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Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)

EU Regulation No 680/2014 · Adopted 16 April 2014 · Extends to United Kingdom

Original text. legislation.gov.uk does not revise this item, so later amendments are not shown here. Changes made to it are listed under each provision when known.

Commission Implementing Regulation (EU) No 680/2014

of 16 April 2014

laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

(Text with EEA relevance)

C1 C2

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to 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 648/2012f1, and in particular the fourth subparagraph of Article 99(5); the fourth subparagraph of Article 99(6); the third subparagraph of Article 101(4); the third subparagraph of Article 394(4); the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,

Whereas:

(1)

Without prejudice to the competent authorities' powers under Article 104 (1) (j) of Directive 2013/36/EU of the European Parliament and of the Councilf2, with a view to increasing efficiency and reducing the administrative burden, a coherent reporting framework should be established on the basis of a harmonised set of standards.

(2)

The provisions in this Regulation are closely linked, since they deal with institutions' reporting requirements. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all related implementing technical standards required by Regulation (EU) No 575/2013 in a single Regulation.

(3)

The nature and complexity of institutions' activities such as trading book or non-trading book and approaches used for credit risk determine the extent of the actual reporting obligations of institutions. In addition, and in accordance with Article 99 (5) of Regulation (EU) No 575/2013, the reporting burden to institutions should be proportionate and reduced frequencies of reporting of certain templates should be introduced. Further, in order to take into account the nature, scale and complexity of institutions, template-specific materiality thresholds, should be introduced before certain reporting requirements are triggered.

(4)

Where reporting requirements are based on quantitative thresholds, in order to ensure a smooth transition to common supervisory reporting, template-specific entry and exit criteria should be introduced.

(5)

Institutions applying an accounting year that is different from the calendar year should be allowed to adjust reporting reference dates and remittance dates for reporting financial information, in order to alleviate, for such institutions, the burden of preparing the accounts for two different periods.

(6)

Financial information covers information on institutions' financial situation and potential systemic risks. The basic information on the financial situation is complemented with more detailed breakdowns to provide supervisors with information on risks of different activities. Institutions should therefore provide granular and uniform data especially on geographical and sectoral breakdowns and significant counterparties of exposures and funding in order to provide supervisory authorities with information on potential concentrations and build-ups of systemic risks.

(7)

In order to ensure consistency and comparability of information, where competent authorities require institutions to report information on own funds by using International Financial Reporting Standards (IFRS), as applicable under Regulation (EC) No 1606/2002 of the European Parliament and of the Councilf3, and extends this reporting requirement also to the reporting of financial information, institutions should report financial information in a manner similar to that of institutions preparing their consolidated accounts using IFRS, as applicable under Regulation (EC) No 1606/2002.

(8)

Similarly, in order to ensure consistency and comparability of information, where competent authorities require institutions using national accounting standards to report financial information by virtue of Article 99 (6), these institutions should report financial information in a manner similar to that of institutions using IFRS, as applicable under Regulation (EC) No 1606/2002, for reporting adjusted based on national accounting standards.

(9)

As there is a multitude of different reporting requirements at national and Union level for purposes other than those established by Regulation (EU) No 575/2013, such as statistical data, monetary data, Pillar II data any rules on the common supervisory reporting can only be part of an overall reporting framework. Using one IT solution which applies to the overall reporting framework is more cost efficient compared to specifying different IT solutions for individual parts of that overall reporting framework. In order to avoid having to require institutions to report necessary information using one specific IT solution while applying other IT solutions for other reporting requirements, and with the view to avoiding unjustified implementation and operating costs, a Data Point Model and defined minimum precision requirements should be developed, so as to ensure that the different IT solutions in place produce harmonised data as well as reliable data quality. Further, in order to reduce the reporting burden for institutions, provided that the necessary requirements are fully met, competent authorities should be allowed to continue to define alternative presentations and data exchange formats currently also used for other reporting purposes. In that respect, competent authorities should be allowed to not require data points that can be derived from other data points included in the data point model, or data points referring to information that is already collected by the competent authority.

(10)

Given the novelty of reporting requirements in some jurisdictions in relation to financial information and in relation to liquidity reporting requirements, and with the view to providing institutions with adequate time to implement those requirements in a manner that will produce data of high quality, a deferred application date should apply in relation to those reporting requirements.

(11)

Given the first time application of common supervisory reporting in the Union and the need for institutions to adapt their reporting and IT systems to the common supervisory reporting requirements, institutions should have longer remittance dates for monthly reports during the first year of application of the common supervisory reporting.

(12)

This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority to the Commission.

(13)

The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Councilf4,

HAS ADOPTED THIS REGULATION:

Annotations to the whole text

Modifications

C1

The “appropriate regulator” has power to make such provision as they consider appropriate by means of an instrument in writing to prevent, remedy or mitigate any failure of the provisions of this Regulation to operate effectively or any other deficiency arising from the withdrawal of the United Kingdom from the EU, see The Financial Regulators’ Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4 (with saving on IP completion day by S.I. 2019/680, regs. 1(2), 11; 2020 c. 1, Sch. 5 para. 1(1))

C2

Regulation: power to modify conferred (11.7.2023) by Financial Services and Markets Act 2023 (c. 29), ss. 3, 86(3), Sch. 1 Pts. 1, 3; S.I. 2023/779, reg. 2(d)

Footnotes

f1

OJ L 176, 27.6.2013, p. 1.

f2

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).

f3

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).

f4

Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).

Contents

  1. Chapter 1: SUBJECT MATTER AND SCOPE
  2. 1Subject matter and scope
  3. Chapter 2: REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS
  4. 2Reporting reference dates
  5. 3Reporting remittance dates
  6. 4Reporting thresholds — entry and exit criteria
  7. Chapter 3: FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION
  8. Format and frequency of reporting on own funds and own funds requirements
  9. 5Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013
  10. 6Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013
  11. 7Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis
  12. 8Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis
  13. Format and frequency of reporting on financial information on a consolidated basis
  14. 9Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis
  15. 10Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013
  16. 11Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis
  17. Chapter 4: FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013
  18. 12Article 12
  19. Chapter 5: FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
  20. 13Article 13
  21. Chapter 6: FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
  22. 14Article 14
  23. Chapter 7: FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
  24. 15Format and frequency of reporting on liquidity coverage requirement
  25. 16Format and frequency of reporting on stable funding
  26. Chapter 7a: FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
  27. 16aFormat and frequency of reporting on asset encumbrance on an individual and a consolidated basis
  28. Chapter 7b: FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
  29. 16bArticle 16b
  30. Chapter 8: IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES
  31. 17Article 17
  32. Chapter 9: TRANSITIONAL AND FINAL PROVISIONS
  33. 18Transitional period
  34. 19Entry into Force
  35. Signature
  36. Annex IREPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
  37. Annex II: REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
  38. Part I: GENERAL INSTRUCTIONS
  39. STRUCTURE AND CONVENTIONS
  40. STRUCTURE
  41. 1Overall, the framework consists of five blocks of templates:
  42. 2Division 2
  43. 3Division 3
  44. NUMBERING CONVENTION
  45. 4Division 4
  46. 5Division 5
  47. 6Division 6
  48. 7Division 7
  49. 8Division 8
  50. SIGN CONVENTION
  51. 9Division 9
  52. ABBREVIATIONS
  53. 9aDivision 9a
  54. Part II: TEMPLATE RELATED INSTRUCTIONS
  55. CAPITAL ADEQUACY OVERVIEW (‘CA’)
  56. GENERAL REMARKS
  57. 10CA 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:
  58. 11Division 11
  59. 12Division 12
  60. 13The application of CRR and CRD transitional provisions is treated as follows in CA templates:
  61. 14The treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting required under CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.
  62. C 01.00 – OWN FUNDS (CA1)
  63. 1.2.1Instructions concerning specific positions
  64. C 02.00 – OWN FUNDS REQUIREMENTS (CA2)
  65. 1.3.1Instructions concerning specific positions
  66. C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
  67. 1.4.1Instructions concerning specific positions
  68. C 04.00 – MEMORANDUM ITEMS (CA4)
  69. 1.5.1Instructions concerning specific positions
  70. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5)
  71. General remarks
  72. 15Division 15
  73. 16CA5 is structured as follows:
  74. 17Division 17
  75. 18Division 18
  76. 19Division 19
  77. C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)
  78. 20Division 20
  79. 21Division 21
  80. 22Division 22
  81. 23Division 23
  82. 24Division 24
  83. 1.6.2.1Instructions concerning specific positions
  84. C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
  85. 25Division 25
  86. 1.6.3.1Instructions concerning specific positions
  87. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
  88. GENERAL REMARKS
  89. 26Templates 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.
  90. 27Division 27
  91. 28Division 28
  92. DETAILED GROUP SOLVENCY INFORMATION
  93. 29Division 29
  94. 30Division 30
  95. INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
  96. 31Division 31
  97. 32Division 32
  98. 33Division 33
  99. 34Division 34
  100. 35Division 35
  101. 36Division 36
  102. 37Division 37
  103. 2.4C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
  104. 2.5C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
  105. CREDIT RISK TEMPLATES
  106. GENERAL REMARKS
  107. 38Division 38
  108. Reporting of CRM techniques with substitution effect
  109. 39Division 39
  110. 40Division 40
  111. 41Division 41
  112. 42Division 42
  113. 43Division 43
  114. 44Division 44
  115. 45Division 45
  116. Reporting of Counterparty Credit Risk
  117. 46Division 46
  118. C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
  119. General remarks
  120. 47The 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:
  121. 3.2.2Scope of the CR SA template
  122. 48Division 48
  123. 49Division 49
  124. 50Division 50
  125. 51The scope of the CR SA template shall cover the following own funds requirements:
  126. 52Division 52
  127. 53Division 53
  128. 54Those memorandum items shall only be reported for the following exposure classes:
  129. 55Division 55
  130. 56Division 56
  131. 57Division 57
  132. Assignment of exposures to exposure classes under the Standardised Approach
  133. 58In 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:
  134. 59Division 59
  135. 60Division 60
  136. 61Division 61
  137. 62Division 62
  138. 63Division 63
  139. 64With this background the assessment ranking in the decision tree mentioned below shall follow the following order:
  140. 65Division 65
  141. 66Division 66
  142. 67Division 67
  143. 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
  144. Clarifications on the scope of some specific exposure classes referred to in Article 112 CRR
  145. Exposure Class ‘Institutions’
  146. 68Division 68
  147. 69Division 69
  148. 70Division 70
  149. Exposure Class ‘Covered Bonds’
  150. 71Division 71
  151. 72Division 72
  152. Exposure class ‘Collective Investment Undertakings’
  153. 73Division 73
  154. 3.2.5Instructions concerning specific positions
  155. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
  156. 3.3.1Scope of the CR IRB template
  157. 74The scope of the CR IRB template covers own funds requirements for:
  158. 75Division 75
  159. 76The CR IRB template does not cover the following data:
  160. 77Division 77
  161. Breakdown of the CR IRB template
  162. 78The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:
  163. C 08.01 – Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)
  164. 3.3.3.1Instructions concerning specific positions
  165. 3.3.4C 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)
  166. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
  167. 79Division 79
  168. 80Division 80
  169. 81Division 81
  170. C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)
  171. 3.4.1.1Instructions concerning specific positions
  172. C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)
  173. 3.4.2.1Instructions concerning specific positions
  174. C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)
  175. General remarks
  176. 82Division 82
  177. 83Division 83
  178. 84Division 84
  179. 85Division 85
  180. 3.4.3.2Instructions concerning specific positions
  181. C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)
  182. 3.5.1General remarks
  183. 86Division 86
  184. 87Division 87
  185. 88In accordance with Article 147(6) CRR, the following exposures shall be assigned to the equity exposure class:
  186. 89Division 89
  187. 90In 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:
  188. 91The following equity claims shall not be reported in the CR EQU IRB template:
  189. 3.5.2Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)
  190. 92In 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).
  191. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
  192. General remarks
  193. 93Division 93
  194. 94Division 94
  195. 95Division 95
  196. 96Division 96
  197. 97Division 97
  198. 98Division 98
  199. 99Division 99
  200. 3.6.2Instructions concerning specific positions
  201. C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)
  202. General remarks
  203. 100Division 100
  204. 101Division 101
  205. 102Division 102
  206. 3.7.2Instructions concerning specific positions
  207. 103Division 103
  208. 104Positions 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.
  209. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
  210. Scope of the SEC DETAILS template
  211. 109Division 109
  212. 110These template are to be reported for:
  213. 111Division 111
  214. 112Division 112
  215. 113Division 113
  216. Breakdown of the SEC DETAILS template
  217. 113aDivision 113a
  218. 113bDivision 113b
  219. 3.9.3C 14.00 – Detailed information on securitisations (SEC DETAILS)
  220. C 14.01 – Detailed information on securitisations (SEC DETAILS 2)
  221. 113cThe template SEC DETAILS 2 shall be reported separately for the following approaches:
  222. OPERATIONAL RISK TEMPLATES
  223. C 16.00 – OPERATIONAL RISK (OPR)
  224. General Remarks
  225. 114Division 114
  226. 115Division 115
  227. 116Division 116
  228. 117Division 117
  229. 118Division 118
  230. 119Division 119
  231. 4.1.2Instructions concerning specific positions
  232. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)
  233. General Remarks
  234. 120Division 120
  235. 121Division 121
  236. 122Division 122
  237. 123Division 123
  238. 124Division 124
  239. 125Division 125
  240. 126Division 126
  241. 127Division 127
  242. 128Division 128
  243. 129Division 129
  244. C 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR DETAILS 1)
  245. General Remarks
  246. 130Division 130
  247. 131Division 131
  248. 132Division 132
  249. 133Division 133
  250. 4.2.2.2Instructions concerning specific positions
  251. C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)
  252. General Remarks
  253. 134Division 134
  254. 135The information reported in this template shall refer to ‘new loss events’, i.e. operational risk events:
  255. 136Only loss events entailing a gross loss amount of 100 000 € or more shall be reported.
  256. 4.2.3.2Instructions concerning specific positions
  257. MARKET RISK TEMPLATES
  258. 137Division 137
  259. 138Division 138
  260. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
  261. General Remarks
  262. 139Division 139
  263. 140Division 140
  264. 5.1.2Instructions concerning specific positions
  265. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
  266. General Remarks
  267. 141Division 141
  268. 142Division 142
  269. 143Division 143
  270. 5.2.2Instructions concerning specific positions
  271. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
  272. General Remarks
  273. 144Division 144
  274. 145Division 145
  275. 146Division 146
  276. 147Division 147
  277. 5.3.2Instructions concerning specific positions
  278. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
  279. General Remarks
  280. 148Division 148
  281. 149Division 149
  282. 5.4.2Instructions concerning specific positions
  283. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
  284. General Remarks
  285. 150Division 150
  286. 151Division 151
  287. 5.5.2Instructions concerning specific positions
  288. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
  289. General Remarks
  290. 152Division 152
  291. 5.6.2Instructions concerning specific positions
  292. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)
  293. General Remarks
  294. 153Division 153
  295. 154Division 154
  296. 5.7.2Instructions concerning specific positions
  297. C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)
  298. 5.8.1Instructions concerning specific positions
  299. PRUDENT VALUATION (PRUVAL)
  300. C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
  301. General remarks
  302. 154aDivision 154a
  303. 154bDivision 154b
  304. 6.1.2Instructions concerning specific positions
  305. C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
  306. 6.2.1General remarks
  307. 154cDivision 154c
  308. 154dDivision 154d
  309. 154eDivision 154e
  310. 6.2.2Instructions concerning specific positions
  311. C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
  312. General remarks
  313. 154fDivision 154f
  314. 154gDivision 154g
  315. 154hDivision 154h
  316. 154iDivision 154i
  317. 154jDivision 154j
  318. 6.3.2Instructions concerning specific positions
  319. C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
  320. General remarks
  321. 154kDivision 154k
  322. 154lDivision 154l
  323. 154mDivision 154m
  324. 154nDivision 154n
  325. 154oDivision 154o
  326. 6.4.2Instructions concerning specific positions
  327. C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV)
  328. GENERAL REMARKS
  329. 155Division 155
  330. 156Division 156
  331. 157Division 157
  332. 158Division 158
  333. 159Division 159
  334. 160Division 160
  335. SCOPE OF THE TEMPLATE ON EXPOSURES TO ‘GENERAL GOVERNMENTS’
  336. 161Division 161
  337. 162Division 162
  338. 163Division 163
  339. 7.3INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
  340. Annex IIIREPLACES ANNEX III – REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
  341. Balance Sheet Statement [Statement of Financial Position]
  342. 1.1Assets
  343. 1.2Liabilities
  344. 1.3Equity
  345. 2Statement of profit or loss
  346. 3Statement of comprehensive income
  347. Breakdown of financial assets by instrument and by counterparty sector
  348. 4.1Financial assets held for trading
  349. 4.2.1Non-trading financial assets mandatorily at fair value through profit or loss
  350. 4.2.2Financial assets designated at fair value through profit or loss
  351. 4.3.1Financial assets at fair value through other comprehensive income
  352. 4.4.1Financial assets at amortised cost
  353. 4.5Subordinated financial assets
  354. Breakdown of non-trading loans and advances by product
  355. 5.1Loans and advances other than held for trading and trading assets by product
  356. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes
  357. 6.1Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes
  358. Financial assets subject to impairment that are past due
  359. 7.1Financial assets subject to impairment that are past due
  360. Breakdown of financial liabilities
  361. 8.1Breakdown of financial liabilities by product and by counterparty sector
  362. 8.2Subordinated financial liabilities
  363. Loan commitments, financial guarantees and other commitments
  364. 9.1.1Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
  365. 9.2Loan commitments, financial guarantees and other commitments received
  366. 10Derivatives – Trading and economic hedges
  367. Hedge accounting
  368. 11.1Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge
  369. 11.3Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge
  370. 11.4Hedged items in fair value hedges
  371. Movements in allowances and provisions for credit losses
  372. 12.1Movements in allowances and provisions for credit losses
  373. 12.2Transfers between impairment stages (gross basis presentation)
  374. Collateral and guarantees received
  375. 13.1Breakdown of collateral and guarantees by loans and advances other than held for trading
  376. 13.2.1Collateral obtained by taking possession during the period [held at the reference date]
  377. 13.3.1Collateral obtained by taking possession accumulated
  378. 14Fair value hierachy: financial instruments at fair value
  379. 15Derecognition and financial liabilities associated with transferred financial assets
  380. Breakdown of selected statement of profit or loss items
  381. 16.1Interest income and expenses by instrument and counterparty sector
  382. 16.2Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
  383. 16.3Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument
  384. 16.4Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk
  385. 16.4.1Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument
  386. 16.5Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
  387. 16.6Gains or losses from hedge accounting
  388. 16.7Impairment on non-financial assets
  389. 16.8Other administrative expenses
  390. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
  391. 17.1Assets
  392. 17.2Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
  393. 17.3Liabilities and equity
  394. Information on performing and non-performing exposures
  395. 18.0Information on performing and non-performing exposures
  396. 18.1Inflows and outflows of non-performing exposures – loans and advances by counterparty sector
  397. 18.2Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property
  398. 19Information forborne exposures
  399. Geographical breakdown
  400. 20.1Geographical breakdown of assets by location of the activities
  401. 20.2Geographical breakdown of liabilities by location of the activities
  402. 20.3Geographical breakdown of statement of profit or loss items by location of the activities
  403. 20.4Geographical breakdown of assets by residence of the counterparty
  404. 20.5Geographical breakdown of off-balance sheet exposures by residence of the counterparty
  405. 20.6Geographical breakdown of liabilities by residence of the counterparty
  406. 20.7.1Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes
  407. 21Tangible and intangible assets: assets subject to operating lease
  408. Asset management, custody and other service functions
  409. 22.1Fee and commission income and expenses by activity
  410. 22.2Assets involved in the services provided
  411. Loans and advances: additional information
  412. 23.1Loans and advances: Number of instruments
  413. 23.2Loans and advances: Additional information on gross carrying amounts
  414. 23.3Loans and advances collateralised by immovable property: Breakdown by LTV ratios
  415. 23.4Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk
  416. 23.5Loans and advances: Collateral received and financial guarantees received
  417. 23.6Loans and advances: Accumulated partial write-offs
  418. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year
  419. 24.1Loans and advances: Inflows and outflows of non-performing exposures
  420. 24.2Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures
  421. 24.3Loans and advances: Write-offs of non-performing exposures during the period
  422. Collateral obtained by taking possession and execution processes
  423. 25.1Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows
  424. 25.2Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained
  425. 25.3Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)
  426. 26Forbearance management and quality of forbearance
  427. Off-balance sheet activities: Interests in unconsolidated structured entities
  428. 30.1Interests in unconsolidated structured entities
  429. 30.2Breakdown of interests in unconsolidated structured entities by nature of the activities
  430. Related parties
  431. 31.1Related parties: amounts payable to and amounts receivable from
  432. 31.2Related parties: expenses and income generated by transactions with
  433. Group structure
  434. 40.1Group structure: ‘ entity-by-entity ’
  435. 40.2Group structure: ‘ instrument-by-instrument ’
  436. Fair value
  437. 41.1Fair value hierarchy: financial instruments at amortised cost
  438. 41.2Use of the Fair Value Option
  439. 42Tangible and intangible assets: carrying amount by measurement method
  440. 43Provisions
  441. Defined benefit plans and employee benefits
  442. 44.1Components of net defined benefit plan assets and liabilities
  443. 44.2Movements in defined benefit obligations
  444. 44.3Staff expenses by type of benefits
  445. 44.4Staff expenses by category of remuneration and category of staff
  446. Breakdown of selected items of statement of profit or loss
  447. 45.1Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
  448. 45.2Gains or losses on derecognition of non-financial assets
  449. 45.3Other operating income and expenses
  450. 46Statement of changes in equity
  451. 47Loans and advances: Average duration and recovery periods
  452. Annex IVREPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
  453. Balance Sheet Statement [Statement of Financial Position]
  454. 1.1Assets
  455. 1.2Liabilities
  456. 1.3Equity
  457. 2Statement of profit or loss
  458. 3Statement of comprehensive income
  459. Breakdown of financial assets by instrument and by counterparty sector
  460. 4.1Financial assets held for trading
  461. 4.2.1Non-trading financial assets mandatorily at fair value through profit or loss
  462. 4.2.2Financial assets designated at fair value through profit or loss
  463. 4.3.1Financial assets at fair value through other comprehensive income
  464. 4.4.1Financial assets at amortised cost
  465. 4.5Subordinated financial assets
  466. 4.6Trading Financial assets
  467. 4.7Non-trading non-derivative financial assets measured at fair value through profit or loss
  468. 4.8Non-trading non-derivative financial assets measured at fair value to equity
  469. 4.9Non-trading non-derivative financial assets measured at a cost-based method
  470. 4.10Other non-trading non-derivative financial assets
  471. Breakdown of non-trading loans and advances by product
  472. 5.1Loans and advances other than held for trading and trading assets by product
  473. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes
  474. 6.1Breakdown of loans and advances other than held for trading to non-financial corporations by NACE codes
  475. Financial assets subject to impairment that are past due
  476. 7.1Financial assets subject to impairment that are past due
  477. 7.2Financial assets subject to impairment that are past due under national GAAP
  478. Breakdown of financial liabilities
  479. 8.1Breakdown of financial liabilities by product and by counterparty sector
  480. 8.2Subordinated financial liabilities
  481. Loan commitments, financial guarantees and other commitments
  482. 9.1.1Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
  483. 9.1Off-balance sheet exposures under national GAAP: Loan commitments, financial guarantees and other commitments given
  484. 9.2Loan commitments, financial guarantees and other commitments received
  485. 10Derivatives – Trading and economic hedges
  486. Hedge accounting
  487. 11.1Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge
  488. 11.2Derivatives – Hedge accounting under National GAAP: Breakdown by type of risk
  489. 11.3Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge
  490. 11.3.1Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio
  491. 11.4Hedged items in fair value hedges
  492. Movements in allowances and provisions for credit losses
  493. 12.0Movements in allowances for credit losses and impairment of equity instruments under national GAAP
  494. 12.1Movements in allowances and provisions for credit losses
  495. 12.2Transfers between impairment stages (gross basis presentation)
  496. Collateral and guarantees received
  497. 13.1Breakdown of collateral and guarantees by loans and advances other than held for trading
  498. 13.2.1Collateral obtained by taking possession during the period [held at the reference date]
  499. 13.3.1Collateral obtained by taking possession accumulated
  500. 14Fair value hierachy: financial instruments at fair value
  501. 15Derecognition and financial liabilities associated with transferred financial assets
  502. Breakdown of selected statement of profit or loss items
  503. 16.1Interest income and expenses by instrument and counterparty sector
  504. 16.2Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument
  505. 16.3Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument
  506. 16.4Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk
  507. 16.4.1Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument
  508. 16.5Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
  509. 16.6Gains or losses from hedge accounting
  510. 16.7Impairment on non-financial assets
  511. 16.8Other administrative expenses
  512. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
  513. 17.1Assets
  514. 17.2Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
  515. 17.3Liabilities and equity
  516. Information on performing and non-performing exposures
  517. 18.0Information on performing and non-performing exposures
  518. 18.1Inflows and outflows of non-performing exposures – loans and advances by counterparty sector
  519. 18.2Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property
  520. 19Information forborne exposures
  521. Geographical breakdown
  522. 20.1Geographical breakdown of assets by location of the activities
  523. 20.2Geographical breakdown of liabilities by location of the activities
  524. 20.3Geographical breakdown of statement of profit or loss items by location of the activities
  525. 20.4Geographical breakdown of assets by residence of the counterparty
  526. 20.5Geographical breakdown of off-balance sheet exposures by residence of the counterparty
  527. 20.6Geographical breakdown of liabilities by residence of the counterparty
  528. 20.7.1Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes
  529. 21Tangible and intangible assets: assets subject to operating lease
  530. Asset management, custody and other service functions
  531. 22.1Fee and commission income and expenses by activity
  532. 22.2Assets involved in the services provided
  533. Loans and advances: additional information
  534. 23.1Loans and advances: Number of instruments
  535. 23.2Loans and advances: Additional information on gross carrying amounts
  536. 23.3Loans and advances collateralised by immovable property: Breakdown by LTV ratios
  537. 23.4Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk
  538. 23.5Loans and advances: Collateral received and financial guarantees received
  539. 23.6Loans and advances: Accumulated partial write-offs
  540. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year
  541. 24.1Loans and advances: Inflows and outflows of non-performing exposures
  542. 24.2Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures
  543. 24.3Loans and advances: Write-offs of non-performing exposures during the period
  544. Collateral obtained by taking possession and execution processes
  545. 25.1Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows
  546. 25.2Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained
  547. 25.3Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)
  548. 26Forbearance management and quality of forbearance
  549. Off-balance sheet activities: Interests in unconsolidated structured entities
  550. 30.1Interests in unconsolidated structured entities
  551. 30.2Breakdown of interests in unconsolidated structured entities by nature of the activities
  552. Related parties
  553. 31.1Related parties: amounts payable to and amounts receivable from
  554. 31.2Related parties: expenses and income generated by transactions with
  555. Group structure
  556. 40.1Group structure: ‘ entity-by-entity ’
  557. 40.2Group structure: ‘ instrument-by-instrument ’
  558. Fair value
  559. 41.1Fair value hierarchy: financial instruments at amortised cost
  560. 41.2Use of the Fair Value Option
  561. 42Tangible and intangible assets: carrying amount by measurement method
  562. 43Provisions
  563. Defined benefit plans and employee benefits
  564. 44.1Components of net defined benefit plan assets and liabilities
  565. 44.2Movements in defined benefit obligations
  566. 44.3Staff expenses by type of benefits
  567. 44.4Staff expenses by category of remuneration and category of staff
  568. Breakdown of selected items of statement of profit or loss
  569. 45.1Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
  570. 45.2Gains or losses on derecognition of non-financial assets
  571. 45.3Other operating income and expenses
  572. 46Statement of changes in equity
  573. 47Loans and advances: Average duration and recovery periods
  574. Annex V: REPORTING ON FINANCIAL INFORMATION
  575. Part 1: GENERAL INSTRUCTIONS
  576. 1REFERENCES
  577. 1Division 1
  578. 2Division 2
  579. 3Division 3
  580. 4Division 4
  581. 5Division 5
  582. 2CONVENTIONS
  583. 6Division 6
  584. 7Division 7
  585. 8Division 8
  586. 9Division 9
  587. 10Division 10
  588. 11Division 11
  589. 3CONSOLIDATION
  590. 12Division 12
  591. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS
  592. 13Division 13
  593. 14Division 14
  594. 4.1Financial assets
  595. 15Division 15
  596. 16Division 16
  597. 17Division 17
  598. 18Division 18
  599. 19Division 19
  600. 20Division 20
  601. 21Division 21
  602. 22Division 22
  603. 4.2Financial liabilities
  604. 23Division 23
  605. 24Division 24
  606. 25Division 25
  607. 26Division 26
  608. FINANCIAL INSTRUMENTS
  609. 27Division 27
  610. 28Division 28
  611. 29Division 29
  612. Financial assets
  613. 30Division 30
  614. 31Division 31
  615. 32Division 32
  616. 33Division 33
  617. 5.2Gross carrying amount
  618. 34Division 34
  619. Financial liabilities
  620. 35Division 35
  621. 36Division 36
  622. 37Division 37
  623. 38Division 38
  624. 39Division 39
  625. 40Division 40
  626. 41Division 41
  627. 6COUNTERPARTY BREAKDOWN
  628. 42Division 42
  629. 43Division 43
  630. 44Division 44
  631. Part 2: TEMPLATE RELATED INSTRUCTIONS
  632. BALANCE SHEET
  633. Assets (1.1)
  634. 1Division 1
  635. 2Division 2
  636. 3Division 3
  637. 4Division 4
  638. 5Division 5
  639. 6Division 6
  640. 7Division 7
  641. Liabilities (1.2)
  642. 8Division 8
  643. 9Division 9
  644. 10Division 10
  645. 11Division 11
  646. 12Division 12
  647. 13Division 13
  648. 14Division 14
  649. 15Division 15
  650. 1.3Equity (1.3)
  651. 16Division 16
  652. 17Division 17
  653. 18Division 18
  654. 19Division 19
  655. 20Division 20
  656. 21Division 21
  657. 22Division 22
  658. 23Division 23
  659. 24Division 24
  660. 25Division 25
  661. 26Division 26
  662. 27Division 27
  663. 28Division 28
  664. 29Division 29
  665. 30Division 30
  666. 2STATEMENT OF PROFIT OR LOSS (2)
  667. 31Division 31
  668. 32Division 32
  669. 33Division 33
  670. 34Division 34
  671. 35Division 35
  672. 36Division 36
  673. 37Division 37
  674. 38Division 38
  675. 39Division 39
  676. 40Division 40
  677. 41Division 41
  678. 42Division 42
  679. 43Division 43
  680. 44Division 44
  681. 45Division 45
  682. 46Division 46
  683. 47Division 47
  684. 48Division 48
  685. 48iDivision 48i
  686. 49Division 49
  687. 50Division 50
  688. 51Division 51
  689. 52Division 52
  690. 53Division 53
  691. 54Division 54
  692. 55Division 55
  693. 56Division 56
  694. 3STATEMENT OF COMPREHENSIVE INCOME (3)
  695. 57Division 57
  696. 58Division 58
  697. 59Division 59
  698. 60Division 60
  699. 61Division 61
  700. 62Division 62
  701. 63Division 63
  702. 64Division 64
  703. 65Division 65
  704. 66Division 66
  705. 4BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)
  706. 67Division 67
  707. 68Division 68
  708. 69Division 69
  709. 70Division 70
  710. 71Division 71
  711. 72Division 72
  712. 73Division 73
  713. 74Division 74
  714. 75Division 75
  715. 76Division 76
  716. 77Division 77
  717. 78Division 78
  718. 79Division 79
  719. 80Division 80
  720. 81Division 81
  721. 82Division 82
  722. 5BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5)
  723. 83Division 83
  724. 84Division 84
  725. 85Division 85
  726. 86Division 86
  727. 87Division 87
  728. 88Division 88
  729. 89Division 89
  730. BREAKDOWN OF NON-TRADING LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6)
  731. 90Division 90
  732. 91Division 91
  733. 92Division 92
  734. 93Division 93
  735. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7)
  736. 94Division 94
  737. 95Division 95
  738. 96Division 96
  739. 8BREAKDOWN OF FINANCIAL LIABILITIES (8)
  740. 97Division 97
  741. 98Division 98
  742. 99Division 99
  743. 100Division 100
  744. 101Division 101
  745. 9LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)
  746. 102Division 102
  747. 103Division 103
  748. 104Division 104
  749. 105Division 105
  750. 106Division 106
  751. 107Division 107
  752. 108Division 108
  753. 109Division 109
  754. 110Division 110
  755. 111Division 111
  756. 112Division 112
  757. 113Division 113
  758. 114Division 114
  759. 115Division 115
  760. 116Division 116
  761. 117Division 117
  762. 118Division 118
  763. 119Division 119
  764. DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11)
  765. 120Division 120
  766. 121Division 121
  767. 122Division 122
  768. 123Division 123
  769. 124Division 124
  770. 125Division 125
  771. 126Division 126
  772. 127Division 127
  773. 128Division 128
  774. 10.1Classification of derivatives by type of risk
  775. 129Division 129
  776. 130Division 130
  777. 10.2Amounts to be reported for derivatives
  778. 131Division 131
  779. 132Division 132
  780. 133Division 133
  781. 134Division 134
  782. 135Division 135
  783. 136Division 136
  784. 10.3Derivatives classified as ‘ economic hedges ’
  785. 137Division 137
  786. 138Division 138
  787. 139Division 139
  788. 140Division 140
  789. 10.4Breakdown of derivatives by counterparty sector
  790. 141Division 141
  791. 142Division 142
  792. Hedge accounting under national GAAP (11.2)
  793. 143Division 143
  794. 144Division 144
  795. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1)
  796. 145Division 145
  797. Hedged items in fair value hedges (11.4)
  798. 146Division 146
  799. 147Division 147
  800. 148Division 148
  801. 149Division 149
  802. 150Division 150
  803. 151Division 151
  804. 152Division 152
  805. MOVEMENTS IN ALLOWANCES AND PROVISIONS FOR CREDIT LOSSES (12)
  806. Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0)
  807. 153Division 153
  808. 154Division 154
  809. 155Division 155
  810. 11.2Movements in allowances and provisions for credit losses under IFRS (12.1)
  811. 156Division 156
  812. 157Division 157
  813. 158Division 158
  814. 159Division 159
  815. 160Division 160
  816. 161Division 161
  817. 162Division 162
  818. 163Division 163
  819. 164Division 164
  820. 165Division 165
  821. 166Division 166
  822. 166iDivision 166i
  823. Transfers between impairment stages (gross basis presentation) (12.2)
  824. 167Division 167
  825. 168Division 168
  826. 169Division 169
  827. 170Division 170
  828. COLLATERAL AND GUARANTEES RECEIVED (13)
  829. 12.1Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1)
  830. 171Division 171
  831. 172Division 172
  832. 173Division 173
  833. 174Division 174
  834. Collateral obtained by taking possession during the period (held at the reference date) (13.2.1)
  835. 175Division 175
  836. 175iDivision 175i
  837. 175iiDivision 175ii
  838. Collateral obtained by taking possession accumulated (13.3.1)
  839. 176Division 176
  840. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)
  841. 177Division 177
  842. 178Division 178
  843. 179Division 179
  844. 14DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)
  845. 180Division 180
  846. 181Division 181
  847. 182Division 182
  848. 183Division 183
  849. 184Division 184
  850. 185Division 185
  851. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)
  852. 186Division 186
  853. 15.1Interest income and expenses by instrument and counterparty sector (16.1)
  854. 187Division 187
  855. 188Division 188
  856. 189Division 189
  857. 190Division 190
  858. 191Division 191
  859. 192Division 192
  860. 193Division 193
  861. 194Division 194
  862. 194iDivision 194i
  863. 194iiDivision 194ii
  864. Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)
  865. 195Division 195
  866. 196Division 196
  867. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument (16.3)
  868. 197Division 197
  869. 198Division 198
  870. 199Division 199
  871. 15.4Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk (16.4)
  872. 200Division 200
  873. Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1)
  874. 201Division 201
  875. 202Division 202
  876. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)
  877. 203Division 203
  878. 204Division 204
  879. Gains or losses from hedge accounting (16.6)
  880. 205Division 205
  881. 206Division 206
  882. 207Division 207
  883. Impairment on non-financial assets (16.7)
  884. 208Division 208
  885. Other Administrative Expenses (16.8)
  886. 208iDivision 208i
  887. 208iiDivision 208ii
  888. 208iiiDivision 208iii
  889. 208ivDivision 208iv
  890. 208vDivision 208v
  891. 208viDivision 208vi
  892. 208viiDivision 208vii
  893. 208viiiDivision 208viii
  894. 208ixDivision 208ix
  895. 208xDivision 208x
  896. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)
  897. 209Division 209
  898. 210Division 210
  899. 211Division 211
  900. 212Division 212
  901. NON-PERFORMING EXPOSURES (18)
  902. 17.1Information on performing and non-performing exposures (18.0)
  903. 213Division 213
  904. 214Division 214
  905. 215Division 215
  906. 216Division 216
  907. 217Division 217
  908. 218Division 218
  909. 219Division 219
  910. 220Division 220
  911. 221Division 221
  912. 222Division 222
  913. 223Division 223
  914. 224Division 224
  915. 225Division 225
  916. 226Division 226
  917. 227Division 227
  918. 228Division 228
  919. 229Division 229
  920. 230Division 230
  921. 231Division 231
  922. 232Division 232
  923. 233Division 233
  924. 234Division 234
  925. 234iDivision 234i
  926. 235Division 235
  927. 236Division 236
  928. 237Division 237
  929. 238Division 238
  930. 239Division 239
  931. 17.2Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1)
  932. 239iDivision 239i
  933. 239iiDivision 239ii
  934. 239iiiDivision 239iii
  935. 239ivDivision 239iv
  936. 239vDivision 239v
  937. 239viDivision 239vi
  938. 239viiDivision 239vii
  939. Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2)
  940. 239viiiDivision 239viii
  941. 239ixDivision 239ix
  942. 239xDivision 239x
  943. 239xiDivision 239xi
  944. 18FORBORNE EXPOSURES (19)
  945. 240Division 240
  946. 241Division 241
  947. 242Division 242
  948. 243Division 243
  949. 244Division 244
  950. 245Division 245
  951. 246Division 246
  952. 247Division 247
  953. 248Division 248
  954. 249Division 249
  955. 250Division 250
  956. 251Division 251
  957. 252Division 252
  958. 253Division 253
  959. 254Division 254
  960. 255Division 255
  961. 256Division 256
  962. 257Division 257
  963. 258Division 258
  964. 259Division 259
  965. 260Division 260
  966. 261Division 261
  967. 262Division 262
  968. 263Division 263
  969. 264Division 264
  970. 265Division 265
  971. 266Division 266
  972. 267Division 267
  973. 268Division 268
  974. GEOGRAPHICAL BREAKDOWN (20)
  975. 269Division 269
  976. Geographical breakdown by location of activities (20.1-20.3)
  977. 270Division 270
  978. Geographical breakdown by residence of the counterparty (20.4-20.7)
  979. 271Division 271
  980. 272Division 272
  981. 273Division 273
  982. 274Division 274
  983. 275Division 275
  984. 276Division 276
  985. 277Division 277
  986. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)
  987. 278Division 278
  988. 279Division 279
  989. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
  990. 280Division 280
  991. 21.1Fee and commission income and expenses by activity (22.1)
  992. 281Division 281
  993. 282Division 282
  994. 283Division 283
  995. 284Division 284
  996. 21.2Assets involved in the services provided (22.2)
  997. 285Division 285
  998. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)
  999. 286Division 286
  1000. 287Division 287
  1001. RELATED PARTIES (31)
  1002. 288Division 288
  1003. 289Division 289
  1004. Related parties: amounts payable to and amounts receivable from (31.1)
  1005. 290Division 290
  1006. 291Division 291
  1007. 23.2Related parties: expenses and income generated by transactions with (31.2)
  1008. 292Division 292
  1009. 293Division 293
  1010. GROUP STRUCTURE (40)
  1011. 294Division 294
  1012. 295Division 295
  1013. 24.1Group structure: ‘ entity-by-entity ’ (40.1)
  1014. 296Division 296
  1015. 24.2Group structure: ‘ instrument-by-instrument ’ (40.2)
  1016. 297Division 297
  1017. FAIR VALUE (41)
  1018. Fair value hierarchy: financial instruments at amortised cost (41.1)
  1019. 298Division 298
  1020. Use of fair value option (41.2)
  1021. 299Division 299
  1022. 300Division 300
  1023. 301Division 301
  1024. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)
  1025. 302Division 302
  1026. 303Division 303
  1027. 303iDivision 303i
  1028. PROVISIONS (43)
  1029. 304Division 304
  1030. 305Division 305
  1031. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)
  1032. 306Division 306
  1033. Components of net defined benefit plan assets and liabilities (44.1)
  1034. 307Division 307
  1035. 308Division 308
  1036. Movements in defined benefit obligations (44.2)
  1037. 309Division 309
  1038. 310Division 310
  1039. 28.3Staff expenses by type of benefits (44.3)
  1040. 311Division 311
  1041. 28.4Staff expenses by category of remuneration and category of staff (44.4)
  1042. 311iDivision 311i
  1043. 311iiDivision 311ii
  1044. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)
  1045. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1)
  1046. 312Division 312
  1047. Gains or losses on derecognition of non-financial assets (45.2)
  1048. 313Division 313
  1049. Other operating income and expenses (45.3)
  1050. 314Division 314
  1051. 315Division 315
  1052. 316Division 316
  1053. STATEMENT OF CHANGES IN EQUITY (46)
  1054. 317Division 317
  1055. 318Division 318
  1056. LOANS AND ADVANCES: ADDITIONAL INFORMATION (23)
  1057. 319Division 319
  1058. 320Division 320
  1059. 321Division 321
  1060. 322Division 322
  1061. 323Division 323
  1062. 324Division 324
  1063. 325Division 325
  1064. 326Division 326
  1065. 327Division 327
  1066. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END OF THE LAST FINANCIAL YEAR (24)
  1067. 32.1Loans and advances: Inflows and outflows of non-performing exposures (24.1)
  1068. 328Division 328
  1069. 329Division 329
  1070. 330Division 330
  1071. 331Division 331
  1072. 332Division 332
  1073. 333Division 333
  1074. 334Division 334
  1075. 32.2Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures (24.2)
  1076. 335Division 335
  1077. 336Division 336
  1078. 337Division 337
  1079. 338Division 338
  1080. 339Division 339
  1081. Loans and advances: Write-offs of non-performing exposures during the period (24.3)
  1082. 340Division 340
  1083. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25)
  1084. 341Division 341
  1085. 33.1Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): inflows and outflows (25.1)
  1086. 342Division 342
  1087. 343Division 343
  1088. 344Division 344
  1089. 345Division 345
  1090. 346Division 346
  1091. 347Division 347
  1092. 348Division 348
  1093. 349Division 349
  1094. 33.2Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) – Type of collateral obtained (25.2)
  1095. 350Division 350
  1096. 351Division 351
  1097. 352Division 352
  1098. Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3)
  1099. 353Division 353
  1100. 354Division 354
  1101. 34FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26)
  1102. 355Division 355
  1103. 356Division 356
  1104. 357Division 357
  1105. 358Division 358
  1106. 359Division 359
  1107. 360Division 360
  1108. 361Division 361
  1109. 35LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47)
  1110. 362Division 362
  1111. 363Division 363
  1112. 364Division 364
  1113. 3MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
  1114. 1Division 1
  1115. Annex VIREPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
  1116. Annex VII: INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
  1117. 1Division 1
  1118. 2Division 2
  1119. Reporting scope
  1120. 3Division 3
  1121. 4Division 4
  1122. Definitions
  1123. 5Division 5
  1124. 6Division 6
  1125. 7Division 7
  1126. 8Division 8
  1127. 9Division 9
  1128. Geographical breakdown
  1129. 10Following the reporting scope, the CR IP Losses reporting shall consist of the following templates:
  1130. Reporting of exposures and losses
  1131. 11Division 11
  1132. 12Division 12
  1133. 13Reference date: The exposure value at default should be used for reporting of losses.
  1134. 14Division 14
  1135. 15Division 15
  1136. 5Instructions concerning specific positions
  1137. Annex VIIITEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
  1138. Annex IX: INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
  1140. Structure and conventions
  1141. 1The reporting framework on large exposures (‘LE’) shall consist of six templates which include the following information:
  1142. 2Division 2
  1143. 3Division 3
  1144. 4Division 4
  1145. 5Division 5
  1146. 6Division 6
  1147. Abbreviations
  1148. 7Division 7
  1149. PART II: TEMPLATE RELATED INSTRUCTIONSDivision PART II: TEMPLATE RELATED INSTRUCTIONS
  1150. Scope and level of the LE reporting
  1151. 1Division 1
  1152. 2Division 2
  1153. 3Division 3
  1154. 4Division 4
  1155. 5Division 5
  1156. 6Division 6
  1157. 7Division 7
  1158. Structure of the LE template
  1159. 8Division 8
  1160. 9The columns of the templates LE2 and LE3 shall present the following blocks of information:
  1161. 10Division 10
  1162. Definitions and general instructions for the purposes of the LE reporting
  1163. 11Division 11
  1164. 12Division 12
  1165. 13Division 13
  1166. 14Division 14
  1167. 15Division 15
  1168. 16‘Exposures’ are defined in Article 389 of CRR.
  1169. 17Division 17
  1170. 18Division 18
  1171. 19Division 19
  1172. 20Division 20
  1173. 21Division 21
  1174. C 26.00 — LE Limits template
  1175. 4.1Instructions concerning specific rows
  1176. C 27.00 — Identification of the counterparty (LE1)
  1177. 5.1Instructions concerning specific columns
  1178. C 28.00 — Exposures in the non-trading and trading book (LE2)
  1179. 6.1Instructions concerning specific columns
  1180. C 29.00 — Details of the exposures to individual clients within groups of connected clients (LE3)
  1181. 7.1Instructions concerning specific columns
  1182. C 30.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities (template LE 4)
  1183. 8.1Instructions concerning specific columns
  1184. C 31.00 — Maturity buckets of the ten largest exposures to institutions and the ten largest exposures to unregulated financial sector entities: detail of the exposures to individual clients within groups of connected clients (template LE5)
  1185. 9.1Instructions concerning specific columns
  1186. Annex XREPORTING ON LEVERAGE
  1187. Annex XI: REPORTING ON LEVERAGE
  1189. Template labelling and other conventions
  1190. Template labelling
  1191. 1Division 1
  1192. 2Overall, the framework consists of six templates:
  1193. 3Division 3
  1194. Numbering convention
  1195. 4Division 4
  1196. 5Division 5
  1197. 6Division 6
  1198. 7Division 7
  1199. Abbreviations
  1200. 8For the purposes of this annex and related templates the following abbreviations are used:
  1201. Sign convention
  1202. 9Division 9
  1204. Structure and frequency
  1205. 1Division 1
  1206. 2Division 2
  1207. Formulas for leverage ratio calculation
  1208. 3Division 3
  1209. 4Division 4
  1210. 5Division 5
  1211. Materiality thresholds for derivatives
  1212. 6Division 6
  1213. 7Division 7
  1214. 8Division 8
  1215. 9Division 9
  1216. 10Division 10
  1217. 11Institutions are required to report the cells referred to in paragraph 14 in the next reporting period, if any of the following conditions is met:
  1218. 12Division 12
  1219. 13Institutions are required to report the cells referred to in paragraph 15 if any of the following conditions is met:
  1220. 14Division 14
  1221. 15Division 15
  1222. C 47.00 – Leverage ratio calculation (LRCalc)
  1223. 16Division 16
  1224. 17Division 17
  1225. 18Division 18
  1226. 19Division 19
  1227. 20Any 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.
  1228. C 40.00 – Alternative treatment of the Exposure Measure (LR1)
  1229. 21Division 21
  1230. 22Division 22
  1231. 23Apart from {250;120} and {260;120}, institutions shall report LR1 as if the exemptions referred to in LRCalc cells {050;010}, {080;010}, {100;010}, {120;010}, {220;010}, {250;010} and {260;010} did not apply.
  1232. C 41.00 – On- and off-balance sheet items – additional breakdown of exposures (LR2)
  1233. 24Division 24
  1234. 25Division 25
  1235. 26Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250 % risk weight.
  1236. C 42.00 – Alternative definition of capital (LR3)
  1237. 27Template LR3 provides information on the capital measures needed for the review of Article 511 of the CRR.
  1238. C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4)
  1239. 28Division 28
  1240. 29Division 29
  1241. 30The equation that institutions shall uphold according to paragraph 29 is: [{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010}] = [{LR4;010;010} + {LR4;040;010} + {LR4;050;010} + {LR4;060;010} + {LR4;065;010} + {LR4;070;010} + {LR4;080;010} + {LR4;080;020} + {LR4;090;010} + {LR4;090;020} + {LR4;140;010} + {LR4;140;020} + {LR4;180;010} + {LR4;180;020} + {LR4;190;010} + {LR4;190;020} + {LR4;210;010} + {LR4;210;020} + {LR4;230;010} + {LR4;230;020} + {LR4;280;010} + {LR4;280;020} + {LR4;290;010} + {LR4;290;020}].
  1242. C 44.00 – General information (LR5)
  1243. 31Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution.
  1244. Annex XIIREPORTING ON LIQUIDITY
  1245. Annex XIII
  1246. REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS)
  1247. Liquid assets
  1248. General remarks
  1249. 1Division 1
  1250. 2Division 2
  1251. 3Division 3
  1252. 4Division 4
  1253. 5Division 5
  1254. 6Division 6
  1255. 7Division 7
  1256. 8Division 8
  1257. Specific remarks
  1258. 9Division 9
  1259. 10Division 10
  1260. 11Division 11
  1261. 12Division 12
  1262. 13Division 13
  1263. 14Division 14
  1264. 15Division 15
  1265. 16Division 16
  1266. 17Division 17
  1267. 18Division 18
  1268. 19Division 19
  1269. 20Division 20
  1270. 21Division 21
  1271. Liquid assets sub template
  1272. 1.2.1Instructions concerning specific rows
  1273. REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS)
  1274. Outflows
  1275. General remarks
  1276. 1Division 1
  1277. 2Division 2
  1278. 3Division 3
  1279. Outflows sub template
  1280. 1.2.1Instructions concerning specific rows
  1281. REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS)
  1282. Inflows
  1283. General remarks
  1284. 1Division 1
  1285. 2In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity inflows shall:
  1286. 3Division 3
  1287. 4Division 4
  1288. Inflows sub template
  1289. 1.2.1Instructions concerning specific rows
  1290. REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS)
  1291. General remarks
  1292. 1This is a summary template which contains information that will allow EBA to assess whether secured lending and collateral swap transactions have been properly unwound, where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1).
  1293. REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING)
  1294. Items providing stable funding
  1295. General remarks
  1296. 1Division 1
  1297. 2Division 2
  1298. 3In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows:
  1299. 4Division 4
  1300. 5Division 5
  1301. Items providing stable funding
  1302. 1.2.1Instructions concerning specific rows
  1303. Items requiring stable funding
  1304. General remarks
  1305. 1Division 1
  1306. 2Division 2
  1307. 3Treatment of maturity:
  1308. 4In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each category of assets reported in the required stable funding template, institutions shall provide a separate break down of the assets encumbrance as follows:
  1309. 5Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article 192 of REGULATION (EU) NO 575/2013:
  1310. 6Treatment of derivatives payables and receivables:
  1311. Items requiring stable funding
  1312. 2.2.1Instructions concerning specific rows
  1313. Annex XIVSingle Data Point Model
  1314. Annex XVValidation Rules
  1315. Annex XVIREPORTING TEMPLATES ON ASSET ENCUMBRANCE
  1316. Annex XVII: REPORTING ON ASSET ENCUMBRANCE
  1317. GENERAL INSTRUCTIONS
  1318. STRUCTURE AND CONVENTIONS
  1319. Structure
  1320. 1The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme:
  1321. 2Division 2
  1322. Accounting standard
  1323. 3Division 3
  1324. 4Division 4
  1325. Numbering convention
  1326. 5Division 5
  1327. 6Division 6
  1328. Sign convention
  1329. 7Division 7
  1330. Level of application
  1331. 8Division 8
  1332. Proportionality
  1333. 9For the purpose of Article 16a(2)(b), the asset encumbrance level shall be calculated as follows:
  1334. 10For the purpose of Article 16a(2)(a), the sum of total assets shall be calculated as follows:
  1335. Definition of encumbrance
  1336. 11For 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.
  1337. TEMPLATE-RELATED INSTRUCTIONS
  1338. PART A: ENCUMBRANCE OVERVIEW
  1339. 12Division 12
  1340. 13Division 13
  1341. Template: AE-ASS. Assets of the reporting institution
  1342. General remarks
  1343. 14This paragraph sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates:
  1344. (a)Collateralised deposit
  1345. (b)Repo/matching repos
  1346. (c)Central bank funding
  1347. (d)Securities lending
  1348. (e)Derivatives (liabilities)
  1349. (f)Covered bonds
  1350. (g)Securitisations
  1351. 2.1.2Instructions concerning specific rows
  1352. 2.1.3Instructions concerning specific columns
  1353. Template: AE-COL. Collateral received by the reporting institution
  1354. General remarks
  1355. 15Division 15
  1356. 16Division 16
  1357. 17Division 17
  1358. 2.2.2Instructions concerning specific rows
  1359. 2.2.3Instructions concerning specific columns
  1360. Template: AE-NPL. Own covered bonds and ABSs issued and not yet pledged
  1361. General remarks
  1362. 18To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:
  1363. 2.3.2Instructions concerning specific rows
  1364. 2.3.3Instructions concerning specific columns
  1365. Template: AE-SOU. Sources of encumbrance
  1366. General remarks
  1367. 19Division 19
  1368. 20Division 20
  1369. 2.4.2Instructions concerning specific rows
  1370. 2.4.3Instructions concerning specific columns
  1371. PART B: MATURITY DATA
  1372. General remarks
  1373. 21Division 21
  1374. Template: AE-MAT. Maturity data
  1375. 3.2.1Instructions concerning specific rows
  1376. 3.2.2Instructions concerning specific columns
  1377. PART C: CONTINGENT ENCUMBRANCE
  1378. General remarks
  1379. 22Division 22
  1380. 23Division 23
  1381. 24This 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.
  1382. 25Division 25
  1383. Scenario A: Decrease of 30 % of encumbered assets
  1384. 26Division 26
  1385. 27Division 27
  1386. Scenario B: Depreciation of 10 % in significant currencies
  1387. 28Division 28
  1388. 29Division 29
  1389. 30Division 30
  1390. Template: AE-CONT. Contingent encumbrance
  1391. Instructions concerning specific rows
  1392. 31Division 31
  1393. 4.2.2Instructions concerning specific columns
  1394. PART D: COVERED BONDS
  1395. General remarks
  1396. 32Division 32
  1397. 33Division 33
  1398. 34Division 34
  1399. Template: AE-CB. Covered bonds issuance
  1400. 5.2.1Instructions concerning z-axis
  1401. 5.2.2Instructions concerning specific rows
  1402. 5.2.3Instructions concerning specific columns
  1403. PART E: ADVANCED DATA
  1404. General remarks
  1405. 35Division 35
  1406. Template: AE-ADV1. Advanced template for assets of the reporting institution
  1407. 6.2.1Instructions concerning specific rows
  1408. 6.2.2Instructions concerning specific columns
  1409. Template: AE-ADV2. Advanced template for collateral received by the reporting institution
  1410. Instructions concerning specific rows
  1411. 36Division 36
  1412. 6.3.2Instructions concerning specific columns
  1413. Annex XVIIIAnnex XVIII
  1414. Annex XIX: INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII
  1415. Additional Monitoring Tools
  1416. General
  1417. 1Division 1
  1418. 2Division 2
  1419. 3Division 3
  1420. 4Division 4
  1421. 5Division 5
  1422. 6Division 6
  1423. 7Division 7
  1424. 8Division 8
  1425. 9Division 9
  1426. Concentration of funding by counterparty (C 67.00)
  1427. 1Division 1
  1428. 2Division 2
  1429. 3Division 3
  1430. 4Division 4
  1431. 5Division 5
  1432. 6Division 6
  1433. 7Division 7
  1434. 8Instructions concerning specific columns:
  1435. 1.3Concentration of funding by product type (C 68.00)
  1436. 1This 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:
  1437. 2Division 2
  1438. 3Division 3
  1439. 4Division 4
  1440. 5Division 5
  1441. 6Instructions concerning specific columns:
  1442. 1.4Prices for Various Lengths of Funding (C 69.00)
  1443. 1Division 1
  1444. 2Division 2
  1445. 3Division 3
  1446. 4Division 4
  1447. 5Division 5
  1448. 6Division 6
  1449. 7Division 7
  1450. 8Division 8
  1451. 9Division 9
  1452. 10Division 10
  1453. 11Division 11
  1454. 12Division 12
  1455. 13Instructions concerning specific rows:
  1456. 1.5Roll-over of funding (C 70.00)
  1457. 1Division 1
  1458. 2Division 2
  1459. 3Division 3
  1460. 4Division 4
  1461. 5Division 5
  1462. 6Division 6
  1463. 7Division 7
  1464. 8Division 8
  1465. 9Division 9
  1466. 10Division 10
  1467. 11Division 11
  1468. 12Instructions concerning specific columns:
  1469. Annex XXREPORTING ON COUNTERBALANCING CAPACITY
  1470. Annex XXI: INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XX
  1471. Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00)
  1472. 1Division 1
  1473. 2Division 2
  1474. 3Division 3
  1475. 4Division 4
  1476. 5Division 5
  1477. 6Except 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.
  1478. Annex XXIIAnnex XXII
  1479. Annex XXIII: INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII
  1481. 1Division 1
  1482. 2Division 2
  1483. 3Division 3
  1484. 4Division 4
  1485. 5Division 5
  1486. 6Division 6
  1487. 7Division 7
  1488. 8Division 8
  1489. 9Division 9
  1490. 10Division 10
  1491. 11Division 11
  1492. 12In order for institutions to apply a conservative approach in determining contractual maturities of flows, they shall ensure all of the following:
  1493. 13Division 13
  1494. 14Division 14
  1495. 15Division 15
  1496. 16Division 16
  1497. 17Division 17
  1498. 18Division 18
  1499. 19Division 19
  1500. PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWSDivision PART II: INSTRUCTIONS CONCERNING SPECIFIC ROWS
  1501. Annex XXIVREPORTING ON LIQUIDITY
  1502. Annex XXV
  1503. REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS)
  1504. Liquid assets
  1505. General remarks
  1506. 1Division 1
  1507. 2Division 2
  1508. 3Division 3
  1509. 4Division 4
  1510. 5Division 5
  1511. 6Division 6
  1512. 7Division 7
  1513. Specific remarks
  1514. Specific requirements regarding CIUs
  1515. 8Division 8
  1516. Specific requirements regarding grandfathering and transitional provisions
  1517. 9Division 9
  1518. Specific requirements for reporting by Central Institutions
  1519. 10Division 10
  1520. Specific requirements regarding settlement and forward starting transactions
  1521. 11Division 11
  1522. Liquid assets sub template
  1523. 1.2.5.1Instructions concerning specific columns
  1524. 1.2.5.2Instructions concerning specific rows
  1525. REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)
  1526. Outflows
  1527. 1.1General remarks
  1528. 1Division 1
  1529. 2Division 2
  1530. 3Division 3
  1531. 4Division 4
  1532. 5Division 5
  1533. 6Division 6
  1534. 7Division 7
  1535. 8Division 8
  1536. 9Division 9
  1537. 10Division 10
  1538. 11Division 11
  1539. Specific remarks regarding settlement and forward starting transactions
  1540. 12Credit 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.
  1541. 13Decision 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.
  1542. 1.3Instructions concerning specific columns
  1543. 1.4Instructions concerning specific rows
  1544. REPORTING ON LIQUIDITY (PART 3: INFLOWS)
  1545. Inflows
  1546. 1.1General remarks
  1547. 1Division 1
  1548. 2Division 2
  1549. 3Division 3
  1550. 4Division 4
  1551. 5Division 5
  1552. 6Division 6
  1553. 7Division 7
  1554. 8Division 8
  1555. 9Division 9
  1556. 10Division 10
  1557. 11Division 11
  1558. 12Division 12
  1559. 13Division 13
  1560. Specific remarks regarding secured lending and capital market-driven transactions
  1561. 14Division 14
  1562. 15Division 15
  1563. 16Division 16
  1564. 17Division 17
  1565. 18Division 18
  1566. Specific remarks regarding settlement and forward starting transactions
  1567. 19Division 19
  1568. 20Division 20
  1569. 21Division 21
  1570. Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61
  1571. 22Division 22
  1572. 23Division 23
  1573. 1.4.1Decision tree on rows in template C 74.00 of ANNEX XXIV
  1574. 1.4.2Decision tree on columns in template C 74.00 of ANNEX XXIV
  1575. Inflows sub template
  1576. 1.5.1Instructions concerning specific columns
  1577. 1.5.2Instructions concerning specific rows
  1578. REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS)
  1579. Collateral swaps
  1580. General remarks
  1581. 1Division 1
  1582. 2Division 2
  1583. 3Division 3
  1584. 4Division 4
  1585. 5Division 5
  1586. 6Division 6
  1587. 7Division 7
  1588. Specific remarks
  1589. 8Division 8
  1590. 9Division 9
  1591. 10Division 10
  1592. Collateral swaps sub template
  1593. 1.3.1Instructions concerning specific columns
  1594. 1.3.2Instructions concerning specific rows
  1595. REPORTING ON LIQUIDITY (PART 5: CALCULATIONS)
  1596. Calculations
  1597. General remarks
  1598. 1Division 1
  1599. Specific remarks
  1600. 2Division 2
  1601. 1.3Calculations sub template – Instructions concerning specific rows
  1602. REPORTING ON LIQUIDITY (PART 6: PERIMETER OF CONSOLIDATION)
  1603. Perimeter of consolidation
  1604. General remarks
  1605. 1Division 1
  1606. 1.2Instructions concerning specific columns