Division 3.3.3.1 Instructions concerning specific positionsF1

Only exposures which meet the requirements of Article 501(2) CRR shall be reported here.

Assets referred to in Article 24 CRR shall not be included in any other category.

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.

Free deliveries 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.

Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if not reported in row 030.

Off-balance sheet items shall comprise those items that are listed in Annex I CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting, shall be reported in rows 040-060 and, therefore, not in this row.

Exposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document ‘ The Application of Basel II to Trading Activities and the Treatment of Double Default Effects ’ , includes: (i) repurchase and reverse repurchase agreements as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) CRR.

Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.

Derivatives comprise those contracts that are listed in Annex II CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.

See CR SA instructions

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 180.

Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

A master scale is not used. Instead, institutions shall determine the scale to be used themselves.

Article 153(5) CRR. This shall only apply to the exposure classes corporates, institutions and central governments and central banks.

Table 1 of Article 153(5) CRR

Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) CRR

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.

See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) CRR.

In accordance with Article 166(6) CRR, the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.