450

1.1.5.11.  internal netting of client's positions

Article 30(12) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the market value of the non-liquid assets of a client that, in relation to prime brokerage services, the credit institution has used to cover short sales of another client by internally matching them.

0460

1.1.6.  Committed facilities

Article 31 of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on outflows as defined in Article 31 of Delegated Regulation (EU) 2015/61.

Credit institutions shall also report here on committed facilities in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

Maximum amount that could be drawn shall be assessed in accordance with Article 31(2) of Delegated Regulation (EU) 2015/61.

0470

1.1.6.1.  credit facilities

Credit institutions shall report here on committed credit facilities as defined in Article 31(1) of Delegated Regulation (EU) 2015/61.

0480

1.1.6.1.1.  to retail customers

Article 31(3) of 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 411(2) of Regulation (EU) No 575/2013.

0490

1.1.6.1.2.  to non-financial customers other than retail customers

Article 31(4) of 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 411(1) of Regulation (EU) No 575/2013 nor retail customers in accordance with Article 411(2) of Regulation (EU) No 575/2013 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.

0500

1.1.6.1.3.  to credit institutions

Credit institutions shall report here on committed credit facilities provided to credit institutions.

0510

1.1.6.1.3.1.  for funding promotional loans of retail customers

Article 31(9) of 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 411(2) of Regulation (EU) No 575/2013.

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.

0520

1.1.6.1.3.2.  for funding promotional loans of non-financial customers

Article 31(9) of 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 411(1) of Regulation (EU) No 575/2013 nor retail customers in accordance with Article 411(2) of Regulation (EU) No 575/2013.

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.

0530

1.1.6.1.3.3.  other

Point (a) of Article 31(8) of 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.

0540

1.1.6.1.4.  to regulated financial institutions other than credit institutions

Point (a) of Article 31(8) of 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.

0550

1.1.6.1.5.  within a group or an IPS if subject to preferential treatment

Article 29 of 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 Delegated Regulation (EU) 2015/61.

0560

1.1.6.1.6.  within an IPS or cooperative network if treated as liquid asset by the depositing institution

Article 31(7) of 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) of the same Delegated Regulation.

0570

1.1.6.1.7.  to other financial customers

Point (c) of Article 31(8) of 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.

0580

1.1.6.2.  liquidity facilities

Article 31(1) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on committed liquidity facilities as defined in Article 31(1) of Delegated Regulation (EU) 2015/61.

0590

1.1.6.2.1.  to retail customers

Article 31(3) of 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 411(2) of Regulation (EU) No 575/2013.

0600

1.1.6.2.2.  to non-financial customers other than retail customers

Article 31(5) of 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 411(1) of Regulation (EU) No 575/2013 nor retail customers in accordance with Article 411(2) of Regulation (EU) No 575/2013.

0610

1.1.6.2.3.  to personal investment companies

Article 31(5) of 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.

0620

1.1.6.2.4.  to SSPEs (securitization special purpose vehicle)

Credit institutions shall report here on committed liquidity facilities provided to SSPEs.

0630

1.1.6.2.4.1.  to purchase assets other than securities from non-financial customers

Article 31(6) of 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 as sets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased.

0640

1.1.6.2.4.2.  other

Point (b) of Article 31(8) of 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.

0650

1.1.6.2.5.  to credit institutions

Credit institutions shall report here on committed liquidity facilities provided to credit institutions.

0660

1.1.5.2.5.1.  for funding promotional loans of retail customers

Article 31(9) of 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 411(2) of Regulation (EU) No 575/2013.

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.

0670

1.1.6.2.5.2.  for funding promotional loans of non-financial customers

Article 31(9) of 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 411(1) of Regulation (EU) No 575/2013 nor retail customers in accordance with Article 411(2) of Regulation (EU) No 575/2013.

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.

0680

1.1.6.2.5.3.  other

Point (a) of Article 31(8) of 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.

0690

1.1.6.2.6.  within a group or an IPS if subject to preferential treatment

Article 29 of 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 Delegated Regulation (EU) 2015/61.

0700

1.1.6.2.7.  within an IPS or cooperative network if treated as liquid asset by the depositing institution

Article 31(7) of 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) of the same Delegated Regulation.

0710

1.1.6.2.8.  to other financial customers

Point (c) of Article 31(8) of 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.

0720

1.1.7.  Other products and services

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here on those products or services referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

The amount to be reported shall be the maximum amount that could be drawn from the products or services referred to in Article 23(1) of 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 Delegated Regulation (EU) 2015/61.

0731

1.1.7.1.  Uncommitted funding facilities

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of uncommitted funding facilities referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

Guarantees shall not be reported in this row.

0740

1.1.7.2.  undrawn loans and advances to wholesale counterparties

Article 23(2) of 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 Delegated Regulation (EU) 2015/61.

0750

1.1.7.3.  mortgages that have been agreed but not yet drawn down

Article 23(2) of 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 Delegated Regulation (EU) 2015/61.

0760

1.1.7.4.  credit cards

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of credit cards referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

0770

1.1.7.5.  overdrafts

Article 23(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of overdrafts referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

0780

1.1.7.6.  planned outflows related to renewal or extension of new retail or wholesale loans

Article 23(2) of 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 Delegated Regulation (EU) 2015/61.

0850

1.1.7.7.  Derivatives payables

Article 23 of Delegated Regulation (EU) 2015/61

Credit institutions shall report the amount of derivatives payables, other than the contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives, referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

0860

1.1.7.8.  trade finance off-balance sheet related products

Credit institutions shall report the amount of the products or services related to trade finance off-balance sheet related products referred to in Article 23(1) of Delegated Regulation (EU) 2015/61.

0870

1.1.7.9.  others

Article 23(2) of 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 Delegated Regulation (EU) 2015/61.

Guarantees, among other items, shall be reported in this row.

Contingent outflows due to triggers other than downgrade triggers referred to in Article 30(2) of Delegated Regulation (EU) 2015/61 shall be reported in this row.

0885

1.1.8.  Other liabilities and due commitments

Article 28(2) and (6) and Article 31a of Delegated Regulation (EU) 2015/61

Credit institutions shall report outflows from other liabilities and due commitments as provided in Article 28(2) and (6) and Article 31a of 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 in accordance with point (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61.

0890

1.1.8.1.  liabilities resulting from operating expenses

Article 28(2) of 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 Delegated Regulation (EU) 2015/61.

0900

1.1.8.2.  in the form of debt securities if not treated as retail deposits

Article 28(6) of 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 Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities.

0912

1.1.8.4  Excess of funding to non-financial customers

Article 31a(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here the difference between the contractual commitments to extend funding to non-financial customers and the amount of inflows from such customers referred to in point (a) of Article 32(3) of that Delegated Regulation when the former exceeds the latter.

0913

1.1.8.4.1  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 amount of inflows from such customers referred to in point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 when the former exceeds the latter.

0914

1.1.8.4.2  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 amount of inflows from such customers referred to in point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 when the former exceeds the latter.

0915

1.1.8.4.3  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 amount of inflows from such customers referred to in point (a) Article 32(3) of Delegated Regulation (EU) 2015/61 when the former exceeds the latter.

0916

1.1.8.4.4  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 amount of inflows from such customers referred to in point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61 when the former exceeds the latter.

0917

1.1.8.5  Assets borrowed on an unsecured basis

Article 28(7) of 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.

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.

0918

1.1.8.6  Others

Article 31a(1) of 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 Articles 24 to 31 of Delegated Regulation (EU) 2015/61.

This row shall only include any other outflows from unsecured transactions. Secured transactions shall be reported under ID 1.2. on ‘Outflows from secured lending and capital market-driven transactions’ and under ID 1.3. on ‘Total outflows from collateral swaps’.

0920

1.2.  Outflows from secured lending and capital market-driven transactions

Article 28(3) of 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 transactions (which cover collateral-versus- collateral transactions) shall be reported in template C 75.01 of Annex XXIV.

0930

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.

0940

1.2.1.1.  level 1 excl. EHQ Covered Bonds collateral

Point (a) of Article 28(3) of 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 asset excluding extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

0945

1.2.1.1.1  of which collateral extended meets operational requirements

Transactions in item 1.2.1.1 where the collateral, but for being used as collateral for those transactions, would qualify with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0950

1.2.1.2.  level 1 EHQ Covered Bonds collateral

Point (a) of Article 28(3) of 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 asset which is extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

0955

1.2.1.2.1  of which collateral extended meets operational requirements

Transactions in item 1.2.1.2 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0960

1.2.1.3.  level 2A collateral

Point (a) of Article 28(3) of 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 asset and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset.

0965

1.2.1.3.1  of which collateral extended meets operational requirements

Transactions in item 1.2.1.3 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0970

1.2.1.4.  level 2B asset-backed securities (residential or automobile, CQS1) collateral

Point (a) of Article 28(3) of 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 points (b)(i), (b)(ii) or (b)(iv) of Article 13(2) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

0975

1.2.1.4.1  of which collateral extended meets operational requirements

Transactions in item 1.2.1.4 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0980

1.2.1.5.  level 2B covered bonds

Point (a) of Article 28(3) of 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 point (e) of Article 12(1)(e) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

0985

1.2.1.5.1  of which collateral extended meets operational requirements

Transactions in item 1.2.1.5 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0990

1.2.1.6.  level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

Point (a) of Article 28(3) of 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 backed by commercial loans, leases and credit facilities to undertakings or loans and credit facilities to individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down points (g)(iii) or (g)(v) of Article 13(2)(g) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

0995

1.2.1.6.1  of which collateral extended meets operational requirements

Transactions in item 1.2.1.6 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset

1000

1.2.1.7.  other Level 2B assets collateral

Point (a) of Article 28(3) of 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 not captured above and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

1005

1.2.1.7.1  of which collateral extended meets operational requirements

Transactions in item 1.2.1.7 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1010

1.2.1.8.  non-liquid assets collateral

Point (a) of Article 28(3) of 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.

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

Point (a) of Article 28(3) of 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 assets excluding extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

1035

1.2.2.1.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.1 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1040

1.2.2.2.  level 1 EHQ Covered Bonds collateral

Point (b) of Article 28(3) of 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 asset which is extremely high quality covered bonds and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid asset.

1045

1.2.2.2.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.2 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1050

1.2.2.3.  level 2A collateral

Point (c) of Article 28(3) of 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 and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid asset.

1055

1.2.2.3.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.3 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1060

1.2.2.4.  level 2B asset-backed securities (residential or automobile, CQS1) collateral

Point (d) of Article 28(3) of 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 points (g)(i), (g)(ii) or (g)(iv) of Article 13(2) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid asset.

1065

1.2.2.4.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.4 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1070

1.2.2.5.  level 2B covered bonds

Point (e) of Article 28(3) of 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 high quality covered bonds which comply with the conditions laid down in point (e) of Article 12(1) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

1075

1.2.2.5.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.5 those where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1080

1.2.2.6.  level 2B asset-backed securities (commercial or individuals, Member State, CQS1) collateral

Point (f) of Article 28(3) of 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 backed by commercial loans, leases and credit facilities to undertakings or loans and credit facilities to individuals of a Member State and of credit quality step 1 and which comply with the conditions laid down in points (f)(iii) or (f)(v) of Article 13(2) and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61as liquid asset..

1085

1.2.2.6.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.6 where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1090

1.2.2.7.  other Level 2B assets collateral

Point (g) of Article 28(3) of 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 and, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid asset.

1095

1.2.2.7.1.  of which collateral extended meets operational requirements

Transactions in item 1.2.2.7 those where the collateral, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1100

1.2.2.8.  non-liquid assets collateral

Point (h) of Article 28(3) of 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.

1130

1.3.  Total outflows from collateral swaps

The sum of outflows from C75.01 of Annex XXIV column 0070 shall be reported in column 0060.

MEMORANDUM ITEMS

1170

2.  Liquidity outflows to be netted by interdependent inflows

Article 26 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in column 0010 the amount of 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 Delegated Regulation (EU) 2015/61.

Credit institutions shall report in column 0060 the outflows that have been netted by the interdependent inflows in accordance with Article 26 of Delegated Regulation (EU) 2015/61.

 

3.  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

3.1.  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

3.2.  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

3.3.  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

3.4.  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).

 

4.  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

4.1.  of which: to financial customer

Credit institutions shall report total amount reported in item 1.1. to financial customers within the scope of item 4.

1300

4.2.  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 4.

1310

4.3.  of which: secured

Credit institutions shall report total amount of secured transactions reported in item 1.2. within the scope of item 4.

1320

4.4.  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 1.1.6.1. to entities within the scope of item 4 for which they have not received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

1330

4.5.  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 1.1.6.2. to entities within the scope of item 4 for which they have not received permission to apply a lower outflow rate in accordance with Article 29 of Delegated Regulation (EU) 2015/61.

1340

4.6.  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 4.

1345

4.7.  of which: excess operational deposits

Credit institutions shall report the amount of funds from operational deposits held in excess referred to in item 1.1.3. to entities within the scope of item 4.

1350

4.8.  of which: non-operational deposits

Credit institutions shall report the amount of the outstanding balance of the deposits referred to in item 1.1.4. from entities within the scope of item 4.

1360

4.9.  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 1.1.8.2. which are held by entities within the scope of item 4.

1370

5.  FX outflows

This item shall only be reported in case of reporting in currencies subject to separate reporting.

For the cases of reporting in a separate currency, in accordance with Article 415(2) of Regulation (EU) No 575/2013, only, credit institutions shall report the portion of outflows from derivatives (reported in item 1.1.5.5.) 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).

 

6.  Secured funding waived from Article 17(2) and (3)

Credit institutions shall report here secured funding transactions with a residual maturity up to 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1400

6.1  of which: secured by L1 excl. EHQCB

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 1 collateral excluding extremely high quality covered bonds and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1410

6.2  of which: secured by L1 EHQCB

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 1 collateral which is extremely high quality covered bonds and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1420

6.3  of which: secured by L2A

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 2A collateral and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1430

6.4  of which: secured by L2B

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is Level 2B collateral and but for being used as collateral would meet the requirements laid down in Articles 7 and 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

1440

6.5  of which: secured by non-liquid assets

Credit institutions shall report here secured funding transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral extended is a non-liquid collateral and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

PART 3: 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 reporting the liquidity coverage requirement as specified in 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 corresponding currencies in accordance with Article 415(2) of Regulation (EU) No 575/2013.

3. In accordance with Article 32 of 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 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 3 of the template (rows 0460-0510).

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 SSPE with which the credit institution has close links 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 assets pursuant to point (h) of Article 32(3) of Delegated Regulation (EU) 2015/61.

8. In accordance with Article 32(7) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into. This refers to contractual commitments which have not been contractually established at the reporting date, but will or may be entered into within the 30 day horizon.

9. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) No 575/2013, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of 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 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 point (c) of Article 2(3) of 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. 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. Among others, these items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions’ compliance with the liquidity requirements.

1.2.   Specific remarks regarding secured lending and capital market-driven transactions

14. The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps – C 75.01 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.

15. Where secured lending and capital market-driven transactions are secured by shares or units in CIUs, these transactions shall be reported as if they would be collateralised by the assets underlying the CIU. For instance, in case a secured lending transaction is collateralised by shares or units in a CIU that exclusively invests into Level 2A assets, the secured lending transaction shall be reported as if directly collateralised by Level 2A collateral. The potentially higher inflow rate for secured lending transactions backed by shares or units in CIUs shall be reflected in the relevant inflow rate to be reported.

16. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) No 575/2013, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant 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.

17. For the calculation of inflows, secured lending and capital market-driven transactions shall be reported irrespective of whether the underlying collateral received meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where the underlying collateral received additionally meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.

18. 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 on Level 1, Level 2A and Level 2B assets in accordance with point (c)(ii) of Article 12(1) and point (d) of Article 10(1) of 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 Delegated Regulation (EU) 2015/61 is being followed.

1.3.   Specific remarks regarding settlement and forward starting transactions

19. 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; r0260} (‘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 fulfils the related conditions.

20. 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; r0260} (‘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 fulfils 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; r0260} (‘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; r0260} (‘other inflows’).

21. 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.

1.4.   Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

22. 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.

23. 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.

1.4.1.   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 within the 30 day horizon and mature after the 30-day horizon where the initial leg produces a net inflow

Yes

Row 260, ID 1.1.11.

No

No Reporting

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 1.1.10.

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 calendar days (Article 32(2)(c))

Yes

Row 190, ID 1.1.5.

No

# 9

9

Monies due from trade financing transactions with a residual maturity of no more than 30 days (Article 32(2)(b))

Yes

Row 180, ID 1.1.4.

No

# 10

10

Loans with an undefined contractual end date (Article 32(3)(i))

Yes

# 11

No

# 12

11

Interest and minimum payments from loans 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 201, 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)(d))

Yes

Row 210, ID 1.1.7.

No

# 13

13

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 1.1.8.

No

# 14

14

Derivatives cash inflows net by counterparty and collateral (Article 32(5))

Yes

Row 240, ID 1.1.9.

No

# 15

15

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

# 16

16

Monies due from central banks and financial customers with a residual maturity of no more than 30 days (Article 32(2)(a))

Yes

# 20

No

# 17

17

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

# 18

18

Other monies due from non-financial customers (except for central banks) (Article 32(3)(a))

Yes

# 19

No

Row 260, ID 1.1.11.

19

Other monies due from non-financial customers (except for central banks) (Article 32(3)(a))

# 19.1

Retail customers

Yes

Row 060, ID 1.1.1.2.1.

No

# 19.2

# 19.2

Non-financial corporates

Yes

Row 070, ID 1.1.1.2.2.

No

# 19.3

# 19.3

Sovereigns, MDBs and PSEs

Yes

Row 080, ID 1.1.1.2.3.

No

Row 090, ID 1.1.1.2.4.

20

Inflows from financial customers being classified as operational deposits (Article 32(3)(d))

Yes

# 21

No

# 22

21

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.

22

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.

23

Collateral Swap Transaction (Article 32(3)(e))

Yes

Row 410, ID 1.3 (1)

No

# 24

24

Transaction is conducted with a central bank

Yes

#25

No

# 31

25

Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8)

Yes

# 26

No

# 30

26

Collateral is used to cover short positions

Yes

Row 297, ID 1.2.1.2

No

# 27

27

Collateral received meets the operational requirements under Article 8

Yes

# 28

No

# 29

28

Secured funding transaction secured by (Article 32(3)(b)):

# 28.1

Level 1 collateral excluding extremely high quality covered bonds

Yes

Row 269, ID 1.2.1.1.1 +

Row 271, ID 1.2.1.1.1.1

No

# 28.2

# 28.2

Level 1 collateral which is extremely high quality covered bonds

Yes

Row 273, ID 1.2.1.1.2 +

Row 275, ID 1.2.1.1.2.1

No

# 28.3

# 28.3

Level 2A collateral

Yes

Row 277, ID 1.2.1.1.3 +

Row 279, ID 1.2.1.1.3.1

No

# 28.4

# 28.4

Level 2B asset backed securities (residential or auto) collateral

Yes

Row 281, ID 1.2.1.1.4 +

Row 283, ID 1.2.1.1.4.1

No

# 28.5

# 28.5

Level 2B high quality covered bonds collateral

Yes

Row 285, ID 1.2.1.1.5 +

Row 287, ID 1.2.1.1.5.1

No

# 28.6

# 28.6

Level 2B asset backed securities (commercial or individuals) collateral

Yes

Row 289, ID 1.2.1.1.6 +

Row 291, ID 1.2.1.1.6.1

No

Row 293, ID 1.2.1.1.7 +

Row 295, ID 1.2.1.1.7.1

29

Secured funding transaction secured by (Article 32(3)(b)):

# 29.1

Level 1 collateral excluding extremely high quality covered bonds

Yes

Row 269, ID 1.2.1.1.1

No

# 29.2

# 29.2

Level 1 collateral which is extremely high quality covered bonds

Yes

Row 273, ID 1.2.1.1.2

No

# 29.3

# 29.3

Level 2A collateral

Yes

Row 277, ID 1.2.1.1.3

No

# 29.4

# 29.4

Level 2B asset backed securities (residential or auto) collateral

Yes

Row 281, ID 1.2.1.1.4

No

# 29.5

# 29.5

Level 2B high quality covered bonds collateral

Yes

Row 285, ID 1.2.1.1.5

No

# 29.6

# 29.6

Level 2B asset backed securities (commercial or individuals) collateral

Yes

Row 289, ID 1.2.1.1.6

No

Row 293, ID 1.2.1.1.7

30

Collateral that does not qualify as a liquid asset (Article 32(3)(b)) and is non-liquid equity

Yes

Row 301, ID 1.2.1.3.1

No

Row 303, ID 1.2.1.3.2

31

Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8)

Yes

# 32

No

# 36

32

Collateral is used to cover short positions

Yes

Row 337, ID 1.2.2.2

No

# 33

33

Collateral received meets the operational requirements under Article 8

Yes

# 34

No

# 35

34

Secured funding transaction secured by (Article 32(3)(b))

# 34.1

Level 1 collateral excluding extremely high quality covered bonds

Yes

Row 309, ID 1.2.2.1.1 +

Row 311, ID 1.2.2.1.1.1

No

# 34.2

# 34.2

Level 1 collateral which is extremely high quality covered bonds

Yes

Row 313, ID 1.2.2.1.2 +

Row 315, ID 1.2.2.1.2.1

No

# 34.3

# 34.3

Level 2A collateral

Yes

Row 317, ID 1.2.2.1.3 +

Row 319, ID 1.2.2.1.3.1

No

# 34.4

# 34.4

Level 2B asset backed securities (residential or auto) collateral

Yes

Row 321, ID 1.2.2.1.4 +

Row 323, ID 1.2.2.1.4.1

No

# 34.5

# 34.5

Level 2B high quality covered bonds collateral

Yes

Row 325, ID 1.2.2.1.5 +

Row 327, ID 1.2.2.1.5.1

No

# 34.6

# 34.6

Level 2B asset backed securities (commercial or individuals) collateral

Yes

Row 329, ID 1.2.2.1.6 +

Row 331, ID 1.2.2.1.6.1

No

Row 333, ID 1.2.2.1.7 +

Row 335, ID 1.2.2.1.7.1

35

Secured funding transaction secured by (Article 32(3)(b))

# 35.1

Level 1 collateral excluding extremely high quality covered bonds

Yes

Row 309, ID 1.2.2.1.1

No

# 35.2

# 35.2

Level 1 collateral which is extremely high quality covered bonds

Yes

Row 313, ID 1.2.2.1.2

No

# 35.3

# 35.3

Level 2A collateral

Yes

Row 317, ID 1.2.2.1.3

No

# 35.4

# 35.4

Level 2B asset backed securities (residential or auto) collateral

Yes

Row 321, ID 1.2.2.1.4

No

# 35.5

# 35.5

Level 2B high quality covered bonds collateral

Yes

Row 325, ID 1.2.2.1.5

No

# 35.6

# 35.6

Level 2B asset backed securities (commercial or individuals) collateral

Yes

Row 329, ID 1.2.2.1.6

No

Row 333, ID 1.2.2.1.7

36

Collateral that does not qualify as a liquid asset (Article 32(3)(b))

# 36.1

margin loans: collateral is non-liquid

Yes

Row 341, ID 1.2.2.3.1.

No

# 36.2

# 36.2

collateral is non-liquid equity

Yes

Row 343, ID 1.2.2.3.2.

No

Row 345, ID 1.2.2.3.3.
(1)   

Collateral swap transactions additionally need to be reported in template C 75.01 of Annex XXIV.

1.4.2.   Decision tree on columns in template C 74.00 of Annex XXIV



#

Item

Decision

Reporting

1

Inflow to be reported in rows 0010-0430 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 0010

# 7.2

Applicable Weight

 

Column 0080

# 7.3

Inflow

 

Column 0140

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 0020

# 9.2

Applicable Weight

 

Column 0090

# 9.3

Inflow

 

Column 0150

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 0030

# 10.2

Applicable Weight

 

Column 0100

# 10.3

Inflow

 

Column 0160

11

Secured funding transaction where the collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8)

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 0010

# 16.2

Market value of collateral received

 

Column 0040

# 16.3

Applicable Weight

 

Column 0080

# 16.4

Value of collateral received in accordance with Article 9

[only if the collateral received meets the operational requirements]

 

Column 0110

# 16.5

Inflow

 

Column 0140

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 0020

# 18.2

Market value of collateral received

 

Column 0050

# 18.3

Applicable Weight

 

Column 0090

# 18.4

Value of collateral received in accordance with Article 9

[only if the collateral received meets the operational requirements]

 

Column 0120

# 18.5

Inflow

 

Column 0150

19

Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3))

# 19.1

Monies due

 

Column 0030

# 19.2

Market value of collateral received

 

Column 0060

# 19.3

Applicable Weight

 

Column 0100

# 19.4

Value of collateral received in accordance with Article 9

[only if the collateral received meets the operational requirements]

 

Column 0130

# 19.5

Inflow

 

Column 0160

1.5.   Inflows sub template

1.5.1.   Instructions concerning specific columns



Column

Legal references and instructions

0010

Amount – Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269-0297, 0301-0303, 0309-0337, 0341-0345, 0450 and 0470-0510, credit institutions shall report in Column 0010 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 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 Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in column 0020 or 0030 and the part of the amount not subject to the exemption shall be reported in column 0010.

0020

Amount – Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269-0297, 0301-0303, 0309-0337, 0341-0345, 0450 and 0470-0510, credit institutions shall report in Column 0020 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 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 Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in column 0020 or 0030 and the part of the amount not subject to the exemption shall be reported in column 0010.

0030

Amount – Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269-0297, 0301-0303, 0309-0337, 0341-0345, 0450 and 0470-0510, credit institutions shall report in Column 0030 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 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 Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in column 0020 or 0030 and the part of the amount not subject to the exemption shall be reported in column 0010.

0040

Market value of collateral received – Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0269-0295, 0309-0335 and for row 0490, credit institutions shall report in column 0040 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 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 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 0050 or 0060 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 0040.

0050

Market value of collateral received – Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0269-0295, 0309-0335 and for row 0490, credit institutions shall report in column 0050 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 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 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 0050 or 0060 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 0040.

0060

Market value of collateral received – Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0269-0295, 0309-0335 and for row 0490, credit institutions shall report in column 0060 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 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 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 0050 or 0060 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 0040.

0070

Standard Weight

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The standard weights in column 0070 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

0080

Applicable Weight- Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight is the one specified in Articles 32 to 34 of 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 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-0510, credit institutions shall report in column 0080 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 Delegated Regulation (EU) 2015/61.

0090

Applicable Weight- Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of 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 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-0510, credit institutions shall report in column 0090 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 Delegated Regulation (EU) 2015/61.

0100

Applicable Weight – Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of 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 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470 –0510, credit institutions shall report in column 0100 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 Delegated Regulation (EU) 2015/61.

0110

Value of collateral received in accordance with Article 9 – Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0271, 0275, 0279, 0283, 0287, 0291, 0295, 0311, 0315, 0319, 0323, 0327, 0331 and 0335, credit institutions shall report in column 0110 the value of collateral received in accordance with Article 9 of 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 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 Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in column 0120 or 0130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in column 0110.

0120

Value of collateral received in accordance with Article 9 – Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0271, 0275, 0279, 0283, 0287, 0291, 0295, 0311, 0315, 0319, 0323, 0327, 0331 and 0335, credit institutions shall report in column 0120 the value of collateral received in accordance with Article 9 of 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 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 Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in column 0120 or 0130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in column 0110.

0130

Value of collateral received in accordance with Article 9 – Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0271, 0275, 0279, 0283, 0287, 0291, 0295, 0311, 0315, 0319, 0323, 0327, 0331 and 0335, credit institutions shall report in column 0130 the value of collateral received in accordance with Article 9 of 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 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 Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in column 0120 or 0130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in column 0110.

0140

Inflow – Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-510, credit institutions shall report in column 0140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from column 0010 with the relevant weight from column 0080.

For row 0170, credit institutions shall report in column 0140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of 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.

0150

Inflow – Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-0510, credit institutions shall report in column 0150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from column 0020 with the relevant weight from column 0090. For row 0170, credit institutions shall report in column 0150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of 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.

0160

Inflow – Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows 0040, 0060-0090, 0120-0130, 0150-0260, 0269, 0273, 0277, 0281, 0285, 0289, 0293, 0301-0303, 0309, 0313, 0317, 0321, 0325, 0329, 0333, 0341-0345, 0450 and 0470-0510, credit institutions shall report in column 0160 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 Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from column 0030 with the relevant weight from column 0100.

For row 0170, credit institutions shall report in column 0160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of 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.

1.5.2.   Instructions concerning specific rows



Row

Legal references and instructions

0010

1.  TOTAL INFLOWS

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 0010 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 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 0140 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 0150 and 0160 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 point (e) of Article 2(3) and Article 33(6) of Delegated Regulation (EU) 2015/61.

0020

1.1.  Inflows from unsecured transactions/deposits

Articles 32, 33 and 34 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 0020 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 the total amount of assets/monies due/maximum amount that can be drawn from unsecured transactions/deposits; and

— for each column 0140, 0150 and 0160 total inflows from unsecured transactions/deposits.

0030

1.1.1.  monies due from non-financial customers (except for central banks)

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 0030 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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).

Non-financial customers shall include, but not be limited to, natural persons, SMEs, corporates, sovereigns, multilateral development banks and public sector entities in accordance with Article 31a of Delegated Regulation (EU) 2015/61.

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 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 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 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. Monies due from trade finance transactions with a residual maturity of no more than 30 days shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported here.

0040

1.1.1.1.  monies due from non-financial customers (except for central banks) not corresponding to principal repayment

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from non-financial customers (except for central banks) with a residual maturity of no more than 30 days 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.

0050

1.1.1.2.  other monies due from non-financial customers (except for central banks)

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 0050 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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 Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here.

0060

1.1.1.2.1.  monies due from retail customers

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from retail customers with a residual maturity of no more than 30 days.

0070

1.1.1.2.2.  monies due from non-financial corporates

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from non-financial corporates with a residual maturity of no more than 30 days.

0080

1.1.1.2.3.  monies due from sovereigns, multilateral development banks and public sector entities

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from sovereigns, multilateral development banks and public sector entities with a residual maturity of no more than 30 days.

0090

1.1.1.2.4.  monies due from other legal entities

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Monies due from other legal entities not included anywhere above with a residual maturity of no more than 30 days.

0100

1.1.2.  monies due from central banks and financial customers

Point (a) of Article 32(2) and point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 0100 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 the total amount of monies due from central banks and financial customers (operational as well as non-operational deposits); and

— for each column 0140, 0150 and 0160 total inflows from central banks and financial customers (operational as well as non-operational deposits).

Credit institutions shall report here monies due with a residual maturity of no more than 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 Delegated Regulation (EU) 2015/61 shall not be reported as an inflow.

Monies due from trade finance transactions with a residual maturity of no more than 30 days shall be reported in section 1.1.4. and shall not be reported here. Monies due from securities maturing within 30 calendar days shall be reported in section 1.1.5. and shall not be reported here.

0110

1.1.2.1.  monies due from financial customers being classified as operational deposits

Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 0110 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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 Delegated Regulation (EU) 2015/61.

0120

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

Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Monies due from financial customers with a residual maturity of no more than 30 days in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of Delegated Regulation (EU) 2015/61 where the credit institution is able to establish a corresponding symmetrical inflow rate.

0130

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

Point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61

Monies due from financial customers with a residual maturity of no more than 30 days in order, for the credit institution, to obtain clearing, custody or cash management services in accordance with Article 27 of 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.

0140

1.1.2.2.  monies due from central banks and financial customers not being classified as operational deposits

Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61

Credit institutions shall report in row 140 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 the total amount of monies due from central banks and financial customers not being classified as operational deposits and

— for each column 0140, 0150 and 0160 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 point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61.

0150

1.1.2.2.1.  monies due from central banks

Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from central banks with a residual maturity of no more than 30 days in accordance with point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61.

0160

1.1.2.2.2.  monies due from financial customers

Point (a) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from financial customers with a residual maturity of no more than 30 days which do not qualify for the treatment as operational deposits as specified in point (d) of Article 32(3) in conjunction with Article 27 of Delegated Regulation (EU) 2015/61.

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61 shall be reported in section 1.1.3. and shall not be reported here.

0170

1.1.3.  inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61

Point (a) of Article 32(3) of Delegated Regulation (EU) 2015/61

Inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Delegated Regulation (EU) 2015/61.

0180

1.1.4.  monies due from trade financing transactions

Point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from trade financing transactions with a residual maturity of no more than 30 days in accordance with point (b) of Article 32(2) of Delegated Regulation (EU) 2015/61.

0190

1.1.5.  monies due from securities maturing within 30 days

Point (c) of Article 32(2) of Delegated Regulation (EU) 2015/61

Monies due from securities maturing within 30 calendar days in accordance with point (c) of Article 32(2) of Delegated Regulation (EU) 2015/61.

0201

1.1.6.  loans with an undefined contractual end date

Point (i) of Article 32(3) of Delegated Regulation (EU) 2015/61

Loans with an undefined contractual end date in accordance with point (i) of Article 32(3) of Delegated Regulation (EU) 2015/61. The credit institution shall only consider those loans where the contract allows the credit institution to withdraw or to request payment within 30 calendar days. Interest and minimum payments to be debited against the client account within 30 calendar days shall be included in the amount reported. Interest and minimum payments from loans with an undefined contractual end date that are contractually due and give rise to an actual cash inflow within the next 30 calendar days shall be considered as 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 next 30 calendar days.

0210

1.1.7.  monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

Point (d) of Article 32(2) of 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 point (d) of Article 32(2) of Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within 30 calendar days, such as cash dividends from those major indexes and cash due from those equity instruments sold but not yet settled, if they are not recognised as liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61.

0230

1.1.8.  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 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 Delegated Regulation (EU) 2015/61.

Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Delegated Regulation (EU) 2015/61.

0240

1.1.9.  inflows from derivatives

Article 32(5) in conjunction with Article 21 of Delegated Regulation (EU) 2015/61

The net amount of receivables expected over 30 calendar days period from the contracts listed in Annex II of Regulation (EU) No 575/2013 and from credit derivatives.

Credit institutions shall calculate inflows expected over 30 calendar days 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 received provided that it qualifies as a liquid asset under Title II of Delegated Regulation (EU) 2015/61.

Cash outflows and inflows arising from foreign currency derivative or credit 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.

In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) No 575/2013, derivative or credit derivative transactions shall be separated into each respective currency. Netting by counterparty may only be applied to flows in that currency.

0250

1.1.10.  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 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 Delegated Regulation (EU) 2015/61.

0260

1.1.11.  other inflows

Article 32(2) of Delegated Regulation (EU) 2015/61

All other inflows in accordance with Article 32(2) of Delegated Regulation (EU) 2015/61 not reported anywhere else in the template.

0263

1.2.  Inflows from secured lending and capital market-driven transactions

Points (b), (c) and (f) of Article 32(3) of Delegated Regulation (EU) 2015/61 refer to inflows resulting from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days.

Credit institutions shall report in row 0263 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 the total amount of monies due from secured lending and capital market-driven transactions; and

— for each column 0140, 0150 and 0160 total inflows from secured lending and capital market driven transactions.

Collateral swap transactions maturing within 30 calendar days shall be reported in template C 75.01 of Annex XXIV and shall not be reported here.

0265

1.2.1.  counterparty is central bank

Credit institutions shall report here inflows 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 with a residual maturity of no more than 30 days where the counterparty is a central bank.

Credit institutions shall report in row 0265 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 the total amount of monies due from secured lending and capital market-driven transactions where the counterparty is a central bank; and

— for each column 0140, 0150 and 0160 total inflows from secured lending and capital market driven transactions where the counterparty is a central bank.

0267

1.2.1.1.  collateral that qualifies as a liquid asset

Credit institutions shall report in row 0267 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 the total amount of monies due from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets; and

— for each column 0140, 0150 and 0160 total inflows from secured lending and capital market driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets.

Credit institutions shall report secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by liquid assets, whether or not they are re-used in another transaction and irrespective of whether the liquid assets received meet the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0269

1.2.1.1.1.  Level 1 collateral excluding extremely high quality covered bonds

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 1 asset referred to in Article 10 with the exception of extremely high quality covered bonds referred to in point (f) of Article 10(1).

0271

1.2.1.1.1.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.1, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0273

1.2.1.1.2.  Level 1 collateral which is extremely high quality covered bonds

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of the category referred to in point (f) of Article 10(1).

0275

1.2.1.1.2.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.2, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0277

1.2.1.1.3.  Level 2A collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2A asset referred to in Article 11.

0279

1.2.1.1.3.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.3, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0281

1.2.1.1.4.  Level 2B asset backed securities (residential or auto) collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (g)(i), (g)(ii) or (g)(iv) of Article 13(2).

0283

1.2.1.1.4.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.4, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0285

1.2.1.1.5.  Level 2B high quality covered bonds collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of the category of level 2B asset referred to in point (e) of Article 12(1).

0287

1.2.1.1.5.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.5, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0289

1.2.1.1.6.  Level 2B asset backed securities (commercial or individuals) collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (g)(iii) or (g)(v) of Article 13(2).

0291

1.2.1.1.6.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.6, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0293

1.2.1.1.7.  Level 2B collateral not already captured in section 1.2.1.1.4., 1.2.1.1.5. or 1.2.1.1.6.

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1).

0295

1.2.1.1.7.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.1.1.7, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0297

1.2.1.2.  collateral is used to cover a short position

Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by assets which are used to cover a short position in accordance with the second sentence of Article 30(5). 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.

0299

1.2.1.3.  collateral that does not qualify as a liquid asset

Credit institutions shall report in row 0299 of C 74.00 of Annex XXIV secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the collateral does not qualify as a liquid asset. Credit institutions shall report

— for each column 0010, 0020 and 0030 the total amount of monies due from those transactions as the sum of monies due from 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 0140, 0150 and 0160 total inflows from those transactions as the sum of inflows from 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.

0301

1.2.1.3.1.  collateral is non-liquid equity

Point (b) of Article 32(3)of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised non-liquid equity.

0303

1.2.1.3.2.  all other non-liquid collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the transaction is collateralised by non-liquid assets not already captured in section 1.2.1.3.1.

0305

1.2.2.  counterparty is non-central bank

Credit institutions shall report here inflows 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 with a residual maturity of no more than 30 days where the counterparty is not a central bank.

Credit institutions shall report in row 0305 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 the total amount of monies due from secured lending and capital market-driven transactions where the counterparty is not a central bank; and

— for each column 0140, 0150 and 0160 total inflows from secured lending and capital market driven transactions where the counterparty is not a central bank.

0307

1.2.2.1.  collateral that qualifies as a liquid asset

Credit institutions shall report in row 0307 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 the total amount of monies due from secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets; and

— for each column 0140, 0150 and 0160 total inflows from secured lending and capital market driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets.

Credit institutions shall report secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by liquid assets, whether or not they are re-used in another transaction and irrespective of whether the liquid assets received meet the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0309

1.2.2.1.1.  Level 1 collateral excluding extremely high quality covered bonds

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 1 asset referred to in Article 10 with the exception of extremely high quality covered bonds referred to in point (f) of Article 10(1).

0311

1.2.2.1.1.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.1, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0313

1.2.2.1.2.  Level 1 collateral which is extremely high quality covered bonds

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 10 of Delegated Regulation (EU) 2015/61 as liquid assets of the category referred to in point (f) of Article 10(1).

0315

1.2.2.1.2.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.2, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0317

1.2.2.1.3.  Level 2A collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61.

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 11 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2A asset referred to in Article 11.

0319

1.2.2.1.3.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61.

Of the transactions in item 1.2.2.1.3, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0321

1.2.2.1.4.  Level 2B asset backed securities (residential or auto) collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (g)(i), (g)(ii) or (g)(iv) of Article 13(2).

0323

1.2.2.1.4.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.4, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0325

1.2.2.1.5.  Level 2B high quality covered bonds collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of the category of level 2B asset referred to in point (e) of Article 12(1).

0327

1.2.2.1.5.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.5, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0329

1.2.2.1.6.  Level 2B asset backed securities (commercial or individuals) collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 13 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (g)(iii) or (g)(v) of Article 13(2).

0331

1.2.1.1.6.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.6, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0333

1.2.2.1.7.  Level 2B collateral not already captured in section 1.2.2.1.4., 1.2.2.1.5. or 1.2.2.1.6.

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets that, whether or not they are re-used in another transaction, would qualify in accordance with Articles 7 and 12 of Delegated Regulation (EU) 2015/61 as liquid assets of any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1).

0335

1.2.2.1.7.1.  of which collateral received meets operational requirements

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Of the transactions in item 1.2.2.1.7, those transactions where the collateral received meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0337

1.2.2.2.  collateral is used to cover a short position

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by assets which are used to cover a short position in accordance with the second sentence of Article 30(5). 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.

0339

1.2.2.3.  collateral that does not qualify as a liquid asset

Credit institutions shall report in row 0339 of C 74.00 of Annex XXIV secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the collateral does not qualify as a liquid asset. Credit institutions shall report

— for each column 0010, 0020 and 0030 the total amount of monies due from those transactions 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 0140, 0150 and 0160 total inflows from those transactions 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.

0341

1.2.2.3.1.  margin loans: collateral is non-liquid

Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61

Margin loans made against non-liquid assets with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the assets received are not used to cover short positions as outlined in Point (c) of Article 32(3) of Delegated Regulation (EU) 2015/61.

0343

1.2.2.3.2.  collateral is non-liquid equity

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised non-liquid equity.

0345

1.2.2.3.3.  all other non-liquid collateral

Point (b) of Article 32(3) of Delegated Regulation (EU) 2015/61

Secured lending and capital market-driven transactions with a residual maturity of no more than 30 days where the counterparty is not a central bank and where the transaction is collateralised by non-liquid assets not already captured in section 1.2.2.3.1 or 1.2.2.3.2.

0410

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 75.01 of Annex XXIV.

0420

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 Delegated Regulation (EU) 2015/61

Institutions shall report in the relevant column 0140, 0150 and 0160 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 to third countries where there are transfer restrictions or which are denominated in non-convertible currencies as reported in C 73.00 of Annex XXIV. In case this amount is negative, institutions shall report ‘0’.

0430

1.5.  (Excess inflows from a related specialised credit institution)

Point (e) of Article 2(3) and Article 33(6) of Delegated Regulation (EU) 2015/61

Credit institutions reporting on a consolidated basis shall report in the relevant column 0140, 0150 or 0160, the amount of the inflows arising from a related specialised credit institution referred to in Article 33(3) and (4) of Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking.

MEMORANDUM ITEMS

0450

2.  FX inflows

This memorandum item shall only be reported in case of a separate reporting of the reporting currency or of a currency other than the reporting currency in accordance with Article 415(2) of Regulation (EU) No 575/2013.

Credit institutions shall report the portion of inflows from derivatives (reported in section 1.1.9.) which relate to FX principal flows in the respective 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.

0460

3.  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 1.1.10.) 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 0460 of C 74.00 of Annex XXIV

— for each column 0010, 0020 and 0030 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 0140, 0150 and 0160 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.

0470

3.1.  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.

0480

3.2.  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.

0490

3.3.  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., 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.

0500

3.4.  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.

0510

3.5.  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 1.1.11. (excluding section 1.1.5. and 1.1.10.) 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.

 

4.  Secured lending waived from Article 17(2) and (3)

Credit institutions shall report here secured lending transactions with a residual maturity up to 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

0530

4.1.  of which: secured by L1 excl. EHQCB

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

0540

4.2.  of which: secured by L1 EHQCB

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

0550

4.3.  of which: secured by L2A

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

0560

4.4.  of which: secured by L2B

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

0570

4.5.  of which: secured by non-liquid assets

Credit institutions shall report here secured lending transactions maturing within 30 calendar days where the counterparty is a central bank, the collateral received is a non-liquid collateral and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

PART 4: COLLATERAL SWAPS

1.   Collateral swaps

1.1.   General remarks

1. Any transaction maturing within the next 30 calendar 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 coloured grey.

2. Collateral swap transactions that mature within the next 30 calendar days shall lead to an outflow if the asset borrowed is subject to a lower haircut under Chapter 2 of Delegated Regulation (EU) 2015/61 than the asset lent. The outflow shall be calculated by multiplying the market value of the asset borrowed by the difference between the outflow rate applicable to the asset lent and the outflow rate applicable to the asset borrowed in secured funding transactions maturing within the next 30 calendar days. In the case that the counterparty is the credit institution’s domestic central bank, the outflow rate to be applied to the market value of the asset borrowed shall be 0 %. The meaning of the credit institution’s domestic central bank follows the definition provided under Article 28(8) of Delegated Regulation (EU) 2015/61.

3. Collateral swaps that mature within the next 30 calendar days shall lead to an inflow where, under Chapter 2 of Delegated Regulation (EU) 2015/61, the asset lent is subject to a lower haircut than the asset borrowed. The inflow shall be calculated by multiplying the market value of the asset lent by the difference between the inflow rate applicable to the asset borrowed and the inflow rate applicable to the asset lent in secured lending transactions maturing within the next 30 calendar days. If the collateral obtained is used to cover short positions that can be extended beyond 30 calendar days no inflow shall be recognised.

4. For liquid assets the liquidity value is calculated in accordance with Article 9 of Delegated Regulation (EU) 2015/61.

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. In the context of swap transactions of collateral baskets or pools that are maturing within the next 30 calendar days, non-cash assets lent shall be assigned individually to non-cash assets borrowed, in accordance with the liquid assets categories as defined in Chapter 2 of Title II of Delegated Regulation (EU) 2015/61, starting from the least liquid combination (i.e. non-liquid non-cash assets lent, non-liquid non-cash assets borrowed). Any excess collateral within one combination is moved to the higher category, so that up to the most liquid combination, the relevant combinations are fully matched. Any overall excess collateral is then captured in the most liquid combination.

6. Collateral swap transactions involving shares or units in CIUs shall be reported as if the transactions would involve the assets underlying the CIU. The different haircuts applied to shares or units in CIUs shall be reflected in the relevant outflow or inflow rate to be reported.

7. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) No 575/2013. In this case, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template, with corresponding impact on the excess liquidity value.

1.2.   Specific remarks

8. For the calculation of inflows or outflows, collateral swap transactions shall be reported irrespective of whether the underlying collateral involved meets, or would meet if not already being used to secure this transaction, the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where at least one collateral leg meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.

9. Where an 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 recognizable part shall be reported within rows on the Level 1, Level 2A and Level 2B assets in accordance with point (c)(ii) of Article 12(1) and point (d) of Article 10(1) of 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 recognised within liquid assets, the surplus amount shall be reported in the non-liquid section.

10. 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).

1.3.   Collateral swaps sub template

1.3.1.   Instructions concerning specific columns



Column

Legal references and instructions

0010

Market value of collateral lent

The market value of the collateral lent shall be reported in column 0010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.

0020

Liquidity value of collateral lent

The liquidity value of the collateral lent shall be reported in column 0020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.

0030

Market value of collateral borrowed

The market value of the collateral borrowed shall be reported in column 0030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.

0040

Liquidity value of collateral borrowed

The liquidity value of the collateral borrowed shall be reported in column 0040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.

0050

Standard weight

Articles 28 and 32 of Delegated Regulation (EU) 2015/61

The standard weights in column 0050 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

0060

Applicable weight

Articles 28 and 32 of Delegated Regulation (EU) 2015/61

The applicable weights are those specified in Articles 28 and 32 of 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.

0070

Outflows

Credit institutions shall report here the outflows. This is calculated by multiplying column 0060 by column 0030, both from C75.01 of Annex XXIV.

0080

Inflows subject to the 75 % cap on inflows

Credit institutions shall report here the inflows of transactions subject to the 75 % cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

0090

Inflows subject to the 90 % cap on inflows

Credit institutions shall report here the inflows of transactions subject to the 90 % cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

0100

Inflows exempted from the cap on inflows

Credit institutions shall report here the inflows of transactions exempt from the cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

1.3.2.   Instructions concerning specific rows



Row

Legal references and instructions

0010

1.  TOTAL COLLATERAL SWAPS (counterparty is central bank)

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps.

0020

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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for each relevant column, the total values of collateral swaps for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent.

0030

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)

0040

1.1.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0050

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).

0060

1.1.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0070

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)

0080

1.1.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0090

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).

0100

1.1.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0110

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).

0120

1.1.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0130

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)

0140

1.1.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0150

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)

0160

1.1.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.7., credit institutions shall report

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0170

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)

0180

1.1.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.1.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0190

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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 1 extremely high quality covered bonds are lent.

0200

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).

0210

1.2.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0220

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)

0230

1.2.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0240

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)

0250

1.2.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0260

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)

0270

1.2.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0280

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)

0290

1.2.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0300

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)

0310

1.2.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0320

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)

0330

1.2.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0340

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)

0350

1.2.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.2.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0360

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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2A assets are lent.

0370

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)

0380

1.3.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0390

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)

0400

1.3.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0410

1.3.3.  Level 2A assets

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed)

0420

1.3.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0430

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)

0440

1.3.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0450

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)

0460

1.3.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0470

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)

0480

1.3.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0490

1.3.7.  Other Level 2B

Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed).

0500

1.3.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0510

1.3.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed)

0520

1.3.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.3.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0530

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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent.

0540

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)

0550

1.4.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0560

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)

0570

1.4.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0580

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)

0590

1.4.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0600

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)

0610

1.4.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0620

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)

0630

1.4.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0640

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)

0650

1.4.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0660

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)

0670

1.4.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0680

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)

0690

1.4.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.4.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0700

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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B high quality covered bonds are lent.

0710

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).

0720

1.5.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0730

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)

0740

1.5.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0750

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)

0760

1.5.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0770

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)

0780

1.5.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0790

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)

0800

1.5.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0810

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)

0820

1.5.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0830

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)

0840

1.5.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0850

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)

0860

1.5.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.5.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

0870

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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent.

0880

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)

0890

1.6.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0900

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)

0910

1.6.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0920

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)

0930

1.6.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0940

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)

0950

1.6.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0960

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)

0970

1.6.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

0980

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)

0990

1.6.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1000

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)

1010

1.6.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1020

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)

1030

1.6.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.6.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1040

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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Other Level 2B assets are lent.

1050

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).

1060

1.7.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1070

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)

1080

1.7.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1090

1.7.3.  Level 2A assets

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed)

1100

1.7.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1110

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)

1120

1.7.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1130

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)

1140

1.7.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1150

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)

1160

1.7.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1170

1.7.7.  Other Level 2B

Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed)

1180

1.7.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1190

1.7.8.  Non-liquid assets

Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed)

1200

1.7.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.7.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1210

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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Non-liquid assets are lent.

1220

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)

1230

1.8.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.1., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1240

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)

1250

1.8.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.2., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1260

1.8.3.  Level 2A assets

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed)

1270

1.8.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.3., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1280

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)

1290

1.8.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.4., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1300

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)

1310

1.8.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.5., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1320

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)

1330

1.8.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.6., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1340

1.8.7.  Other Level 2B

Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed)

1350

1.8.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 1.8.7., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1360

1.8.8.  Non-liquid assets

Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed)

1370

2.  TOTAL COLLATERAL SWAPS (counterparty is non-central bank)

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps.

1380

2.1.  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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for each relevant column, the total values of collateral swaps for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent.

1390

2.1.1.  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)

1400

2.1.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1410

2.1.2.  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)

1420

2.1.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1430

2.1.3.  Level 2A assets

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Level 2A assets (borrowed)

1440

2.1.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1450

2.1.4.  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)

1460

2.1.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1470

2.1.5.  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)

1480

2.1.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1490

2.1.6.  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)

1500

2.1.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1510

2.1.7.  Other Level 2B

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Other Level 2B (borrowed)

1520

2.1.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1530

2.1.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 1 assets excl. EHQ covered bonds (lent) for Non-liquid assets (borrowed)

1540

2.1.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.1.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1550

2.2.  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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 1 extremely high quality covered bonds are lent.

1560

2.2.1.  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)

1570

2.2.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1580

2.2.2.  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)

1590

2.2.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1600

2.2.3.  Level 2A assets

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Level 2A assets (borrowed)

1610

2.2.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1620

2.2.4.  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)

1630

2.2.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1640

2.2.5.  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)

1650

2.2.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1660

2.2.6.  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)

1670

2.2.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1680

2.2.7.  Other Level 2B

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Other Level 2B (borrowed)

1690

2.2.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1700

2.2.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 1 extremely high quality covered bonds (lent) for Non-liquid assets (borrowed)

1710

2.2.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.2.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1720

2.3.  Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2A assets are lent.

1730

2.3.1.  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).

1740

2.3.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1750

2.3.2.  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)

1760

2.3.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1770

2.3.3.  Level 2A assets

Such transactions in which the institution has swapped Level 2A assets (lent) for Level 2A assets (borrowed)

1780

2.3.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1790

2.3.4.  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)

1800

2.3.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1810

2.3.5.  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)

1820

2.3.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1830

2.3.6.  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)

1840

2.3.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1850

2.3.7.  Other Level 2B

Such transactions in which the institution has swapped Level 2A assets (lent) for Other Level 2B (borrowed)

1860

2.3.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1870

2.3.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 2A assets (lent) for Non-liquid assets (borrowed)

1880

2.3.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.3.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

1890

2.4.  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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (residential or automobile, CQS1) are lent.

1900

2.4.1.  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)

1910

2.4.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.4.1., credit institutions shall report:

— the leg of the collateral lent, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1920

2.4.2.  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)

1930

2.4.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.4.2., credit institutions shall report:

— the leg of the collateral lent, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1940

2.4.3.  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)

1950

2.4.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.4.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1960

2.4.4.  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)

1970

2.4.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.4.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

1980

2.4.5.  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)

1990

2.4.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.4.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2000

2.4.6.  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)

2010

2.4.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.4.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2020

2.4.7.  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)

2030

2.4.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.4.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2040

2.4.8.  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)

2050

2.4.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.4.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

2060

2.5.  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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B high quality covered bonds are lent.

2070

2.5.1.  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)

2080

2.5.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.5.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2090

2.5.2.  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)

2100

2.5.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.5.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2110

2.5.3.  Level 2A assets

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Level 2A assets (borrowed)

2120

2.5.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.5.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2130

2.5.4.  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)

2140

2.5.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.5.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2150

2.5.5.  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)

2160

2.5.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.5.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2170

2.5.6.  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)

2180

2.5.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.5.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2190

2.5.7.  Other Level 2B

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Other Level 2B (borrowed)

2200

2.5.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.5.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2210

2.5.8.  Non-liquid assets

Such transactions in which the institution has swapped Level 2B high quality covered bonds (lent) for Non-liquid assets (borrowed)

2220

2.5.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.5.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

2230

2.6.  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 Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Level 2B asset-backed securities (commercial or individuals, Member State, CQS1) are lent.

2240

2.6.1.  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)

2250

2.6.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.6.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2260

2.6.2.  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)

2270

2.6.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.6.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2280

2.6.3.  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)

2290

2.6.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.6.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2300

2.6.4.  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).

2310

2.6.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.6.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2320

2.6.5.  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)

2330

2.6.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.6.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2340

2.6.6.  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).

2350

2.6.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.6.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2360

2.6.7.  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)

2370

2.6.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.6.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2380

2.6.8.  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)

2390

2.6.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.6.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

2400

2.7.  Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Other Level 2B assets are lent.

2410

2.7.1.  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)

2420

2.7.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.7.1., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2430

2.7.2.  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)

2440

2.7.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.7.2., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2450

2.7.3.  Level 2A assets

Such transactions in which the institution has swapped Other Level 2B (lent) for Level 2A assets (borrowed)

2460

2.7.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.7.3., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2470

2.7.4.  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)

2480

2.7.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.7.4., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2490

2.7.5.  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)

2500

2.7.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.7.5., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2510

2.7.6.  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)

2520

2.7.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.7.6., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2530

2.7.7.  Other Level 2B

Such transactions in which the institution has swapped Other Level 2B (lent) for Other Level 2B (borrowed)

2540

2.7.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.7.7., credit institutions shall report:

— the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset; and

— the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2550

2.7.8.  Non-liquid assets

Such transactions in which the institution has swapped Other Level 2B (lent) for Non-liquid assets (borrowed)

2560

2.7.8.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.7.8., credit institutions shall report the leg of the collateral lent that, but for being used as collateral for those transactions, would qualify in accordance with Article 8 of Delegated Regulation (EU) 2015/61 as liquid asset.

2570

2.8.  Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

Articles 28(4) and 32(3) of Delegated Regulation (EU) 2015/61

Credit institutions shall report here, for the relevant columns, the total values of collateral swaps for transactions in which Non-liquid assets are lent.

2580

2.8.1.  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)

2590

2.8.1.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.8.1., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2600

2.8.2.  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)

2610

2.8.2.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.8.2., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2620

2.8.3.  Level 2A assets

Such transactions in which the institution has swapped Non-liquid assets (lent) for Level 2A assets (borrowed)

2630

2.8.3.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.8.3., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2640

2.8.4.  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)

2650

2.8.4.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.8.4., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2660

2.8.5.  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)

2670

2.8.5.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.8.5., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2680

2.8.6.  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)

2690

2.8.6.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.8.6., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2700

2.8.7.  Other Level 2B

Such transactions in which the institution has swapped Non-liquid assets (lent) for Other Level 2B (borrowed)

2710

2.8.7.1.  Of which collateral swapped meets operational requirements

Of the transactions in item 2.8.7., credit institutions shall report the leg of the collateral borrowed if it meets the operational requirements under Article 8 of Delegated Regulation (EU) 2015/61.

2720

2.8.8.  Non-liquid assets

Such transactions in which the institution has swapped Non-liquid assets (lent) for Non-liquid assets (borrowed)

MEMORANDUM ITEMS

2730

3.  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.

2740

4.  Total collateral swaps with intragroup counterparties

Institutions shall report here the total collateral swaps reported in the above lines that are with intragroup counterparties.

 

5.  Collateral swaps waived from Article 17(2) and (3)

Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2750

5.1.  of which: collateral borrowed is L1 excl. EHQCB

Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2760

5.2.  of which: collateral borrowed is L1 EHQCB

Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2770

5.3.  of which: collateral borrowed is L2A

Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2780

5.4.  of which: collateral borrowed is L2B

Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral borrowed is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2790

5.5.  of which: collateral lent is L1 excl. EHQCB

Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 1 collateral excluding extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2800

5.6.  of which: collateral lent is L1 EHQCB

Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 1 collateral which is extremely high quality covered bonds and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2810

5.7.  of which: collateral lent is L2A

Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 2A collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

2820

5.8.  of which: collateral lent is L2B

Credit institutions shall report here the part of collateral swap transactions with a residual maturity of no more than 30 days where the counterparty is a central bank, the collateral lent is Level 2B collateral and meeting the operational requirements laid down in Article 8 of Delegated Regulation (EU) 2015/61, and where the relevant transactions are exempted from the application of Article 17(2) and (3) of Delegated Regulation (EU) 2015/61 by its Article 17(4).

PART 5: CALCULATIONS

1.   Calculations

1.1.   General remarks

1. This is a summary template which contains information about calculations for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by institutions are coloured grey.

1.2.   Specific remarks

2. Cell references are given in the format: template; row; column. For example, {C 72.00; r0130; c0040} refers to Liquid Assets template; row 0130; column 0040.

1.3.   Calculations sub template – Instructions concerning specific rows



Row

Legal references and instructions

CALCULATIONS

Numerator, Denominator, Ratio

Article 4 of Delegated Regulation (EU) 2015/61

The Liquidity Coverage Ratio numerator, denominator and ratio.

Enter all below data into column 0010 of given row.

0010

1.  Liquidity Buffer

Institutions shall report figure from {C 76.00; r0290; c0010}.

0020

2.  Net Liquidity Outflow

Institutions shall report figure from {C 76.00; r0370; c0010}.

0030

3.  Liquidity Coverage Ratio (%)

Institutions shall report the liquidity coverage ratio calculated as specified in Article 4(1) of 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; r0020; c0010} is zero (causing a ratio of infinity) then report the value 999 999 .

Numerator calculations

Article 17 and Annex I of Delegated Regulation (EU) 2015/61

Formula for the calculation of the Liquidity Buffer.

Enter all below data into column 0010 of given row.

0040

4.  L1 excl. EHQCB liquidity buffer (value in accordance with Article 9): unadjusted

Institutions shall report figure from {C 72.00; r0030; c0040}.

0050

5.  L1 excl. EHQCB collateral 30 day outflows

Institutions shall report outflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0060

6.  L1 excl. EHQCB collateral 30 day inflows

Institutions shall report inflows of Level 1 (excluding extremely high quality covered bonds) liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0070

7.  Secured cash outflows

Institutions shall report outflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0080

8.  Secured cash inflows

Institutions shall report inflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0091

9.  L1 excl. EHQCB ‘adjusted amount’

This is referred to in subparagraph (a) of Annex I (3)

Institutions shall report the adjusted non-covered bond level 1 asset amount before cap application.

The adjusted amount shall take into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0100

10.  L1 EHQCB value in accordance with Article 9: unadjusted

Institutions shall report figure from {C 72.00; r0180; c0040}.

0110

11.  L1 EHQCB collateral 30 day outflows

Institutions shall report outflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0120

12.  L1 EHQCB collateral 30 day inflows

Institutions shall report inflows of Level 1 extremely high quality covered bonds upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0131

13.  L1 EHQCB ‘adjusted amount’

This is referred to by subparagraph (b) of Annex I (3)

Institutions shall report the adjusted covered bond level 1 asset amount before cap application.

The adjusted amount shall take into account the unwind of secured funding, secured lending, or collateral swap transactions that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0160

14.  L2A value in accordance with Article 9: unadjusted

Institutions shall report figure from {C 72.00; r0230; c0040}.

0170

15.  L2A collateral 30 day outflows

Institutions shall report outflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0180

16.  L2A collateral 30 day inflows

Institutions shall report inflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0191

17.  L2A ‘adjusted amount’

This is referred to by subparagraph (c) in Annex I (3).

Institutions shall report the adjusted level 2A asset amount before cap application.

The adjusted amount shall take into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0220

18.  L2B value in accordance with Article 9: unadjusted

Institutions shall report figure from {C 72.00; r0310; c0040}.

0230

19.  L2B collateral 30 day outflows

Institutions shall report outflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0240

20.  L2B collateral 30 day inflows

Institutions shall report inflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0251

21.  L2B ‘adjusted amount’

This is referred to by subparagraph (d) in Annex I (3).

Institutions shall report the adjusted level 2B asset amount before cap application.

The adjusted amount shall take into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.

0280

22.  Excess liquid asset amount

Annex I(4)

Institutions shall 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).

0290

23.  LIQUIDITY BUFFER

Annex I (2)

Institutions shall 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 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

Institutions shall enter all below data in to column 0010 of a given row.

0300

24.  Total Outflows

TO = from Outflow sheet

Institutions shall report figure from {C 73.00; r0010; c0060}.

0310

25.  Fully Exempt Inflows

FEI = from Inflows sheet

Institutions shall report figure from {C 74.00; r0010; c0160}.

0320

26.  Inflows Subject to 90 % Cap

IHC = from Inflows sheet

Institutions shall report figure from {C 74.00; r0010; c0150}.

0330

27.  Inflows Subject to 75 % Cap

IC = from Inflows sheet

Institutions shall report figure from {C 74.00; r0010; c0140}.

0340

28.  Reduction for Fully Exempt Inflows

Institutions shall report the following part of the NLO calculation:

= MIN (FEI, TO).

0350

29.  Reduction for Inflows Subject to 90 % Cap

Institutions shall report the following part of the NLO calculation:

= MIN (IHC, 0.9*MAX(TO-FEI, 0)).

0360

30.  Reduction for Inflows Subject to 75 % Cap

Institutions shall report the following part of the NLO calculation:

= MIN (IC, 0.75*MAX(TO-FEI-IHC/0.9, 0)).

0370

31.  NET LIQUIDITY OUTFLOW

Institutions shall 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, 0.9*MAX(TO-FEI, 0)) – MIN(IC, 0.75*MAX(T0-FEI-IHC/0.9,0))

Pillar 2

0380

32.  PILLAR 2 REQUIREMENT

Article 105 CRD

Institutions shall report the Pillar 2 requirement.

PART 6: PERIMETER OF CONSOLIDATION

1.   Perimeter of consolidation

1.1.   General remarks

1. This is a template that, for the only purposes of LCR at a consolidated level, identifies the entities to which the information reported in templates C 72.00, C 73.00, C 74.00, C 75.01 and C 76.00 refers. This template identifies all the entities that form part of the perimeter of consolidation of the LCR in accordance with Articles 8 and 10, Article 11(3) and (5) of Regulation (EU) No 575/2013, as applicable. This template shall have as many rows as entities are in the perimeter of consolidation.

1.2.   Instructions concerning specific columns



Column

Legal references and instructions

0005

Parent or subsidiary

‘Parent’ shall be reported in the case the entity in the row is:

— the EU parent institution, EU parent financial holding company or EU parent mixed financial holding company as envisaged in Article 11(3) of Regulation (EU) No 575/2013;

— the parent institution or subsidiary institution that need to comply with the LCR on a consolidated basis or in a sub-consolidated basis, respectively, in the context of a single liquidity subgroup as per Article 8 of Regulation (EU) No 575/2013;

— the relevant institution required to comply with the LCR on a sub-consolidated basis as per Article 11(5) of Regulation (EU) No 575/2013;

— the EU central institution.

‘Subsidiary’ shall be reported in the rest of the rows.

0010

Name

The name of each entity in the perimeter of consolidation shall be reported in column 0010.

0020

Code

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

0021

Type of code

The institutions shall identify the type of code reported in column 0020 as a ‘LEI code’ or ‘Non-LEI code’.

The type of code shall always be reported.

0022

National code

Institutions may additionally report the national code when they report LEI code as identifier as in the ‘Code’ column.

0040

Country code

ISO code 3166-1-alpha-2 of the country of incorporation of each entity in the perimeter of consolidation shall be reported in column 0020.

0050

Type of entity

Entities reported in column 0010 shall be assigned an entity type corresponding to its legal form as per the following list:

‘Credit institution’;

‘Investment firm’;

‘Other’.



ANNEX XXVI

SUPPLEMENTARY REPORTING FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES



TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

 

 

G-SII INDICATORS AND EBU ITEMS

 

1

G 01.00

G-SII INDICATORS AND EBU ITEMS

GSII



G 01.00 - G-SII indicators and EBU items

Rows

Item

Amount

 

G-SII indicators

0010

Total exposures

 

0020

Intra-financial system assets

 

0030

Intra-financial system liabilities

 

0040

Securities outstanding

 

0050

Payment activity

 

0060

Assets under custody

 

0070

Underwriting activity

 

0080

Trading volume

 

0090

OTC derivatives

 

0100

Trading and AFS securities

 

0110

Level 3 assets

 

0120

Cross-jurisdictional claims

 

0130

Cross-jurisdictional liabilities

 

 

Items considering the European Banking Union as a single jurisdiction

0140

Total foreign claims on an ultimate risk basis

 

0150

Foreign derivatives claims on an ultimate risk basis

 

0160

Foreign liabilities on an immediate risk basis, including derivatives

 

0170

of which: Foreign derivatives liabilities on an immediate risk basis

 



ANNEX XXVII

REPORTING INSTRUCTIONS FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES

PART I

GENERAL INSTRUCTIONS

1.1.1.   Structure and conventions

2.1.1.1.   Structure

1. This framework consists of one template capturing information on indicators of global systemic importance and particular items needed for the application of the EU’s methodology for identifying globally systemically important institutions (G-SIIs) and assigning corresponding G-SII buffer rates.

3.1.1.2.   Numbering convention

2. The document follows the labelling convention set in points 3 to 5, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.

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

4. In the case of references inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}. In the case of templates with only one column, only rows are referred to {Template; Row}.

5. An asterisk sign is used to express that the reference captures the rows or columns specified before.

4.1.1.3.   Sign convention

6. Any amount that increases the value of the indicator, the assets, liabilities or exposures shall be reported as a positive figure. Any amount that reduces the the value of the indicator, the assets, liabilities or exposures 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.

5.1.1.4.   Abbreviations

7. For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 26 ) is referred to as ‘CRR’ and Directive 2013/36/EU of the European Parliament and of the Council ( 27 ) is referred to as ‘CRD’.

PART II

TEMPLATE RELATED INSTRUCTIONS

6.1.1.   General remarks

8. The template is divided into two sections. The upper section on G-SII indicators includes the indicators for identifying globally systemically important institutions as defined in the methodology developed by the Basel Committee on Banking Supervision. The lower section contains a number of items needed to calculate the relevant indicators in accordance with the methodology defined on the basis of Article 131(18) CRD.

9. Where relevant, the information provided in this template shall be consistent with the information provided to relevant authorities for the purposes of the collection of the indicator values by relevant authorities as set out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014.

7.1.2.   Instructions concerning specific positions



Row

Legal references and instructions

0010 – 0120

G-SII indicators

The definition of the indicators shall be the same as the definition applied for the purposes of determining the information listed in the Annex to Commission Delegated Regulation (EU) No 1222/2014.

In case of changes to the methodolgy, the same methodology applicable for determing the indicators values as of the end of the financial year shall be used for the purposes of reporting information as of the end of the first, second and third quarter of that same financial year.

Indicators that are flow measures shall be reported on a cumulative basis since the beginning of the calendar or financial year, as applicable.

0010

Cross-jurisdictional claims

0020

Cross-jurisdictional liabilities

0030

Total exposures (leverage ratio)

0040

Intra-financial system assets

0050

Intra-financial system liabilities

0060

Securities outstanding

0070

Assets under custody

0080

Payments activity

0090

Underwritten transactions in debt and equity markets

0100

Trading volume

0110

Notional amount of OTC derivatives

0120

Level 3 assets

0130

Trading and available-for-sale securities

0140 – 0170

Items considering the European Banking Union as a single jurisdiction

For the purposes of determining the items specified below and in the absence of specifications in the instructions below, the definitions and concepts applied shall be aligned, to the extent possible, with the definitions and concepts defined in the Guidelines for reporting the BIS international banking statistics.

By derogation from that, the reporting entities’ activities across participating Member States as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council (1) shall be excluded, i.e. the Participating Members States shall be considered as one single jurisdiction.

0140

Total foreign claims on an ultimate risk basis

Total foreign claims shall be the sum of cross-border claims and local claims of foreign affiliates in local or foreign currency. Claims from positions in derivative contracts shall be excluded. ‘Claims’, ‘cross-border claims’, ‘local claims of foreign affiliates in foreign and local currency’ shall have the same meaning as defined in the Guidelines for reporting the BIS international banking statistics.

‘On an ultimate risk basis’ shall mean that, for the purposes of determining whether a claim ia a cross-border or local claim, the position is allocated to a third party that has contracted to assume the debts or obligations of the primary counterparty if that party fails to perform, where such a third party exists. This allocation shall be made in accordance with the provisions on risk transfers provided in the Guidelines for reporting the BIS international banking statistics.

0150

Foreign derivatives claims on an ultimate risk basis

The positive fair value of all derivative claims that are cross-border claims, or local claims of foreign affiliates in local or foreign currency.

Derivatives include forwards, swaps, and options related to foreign exchange, interest rate, equity, commodity, and credit instruments. This includes purchased credit derivatives that hedge or offset credit protection sold or are held for trading purposes.

In case of such purchased credit derivatives, the value of shall not be capped at the value of the immediate claim it was purchased to guarantee.

The positive fair values of derivative contracts may be offset against negative fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Only netting sets with a positive value shall be included in this item.

The derivative claims shall be reported gross of any cash collateral.

For the purposes of reporting information on an ultimate risk basis, the following shall apply:

a)  When the final risk lies with the counterparty, a derivative is considered foreign if the counterparty is not in the reporting entities’ home jurisdiction.

b)  When the final risk lies with the guarantor, a derivative is considered foreign if the guarantor is not in the reporting entities’ home jurisdiction.

0160

Foreign liabilities on an immediate risk basis, including derivatives

Foreign liabilities, including derivatives, shall be the sum of foreign liabilities and foreign liabilities arising from derivatives. Securities liabilities that are tradable financial assets issued by the reporting institution shall be excluded from this item.

The definition of derivatives shall be the same as applied for row 0140.

The negative fair values of derivative contracts may be offset against positive fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Derivatives liabilities shall be reported gross of any collateral (cash and non-cash).

‘On an immediate risk basis’ shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to the direct counterparty of the contract.

0170

of which: Foreign derivatives liabilities on an immediate risk basis

Subset of row 0160 that are derivatives liabilities
(1)   

Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).


( 1 ) Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).

( 2 ) 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).

( 3 ) 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).

( 4 ) Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).

( 5 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

( 6 ) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).

( 7 ) Directive 2013/34/EU of the European Parliament and of the Council 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).

( 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 2014/59/EU of the European Parliament and of the Council of 15 May 2014 establishing a framework for the recovery and resolution of credit institutions and investment firms and amending Council Directive 82/891/EEC, and Directives 2001/24/EC, 2002/47/EC, 2004/25/EC, 2005/56/EC, 2007/36/EC, 2011/35/EU, 2012/30/EU and 2013/36/EU, and Regulations (EU) No 1093/2010 and (EU) No 648/2012, of the European Parliament and of the Council (OJ L 173, 12.6.2014, p. 190–348)

( 10 ) Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54(3)(g) of the Treaty on consolidated accounts (OJ L 193, 18.7.1983, p. 1).

( 11 ) 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).

( 12 ) Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council 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 (OJ L 309, 30.10.2014, p. 5).

( 13 ) ‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.

( 14 ) Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148, 20.5.2014, p. 15).

( 15 ) Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).

( 16 ) 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).

( 17 ) Regulation (EU) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).

( 18 ) 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).

( 19 ) 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).

( 20 ) 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).

( 21 ) 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).

( 22 ) Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) (OJ C 31, 31.1.2017, p. 1).

( 23 ) Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14), OJ C 31, 31.1.2017, p. 1.

( 24 ) Directive (EU) 2015/2366 of the European Parliament and of the Council of 25 November 2015 on payment services in the internal market, amending Directives 2002/65/EC, 2009/110/EC and 2013/36/EU and Regulation (EU) No 1093/2010, and repealing Directive 2007/64/EC (OJ L 337, 23.12.2015, p. 35).

( 25 ) Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit institution (OJ L 11, 17.1.2015, p. 1).

( 26 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

( 27 ) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).

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