Annex I
United Kingdom
ANNEX I
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
COREP TEMPLATES Template number Template code Name of the template/group of templates Short name CAPITAL ADEQUACY CA 1 C 01.00 OWN FUNDS CA1 2 C 02.00 OWN FUNDS REQUIREMENTS CA2 3 C 03.00 CAPITAL RATIOS CA3 4 C 04.00 MEMORANDUM ITEMS: CA4 TRANSITIONAL PROVISIONS CA5 5.1 C 05.01 TRANSITIONAL PROVISIONS CA5.1 5.2 C 05.02 GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID CA5.2 GROUP SOLVENCY GS 6.1 C 06.01 GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL GS Total 6.2 C 06.02 GROUP SOLVENCY: INFORMATION ON AFFILIATES GS CREDIT RISK CR 7 C 07.00 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS CR SA CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB 8.1 C 08.01 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB 1 8.2 C 08.02 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) CR IRB 2 GEOGRAPHICAL BREAKDOWN CR GB 9.1 C 09.01 Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) CR GB 1 9.2 C 09.02 Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) CR GB 2 9.3 C 09.03 Table 9.3 - Breakdown of total own funds requirements for credit risk of relevant credit exposures by country CR GB 3 CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS CR EQU IRB 10.1 C 10.01 CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS CR EQU IRB 1 10.2 C 10.02 CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: CR EQU IRB 2 11 C 11.00 SETTLEMENT/DELIVERY RISK CR SETT 12 C 12.00 CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS CR SEC SA 13 C 13.00 CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS CR SEC IRB 14 C 14.00 DETAILED INFORMATION ON SECURITISATIONS CR SEC Details OPERATIONAL RISK OPR 16 C 16.00 OPERATIONAL RISK OPR 17 C 17.00 OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR OPR Details 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
C 01.00 — OWN FUNDS (CA1) Rows ID Item Amount 010 1 OWN FUNDS 015 1.1 TIER 1 CAPITAL 020 1.1.1 COMMON EQUITY TIER 1 CAPITAL 030 1.1.1.1 Capital instruments eligible as CET1 Capital 040 1.1.1.1.1 Paid up capital instruments 050 1.1.1.1.2* Memorandum item: Capital instruments not eligible 060 1.1.1.1.3 Share premium 070 1.1.1.1.4 (-) Own CET1 instruments 080 1.1.1.1.4.1 (-) Direct holdings of CET1 instruments 090 1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments 091 1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments 092 1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments 130 1.1.1.2 Retained earnings 140 1.1.1.2.1 Previous years retained earnings 150 1.1.1.2.2 Profit or loss eligible 160 1.1.1.2.2.1 Profit or loss attributable to owners of the parent 170 1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible 180 1.1.1.3 Accumulated other comprehensive income 200 1.1.1.4 Other reserves 210 1.1.1.5 Funds for general banking risk 220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments 230 1.1.1.7 Minority interest given recognition in CET1 capital 240 1.1.1.8 Transitional adjustments due to additional minority interests 250 1.1.1.9 Adjustments to CET1 due to prudential filters 260 1.1.1.9.1 (-) Increases in equity resulting from securitised assets 270 1.1.1.9.2 Cash flow hedge reserve 280 1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities 285 1.1.1.9.4 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities 290 1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation 300 1.1.1.10 (-) Goodwill 310 1.1.1.10.1 (-) Goodwill accounted for as intangible asset 320 1.1.1.10.2 (-) Goodwill included in the valuation of significant investments 330 1.1.1.10.3 Deferred tax liabilities associated to goodwill 340 1.1.1.11 (-) Other intangible assets 350 1.1.1.11.1 (-) Other intangible assets before deduction of deferred tax liabilities 360 1.1.1.11.2 Deferred tax liabilities associated to other intangible assets 370 1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities 380 1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses 390 1.1.1.14 (-) Defined benefit pension fund assets 400 1.1.1.14.1 (-) Defined benefit pension fund assets 410 1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets 420 1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use 430 1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital 440 1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital 450 1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight 460 1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight 470 1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight 471 1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight 472 1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight 480 1.1.1.22 (-) CET1 instruments of financial sector entites where the institution does not have a significant investment 490 1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences 500 1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment 510 1.1.1.25 (-) Amount exceeding the 17.65 % threshold 520 1.1.1.26 Other transitional adjustments to CET1 Capital 524 1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 CRR 529 1.1.1.28 CET1 capital elements or deductions - other 530 1.1.2 ADDITIONAL TIER 1 CAPITAL 540 1.1.2.1 Capital instruments eligible as AT1 Capital 550 1.1.2.1.1 Paid up capital instruments 560 1.1.2.1.2* Memorandum item: Capital instruments not eligible 570 1.1.2.1.3 Share premium 580 1.1.2.1.4 (-) Own AT1 instruments 590 1.1.2.1.4.1 (-) Direct holdings of AT1 instruments 620 1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments 621 1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments 622 1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments 660 1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments 670 1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital 680 1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries 690 1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital 700 1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment 710 1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment 720 1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital 730 1.1.2.9 Other transitional adjustments to AT1 Capital 740 1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) 744 1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 CRR 748 1.1.2.12 AT1 capital elements or deductions - other 750 1.2 TIER 2 CAPITAL 760 1.2.1 Capital instruments and subordinated loans eligible as T2 Capital 770 1.2.1.1 Paid up capital instruments and subordinated loans 780 1.2.1.2* Memorandum item: Capital instruments and subordinated loans not eligible 790 1.2.1.3 Share premium 800 1.2.1.4 (-) Own T2 instruments 810 1.2.1.4.1 (-) Direct holdings of T2 instruments 840 1.2.1.4.2 (-) Indirect holdings of T2 instruments 841 1.2.1.4.3 (-) Synthetic holdings of T2 instruments 842 1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments 880 1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans 890 1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital 900 1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries 910 1.2.5 IRB Excess of provisions over expected losses eligible 920 1.2.6 SA General credit risk adjustments 930 1.2.7 (-) Reciprocal cross holdings in T2 Capital 940 1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment 950 1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment 960 1.2.10 Other transitional adjustments to T2 Capital 970 1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) 974 1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR 978 1.2.13 T2 capital elements or deductions - other
C 02.00 — OWN FUNDS REQUIREMENTS (CA2) Rows Item Label Amount 010 1 TOTAL RISK EXPOSURE AMOUNT 020 1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR 030 1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR 040 1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES 050 1.1.1 Standardised approach (SA) 060 1.1.1.1 SA exposure classes excluding securitisation positions 070 1.1.1.1.01 Central governments or central banks 080 1.1.1.1.02 Regional governments or local authorities 090 1.1.1.1.03 Public sector entities 100 1.1.1.1.04 Multilateral Development Banks 110 1.1.1.1.05 International Organisations 120 1.1.1.1.06 Institutions 130 1.1.1.1.07 Corporates 140 1.1.1.1.08 Retail 150 1.1.1.1.09 Secured by mortgages on immovable property 160 1.1.1.1.10 Exposures in default 170 1.1.1.1.11 Items associated with particular high risk 180 1.1.1.1.12 Covered bonds 190 1.1.1.1.13 Claims on institutions and corporates with a short-term credit assessment 200 1.1.1.1.14 Collective investments undertakings (CIU) 210 1.1.1.1.15 Equity 211 1.1.1.1.16 Other items 220 1.1.1.2 Securitisation positions SA 230 1.1.1.2* of which: resecuritisation 240 1.1.2 Internal ratings based Approach (IRB) 250 1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used 260 1.1.2.1.01 Central governments and central banks 270 1.1.2.1.02 Institutions 280 1.1.2.1.03 Corporates - SME 290 1.1.2.1.04 Corporates - Specialised Lending 300 1.1.2.1.05 Corporates - Other 310 1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factors are used 320 1.1.2.2.01 Central governments and central banks 330 1.1.2.2.02 Institutions 340 1.1.2.2.03 Corporates - SME 350 1.1.2.2.04 Corporates - Specialised Lending 360 1.1.2.2.05 Corporates - Other 370 1.1.2.2.06 Retail - Secured by real estate SME 380 1.1.2.2.07 Retail - Secured by real estate non-SME 390 1.1.2.2.08 Retail - Qualifying revolving 400 1.1.2.2.09 Retail - Other SME 410 1.1.2.2.10 Retail - Other non-SME 420 1.1.2.3 Equity IRB 430 1.1.2.4 Securitisation positions IRB 440 1.1.2.4* Of which: resecuritisation 450 1.1.2.5 Other non credit-obligation assets 460 1.1.3 Risk exposure amount for contributions to the default fund of a CCP 490 1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY 500 1.2.1 Settlement/delivery risk in the non-Trading book 510 1.2.2 Settlement/delivery risk in the Trading book 520 1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS 530 1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) 540 1.3.1.1 Traded debt instruments 550 1.3.1.2 Equity 560 1.3.1.3 Foreign Exchange 570 1.3.1.4 Commodities 580 1.3.2 Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) 590 1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) 600 1.4.1 OpR Basic indicator approach (BIA) 610 1.4.2 OpR Standardised (STA) / Alternative Standardised (ASA) approaches 620 1.4.3 OpR Advanced measurement approaches (AMA) 630 1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS 640 1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT 650 1.6.1 Advanced method 660 1.6.2 Standardised method 670 1.6.3 Based on OEM 680 1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK 690 1.8 OTHER RISK EXPOSURE AMOUNTS 710 1.8.2 Of which: Additional stricter prudential requirements based on Art 458 720 1.8.2* Of which: requirements for large exposures 730 1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property 740 1.8.2*** Of which: due to intra financial sector exposures 750 1.8.3 Of which: Additional stricter prudential requirements based on Art 459 760 1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR
C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) Rows ID Item Amount 010 1 CET1 Capital ratio 020 2 Surplus(+)/Deficit(-) of CET1 capital 030 3 T1 Capital ratio 040 4 Surplus(+)/Deficit(-) of T1 capital 050 5 Total capital ratio 060 6 Surplus(+)/Deficit(-) of total capital Memorandum Items: Capital ratios due to Pillar II adjustments 070 7 CET1 capital ratio including Pillar II adjustments 080 8 Target CET1 capital ratio due to Pillar II adjustments 090 9 T1 capital ratio including Pillar II adjustments 100 10 Target T1 capital ratio due to Pillar II adjustments 110 11 Total capital ratio including Pillar II adjustments 120 12 Target Total capital ratio due to Pillar II adjustments
C 04.00 — MEMORANDUM ITEMS (CA4) Row ID Item Column Deferred tax assest and liabilities 010 010 1 Total deferred tax assets 020 1.1 Deferred tax assets that do not rely on future profitability 030 1.2 Deferred tax assets that rely on future profitability and do not arise from temporary differences 040 1.3 Deferred tax assets that rely on future profitability and arise from temporary differences 050 2 Total deferred tax liabilities 060 2.1 Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability 070 2.2 Deferred tax liabilities deductible from deferred tax assets that rely on future profitability 080 2.2.1 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences 090 2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Credit risk adjustments and expected losses 100 3 IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures 110 3.1 Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount 120 3.1.1 General credit risk adjustments 130 3.1.2 Specific credit risk adjustments 131 3.1.3 Additional value adjustments and other own funds reductions 140 3.2 Total expected losses eligible 145 4 IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures 150 4.1 Specific credit risk adjustments and positions treated similarily 155 4.2 Total expected losses eligible 160 5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 170 6 Total gross provisions eligible for inclusion in T2 capital 180 7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Thresholds for Common Equity Tier 1 deductions 190 8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment 200 9 10 % CET1 threshold 210 10 17.65 % CET1 threshold 220 11 Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures Investments in the capital of financial sector entities where the institution does not have a significant investment 230 12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 240 12.1 Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 250 12.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 260 12.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 270 12.2 Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 280 12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 290 12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 291 12.3 Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 292 12.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 293 12.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 300 13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 310 13.1 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 320 13.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 330 13.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 340 13.2 Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 350 13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 360 13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 361 13.3 Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 362 13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 363 13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 370 14 Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions 380 14.1 Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 390 14.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 400 14.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 410 14.2 Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 420 14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 430 14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 431 14.3 Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 432 14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 433 14.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Investments in the capital of financial sector entities where the institution has a significant investment 440 15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions 450 15.1 Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 460 15.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 470 15.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 480 15.2 Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 490 15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 500 15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 501 15.3 Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 502 15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 503 15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 510 16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions 520 16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 530 16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 540 16.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 550 16.2 Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 560 16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 570 16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 571 16.3 Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 572 16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 573 16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 580 17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions 590 17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment 600 17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment 610 17.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 620 17.2 Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 630 17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 640 17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 641 17.3 Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 642 17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 643 17.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Total risk exposure amounts of holdings not deducted from the corresponding capital category: 650 18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital 660 19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital 670 20 Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital Temporary waiver from deduction from own funds 680 21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 690 22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 700 23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 710 24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 720 25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 730 26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Capital buffers 740 27 Combined buffer requirement 750 Capital conservation buffer 760 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State 770 Institution specific countercyclical capital buffer 780 Systemic risk buffer 790 Systemical important institution buffer 800 Global Systemically Important Institution buffer 810 Other Systemically Important Institution buffer Pillar II requirements 820 28 Own funds requirements related to Pillar II adjustments Additional information for investment firms 830 29 Initial capital 840 30 Own funds based on Fixed Overheads Additional information for calculation of reporting thresholds 850 31 Non-domestic original exposures 860 32 Total original exposures Basel I floor 870 Adjustments to total own funds 880 Own funds fully adjusted for Basel I floor 890 Own funds requirements for Basel I floor 900 Own funds requirements for Basel I floor - SA alternative
C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) Adjustments to CET1 Adjustments to AT1 Adjustments to T2 Adjustments included in RWAs Memorandum items Applicable percentage Eligible amount without transitional provisions Code ID Item 010 020 030 040 050 060 010 1 TOTAL ADJUSTMENTS 020 1.1 GRANDFATHERED INSTRUMENTS link to {CA1;r220} link to {CA1;r660} link to {CA1;r880} 030 1.1.1 Grandfathered instruments: Instruments constituting state aid 040 1.1.1.1 Instruments that qualified as own funds according to 2006/48/EC 050 1.1.1.2 Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme 060 1.1.2 Instruments not constituting state aid link to {CA5.2;r010;c060} link to {CA5.2;r020;c060} link to {CA5.2;r090;c060} 070 1.2 MINORITY INTERESTS AND EQUIVALENTS link to {CA1;r240} link to {CA1;r680} link to {CA1;r900} 080 1.2.1 Capital instruments and items that do not qualify as minority interests 090 1.2.2 Transitional recognition in consolidated own funds of minority interests 091 1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital 092 1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital 100 1.3 OTHER TRANSITIONAL ADJUSTMENTS link to {CA1;r520} link to {CA1;r730} link to {CA1;r960} 110 1.3.1 Unrealised gains and losses 120 1.3.1.1 Unrealised gains 130 1.3.1.2 Unrealised losses 133 1.3.1.3. Unrealised gains on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 136 1.3.1.4. Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 138 1.3.1.5. Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities 140 1.3.2 Deductions 150 1.3.2.1 Losses for the current financial year 160 1.3.2.2 Intangible assets 170 1.3.2.3 Deferred tax assets that rely on future profitability and do not arise from temporary differences 180 1.3.2.4 IRB shortfall of provisions to expected losses 190 1.3.2.5 Defined benefit pension fund assets 194 1.3.2.5* of which: Introduction of amendments to IAS 19 - positive item 198 1.3.2.5** of which: Introduction of amendments to IAS 19 - negative item 200 1.3.2.6 Own instruments 210 1.3.2.6.1 Own CET1 instruments 211 1.3.2.6.1** of which: Direct holdings 212 1.3.2.6.1* of which: Indirect holdings 220 1.3.2.6.2 Own AT1 instruments 221 1.3.2.6.2** of which: Direct holdings 222 1.3.2.6.2* of which: Indirect holdings 230 1.3.2.6.3 Own T2 instruments 231 1.3.2.6.3* of which: Direct holdings 232 1.3.2.6.3** of which: Indirect holdings 240 1.3.2.7 Reciprocal cross holdings 250 1.3.2.7.1 Reciprocal cross holdings in CET1 Capital 260 1.3.2.7.1.1 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment 270 1.3.2.7.1.2 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment 280 1.3.2.7.2 Reciprocal cross holdings in AT1 Capital 290 1.3.2.7.2.1 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment 300 1.3.2.7.2.2 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment 310 1.3.2.7.3 Reciprocal cross holdings in T2 Capital 320 1.3.2.7.3.1 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment 330 1.3.2.7.3.2 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment 340 1.3.2.8 Own funds instruments of financial sector entities where the institution does not have a significant investment 350 1.3.2.8.1 CET1 instruments of financial sector entities where the institution does not have a significant investment 360 1.3.2.8.2 AT1 instruments of financial sector entities where the institution does not have a significant investment 370 1.3.2.8.3 T2 instruments of financial sector entities where the institution does not have a significant investment 380 1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment 390 1.3.2.10 Own funds instruments of financial sector entities where the institution has a significant investment 400 1.3.2.10.1 CET1 instruments of financial sector entities where the institution has a significant investment 410 1.3.2.10.2 AT1 instruments of financial sector entities where the institution has a significant investment 420 1.3.2.10.3 T2 instruments of financial sector entities where the institution has a significant investment 425 1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items 430 1.3.3 Additional filters and deductions
C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) CA 5.2 Grandfathered instruments: Instruments not constituting State aid Amount of instruments plus related share premium Base for calculating the limit Applicable percentage Limit (-) Amount that exceeds the limits for grandfathering Total grandfathered amount Code ID Item 010 020 030 040 050 060 010 1. Instruments that qualified for point a) of Article 57 of 2006/48/EC link to {CA5.1;r060;c010) 020 2. Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 link to {CA5.1;r060;c020) 030 2.1 Total instruments without a call or an incentive to redeem 040 2.2. Grandfathered instruments with a call and incentive to redeem 050 2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity 060 2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity 070 2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity 080 2.3 Excess on the limit of CET1 grandfathered instruments 090 3 Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 link to {CA5.1;r060;c030) 100 3.1 Total items without an incentive to redeem 110 3.2 Grandfathered items with an incentive to redeem 120 3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity 130 3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity 140 3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity 150 3.3 Excess on the limit of AT1 grandfathered instruments
C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL) INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP CAPITAL BUFFERS TOTAL RISK EXPOSURE AMOUNT QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS CONSOLIDATED OWN FUNDS COMBINED BUFFER REQUIRE-MENTS 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 SYSTEMICAL IMPORTANT INSTITUTION 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 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480 010 TOTAL
C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) ENTITIES WITHIN SCOPE OF CONSOLIDATION INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP CAPITAL BUFFERS NAME CODE LEI code INSITUTION OR EQUIVALENT (YES / NO) SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) COUNTRY CODE SHARE OF HOLDING (%) TOTAL RISK EXPOSURE AMOUNT OWN FUNDS TOTAL RISK EXPOSURE AMOUNT QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS CONSOLIDATED OWN FUNDS COMBINED BUFFER REQUIRE-MENTS 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 SYSTEMICAL IMPORTANT INSTITUTION 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 010 020 025 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480
C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) SA Exposure class ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM VOLATILITY ADJUSTMENT TO THE EXPOSURE (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 % OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT (-) GUARANTEES (-) CREDIT DERIVATIVES (-) FINANCIAL COLLATERAL: SIMPLE METHOD (-) OTHER FUNDED CREDIT PROTECTION (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS 010 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 215 220 230 240 010 TOTAL EXPOSURES Cell linked to CA 020 of which: SME 030 of which: SME subject to SME-supporting factor 040 of which: Secured by mortgages on immovable property - Residential property 050 of which: Exposures under the permanent partial use of the standardised approach 060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 070 On balance sheet exposures subject to credit risk 080 Off balance sheet exposures subject to credit risk 090 Securities Financing Transactions 100 of which: centrally cleared through a QCCP 110 Derivatives & Long Settlement Transactions 120 of which: centrally cleared through a QCCP 130 From Contractual Cross Product Netting BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: 140 0 % 150 2 % 160 4 % 170 10 % 180 20 % 190 35 % 200 50 % 210 70 % 220 75 % 230 100 % 240 150 % 250 250 % 260 370 % 270 1 250 % 280 Other risk weights MEMORANDUM ITEMS 290 Exposures secured by mortgages on commercial immovable property 300 Exposures in default subject to a risk weight of 100 % 310 Exposures secured by mortgages on residential property 320 Exposures in default subject to a risk weight of 150 %
C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) IRB Exposure class: Own estimates of LGD and/or conversion factors: INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR MEMORANDUM ITEMS: UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300 010 TOTAL EXPOSURES Cell linked to CA BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 020 On balance sheet items subject to credit risk 030 Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit risk 040 Securities Financing Transactions 050 Derivatives & Long Settlement Transactions 060 From Contractual Cross Product Netting 070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL 080 SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: 090 RISK WEIGHT: 0 % 100 50 % 110 70 % 120 Of which: in category 1 130 90 % 140 115 % 150 250 % 160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE 170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS 180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES
C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2) IRB Exposure class: Own estimates of LGD and/or conversion factors: OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR MEMORANDUM ITEMS: UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES 005 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300
C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) Country: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Exposures in default Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Of which: write off Credit risk adjustments/write-offs for observed new defaults EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR 010 020 040 050 055 060 070 075 080 090 010 Central governments or central banks 020 Regional governments or local authorities 030 Public sector entities 040 Multilateral Development Banks 050 International Organisations 060 Institutions 070 Corporates 075 of which: SME 080 Retail 085 of which: SME 090 Secured by mortgages on immovable property 095 of which: SME 100 Exposures in default 110 Items associated with particularly high risk 120 Covered bonds 130 Claims on institutions and corporates with a short-term credit assessment 140 Collective investments undertakings (CIU) 150 Equity exposures 160 Other exposures 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 Of which: defaulted Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Of which: write off Credit risk adjustments/write-offs for observed new defaults PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) EXPOSURE WEIGHTED AVERAGE LGD (%) Of which: defaulted EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Of which: defaulted RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR EXPECTED LOSS AMOUNT 010 030 040 050 055 060 070 080 090 100 105 110 120 125 130 010 Central governments or central banks 020 Institutions 030 Corporates 040 Of Which: Specialised Lending 050 Of Which: SME 060 Retail 070 Secured by real estate property 080 SME 090 Non-SME 100 Qualifying Revolving 110 Other Retail 120 SME 130 Non-SME 140 Equity Total exposures
C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3) Country: Amount 010 010 Own fund requirements for credit risk
C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1) INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM EXPECTED LOSS AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS 010 020 030 040 050 060 070 080 090 010 TOTAL IRB EQUITY EXPOSURES Cell linked to CA 020 PD/LGD APRROACH: TOTAL 050 SIMPLE RISK WEIGHT APPROACH: TOTAL 060 BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: 070 RISK WEIGHT: 190 % 080 290 % 090 370 % 100 INTERNAL MODELS APPROACH 110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS
C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2) OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM EXPECTED LOSS AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS 005 010 020 030 040 050 060 070 080 090
C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT) UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS OWN FUNDS REQUIREMENTS TOTAL SETTLEMENT RISK EXPOSURE AMOUNT 010 020 030 040 010 Total unsettled transactions in the Non-trading Book Cell linked to CA 020 Transactions unsettled up to 4 days (Factor 0 %) 030 Transactions unsettled between 5 and 15 days (Factor 8 %) 040 Transactions unsettled between 16 and 30 days (Factor 50 %) 050 Transactions unsettled between 31 and 45 days (Factor 75 %) 060 Transactions unsettled for 46 days or more (Factor 100 %) 070 Total unsettled transactions in the Trading Book Cell linked to CA 080 Transactions unsettled up to 4 days (Factor 0 %) 090 Transactions unsettled between 5 and 15 days (Factor 8 %) 100 Transactions unsettled between 16 and 30 days (Factor 50 %) 110 Transactions unsettled between 31 and 45 days (Factor 75 %) 120 Transactions unsettled for 46 days or more (Factor 100 %)
C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS (-) VALUE ADJUSTMENTS AND PROVISIONS EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES (-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM 0 % > 0 % and <= 20 % > 20 % and <= 50 % > 50 % and <= 100 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS RATED (CREDIT QUALITY STEPS) 1 250 % LOOK-THROUGH INTERNAL ASSESMENT APPROACH (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS CQS 1 CQS 2 CQS 3 CQS 4 ALL OTHER CQS UNRATED OF WHICH: SECOND LOSS IN ABCP OF WHICH: AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAP AFTER CAP 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 010 TOTAL EXPOSURES Cell linked to CA 020 OF WHICH: RE-SECURITISATIONS Cell linked to CA 030 ORIGINATOR: TOTAL EXPOSURES 040 ON-BALANCE SHEET ITEMS 050 SECURITISATIONS 060 RE-SECURITISATIONS 070 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 080 SECURITISATIONS 090 RE-SECURITISATIONS 100 EARLY AMORTISATION 110 INVESTOR: TOTAL EXPOSURES 120 ON-BALANCE SHEET ITEMS 130 SECURITISATIONS 140 RE-SECURITISATIONS 150 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 160 SECURITISATIONS 170 RE-SECURITISATIONS 180 SPONSOR: TOTAL EXPOSURES 190 ON-BALANCE SHEET ITEMS 200 SECURITISATIONS 210 RE-SECURITISATIONS 220 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 230 SECURITISATIONS 240 RE-SECURITISATIONS BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: 250 CQS 1 260 CQS 2 270 CQS 3 280 CQS 4 290 ALL OTHER CQS AND UNRATED
C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES (-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM 0 % > 0 % and <=20 % > 20 % and <=50 % > 50 % and <=100 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS RATINGS BASED METHOD (CREDIT QUALITY STEPS) 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESSMENT APPROACH (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS CQS 1 & S/T CQS 1 CQS 2 CQS 3 CQS 4 & S/T CQS 2 CQS 5 CQS 6 CQS 7 & S/T CQS 3 CQS 8 CQS 9 CQS 10 CQS 11 ALL OTHER CQS UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAP AFTER CAP 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 010 TOTAL EXPOSURES Cell linked to CA 020 OF WHICH: RE-SECURITISATIONS Cell linked to CA 030 ORIGINATOR: TOTAL EXPOSURES 040 ON-BALANCE SHEET ITEMS 050 SECURITISATIONS A 060 B 070 C 080 RE-SECURITISATIONS D 090 E 100 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 110 SECURITISATIONS A 120 B 130 C 140 RE-SECURITISATIONS D 150 E 160 EARLY AMORTISATION 170 INVESTOR: TOTAL EXPOSURES 180 ON-BALANCE SHEET ITEMS 190 SECURITISATIONS A 200 B 210 C 220 RE-SECURITISATIONS D 230 E 240 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 250 SECURITISATIONS A 260 B 270 C 280 RE-SECURITISATIONS D 290 E 300 SPONSOR: TOTAL EXPOSURES 310 ON-BALANCE SHEET ITEMS 320 SECURITISATIONS A 330 B 340 C 350 RE-SECURITISATIONS D 360 E 370 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 380 SECURITISATIONS A 390 B 400 C 410 RE-SECURITISATIONS D 420 E BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: 430 CQS 1 & S/T CQS 1 440 CQS 2 450 CQS 3 460 CQS 4 & S/T CQS 2 470 CQS 5 480 CQS 6 490 CQS 7 & S/T CQS 3 500 CQS 8 510 CQS 9 520 CQS 10 530 CQS 11 540 ALL OTHER CQS AND UNRATED
C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details) ROW NUMBER INTERNAL CODE IDENTIFIER OF THE SECURITISATION IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC) ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet? SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? SECURITISATION OR RE-SECURITISATION? RETENTION ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) NON ABCP PROGRAMMES SECURITISED EXPOSURES SECURITISATION STRUCTURE SECURITISATION POSITIONS (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS TOTAL RISK-WEIGHTED EXPOSURE AMOUNT SECURITISATION POSITIONS - TRADING BOOK TYPE OF RETENTION APPLIED % OF RETENTION AT REPORTING DATE COMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE (mm/yyyy) TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE TOTAL AMOUNT INSTITUTION'S SHARE (%) TYPE APPROACH APPLIED (SA/IRB/MIX) NUMBER OF EXPOSURES COUNTRY ELGD (%) (-) VALUE ADJUSTMENTS AND PROVISIONS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES MATURITY ORIGINAL EXPOSURE PRE-CONVERSION FACTORS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES EARLY AMORTISATION CTP OR NON-CTP? NET POSITIONS TOTAL OWN FUNDS REQUIREMENTS (SA) SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS FIRST FORESEEABLE TERMINATION DATE LEGAL FINAL MATURITY DATE ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES DIRECT CREDIT SUBSTITUTES IRS / CRS ELIGIBLE LIQUIDITY FACILITIES OTHER (including non-eligible LF) CONVERSION FACTOR APPLIED SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS BEFORE CAP AFTER CAP LONG SHORT SPECIFIC RISK 005 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480
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) 010 020 030 040 050 060 070 O71 080 090 100 110 120 010 1.
BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)
Cell linked to CA2 020 2.
BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES
Cell linked to CA2 SUBJECT TO TSA: 030 CORPORATE FINANCE (CF) 040 TRADING AND SALES (TS) 050 RETAIL BROKERAGE (RBr) 060 COMMERCIAL BANKING (CB) 070 RETAIL BANKING (RB) 080 PAYMENT AND SETTLEMENT (PS) 090 AGENCY SERVICES (AS) 100 ASSET MANAGEMENT (AM) SUBJECT TO ASA: 110 COMMERCIAL BANKING (CB) 120 RETAIL BANKING (RB) 130 3.
BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA
Cell linked to CA2
C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details) MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES TOTAL EVENT TYPES MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION INTERNAL FRAUD EXTERNAL FRAUD EMPLOYMENT PRACTICES AND WORKPLACE SAFETY CLIENTS, PRODUCTS & BUSINESS PRACTICES DAMAGE TO PHYSICAL ASSETS BUSINESS DISRUPTION AND SYSTEM FAILURES EXECUTION, DELIVERY & PROCESS MANAGEMENT LOWEST HIGHEST Rows 010 020 030 040 050 060 070 080 090 100 010 CORPORATE FINANCE [CF] Number of events 020 Total loss amount 030 Maximum single loss 040 Sum of the five largest losses 110 TRADING AND SALES [TS] Number of events 120 Total loss amount 130 Maximum single loss 140 Sum of the five largest losses 210 RETAIL BROKERAGE [RBr] Number of events 220 Total loss amount 230 Maximum single loss 240 Sum of the five largest losses 310 COMMERCIAL BANKING [CB] Number of events 320 Total loss amount 330 Maximum single loss 340 Sum of the five largest losses 410 RETAIL BANKING [RB] Number of events 420 Total loss amount 430 Maximum single loss 440 Sum of the five largest losses 510 PAYMENT AND SETTLEMENT [PS] Number of events 520 Total loss amount 530 Maximum single loss 540 Sum of the five largest losses 610 AGENCY SERVICES [AS] Number of events 620 Total loss amount 630 Maximum single loss 640 Sum of the five largest losses 710 ASSET MANAGEMENT [AM] Number of events 720 Total loss amount 730 Maximum single loss 740 Sum of the five largest losses 810 CORPORATE ITEMS [CI] Number of events 820 Total loss amount 830 Maximum single loss 840 Sum of the five largest losses 910 TOTAL BUSINESS LINES Number of events 920 Total loss amount 930 Maximum single loss 940 Sum of the five largest losses
C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) Currency: POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT 010 020 030 040 050 060 070 010 TRADED DEBT INSTRUMENTS IN TRADING BOOK Cell linked to CA2 011 General risk 012 Derivatives 013 Other assets and liabilities 020 Maturity-based approach 030 Zone 1 040 0 ≤ 1 month 050 > 1 ≤ 3 months 060 > 3 ≤ 6 months 070 > 6 ≤ 12 months 080 Zone 2 090 > 1 ≤ 2 (1,9 for cupon of less than 3 %) years 100 > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years 110 > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years 120 Zone 3 130 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years 140 > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years 150 > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years 160 > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years 170 > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years 180 > 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years 190 (> 12,0 ≤ 20,0 for cupon of less than 3 %) years 200 (> 20 for cupon of less than 3 %) years 210 Duration-based approach 220 Zone 1 230 Zone 2 240 Zone 3 250 Specific risk 251 Own funds requirement for non-securitisation debt instruments 260 Debt securities under the first category in Table 1 270 Debt securities under the second category in Table 1 280 With residual term ≤ 6 months 290 With a residual term > 6 months and ≤ 24 months 300 With a residual term > 24 months 310 Debt securities under the third category in Table 1 320 Debt securities under the fourth category in Table 1 321 Rated nth-to default credit derivatives 325 Own funds requirement for securitisation instruments 330 Own funds requirement for the correlation trading portfolio 340 Particular approach for position risk in CIUs 350 Additional requirements for options (non-delta risks) 360 Simplified method 370 Delta plus approach - additional requirements for gamma risk 380 Delta plus approach - additional requirements for vega risk 390 Scenario matrix approach
C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS RISK WEIGHTS < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH LONG SHORT (-) LONG (-) SHORT LONG SHORT 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 150 % 200 % 225 % 250 % 300 % 350 % 425 % 500 % 650 % 750 % 850 % RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 150 % 200 % 225 % 250 % 300 % 350 % 425 % 500 % 650 % 750 % 850 % RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS SUM OF WEIGHTED NET LONG AND SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS SUM OF WEIGHTED NET LONG AND SHORT POSITIONS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480 490 500 510 520 530 540 550 560 570 580 590 600 610 010 TOTAL EXPOSURES Cell linked to MKR SA TDI {325:060} 020 Of which: RE-SECURITISATIONS 030 ORIGINATOR: TOTAL EXPOSURES 040 SECURITISATIONS 050 RE-SECURITISATIONS 060 INVESTOR: TOTAL EXPOSURES 070 SECURITISATIONS 080 RE-SECURITISATIONS 090 SPONSOR: TOTAL EXPOSURES 100 SECURITISATIONS 110 RE-SECURITISATIONS BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES: 120 1.
Residential mortgages
130 2.
Commercial mortgages
140 3.
Credit card receivables
150 4.
Leasing
160 5.
Loans to corporates or SMEs
170 6.
Consumer loans
180 7.
Trade receivables
190 8.
Other assets
200 9.
Covered Bondes
210 10.
Other liabilities
C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS RISK WEIGHTS < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1 250 % 1 250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH LONG SHORT (-) LONG (-) SHORT LONG SHORT 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 250 % 350 % 425 % 650 % Other RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 250 % 350 % 425 % 650 % Other RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 010 TOTAL EXPOSURES Cell linked to MKR SA TDI {330:060} SECURITISATION POSITIONS: 020 ORIGINATOR: TOTAL EXPOSURES 030 SECURITISATIONS 040 OTHER CTP POSITIONS 050 INVESTOR: TOTAL EXPOSURES 060 SECURITISATIONS 070 OTHER CTP POSITIONS 080 SPONSOR: TOTAL EXPOSURES 090 SECURITISATIONS 100 OTHER CTP POSITIONS N-TH-TO-DEFAULT CREDIT DERIVATES: 110 N-TH-TO-DEFAULT CREDIT DERIVATIVES 120 OTHER CTP POSITIONS
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) National market: POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT 010 020 030 040 050 060 070 010 EQUITIES IN TRADING BOOK Cell linked to CA 020 General risk 021 Derivatives 022 Other assets and liabilities 030 Exchange traded stock-index futures broadly diversified subject to particular approach 040 Other equities than exchange traded stock-index futures broadly diversified 050 Specific risk 080 Particular approach for position risk in CIUs 090 Additional requirements for options (non-delta risks) 100 Simplified method 110 Delta plus approach - additional requirements for gamma risk 120 Delta plus approach - additional requirements for vega risk 130 Scenario matrix approach
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions) OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT LONG SHORT MATCHED 020 030 040 050 060 070 080 090 100 010 TOTAL POSITIONS IN NON-REPORTING CURRENCIES Cell linked to CA 020 Currencies closely correlated 030 All other currencies (including CIUs treated as different currencies) 040 Gold 050 Additional requirements for options (non-delta risks) 060 Simplified method 070 Delta plus approach - additional requirements for gamma risk 080 Delta plus approach - additional requirements for vega risk 090 Scenario matrix approach BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES 100 Other assets and liabilities other than off-balance sheet items and derivatives 110 Off-balance sheet items 120 Derivatives Memorandum items: CURRENCY POSITIONS 130 Euro 140 Lek 150 Argentine Peso 160 Australian Dollar 170 Brazilian Real 180 Bulgarian Lev 190 Canadian Dollar 200 Czech Koruna 210 Danish Krone 220 Egyptian Pound 230 Pound Sterling 240 Forint 250 Yen 270 Lithuanian Litas 280 Denar 290 Mexican Peso 300 Zloty 310 Rumanian Leu 320 Russian Ruble 330 Serbian Dinar 340 Swedish Krona 350 Swiss Franc 360 Turkish Lira 370 Hryvnia 380 US Dollar 390 Iceland Krona 400 Norwegian Krone 410 Hong Kong Dollar 420 New Taiwan Dollar 430 New Zealand Dollar 440 Singapore Dollar 450 Won 460 Yuan Renminbi 470 Other
C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT 010 020 030 040 050 060 070 010 TOTAL POSITIONS IN COMMODITIES Cell linked to CA 020 Precious metals (except gold) 030 Base metals 040 Agricultural products (softs) 050 Others 060 Of which energy products (oil, gas) 070 Maturity ladder approach 080 Extended maturity ladder approach 090 Simplified approach: All positions 100 Additional requirements for options (non-delta risks) 110 Simplified method 120 Delta plus approach - additional requirements for gamma risk 130 Delta plus approach - additional requirements for vega risk 140 Scenario matrix approach
C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM) VaR STRESSED VaR INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE ALL PRICE RISKS CAPITAL CHARGE FOR CTP OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT Number of 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 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 010 TOTAL POSITIONS Cell linked to CA Memorandum items: BREAKDOWN OF MARKET RISK 020 Traded debt instruments 030 TDI - General risk 040 TDI - Specific Risk 050 Equities 060 Equities - General risk 070 Equities - Specific Risk 080 Foreign Exchange risk 090 Commodities risk 100 Total amount for general risk 110 Total amount for specific risk
C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA) EXPOSURE VALUE VaR STRESSED VaR OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT MEMORANDUM ITEMS CVA RISK HEDGE NOTIONALS of which: OTC Derivatives of which: SFT MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY (VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt-1) Number of counterparties of which: proxy was used to determine credit spread INCURRED CVA SINGLE NAME CDS INDEX CDS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 010 CVA risk total Link to {CA2;r640;c010} 020 According to Advanced method Link to {CA2;r650;c010} 030 According to Standardised method Link to {CA2;r660;c010} 040 Based on OEM Link to {CA2;r670;c010} ANNEX II
REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
PART I:
GENERAL INSTRUCTIONS
1.
STRUCTURE AND CONVENTIONS
1.1.
STRUCTURE
1.
Overall, the framework consists of five blocks of templates:
- (a)
capital adequacy, an overview of regulatory capital; total risk exposure amount;
- (b)
group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity
- (c)
credit risk (including counterparty, dilution and settlement risks);
- (d)
market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);
- (e)
operational risk.
2.
For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework.
3.
Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.
1.2.
NUMBERING CONVENTION
4.
The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.
5.
The following general notation is followed in the instructions: {Template;Row;Column}.
6.
In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.
7.
In the case of templates with only one column, only rows are referred to. {Template;Row}
8.
An asterisk sign is used to express that the validation is done for the rows or columns specified before.
1.3.
SIGN CONVENTION
9.
Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.
PART II:
TEMPLATE RELATED INSTRUCTIONS
1.
CAPITAL ADEQUACY OVERVIEW (CA)
1.1.
GENERAL REMARKS
10.
CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:
- a))
CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital
- b))
CA2 template summarizes the total risk exposures amounts (as defined in Article 92(3) of CRR)
- c))
CA3 template contains the ratios for which CRR state a minimum level, and some other related data
- d))
CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.
- e))
CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.
11.
The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.
12.
The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).
13.
Transitional provisions are treated as follows in CA templates:
- a))
The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.
- b))
Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.
- c))
Template CA5 is exclusively used for reporting the transitional provisions.
14.
The treatment of Pillar II requirements can be different within the EU (Article 104(2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.
- a))
The templates CA1, CA2 or CA5 only contain data on Pillar I issues.
- b))
The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.
- c))
The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.
1.2.
C 01.00 — OWN FUNDS (CA1)
1.2.1.
Instructions concerning specific positions
Row Legal references and instructions 010 1.
Own funds
Articles 4(1)(118) and 72 of CRR
The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.
015 1.1
Tier 1 capital
Article 25 of CRR
The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital
020 1.1.1
Common Equity Tier 1 capital
Article 50 of CRR
030 1.1.1.1
Capital instruments eligible as CET1 capital
Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR
040 1.1.1.1.1
Paid up capital instruments
Articles 26(1) point (a) and 27 to 31 of CRR
Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included.
The share premium related to the instruments shall not be included.
Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.
050 1.1.1.1.2*
Memorandum item: Capital instruments not eligible
Article 28(1) points (b), (l) and (m) of CRR
Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
The amount to be reported shall not include the share premium related to the instruments
060 1.1.1.1.3
Share premium
Articles 4(1)(124), 26(1) point (b) of CRR
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".
070 1.1.1.1.4
(-) Own CET1 instruments
Articles 36(1) point (f) and 42 of CRR
Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR.
Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.
The amount to be reported shall include the share premium related to the own shares.
Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.
080 1.1.1.1.4.1
(-) Direct holdings of CET1 instruments
Articles 36(1) point (f) and 42 of CRR
Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.
The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR.
090 1.1.1.1.4.2
(-) Indirect holdings of CET1 instruments
Articles 4(1)(114), 36(1) point (f) and 42 of CRR
091 1.1.1.1.4.3
(-) Synthetic holdings of CET1 instruments
Articles 4(1)(126), 36(1) point (f) and 42 of CRR
092 1.1.1.1.5
(-) Actual or contingent obligations to purchase own CET1 instruments
Articles 36(1) point (f) and 42 of CRR
According to Article 36(1) point (f) of CRR, ‘own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation’ shall be deducted.
130 1.1.1.2
Retained earnings
Articles 26(1) point (c) and 26(2) of CRR
Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits
140 1.1.1.2.1
Previous years retained earnings
Articles 4(1)(123) and 26(1) c) of CRR
Article 4(1)(123) of CRR defines retained earnings as "Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting standards".
150 1.1.1.2.2
Profit or loss eligible
Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR
Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.
On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR.
160 1.1.1.2.2.1
Profit or loss attributable to owners of the parent
Articles 26(2) and 36(1) point (a) of CRR
The amount to be reported shall be the profit or loss reported in the accounting income statement.
170 1.1.1.2.2.2
(-) Part of interim or year-end profit not eligible
Article 26(2) of CRR
This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1.
If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends)
Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.
180 1.1.1.3
Accumulated other comprehensive income
Articles 4(1)(100) and 26(1) point (d) of CRR
The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014.
200 1.1.1.4
Other reserves
Articles 4(1)(117) and 26(1) point (e) of CRR
Other reserves are defined in CRR as "Reserves within the meaning of the applicable accounting standard that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings".
The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.
210 1.1.1.5
Funds for general banking risk
Articles 4(1)(112) and 26(1) point (f) of CRR
Funds for general banking risk are defined in article 38 of Directive 86/635/EEC as "Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking"
The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.
220 1.1.1.6
Transitional adjustments due to grandfathered CET1 Capital instruments
Articles 483(1) to (3), and 484 to 487 of CRR
Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.
230 1.1.1.7
Minority interest given recognition in CET1 capital
Article 4(120) and 84 of CRR
Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.
240 1.1.1.8
Transitional adjustments due to additional minority interests
Articles 479 and 480 of CRR
Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.
250 1.1.1.9
Adjustments to CET1 due to prudential filters
Articles 32 to 35 of CRR
260 1.1.1.9.1
(-) Increases in equity resulting from securitised assets
Article 32(1) of CRR
The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard.
For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.
270 1.1.1.9.2
Cash flow hedge reserve
Article 33(1) point (a) of CRR
The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
The amount shall be net of any tax charge foreseeable at the moment of the calculation.
280 1.1.1.9.3
Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
Article 33(1) point (b) of CRR
The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
Unaudited profit shall not be included in this item.
285 1.1.1.9.4
Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities
Article 33(1) point (c) and 33(2) of CRR
The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
Unaudited profit shall not be included in this item.
290 1.1.1.9.5
(-) Value adjustments due to the requirements for prudent valuation
Articles 34 and 105 of CRR
Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR
300 1.1.1.10
(-) Goodwill
Articles 4(1)(113), 36(1) point (b) and 37 of CRR
310 1.1.1.10.1
(-) Goodwill accounted for as intangible asset
Articles 4(1)(113) and 36(1) point (b) of CRR
Goodwill has the same meaning as under the applicable accounting standard.
The amount to be reported here shall be the same that is reported in the balance sheet.
320 1.1.1.10.2
(-) Goodwill included in the valuation of significant investments
Article 37 point (b) and 43 of CRR
330 1.1.1.10.3
Deferred tax liabilities associated to goodwill
Article 37 point (a) of CRR
Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard
340 1.1.1.11
(-) Other intangible assets
Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.
350 1.1.1.11.1
(-) Other intangible assets before deduction of deferred tax liabilities
Articles 4(1)(115) and 36(1) point (b) of CRR
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.
The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.
360 1.1.1.11.2
Deferred tax liabilities associated to other intangible assets
Article 37 point (a) of CRR
Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard
370 1.1.1.12
(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
Articles 36(1) point (c) and 38 of CRR
380 1.1.1.13
(-) IRB shortfall of credit risk adjustments to expected losses
Articles 36(1) point (d), 40, 158 and 159 of CRR
The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses (Article 40 of CRR)
390 1.1.1.14
(-) Defined benefit pension fund assets
Articles 4(1)(109), 36(1) point (e) and 41 of CRR
400 1.1.1.14.1
(-) Defined benefit pension fund assets
Articles 4(1)(109), 36(1) point (e) of CRR
Defined benefit pension fund assets are defined as ‘the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan’
The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).
410 1.1.1.14.2
Deferred tax liabilities associated to defined benefit pension fund assets
Articles 4(1)(108) and (109), and 41(1) point (a) of CRR
Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.
420 1.1.1.14.3
Defined benefit pension fund assets which the institution has an unrestricted ability to use
Articles 4(1)(109) and 41(1) point (b) of CRR
This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted.
The assets included in this row shall receive a risk weight for credit risk requirements.
430 1.1.1.15
(-) Reciprocal cross holdings in CET1 Capital
Articles 4(1)(122), 36(1) point (g) and 44 of CRR
Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution
The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.
440 1.1.1.16
(-) Excess of deduction from AT1 items over AT1 Capital
Article 36(1) point (j) of CRR
The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital’. The amount has to be deducted from CET1.
450 1.1.1.17
(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1.250 % risk weight
Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR
Qualifying holdings are defined as ‘direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking’.
According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %.
460 1.1.1.18
(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight
Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR
Securitisation positions which are subject to a 1 250 % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item.
470 1.1.1.19
(-) Free deliveries which can alternatively be subject to a 1.250 % risk weight
Articles 36(1) point (k) (iii) and 379(3) of CRR
Free deliveries are subject to a 1 250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.
471 1.1.1.20
(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1.250 % risk weight
Articles 36(1) point (k) (iv) and 153(8) of CRR
According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %.
472 1.1.1.21
(-) Equity exposures under an internal models approach which can alternatively be subject to a 1.250 % risk weight
Articles 36(1) point (k) (v) and 155(4) of CRR
According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250 %.
480 1.1.1.22
(-) CET1 instruments of financial sector entities where the institution does not have a significant investment
Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR
Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1
See alternatives to deduction when consolidation is applied (Article 49(2) and (3))
490 1.1.1.23
(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences
Articles 36(1) point (c); 38 and 48(1) point (a) of CRR
Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.
500 1.1.1.24
(-) CET1 instruments of financial sector entities where the institution has a significant investment
Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR
Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR.
See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).
510 1.1.1.25
(-) Amount exceeding the 17.65 % threshold
Article 48(1) of CRR
Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17.65 % threshold in Article 48(1) of CRR.
520 1.1.1.26
Other transitional adjustments to CET1 Capital
Articles 469 to 472, 478 and 481 of CRR
Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.
524 1.1.1.27
Additional deductions of CET1 Capital due to Article 3 CRR
Article 3 CRR
529 1.1.1.28
CET1 capital elements or deductions — other
This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524.
This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).
530 1.1.2
ADDITIONAL TIER 1 CAPITAL
Article 61 of CRR
540 1.1.2.1
Capital instruments eligible as AT1 Capital
Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR
550 1.1.2.1.1
Paid up capital instruments
Articles 51 point (a) and 52 to 54 of CRR
The amount to be reported shall not include the share premium related to the instruments
560 1.1.2.1.2
(*) Memorandum item: Capital instruments not eligible
Article 52(1) points (c), (e) and (f) of CRR
Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
The amount to be reported shall not include the share premium related to the instruments
570 1.1.2.1.3
Share premium
Article 51 point (b) of CRR
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".
580 1.1.2.1.4
(-) Own AT1 instruments
Articles 52(1) point (b), 56 point (a) and 57 of CRR
Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR.
Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.
The amount to be reported shall include the share premium related to the own shares.
Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.
590 1.1.2.1.4.1
(-) Direct holdings of AT1 instruments
Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR
Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.
620 1.1.2.1.4.2
(-) Indirect holdings of AT1 instruments
Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR
621 1.1.2.1.4.3
(-) Synthetic holdings of AT1 instruments
Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR
622 1.1.2.1.5
(-) Actual or contingent obligations to purchase own AT1 instruments
Articles 56 point (a) and 57 of CRR
According to Article 56 point (a) of CRR, ‘own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.
660 1.1.2.2
Transitional adjustments due to grandfathered AT1 Capital instruments
Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR
Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.
670 1.1.2.3
Instruments issued by subsidiaries that are given recognition in AT1 Capital
Articles 83, 85 and 86 of CRR
Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.
Qualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included.
680 1.1.2.4
Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries
Article 480 of CRR
Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.
690 1.1.2.5
(-) Reciprocal cross holdings in AT1 Capital
Articles 4(1)(122), 56 point (b) and 58 of CRR
Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution
The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.
700 1.1.2.6
(-) AT1 instruments of financial sector entities where the institution does not have a significant investment
Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR
Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1
710 1.1.2.7
(-) AT1 instruments of financial sector entities where the institution has a significant investment
Articles 4(1)(27), 56 point (d), 59 and 79 of CRR
Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted
720 1.1.2.8
(-) Excess of deduction from T2 items over T2 Capital
Article 56 point (e) of CRR
The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1)’.
730 1.1.2.9
Other transitional adjustments to AT1 Capital
Articles 474, 475, 478 and 481 of CRR
Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.
740 1.1.2.10
Excess of deduction from AT1 items over AT1 Capital (deducted in CET1)
Article 36(1) point (j) of CRR
Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.
With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.
744 1.1.2.11
Additional deductions of AT1 Capital due to Article 3 CRR
Article 3 CRR
748 1.1.2.12
AT1 capital elements or deductions — other
This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744.
This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR)!
750 1.2
TIER 2 CAPITAL
Article 71 of CRR
760 1.2.1
Capital instruments and subordinated loans eligible as T2 Capital
Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR
770 1.2.1.1
Paid up capital instruments and subordinated loans
Articles 62 point (a), 63 and 65 of CRR
The amount to be reported shall not include the share premium related to the instruments
780 1.2.1.2
(*) Memorandum item: Capital instruments and subordinated loans not eligible
Article 63 points (c), (e) and (f); and article 64 of CRR
Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
The amount to be reported shall not include the share premium related to the instruments
790 1.2.1.3
Share premium
Articles 62 point (b) and 65 of CRR
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".
800 1.2.1.4
(-) Own T2 instruments
Article 63 point (b) (i), 66 point (a), and 67 of CRR
Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR.
Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.
The amount to be reported shall include the share premium related to the own shares.
Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.
810 1.2.1.4.1
(-) Direct holdings of T2 instruments
Articles 63 point (b), 66 point (a) and 67 of CRR
Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.
840 1.2.1.4.2
(-) Indirect holdings of T2 instruments
Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR
841 1.2.1.4.3
(-) Synthetic holdings of T2 instruments
Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR
842 1.2.1.5
(-) Actual or contingent obligations to purchase own T2 instruments
Articles 66 point (a) and 67 of CRR
According to Article 66 point (a) of CRR, ‘own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations’ shall be deducted.
880 1.2.2
Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans
Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR
Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.
890 1.2.3
Instruments issued by subsidiaries that are given recognition in T2 Capital
Articles 83, 87 and 88 of CRR
Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.
Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included.
900 1.2.4
Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries
Article 480 of CRR
Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.
910 1.2.5
IRB Excess of provisions over expected losses eligible
Article 62 point (d) of CRR
For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.
920 1.2.6
SA General credit risk adjustments
Article 62 point (c) of CRR
For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.
930 1.2.7
(-) Reciprocal cross holdings in T2 Capital
Articles 4(1)(122), 66 point (b) and 68 of CRR
Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.
The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.
940 1.2.8
(-) T2 instruments of financial sector entities where the institution does not have a significant investment
Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR
Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.
950 1.2.9
(-) T2 instruments of financial sector entities where the institution has a significant investment
Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR
Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.
960 1.2.10
Other transitional adjustments to T2 Capital
Articles 476 to 478 and 481 of CRR
Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.
970 1.2.11
Excess of deduction from T2 items over T2 Capital (deducted in AT1)
Article 56 point (e) of CRR
Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1.
With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.
974 1.2.12
(-) Additional deductions of T2 Capital due to Article 3 CRR
Article 3 CRR
978 1.2.13
T2 capital elements or deductions — other
This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974.
This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).
1.3.
C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
1.3.1.
Instructions concerning specific positions
Row Legal references and instructions 010 1.
TOTAL RISK EXPOSURE AMOUNT
Articles 92(3), 95, 96 and 98 of CRR
020 1*
Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR
For investment firms under Article 95(2) and Article 98 of CRR
030 1**
Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR
For investment firms under Article 96(2) and Article 97 of CRR
040 1.1
RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES
Article 92(3) points (a) and (f) of CRR
050 1.1.1
Standardised approach (SA)
CR SA and SEC SA templates at the level of total exposures.
060 1.1.1.1
SA exposure classes excluding securitisations positions
CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.
070 1.1.1.1.01
Central governments or central banks
See CR SA template
080 1.1.1.1.02
Regional governments or local authorities
See CR SA template
090 1.1.1.1.03
Public sector entities
See CR SA template
100 1.1.1.1.04
Multilateral Development Banks
See CR SA template
110 1.1.1.1.05
International Organisations
See CR SA template
120 1.1.1.1.06
Institutions
See CR SA template
130 1.1.1.1.07
Corporates
See CR SA template
140 1.1.1.1.08
Retail
See CR SA template
150 1.1.1.1.09
Secured by mortgages on immovable property
See CR SA template
160 1.1.1.1.10
Exposures in default
See CR SA template
170 1.1.1.1.11
Items associated with particular high risk
See CR SA template
180 1.1.1.1.12
Covered bonds
See CR SA template
190 1.1.1.1.13
Claims on institutions and corporate with a short-term credit assessment
See CR SA template
200 1.1.1.1.14
Collective investments undertakings (CIU)
See CR SA template
210 1.1.1.1.15
Equity
See CR SA template
211 1.1.1.1.16
Other items
See CR SA template
220 1.1.1.2
Securitisations positions SA
CR SEC SA template at the level of total securitisation types
230 1.1.1.2.*
Of which: resecuritisation
CR SEC SA template at the level of total securitisation types
240 1.1.2
Internal ratings based Approach (IRB)
250 1.1.2.1
IRB approaches when neither own estimates of LGD nor Conversion Factors are used
CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)
260 1.1.2.1.01
Central governments and central banks
See CR IRB template
270 1.1.2.1.02
Institutions
See CR IRB template
280 1.1.2.1.03
Corporates — SME
See CR IRB template
290 1.1.2.1.04
Corporates – Specialised Lending
See CR IRB template
300 1.1.2.1.05
Corporates – Other
See CR IRB template
310 1.1.2.2
IRB approaches when own estimates of LGD and/or Conversion Factor are used
CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)
320 1.1.2.2.01
Central governments and central banks
See CR IRB template
330 1.1.2.2.02
Institutions
See CR IRB template
340 1.1.2.2.03
Corporates — SME
See CR IRB template
350 1.1.2.2.04
Corporates – Specialised Lending
See CR IRB template
360 1.1.2.2.05
Corporates – Other
See CR IRB template
370 1.1.2.2.06
Retail – secure by real estate SME
See CR IRB template
380 1.1.2.2.07
Retail – secure by real estate non-SME
See CR IRB template
390 1.1.2.2.08
Retail – Qualifying revolving
See CR IRB template
400 1.1.2.2.09
Retail – Other SME
See CR IRB template
410 1.1.2.2.10
Retail – Other non-SME
See CR IRB template
420 1.1.2.3
Equity IRB
See CR EQU IRB template
430 1.1.2.4
Securitisations positions IRB
CR SEC IRB template at the level of total securitisation types
440 1.1.2.4*
Of which: resecuritisation
CR SEC IRB template at the level of total securitisation types
450 1.1.2.5
Other non credit-obligation assets
The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.
460 1.1.3
Risk exposure amount for contributions to the default fund of a CCP
Articles 307 to 309 of CRR
490 1.2
TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY
Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR
500 1.2.1
Settlement/delivery risk in the non-Trading book
See CR SETT template
510 1.2.2
Settlement/delivery risk in the Trading book
See CR SETT template
520 1.3
TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS
Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR
530 1.3.1
Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)
540 1.3.1.1
Traded debt instruments
MKR SA TDI template at the level of total currencies.
550 1.3.1.2
Equity
MKR SA EQU template at the level of total national markets.
560 1.3.1.3
Foreign Exchange
See MKR SA FX template
570 1.3.1.4
Commodities
See MKR SA COM template
580 1.3.2
Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)
See MKR IM template
590 1.4
TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)
Article 92(3) point (e) and 92(4) point (b) of CRR
For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero.
600 1.4.1
OpR Basic Indicator approach (BIA)
See OPR template
610 1.4.2
OpR Standardised (TSA)/Alternative Standardised (ASA) approaches
See OPR template
620 1.4.3
OpR Advanced measurement approaches (AMA)
See OPR template
630 1.5
ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS
Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR
Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR
Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5.
Investment firms under Article 95 of CRR shall report:
If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.
If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.
640 1.6
TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT
Article 92(3) point (d) of CRR See CVA template.
650 1.6.1
Advanced method
Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.
660 1.6.2
Standardised method
Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.
670 1.6.3.
Based on OEM
Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.
680 1.7
TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK
Articles 92(3) point (b) (ii) and 395 to 401 of CRR
690 1.8
OTHER RISK EXPOSURE AMOUNTS
Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.
Institutions shall report the amounts needed to comply with the following:
Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR
Additional risk exposure amounts due to Article 3 CRR
This item does not have a link to a details template.
710 1.8.2
Of which: Additional stricter prudential requirements based on Art 458
Article 458 of CRR
720 1.8.2*
Of which: requirements for large exposures
Article 458 of CRR
730 1.8.2**
Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property
Article 458 of CRR
740 1.8.2***
Of which: Of which: due to intra financial sector exposures
Article 458 of CRR
750 1.8.3
Of which: Additional stricter prudential requirements based on Art 459
Article 459 of CRR
760 1.8.4
Of which: Additional risk exposure amount due to Article 3 CRR
Article 3 CRR
The additional risk exposure amount has to be reported. 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 010 1
CET1 Capital ratio
Article 92(2) point (a) of CRR
The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.
020 2
Surplus(+)/Deficit(-) of CET1 capital
This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
030 3
T1 Capital ratio
Article 92(2) point (b) of CRR
The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.
040 4
Surplus(+)/Deficit(-) of T1 capital
This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
050 5
Total capital ratio
Article 92(2) point (c) of CRR
The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.
060 6
Surplus(+)/Deficit(-) of total capital
This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.
070 CET1 capital ratio including Pillar II adjustments
Article 92(2) point (a) of CRR and Article 104(2) CRD IV
This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.
080 Target CET1 capital ratio due to Pillar II adjustments
Article 104(2) CRD IV
This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.
090 T1 capital ratio including Pillar II adjustments
Article 92(2) point (b) of CRR and Article 104(2) CRD IV
This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.
100 Target T1 capital ratio due to Pillar II adjustments
Article 104(2) CRD IV
This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.
110 Total capital ratio including Pillar II adjustments
Article 92(2) point (c) of CRR and Article 104(2) CRD IV
This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.
120 Target Total capital ratio due to Pillar II adjustments
Article 104(2) CRD IV
This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.
1.5.
C 04.00 — MEMORANDUM ITEMS (CA4)
1.5.1.
Instructions concerning specific positions
Rows 010 1.
Total deferred tax assets
The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.
020 1.1
Deferred tax assets that do not rely on future profitability
Article 39 of CRR
Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.
030 1.2
Deferred tax assets that rely on future profitability and do not arise from temporary differences
Articles 36(1) point (c) and 38 of CRR
Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).
040 1.3
Deferred tax assets that rely on future profitability and arise from temporary differences
Articles 36(1) point (c); 38 and 48(1) point (a) of CRR
Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17.65 % thresholds in Article 48 of CRR.
050 2
Total deferred tax liabilities
The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.
060 2.1
Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability
Article 38(3) and (4) of CRR
Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.
070 2.2
Deferred tax liabilities deductible from deferred tax assets that rely on future profitability
Article 38 of CRR
080 2.2.1
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences
Article 38(3), (4) and (5) of CRR
Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR
090 2.2.2
Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences
Article 38(3), (4) and (5) of CRR
Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR
100 3.
IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures
Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR
This item shall only be reported by IRB institutions.
110 3.1
Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount
Article 159 of CRR
This item shall only be reported by IRB institutions.
120 3.1.1
General credit risk adjustments
Article 159 of CRR
This item shall only be reported by IRB institutions.
130 3.1.2
Specific credit risk adjustments
Article 159 of CRR
This item shall only be reported by IRB institutions.
131 3.1.3
Additional value adjustments and other own funds reductions
Articles 34, 110 and 159 of CRR
This item shall only be reported by IRB institutions.
140 3.2
Total expected losses eligible
Articles 158(5), (6) and (10), and 159 of CRR
This item shall only be reported by IRB institutions. Only the expected loss related to non defaulted exposures shall be reported.
145 4
IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures
Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR
This item shall only be reported by IRB institutions.
150 4.1
Specific credit risk adjustments and positions treated similarily
Article 159 of CRR
This item shall only be reported by IRB institutions.
155 4.2
Total expected losses eligible
Articles 158(5), (6) and (10), and 159 of CRR
This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.
160 5
Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2
Article 62 point (d) of CRR
For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0.6 % of risk-weighted exposure amounts calculated with the IRB approach.
The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0.6 %) which is the base for calculating the cap.
170 6
Total gross provisions eligible for inclusion in T2 capital
Article 62 point (c) of CRR
This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.
The amount to be reported shall be gross of tax effects.
180 7
Risk weighted exposure amounts for calculating the cap to the provision eligible as T2
Article 62 point (c) of CRR
According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1.25 % of risk-weighted exposure amounts.
The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1.25 %) which is the base for calculating the cap.
190 8
Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment
Article 46(1) point (a) of CRR
This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.
200 9
10 % CET1 threshold
Article 48(1) points (a) and (b) of CRR
This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences.
The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.
210 10
17.65 % CET1 threshold
Article 48(1) of CRR
This item contains the 17.65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.
The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions.
220 11
Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures
Article 4(1)(71)
‘Eligible capital’ is defined, for the purposes of qualifying holdings outside the financial sector and large exposures, as the sum of Tier 1 and Tier 2 capital which is equal to or less than one third of Tier 1 capital.
230 12
Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
Articles 44 to 46 and 49 of CRR
240 12.1
Direct holdings of CET1 capital Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
Articles 44, 45, 46 and 49 of CRR
250 12.1.1
Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
Articles 44, 46 and 49 of CRR
Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:
- a))
Underwriting positions held for 5 working days or fewer;
- b))
The amounts relating to the investments for which any alternative in article 49 is applied; and
- c))
Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR
260 12.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
Article 45 of CRR
Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
270 12.2
Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(114), 44 and 45 of CRR
280 12.2.1
Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(114), 44 and 45 of CRR
The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included
290 12.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
Articles 4(1)(114) and 45 of CRR
Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
291 12.3.1
Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(126), 44 and 45 of CRR
292 12.3.2
Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(126), 44 and 45 of CRR
293 12.3.3
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Articles 4(1)(126) and 45 of CRR
300 13
Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions
Articles 58 to 60 of CRR
310 13.1
Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
Articles 58, 59 and 60(2) of CRR
320 13.1.1
Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
Articles 58 and 60(2) of CRR
Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:
- a))
Underwriting positions held for 5 working days or fewer; and
- b))
Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR
330 13.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
Article 59 of CRR
Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
340 13.2
Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(114), 58 and 59 of CRR
350 13.2.1
Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(114), 58 and 59 of CRR
The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included
360 13.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
Articles 4(1)(114) and 59 of CRR
Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
361 13.3
Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(126), 58 and 59 of CRR
362 13.3.1
Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(126), 58 and 59 of CRR
363 13.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Articles 4(1)(126) and 59 of CRR
370 14.
Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions
Articles 68 to 70 of CRR
380 14.1
Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
Articles 68, 69 and 70(2) of CRR
390 14.1.1
Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment
Articles 68 and 70(2) of CRR
Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding:
- a))
Underwriting positions held for 5 working days or fewer; and
- b))
Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR
400 14.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
Article 69 of CRR
Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
410 14.2
Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
Article 4(1)(114), 68 and 69 of CRR
420 14.2.1
Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(114), 68 and 69 of CRR
The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included
430 14.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
Articles 4(1)(114) and 69 of CRR
Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
431 14.3
Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(126), 68 and 69 of CRR
432 14.3.1
Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment
Articles 4(1)(126), 68 and 69 of CRR
433 14.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Articles 4(1)(126) and 69 of CRR
440 15
Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions
Articles 44, 45, 47 and 49 of CRR
450 15.1
Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
Articles 44, 45, 47 and 49 of CRR
460 15.1.1
Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment
Articles 44, 45, 47 and 49 of CRR
Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding:
- a))
Underwriting positions held for 5 working days or fewer;
- b))
The amounts relating to the investments for which any alternative in article 49 is applied; and
- c))
Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR
470 15.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
Article 45 of CRR
Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
480 15.2
Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(114), 44 and 45 of CRR
490 15.2.1
Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(114), 44 and 45 of CRR
The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included.
500 15.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
Articles 4(1)(114) and 45 of CRR
Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
501 15.3
Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(126), 44 and 45 of CRR
502 15.3.1
Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(126), 44 and 45 of CRR
503 15.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Articles 4(1)(126) and 45 of CRR
510 16
Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions
Articles 58 and 59 of CRR
520 16.1
Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
Articles 58 and 59 of CRR
530 16.1.1
Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment
Article 58 of CRR
Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding:
- a))
Underwriting positions held for 5 working days or fewer (Article 56 point (d); and
- b))
Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR
540 16.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
Article 59 of CRR
Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
550 16.2
Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(114), 58 and 59 of CRR
560 16.2.1
Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(114), 58 and 59 of CRR
The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included.
570 16.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
Article 4(1)(114) and 59 of CRR
Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
571 16.3
Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(126), 58 and 59 of CRR
572 16.3.1
Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(126), 58 and 59 of CRR
573 16.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Articles 4(1)(126) and 59 of CRR
580 17
Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions
Articles 68 and 69 of CRR
590 17.1
Direct holdings of T2 capital of financial sector entities where the institution has a significant investment
Articles 68 and 69 of CRR
600 17.1.1
Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment
Article 68 of CRR
Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding:
- a))
Underwriting positions held for 5 working days or fewer (Article 66 point (d); and
- b))
Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR
610 17.1.2
(-) Permitted offsetting short positions in relation to the direct gross holdings included above
Article 69 of CRR
Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
620 17.2
Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(114), 68 and 69 of CRR
630 17.2.1
Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(114), 68 and 69 of CRR
The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included
640 17.2.2
(-) Permitted offsetting short positions in relation to the indirect gross holdings included above
Articles 4(1)(114), 69 of CRR
Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.
641 17.3
Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(126), 68 and 69 of CRR
642 17.3.1
Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment
Articles 4(1)(126), 68 and 69 of CRR
643 17.3.2
(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above
Articles 4(1)(126) and 69 of CRR
650 18
Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital
Article 46(4) of CRR
660 19
Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital
Article 60(4) of CRR
670 20
Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital
Article 70(4) of CRR
680 21
Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
Article 79 of CRR
A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that these instruments shall also be reported on item 12.1.
690 22
Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
Article 79 of CRR
A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that these instruments shall also be reported on item 15.1.
700 23
Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
Article 79 of CRR
A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that these instruments shall also be reported on item 13.1.
710 24
Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
Article 79 of CRR
A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that these instruments shall also be reported on item 16.1.
720 25
Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived
Article 79 of CRR
A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that these instruments shall also be reported on item 14.1.
730 26
Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived
Article 79 of CRR
A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.
Note that these instruments shall also be reported on item 17.1.
740 27
Combined buffer requirement
Article 128 point (6) of CRD
750 Capital conservation buffer
Articles 128 point (1) and 129 of CRD
According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this cell.
760 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State
Article 458(2) point d (iv) of CRR
In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported.
770 Institution specific countercyclical capital buffer
Articles 128 point (2), 130, 135-140 of CRD
780 Systemic risk buffer
Articles 128 point (5), 133 and 134 of CRD
790 Systemically important institution buffer
Article 131 of CRD
Institutions shall report the amount of the Systemically important institution buffer which is applicable on a consolidated basis.
800 Global Systemically Important Institution buffer
Articles 128 point (3) and 131 of CRD
810 Other Systemically Important Institution buffer
Articles 128 point (4) and 131 of CRD
820 28
Own funds requirements related to Pillar II adjustments
Article 104(2) of CRD.
If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell.
830 29
Initial capital
Articles 12, 28 to 31of CRD and Article 93 of CRR
840 30
Own funds based on Fixed Overheads
Articles 96(2) point (b), 97 and 98(1) point (a) of CRR
850 31
Non-domestic original exposures
Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.
Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.
860 32
Total original exposures
Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor.
Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.
870 Adjustments to total own funds
Article 500(4) of CRR
880 Own funds fully adjusted for Basel I floor
Article 500(1) point (b) and (4) of CRR
890 Own funds requirements for Basel I floor
Article 500(1) point (b) of CRR
900 Own funds requirements for Basel I floor — SA alternative
Article 500(2) and (3) of CRR
1.6.
TRANSITIONAL PROVISIONS and GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
1.6.1.
General remarks
15.
CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.
16.
CA5 is structured as follows:
- a..
Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as ‘adjustments’ to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.
- b..
Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.
17.
Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060.
18.
Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.
19.
Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.
1.6.2.
C 05.01 — Transitional provisions (CA5.1)
20.
Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR.
21.
Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2.
22.
Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR).
23.
In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions.
24.
There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect – if it results from transitional provisions – shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.
1.6.2.1.
Instructions concerning specific positions
Columns 010 Adjustments to CET1 020 Adjustments to AT1 030 Adjustments to T2 040 Adjustments included in RWAs
Column 050 includes the relevant residual amount, i.e. prior the application of provisions of Chapter 2 or 3 of Part Three of CRR.
Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments included in RWA do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the RWA, those adjustments shall be included directly in the CR SA, CR IRB or CR EQU IRB. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items.
050 Applicable percentage 060 Eligible amount without transitional provisions
Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.
Rows 010 1.
Total adjustments
This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments
020 1.1
Grandfathered instruments
Articles 483 to 491 of CRR
This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.
030 1.1.1
Grandfathered instruments: Instruments constituting state aid
Article 483 CRR
040 1.1.1.1
Instruments that qualified as own funds according to 2006/48/EC
Article 483(1) (2), (4) and (6) of CRR
050 1.1.1.2
Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme
Article 483(1), (3), (5), (7) and (8) of CRR
060 1.1.2
Instruments not constituting state aid
The amounts to be reported shall be obtained from column 060 of table CA 5.2.
070 1.2
Minority interests and equivalents
Articles 479 and 480 of CRR
This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.
080 1.2.1
Capital instruments and items that do not qualify as minority interests
Articles 479 of CRR
The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.
090 1.2.2
Transitional recognition in consolidated own funds of minority interests
Articles 84 and 480 of CRR
The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
091 1.2.3
Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital
Article 85 and 480 of CRR
The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
092 1.2.4
Transitional recognition in consolidated own funds of qualifying Tier 2 capital
Article 87 and 480 of CRR
The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.
100 1.3
Other transitional adjustments
Articles 467 to 478 and 481 of CRR
This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.
110 1.3.1
Unrealised gains and losses
Articles 467 and 468 of CRR
This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value.
120 1.3.1.1
Unrealised gains
Article 468(1) of CRR
130 1.3.1.2
Unrealised losses
Article 467(1) of CRR
133 1.3.1.3
Unrealised gains on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39
Article 468 of CRR
136 1.3.1.4
Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39
Article 467 of CRR
138 1.3.1.5
Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
Article 468 of CRR
140 1.3.2
Deductions
Articles 36(1), 469 to 478 of CRR
This row reflects the overall effect of transitional provisions on deductions.
150 1.3.2.1.
Losses for the current financial year
Articles 36(1) point (a), 469 (1), 472 (3) and 478 of CRR
The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR.
Where firms have only been required to deduct material losses:
where the total interim net loss was ‘material’, the full residual amount would be deducted from Tier 1, or
where the whole total interim net loss was not 'material', no deduction of residual amount would be made.
160 1.3.2.2.
Intangible assets
Articles 36(1) point (b), 469 (1), 472 (4) and 478 of CRR
When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR.
The amount to be reported in column 060 of this row shall be the original deduction Article 36(1)(b) of CRR.
170 1.3.2.3.
Deferred tax assets that rely on future profitability and do not arise from temporary differences
Articles 36(1) point (c), 469 (1), 472 (5) and 478 of CRR
When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities.
The amount to be reported in column 060 of this row: Total amount according to Article 469(1) c) of CRR.
180 1.3.2.4.
IRB shortfall of provisions to expected losses
Articles 36(1) point (d), 469 (1), 472 (6) and 478 of CRR
When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR.
The amount to be reported in column 060 of this row: Original deduction Article 36(1)(d) of CRR
190 1.3.2.5.
Defined benefit pension fund assets
Articles 33(1) point (e), 469 (1), 472 (7), 473 and 478 of CRR
When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR.
The amount to be reported in column 060 of this row: Original deduction Article 36(1)(e) of CRR
194 1.3.2.5.*
of which: Introduction of amendments to IAS 19 – positive item
Article 473 of CRR
198 1.3.2.5.**
of which: Introduction of amendments to IAS 19 – negative item
Article 473 of CRR
200 1.3.2.6.
Own instruments
Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR
210 1.3.2.6.1
Own CET1 instruments
Articles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR
When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR.
Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to ‘direct’ and ‘indirect’ holdings.
The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR.
211 1.3.2.6.1**
of which: Direct holdings
The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469(1)(b), 472 (8) (a) of CRR.
212 1.3.2.6.1*
of which: Indirect holdings
The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469(1)(b), 472 (8) (b) of CRR.
220 1.3.2.6.2
Own AT1 instruments
Articles 56 point (a), 474, 475(2) and 478 of CRR
When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR.
Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Additional Tier 1 holdings.
The amount to be reported in column 060 of this row: Original deduction Article 56 (a) of CRR.
221 1.3.2.6.2**
of which: Direct holdings
The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 474 (b) and 475 (2) (a) of CRR.
222 1.3.2.6.2*
of which: Indirect holdings
The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 474 (b), 475 (2) (b) of CRR.
230 1.3.2.6.3
Own T2 instruments
Articles 66 point (a), 476, 477(2) and 478 of CRR
When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR.
Given that the treatment of the ‘residual amount’ differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to ‘direct’ and ‘indirect’ own Tier 2 holdings.
The amount to be reported in column 060 of this row: Original deduction Article 66 (a) of CRR.
231 of which: Direct holdings
The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (a) of CRR
232 of which: Indirect holdings
The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (b) of CRR
240 1.3.2.7.
Reciprocal cross holdings
Given that the treatment of the ‘residual amount’ differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.
250 1.3.2.7.1
Reciprocal cross holdings in CET1 Capital
Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 36(1)(g) of CRR
260 1.3.2.7.1.1
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment
Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR
270 1.3.2.7.1.2
Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment
Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR
280 1.3.2.7.2
Reciprocal cross holdings in AT1 Capital
Articles 56 point (b), 474, 475(3) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 56 (b) of CRR
290 1.3.2.7.2.1
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment
Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR
300 1.3.2.7.2.2
Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment
Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR
310 1.3.2.7.3
Reciprocal cross holdings in T2 Capital
Articles 66 point (b), 476, 477(3) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 66 (b) of CRR
320 1.3.2.7.3.1
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment
Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR
330 1.3.2.7.3.2
Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment
Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR
The amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR
340 1.3.2.8.
Own funds instruments of financial sector entities where the institution does not have a significant investment
350 1.3.2.8.1
CET1 instruments of financial sector entities where the institution does not have a significant investment
Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 36(1)(h) of CRR
360 1.3.2.8.2
AT1 instruments of financial sector entities where the institution does not have a significant investment
Articles 56 point (c), 474, 475(4) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 56 (c) of CRR
370 1.3.2.8.3
T2 instruments of financial sector entities where the institution does not have a significant investment
Articles 66 point (c), 476, 477(4) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 66 (c) of CRR
380 1.3.2.9
Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment
Article 470(2) and (3) of CRR
The amount to be reported in column 060 of this row: Article 470(1) of CRR
390 1.3.2.10
Own funds instruments of financial sector entities where the institution has a significant investment
400 1.3.2.10.1
CET1 instruments of financial sector entities where the institution has a significant investment
Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 36(1)(i) of CRR
410 1.3.2.10.2
AT1 instruments of financial sector entities where the institution has a significant investment
Articles 56 point (d), 474, 475(4) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 56 (d) of CRR
420 1.3.2.10.3
T2 instruments of financial sector entities where the institution has a significant investment
Articles 66 point (d), 476, 477(4) and 478 of CRR
The amount to be reported in column 060 of this row: Original deduction Article 66 (d) of CRR
425 1.3.2.11
Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items
Article 471 of CRR
430 1.3.3
Additional filters and deductions
Article 481 of CRR
This row reflects the overall effect of transitional provisions on additional filters and deductions.
25.
In accordance with Article 481 of CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.
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 (Article 484 to 491 of CRR).
1.6.3.1.
Instructions concerning specific positions
Columns 010 Amount of instruments plus related share premium
Article 484(3) to (5) of CRR
Instruments which are eligible for each respective row, including their related share premiums.
020 Base for calculating the limit
Articles 486(2) to (4) of CRR
030 Applicable percentage
Article 486(5) of CRR
040 Limit
Article 486(2) to (5) of CRR
050 (-) Amount that exceeds the limits for grandfathering
Article 486(2) to (5) of CRR
060 Total grandfathered amount
The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.
Rows 010 1.
Instruments that qualified for point (a) of Article 57 of 2006/48/EC
Article 484(3) of CRR
The amount to be reported shall include the related share premium accounts.
020 2.
Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489
Article 484(4) of CRR
030 2.1
Total instruments without a call or an incentive to redeem
Article 489 of CRR
The amount to be reported shall include the related share premium accounts.
040 2.2
Grandfathered instruments with a call and incentive to redeem
Article 489 of CRR
050 2.2.1
Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity
Articles 489(3), and 491 point (a) of CRR
The amount to be reported shall include the related share premium accounts.
060 2.2.2
Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity
Articles 489(5), and 491 point (a) of CRR
The amount to be reported shall include the related share premium accounts.
070 2.2.3
Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity
Articles 489(6) and 491 point (c) of CRR
The amount to be reported shall include the related share premium accounts
080 2.3
Excess on the limit of CET1 grandfathered instruments
Article 487(1) of CRR
The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.
090 3.
Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490
Article 484(5) of CRR
100 3.1
Total items without an incentive to redeem
Article 490 of CRR
110 3.2
Grandfathered items with an incentive to redeem
Article 490 of CRR
120 3.2.1
Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity
Articles 490(3), and 491 point (a) of CRR
The amount to be reported shall include the related share premium accounts.
130 3.2.2
Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
Articles 490(5), and 491 point (a) of CRR
The amount to be reported shall include the related share premium accounts.
140 3.2.3
Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity
Articles 490(6) and 491 point (c) of CRR
The amount to be reported shall include the related share premium accounts.
150 3.3
Excess on the limit of AT1 grandfathered instruments
Article 487(2) of CRR
The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.
2.
GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
2.1.
GENERAL REMARKS
27.
Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.
- a))
Entities within the scope of consolidation;
- b))
Detailed group solvency information;
- c))
Information on the contribution of individual entities to group solvency;
- d))
Information on capital buffers;
28.
Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.
2.2.
DETAILED GROUP SOLVENCY INFORMATION
29.
The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.
30.
In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.
2.3.
INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
31.
The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.
32.
The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.
33.
As this third part of the template refers to ‘contributions’, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.
34.
The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in ‘Group Solvency’ template. In cases where the 1 % threshold is not exceeded a direct link to the CA template is not possible.
35.
The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.
36.
It is possible for one consolidated group to be included within another consolidated group. This means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. If the subgroup is subject to reporting requirements, it shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.
37.
An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.
2.4.
C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
Columns Instructions 250-400 ENTITIES WITHIN SCOPE OF CONSOLIDATION
See instructions for C 06.02
410-480 CAPITAL BUFFERS
See instructions for C 06.02
Rows Instructions 010 TOTAL
The Total shall represent the sum of the values reported in all rows of template C 06.02.
2.5.
C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
Columns Instructions 010-060 ENTITIES WITHIN SCOPE OF CONSOLIDATION
This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR.
010 NAME
Name of the entity within the scope of consolidation.
020 CODE
This code is a row identifier and shall be unique for each row in the table.
Code assigned to the entity within the scope of consolidation.
The actual composition of the code depends on the national reporting system.
025 LEI CODE
LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions.
Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org)).
Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.
030 INSTITUTION OR EQUIVALENT: YES/NO
"YES" shall be reported in case the entity is subject to own funds requirements according to CRD or provisions at least equivalent to Basel provisions.
‘NO’ shall be reported otherwise.
Minority interests:
81(1) point (a) (ii) and 82(1) point (a) (ii)
To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR.
040 SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)
‘SF’ shall be reported for individual subsidiaries fully consolidated.
‘SP’ shall be reported for individual subsidiaries partially consolidated.
050 COUNTRY CODE
Institutions shall report the two-letter country code according to ISO 3166-2.
060 SHARE OF HOLDING (%)
This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with Article 4(16) of CRR, the share of holding of a subsidiary of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned.
070-240 INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT
The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).
Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.
The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.
Reporting of fixed overheads of investment firms:
Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR.
The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.
070 TOTAL RISK EXPOSURE AMOUNT
The sum of the columns 080 to 110 shall be reported.
080 CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK
The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 ‘RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES’ and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 ‘TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS’ of the template CA2.
090 POSITION, FX AND COMMODITY RISKS
The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS’ of the template CA2.
100 OPERATIONAL RISK
The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 ‘TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR)’ of the template CA2.
Fixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of the template CA2.
110 OTHER RISK EXPOSURE AMOUNTS
The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2.
120-240 DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS
The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.
120 OWN FUNDS
The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 ‘OWN FUNDS’ of the template CA1.
130 OF WHICH: QUALIFYING OWN FUNDS
Article 82 of CRR
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.
Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation.
The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
140 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES
Article 87(1)(b) of CRR
150 TOTAL TIER 1 CAPITAL
Article 25 of CRR
160 OF WHICH: QUALIFYING TIER 1 CAPITAL
Article 82 of CRR
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.
Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.
The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
170 RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS
Article 85(1)(b) of CRR
180 COMMON EQUITY TIER 1 CAPITAL
Article 50 of CRR
190 OF WHICH: MINORITY INTERESTS
Article 81 of CRR
This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis.
To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.
The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
200 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES
Article 84(1)(b) of CRR
210 ADDITIONAL TIER 1 CAPITAL
Article 61 of CRR
220 OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL
Articles 82 and 83 of CRR
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in Article 85(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis.
To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.
The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.
230 TIER 2 CAPITAL
Article 71 of CRR
240 OF WHICH: QUALIFYING TIER 2 CAPITAL
Articles 82 and 83 of CRR
This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in Article 87(2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis.
To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.
The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting.
250-400 INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP 250-290 CONTRIBUTION TO RISKS
The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.
250 TOTAL RISK EXPOSURE AMOUNT
The sum of the columns 260 to 290 shall be reported.
260 CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK
The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation.
270 POSITION, FX AND COMMODITY RISKS
Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 ‘TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS’ of the consolidated report.
280 OPERATIONAL RISK
In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification.
Fixed overheads shall be included in this column.
290 OTHER RISK EXPOSURE AMOUNTS
The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.
300-400 CONTRIBUTION TO OWN FUNDS
This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity.
Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, whereas columns 360 to 400 shall be reported by all other consolidated entities which contribute to the consolidated own funds.
Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves.
The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.
300-350 QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS
The amount to be reported as ‘QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS’ shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities.
300 QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS
Article 87 of CRR
310 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL
Article 85 of CRR
320 MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL
Article 84 of CRR
The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR.
330 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL
Article 86 of CRR
The amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to the CRR.
340 QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL
Article 89 of CRR
The amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to the CRR.
350 MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL 360-400 CONSOLIDATED OWN FUNDS
Article 18 CRR
The amount to be reported as ‘CONSOLIDATED OWN FUNDS’ is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.
360 CONSOLIDATED OWN FUNDS 370 OF WHICH: COMMON EQUITY TIER 1 380 OF WHICH: ADDITIONAL TIER 1 390 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT
The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests.
400 OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL
Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here.
410-480 CAPITAL BUFFERS
The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported following the calculating of the buffer requirements, that means depending whether the requirements shall be calculated on consolidated, sub-consolidated or individual level.
410 COMBINED BUFFER REQUIREMENTS
Article 128 point (2) of CRD
420 CAPITAL CONSERVATION BUFFER
Article 128 point (1) and 129 of CRD
According to Article 129(1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this cell.
430 INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER
Article 128 point (7), Article 130 and 135-140 of CRD
In this cell the concrete amount of the countercyclical buffer shall be reported.
440 CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE
Article 458(2) point d (iv) of CRR
In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported.
450 SYSTEMIC RISK BUFFER
Article 133 and 134 of CRD
In this cell the amount of the systemic risk buffer shall be reported.
460 SYSTEMICAL IMPORTANT INSTITUTION BUFFER
Article 128 point (4) of CRD
In this cell the amount of the Systemically important institution buffer shall be reported.
470 GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
Article 131 of CRD
In this cell the amount of the Global Systemically Important Institution buffer shall be reported.
480 OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER
Article 131 of CRD
In this cell the amount of the Other Systemically Important Institution buffer shall be reported.
3.
CREDIT RISK TEMPLATES
3.1.
GENERAL REMARKS
38.
There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.
3.1.1.
Reporting of CRM techniques with substitution effect
39.
Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.
40.
Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority.
41.
Articles 196, 197 and 200 of CRR regulate the funded credit protection.
42.
Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class.
43.
The exposure type does not change because of unfunded credit protection.
44.
If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class.
45.
The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.
3.1.2.
Reporting of Counterparty Credit Risk
46.
Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.
3.2.
C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
3.2.1.
General remarks
47.
The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on:
- a))
the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;
- b))
the amount and type of credit risk mitigation techniques used for mitigating the risks.
3.2.2.
Scope of the CR SA template
48.
According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements.
49.
The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension.
50.
However the following positions are not within the scope of CR SA:
- a))
Exposures assigned to exposure class ‘items representing securitisation positions’ according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.
- b))
Exposures deducted from own funds.
51.
The scope of the CR SA template covers the following own funds requirements:
- a))
Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;
- b))
Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;
- c))
Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.
52.
The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94(1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.
53.
In addition CR SA includes memorandum items in rows 290 to 320 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default.
54.
These memorandum items shall only be reported for the following exposure classes:
- a))
Central governments or central banks (Article 112 point (a) of CRR)
- b))
Regional governments or local authorities (Article 112 point (b) of CRR)
- c))
Public sector entities (Article 112 point (c) of CRR)
- d))
Institutions (Article 112 point (f) of CRR)
- e))
Corporates (Article 112 point (g) of CRR)
- f))
Retail (Article 112 point (h) of CRR).
55.
The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA.
56.
The memorandum rows provide additional information about the obligor structure of the exposure classes 'in default' or 'secured by immovable property'. Here exposures shall be reported 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'.
57.
E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, row 320 in the total and in the exposure class ‘in default’. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 320 of exposure class 'institutions'.
3.2.3.
Assignment of exposures to exposure classes under the Standardised Approach
58.
In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied:
- a))
In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
- b))
In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.
59.
The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.
60.
For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property).
61.
Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in the CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings.
62.
For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.
63.
An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process.
64.
With this background the assessment ranking in the decision tree mentioned below would follow the following order:
- 1..
Securitisation positions;
- 2..
Items associated with particular high risk;
- 3..
Equity exposures
- 4..
Exposures in default;
- 5..
Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/Exposures in the form of covered bonds (disjoint exposure classes);
- 6..
Exposures secured by mortgages on immovable property;
- 7..
Other items;
- 8..
Exposures to institutions and corporates with a short-term credit assessment;
- 9..
All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.
65.
In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132(3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (‘CIU’).
66.
In the case of ‘nth’ to default credit derivatives specified in Article 134(6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the ‘Other items’ exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for ‘Other risk weights’ (the risk weight used shall be that specified by the sum indicated under Article 134(6) of CRR.
67.
In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.
DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR Original exposure pre conversion factors Does it fit for being assigned to the exposure class of Article 112 (m)? YES 
Securitisation positions NO 
Does it fit for being assigned to the exposure class of Article 112point (k)? YES 
Items associated with particular high risk (also see Article 128) NO 
Does it fit for being assigned to the exposure class of Article 112 point (p)? YES 
Equity exposures (also see Article 133) NO 
Does it fit for being assigned to the exposure class of Article 112 point (j)? YES 
Exposures in default NO 
Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)? YES 
Exposures in the form of units or shares in collective investment undertakings (CIU)
Exposures in the form of covered bonds (also see Article 129)
These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward.
NO 
Does it fit for being assigned to the exposure class of Article 112 point (i)? YES 
Exposures secured by mortgages on immovable property (also see Article 124) NO 
Does it fit for being assigned to the exposure class of Article 112 point (q)? YES 
Other items NO 
Does it fit for being assigned to the exposure class of Article 112 point (n)? YES 
Exposures to institutions and corporates with a short-term credit assessment NO 
The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward.
Exposures to central governments or central banks
Exposures to regional governments or local authorities
Exposures to public sector entities
Exposures to multilateral development banks
Exposures to international organisations
Exposures to institutions
Exposures to corporates
Retail exposures
3.2.4.
Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR
3.2.4.1.
Exposure Class ‘Institutions’
68.
Reporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:
69.
Exposures which fulfil the requirements of Article 113(7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.
70.
According Article 113(6) and (7) of CRR ‘an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.’ This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12(1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.
3.2.4.2.
Exposure Class ‘Covered Bonds’
71.
The assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:
72.
Bonds as defined in Article 52(4) of Directive 2009/65/EC shall fulfil the requirements of Article 129(1) to (2) of CRR to be classified in the exposure class ‘Covered Bonds’. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class ‘Covered Bonds’ because of Article 129(6) of CRR.
3.2.4.3.
Exposure class ‘Collective Investment Undertakings’
73.
Where the possibility according to Article 132(5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111(1) sentence 1 of CRR.
3.2.5.
Instructions concerning specific positions
Columns 010 ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR:
For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR.
Exposure values for leases are subject to Article 134(7) of CRR.
In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral.
In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.
030 (-) Value adjustments and provision associated with the original exposure
Article 24 and 110 of CRR
Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.
040 Exposure net of value adjustments and provisions
Sum of columns 010 and 030.
050-100 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM.
If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.
Items to be reported here:
collateral, incorporated according to Financial Collateral Simple Method;
eligible unfunded credit protection.
Please also see instructions of point 4.1.1.
050-060 Unfunded credit protection: adjusted values (Ga)
Article 235 of CRR
Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection.
050 Guarantees
Article 203 of CRR
Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives.
060 Credit derivatives
Article 204 of CRR.
070-080 Funded credit protection
These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors).
Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.
070 Financial collateral: simple method
Article 222(1) to (2) of CRR.
080 Other funded credit protection
Article 232 of CRR.
090-100 SUBSTITUTION OF THE EXPOSURE DUE TO CRM
Articles 222(3), Article 235(1) to (2) and Article 236 of CRR.
Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and subsequently assigned to the protection provider's exposure class. This amount shall be considered as an Inflow into the protection provider's exposure class.
Inflows and outflows within the same exposure classes shall also be reported.
Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
110 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
120-140 CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD
Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)
Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral.
The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.
120 Volatility adjustment to the exposure
Article 223(2) to (3) of CRR.
The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He
130 (-) Financial collateral adjusted value (Cvam)
Article 239(2) of CRR.
For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR.
The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.
140 Of which: Volatility and maturity adjustments
Article 223(1) of CRR and Article 239(2) of CRR.
The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]
150 Fully adjusted exposure value (E*)
Article 220(4), Article 223(2) to (5) and Article 228(1) of CRR.
160-190 Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors
Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR.
200 Exposure value
Part 3 title II chapter 4 section 4 of CRR.
Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.
210 Of which: Arising from Counterparty Credit Risk
For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.
215 Risk weighted exposure amount pre SME-supporting factor
Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.
220 Risk weighted exposure amount after SME-supporting factor
Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.
230 Of which: with a credit assessment by a nominated ECAI 240 Of which: with a credit assessment derived from central government
Rows Instructions 010 Total exposures 020 of which: SME
This row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property
All exposures to SME shall be reported here.
030 of which: SME subject to the SME-supporting factor
This row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property.
Only exposures to SME which meet the requirements of Article 501 CRR shall be reported here.
040 of which: Secured by mortgages on immovable property — Residential property
Article 125 of CRR.
Only reported in exposure class 'Secured by mortgages on immovable property'
050 of which: Exposures under the permanent partial use of the standardised approach
Exposures treated under Article 150(1) of the CRR
060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
Exposures treated under Article 148(1) of the CRR
070-130 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES
Reporting institution’s ‘banking book’ positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.
Reporting institution’s ‘trading book’ counterparty credit risk positions according to Article 92(3) point (f) and Article 299(2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of CRR also break down their ‘trading book’ positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.
070 On balance sheet exposures subject to credit risk
Assets referred to in Article 24 of CRR not included in any other category.
Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 090, 110 and 130, and therefore shall not be reported in this row.
Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.
Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.
080 Off balance sheet exposures subject to credit risk
Off-balance sheet positions comprise those items listed in Annex I of CRR.
Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row.
Exposures arising from assets posted to a CCP according to Article 4(90) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.
090 Securities Financing Transactions
Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document "The Application of Basel II to Trading Activities and the Treatment of Double Default Effects", includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) of CRR.
100 Of which: centrally cleared through a QCCP
Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR.
Trade exposures to a CCP according to Article 4(91) of CRR
110 Derivatives and Long Settlement Transactions
Derivatives comprise those contract listed in Annex II of CRR.
Long Settlement Transactions as defined in Article 272(2) of CRR.
Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 130, shall not be reported in this row.
120 Of which: centrally cleared through a QCCP
Article 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR
Trade exposures to a CCP according to Article 4(91) of CRR
130 From Contractual Cross Product Netting
Exposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) of CRR cannot be assigned to either Derivatives& Long Settlement Transactions or Securities Financing Transactions) shall be included in this row.
140-280 BREAKDOWN OF EXPOSURES BY RISK WEIGHTS 140 0 % 150 2 %
Article 306(1) of CRR
160 4 %
Article 305(3) of CRR
170 10 % 180 20 % 190 35 % 200 50 % 210 70 %
Article 232(3) point (c) of CRR.
220 75 % 230 100 % 240 150 % 250 250 %
Article 133(2) of CRR
260 370 %
Article 471 of CRR
270 1 250 %
Article 133(2) of CRR
280 Other risk weights
This row is not available for exposure classes Government, Corporates, Institutions and Retail.
For reporting those exposures not subject to the risk weights listed in the template.
Article 113(1) to (5) of CRR.
Unrated nth to default credit derivatives under the Standardized Approach (Article 134(6) of CRR) shall be reported in this row under the exposure class "Other items".
See also Article 124(2) and Article 152(2) point (b) of CRR.
290-320 Memorandum Items
See also the explanation of the purpose of the memorandum items in the general section of the CR SA.
290 Exposures secured by mortgages on commercial immovable property
Article 112 point (i) of CRR
This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.
300 Exposures in default subject to a risk weight of 100 %
Article 112 point (j) of CRR.
Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.
310 Exposures secured by mortgages on residential property
Article 112 point (i) of CRR.
This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.
320 Exposures in default subject to a risk weight of 150 %
Article 112 point (j) of CRR.
Exposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.
3.3.
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
3.3.1.
Scope of the CR IRB template
74.
The scope of the CR IRB template covers own funds requirements for:
- i..
Credit risk in the banking book, among which:
Counterparty credit risk in the banking book;
Dilution risk for purchased receivables;
- ii..
Counterparty credit risk in the trading book;
- iii..
Free deliveries resulting from all business activities.
75.
The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).
76.
The CR IRB template does not cover the following data:
- i..
Equity exposures, which are reported in the CR EQU IRB template;
- ii..
Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;
- iii..
‘Other non-obligation assets’, according to Article 147(2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;
- iv..
Credit valuation adjustment risk, which is reported on the CVA Risk template;
The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.
77.
In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class:
"NO""YES" in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)
in case own estimates of LGD and credit conversion factors are used (Advanced IRB)
In any case, for the reporting of the retail portfolios "YES" has to be reported.
In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.
3.3.2.
Breakdown of the CR IRB template
78.
The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:
- 1)
Total
(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)
- 2)
Central banks and central governments
(Article 147(2)(a) CRR)
- 3)
Institutions
(Article 147(2) point (b) CRR)
- 4.1)
Corporate – SME
(Article 147(2) point (c) CRR
- 4.1)*
Corporate — SME subject to SME-supporting factor
(Article 147(2) point (c) CRR in conjunction with Article 501(2))
- 4.2)
Corporate – Specialised lending
(Article 147(8) CRR)
- 4.3)
Corporate – Other
(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).
- 5.1)
Retail – Secured by immovable property SME
(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).
- 5.1)*
Retail — Secured by immovable property SME subject to SME-supporting factor
(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).
- 5.2)
Retail – Secured by immovable property non-SME
(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).
- 5.3)
Retail – Qualifying revolving
(Article 147(2) point (d) in conjunction with Article 154(4) CRR).
- 5.4)
Retail – Other SME
(Article 147(2) point (d) not reported under 5.1 and 5.3).
- 5.4)*
Retail – Other SME subject to SME supporting factor
(Article 147(2) point (d) in conjunction with Article 501(2) CRR not reported under 5.1 and 5.3).
- 5.5)
Retail – Other non – SME
(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).
For the sub-exposure classes 4.1)*, 5.1)* and 5.4)* only row 010 (Total exposures) shall be reported. They represent ‘of which’ positions of the relevant exposure classes with the effect that data relating to these sub-exposure classes shall also be included in the exposure classes 4.1, 5.1 and 5.4.
3.3.3.
C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)
3.3.3.1
Instructions concerning specific positions
Columns Instructions 010 INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.
For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.
It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used.
Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.
Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades.
For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for ‘total exposure’). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.
020 ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.
The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166(1) and (2) and (4) to (7) of CRR.
The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.
030 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.
040-080 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’.
040-050 UNFUNDED CREDIT PROTECTION
Unfunded credit protection: Values as they are defined in Article 4(59) of CRR.
If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.
040 GUARANTEES:
If the CRM effect of the guarantee is calculated by recognition of the substitution effect, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.
Regarding exposures subject to the double default treatment, the value of unfunded credit protection is reported in Column 220.
When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.
When Own estimates of LGD are used: Article 183 of CRR, except paragraph 3. The nominal amount of the guarantees shall be reported.
Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.
050 CREDIT DERIVATIVES:
When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.
When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160
Regarding exposures subject to the double default treatment the value of unfunded credit protection is reported in Column 220.
060 OTHER FUNDED CREDIT PROTECTION
When own estimates of LGD are not used: Article 232 of CRR
When own estimates of LGD are used: those credit risk mitigants that comply with the criteria in Article 212 of the CRR.
To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170
070-080 SUBSTITUTION OF THE EXPOSURE DUE TO CRM
Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, obligor grades or pools.
Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered.
Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
090 EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.
100, 120 Of which: Off Balance Sheet Items
See CR-SA instructions
110 EXPOSURE VALUE
The value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported.
For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied.
For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’.
130 Of which: Arising from counterparty Credit Risk
See CR SA instructions.
140 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
Breakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.
150-210 CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT
CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.
Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of the CRR
Where own estimates of LGD are used:
Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR.
Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of the CRR.
150 GUARANTEES
See instructions to column 040.
160 CREDIT DERIVATIVES
See instructions to column 050.
170 OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION
The relevant value used in the internal modelling of the institution.
Those credit risk mitigants that comply with the criteria in Article 212 of the CRR.
180 ELIGIBLE FINANCIAL COLLATERAL
For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragaph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral.
When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported.
When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.
190-210 OTHER ELIGIBLE COLLATERAL
Where own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR.
Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR.
190 REAL ESTATE
Where own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR.
When own estimates of LGD are used the amount to be reported shall be the estimated market value.
200 OTHER PHYSICAL COLLATERAL
Where own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR.
Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.
210 RECEIVABLES
When own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported.
When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.
220 SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION
Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ‘Guarantees’ and 050 ‘Credit derivatives’.
230 EXPOSURE WEIGHTED AVERAGE LGD (%)
All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR.
For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered.
The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.
All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).
For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228(2) CRR.
The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110.
If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered.
In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR.
The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.
Data shall not be reported for specialized lending exposures referred to in Article 153(5).
Exposure and the respective LGD’s for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.
240 EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
Exposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.
250 EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)
The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days.
This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class ‘retail’.
255 RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.
The SME-supporting factor according to Article 501 of CRR shall not be taken into account.
260 RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
For Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.
The SME-supporting factor according to Article 501 of CRR shall be taken into account.
270 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES
Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR.
280 EXPECTED LOSS AMOUNT
For the definition of Expected Loss see Article 5(3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.
290 (-) VALUE ADJUSTMENTS AND PROVISIONS
Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades.
300 NUMBER OF OBLIGORS
Articles 172(1) and (2) of CRR.
For all exposure classes except retail, 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 the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) of CRR applies, an obligor may be considered in more than one grade.
As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).
Rows Instructions 010 TOTAL EXPOSURES 020-060 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 020 On balance sheet items subject to credit risk
Assets referred to in Article 24 of CRR not included in any other category.
Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.
Free deliveries according to Article 379(1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.
Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if not reported in row 030.
030 Off balance sheet items subject to credit risk
Off-balance sheet positions comprise those items listed in Annex I of CRR.
Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row.
Exposures arising from assets posted to a CCP according to Article 4(91) of CRR and default fund exposures according to Article 4(89) of CRR shall be included if they are considered as off-balance sheet items.
040-060 Exposures/Transactions subject to counterparty credit risk 040 Securities Financing Transactions
Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document "The Application of Basel II to Trading Activities and the Treatment of Double Default Effects", includes: (i) Repurchase and reverse repurchase agreements defined in Article 4(82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) of CRR.
Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.
050 Derivatives and Long Settlement Transactions
Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.
060 From Contractual Cross Product Netting
See CR SA instructions
070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL
For exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR.
For retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR.
Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.
Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.
A master scale is not used. Instead, institutions shall determine the scale to be used themselves.
080 SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL
Article 153(5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.
090-150 BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: 120 Of which: In category 1
Article 153(5) table 1 of CRR.
160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE
Articles 193(1) and (2), 194 (1) to (7) and 230 (3) of CRR.
170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS
Exposures arising from free deliveries for which the alternative treatment referred to in Article 379(2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to a Article 379(2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153(8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.
180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES
See Article 4(53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) of CRR.
According to Article 166(6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.
3.3.4.
C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)
Column Instructions 005 Obligor grade (row identifier)
This is a row identifier and shall be unique for each row on a particular sheet of the table. It shall follow the numerical order 1, 2, 3, etc.
010-300 Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.
Row Instructions 010-001 – 010-NNN Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template. 3.4.
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)
79.
Institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2.
80.
The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’ irrespective of the exposure class where the exposure to supranational organisations is assigned.
81.
Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.
3.4.1.
C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)
3.4.1.1.
Instructions concerning specific positions
Columns 010 ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Same definition as for column 010 of CR SA template
020 Exposures in default
Original exposure pre conversion factors for those exposures which have been classified as ‘defaulted exposures’.
This ‘memorandum item’ provides additional information about the obligor structure of the exposure class 'in default'. Exposures shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes 'in default'.
This information is a ‘memorandum item’ – hence does not affect the calculation of risk weighted exposure amounts of exposure class ‘in default’ according to Article 112 point (j) of CRR.
040 Observed new defaults for the period
The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050 General credit risk adjustments
Credit risk adjustments according to Article 110 of CRR.
055 Specific credit risk adjustments
Credit risk adjustments according to Article 110 of CRR.
060 Write-offs
Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070 Credit risk adjustments/write-offs for observed new defaults
Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.
075 Exposure value
Same definition as for column 200 of CR SA template
080 RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
Same definition as for column 215 of CR SA template
090 RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
Same definition as for column 220 of CR SA template
Rows 010 Central governments or central banks
Article 112 point (a) of CRR.
020 Regional governments or local authorities
Article 112 point (b) of CRR.
030 Public sector entities
Article 112 point (c) of CRR.
040 Multilateral developments banks
Article 112 point (d) of CRR.
050 International organisations
Article 112 point (e) of CRR.
060 Institutions
Article 112 point (f) of CRR.
070 Corporates
Article 112 point (g) of CRR.
075 of which: SME
Same definition as for row 020of CR SA template
080 Retail
Article 112 point (h) of CRR.
085 of which: SME
Same definition as for row 020of CR SA template
090 Secured by mortgages on immovable property
Article 112 point (i) of CRR.
095 of which: SME
Same definition as for row 020of CR SA template
100 Exposures in default
Article 112 point (j) of CRR.
110 Items associated with particularly high risk
Article 112 point (k) of CRR.
120 Covered bonds
Article 112 point (l) of CRR.
130 Claims on institutions and corporates with a short-term credit assessment
Article 112 point (n) of CRR.
140 Collective investments undertakings (CIU)
Article 112 point (o) of CRR.
150 Equity exposures
Article 112 point (p) of CRR.
160 Other exposures
Article 112 point (q) of CRR.
3.4.2.
C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)
3.4.2.1.
Instructions concerning specific positions
Columns 010 ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Same definition as for column 020 of CR IRB template
030 Of which defaulted
Original exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178.
040 Observed new defaults for the period
The amount of original exposures which have moved into exposure class ‘Exposures in default’ during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.
050 General credit risk adjustments
Credit risk adjustments according to Article 110 of CRR.
055 Specific credit risk adjustments
Credit risk adjustments according to Article 110 of CRR.
060 Write-offs
Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].
070 Credit risk adjustments/write-offs for observed new defaults
Sum of credit risk adjustments and write-offs for those exposures which were classified as ‘defaulted exposures’ during the 3-month period since the last data submission.
080 INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
Same definition as for column 010 of CR IRB template
090 EXPOSURE WEIGHTED AVERAGE LGD (%)
Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181(1) point (h) of CRR shall apply.
Data shall not be reported for specialized lending exposures referred to in Article 153(5).
100 Of which: defaulted
Exposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.
105 Exposure value
Same definition as for column 110 of CR IRB template.
110 RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR
Same definition as for column 255 of CR IRB template
120 Of which defaulted
Risk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.
125 RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
Same definition as for column 260 of CR IRB template
130 EXPECTED LOSS AMOUNT
Same definition as for column 280 of CR IRB template
Rows 010 Central banks and central governments
(Article 147(2)(a) CRR)
020 Institutions
(Article 147(2) point (b) CRR)
030 Corporates
(All corporates according to Article 147(2) point (c).)
040 Of which: Specialized lending
(Article 147(8) a CRR)
Data shall not be reported for specialized lending exposures referred to in Article 153(5).
050 Of which: SME
(Article 147(2) point (c) CRR)
060 Retail
All Retail exposures according to Article 147(2) point (d)
070 Retail – Secured by real estate property
Exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.
080 SME
Retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR which are secured by real estate.
090 non-SME
Retail exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.
100 Retail – Qualifying revolving
(Article 147(2) point (d) in conjunction with Article 154(4) CRR).
110 Other Retail
Other retail exposures according to Article 147(2) point (d) not reported in rows 070 - 100.
120 SME
Other retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR.
130 non-SME
Other retail exposures reflecting Article 147(2) point (d) CRR.
140 Equity
Equity exposures reflecting Article 147(2) point (e) CRR.
3.4.3.
C 09.03 – Breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)
3.4.3.1.
General remarks
82.
According to Article 128 point (7) in connection with Articles 130 and 140 (1) CRD the countercyclical buffer rate is the ‘weighted average of the countercyclical buffer rates that apply in the jurisdiction where the relevant credit exposures of the institution are located’. The weighted average is calculated as follows:
- a))
Numerator: Total own funds requirements for credit risk determined in accordance with Part Three, Titles II and IV of CRR that relate to the relevant credit exposures in the territory in question
- b))
Denominator: Total own funds requirements for credit risk that relate to the relevant credit exposures
83.
This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II of the CRR which includes credit risk and securitisation calculated on the basis of the relevant credit exposures broken down by country.
84.
The information shall be reported by each country. The threshold set in Article 5 (a) (4) of this Regulation is not relevant for the reporting of this breakdown.
3.4.3.2.
Instructions concerning specific positions
Rows 010 Own funds requirements for credit risk
Part Three, Title II of the CRR
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
85.
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.
86.
The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR.
87.
According to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class:
- a))
non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or
- b))
debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).
88.
Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template.
89.
In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR:
the Simple Risk Weight approach,
the PD/LGD approach, or
the Internal Models approach.
Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a riskweight of 250 % in accordance with Article 48(4) of CRR, respectively a riskweight of 370 % in accordance with Article 471(2) of CRR))).
90.
The following equity claims shall not be reported in the CR EQU IRB template:
Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).
Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:
Grandfathered equity exposures according to Article 495(1) of CRR,
Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),
Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).
Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of ‘other non credit-obligation assets’ (in accordance with Article 155(1) of CRR).
Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.
3.5.2.
Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)
Columns 005 OBLIGOR GRADE (ROW IDENTIFIER)
The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.
010 INTERNAL RATING SYSTEM
PD ASSIGNED TO THE OBLIGOR GRADE (%)
Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR.
The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.
For figures corresponding to an aggregation of obligor grades or pools (e.g. ‘total exposures’) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.
020 ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.
Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. ‘the unpaid portion of partly-paid shares’).
Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR.
030-040 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
UNFUNDED CREDIT PROTECTION
GUARANTEES
CREDIT DERIVATIVES
Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.
050 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
SUBSTITUTION OF THE EXPOSURE DUE TO CRM
(-) TOTAL OUTFLOWS
Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.
060 EXPOSURE VALUE
Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR).
As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR).
070 EXPOSURE WEIGHTED AVERAGE LGD (%)
Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR.
080 RISK WEIGHTED EXPOSURE AMOUNT
Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR.
In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR).
With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR).
090 MEMORANDUM ITEM: EXPECTED LOSS AMOUNT
Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR.
91.
In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach).
Rows CR EQU IRB 1 — row 020, PD/LGD APRROACH: TOTAL
Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template.
CR EQU IRB 1 — rows 050-090 SIMPLE RISK WEIGHT APPROACH: TOTAL
BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:
Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested information according to the characteristics of the underlying exposures in rows 050 to 090.
CR EQU IRB 1 — row 100 INTERNAL MODELS APPROACH
Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100.
CR EQU IRB 1 — row 110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS
Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example,
the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as
equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 110.
CR EQU IRB 2 BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:
Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template.
In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.
3.6.
C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
3.6.1.
General remarks
92.
This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) point (c) ii) and 378 of CRR.
93.
Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.
94.
According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.
95.
In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.
96.
Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.
97.
According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.
98.
Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).
3.6.2.
Instructions concerning specific positions
Columns 010 UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE
In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices.
All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.
020 PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS
In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution.
Only unsettled transactions at a loss after the due settlement date shall be reported in column 020
030 OWN FUNDS REQUIREMENTS
Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.
040 TOTAL SETTLEMENT RISK EXPOSURE AMOUNT
In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.
Rows 010 Total unsettled transactions in the Non-trading Book
Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).
Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.
Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.
Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).
020 to 060 Transactions unsettled up to 4 days (Factor 0 %)
Transactions unsettled between 5 and 15 days (Factor 8 %)
Transactions unsettled between 16 and 30 days (Factor 50 %)
Transactions unsettled between 31 and 45 days (Factor 75 %)
Transactions unsettled for 46 days or more (Factor 100 %)
Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060.
No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.
070 Total unsettled transactions in the Trading Book
Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) point (c) ii) and 378 of CRR).
Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.
Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.
Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘price difference’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).
080 to 120 Transactions unsettled up to 4 days (Factor 0 %)
Transactions unsettled between 5 and 15 days (Factor 8 %)
Transactions unsettled between 16 and 30 days (Factor 50 %)
Transactions unsettled between 31 and 45 days (Factor 75 %)
Transactions unsettled for 46 days or more (Factor 100 %)
Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120.
No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.
3.7.
C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
3.7.1.
General remarks
99.
The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
100.
The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242(10) and (11) of CRR, respectively.
3.7.2.
Instructions concerning specific positions
Columns 010 TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported.
In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR.
020-040 SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES
Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch.
020 (-) FUNDED CREDIT PROTECTION (CVA)
The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.
030 (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)
Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under this column shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection)
The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.
040 NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION
All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.
The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.
050 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Securitisation positions held by the reporting institution, calculated according to Article 246(1)(a), (c) and (e), and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.
Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered.
In case of early amortization clauses, institutions must specify the amount of "originator’s' interest" as defined in Article 256(2) of CRR.
In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.
060 (-) VALUE ADJUSTMENTS AND PROVISIONS
Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.
070 EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS
Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors.
This piece of information is related to column 040 of the CR SA Total template.
080-110 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
Article 4(57) and Part Three, Title II, Chapter 4 of CRR.
This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).
See CR SA instructions (Reporting of CRM techniques with substitution effect).
080 (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)
Unfunded credit protection is defined in Article 4(59) and regulated in Article 235 of CRR.
See CR SA instructions (Reporting of CRM techniques with substitution effect).
090 (-) FUNDED CREDIT PROTECTION
Funded credit protection is defined in Article 4(58) and regulated in Articles 195, 197 and 200 of CRR.
Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral.
See CR SA instructions (Reporting of CRM techniques with substitution effect).
100-110 SUBSTITUTION OF THE EXPOSURE DUE TO CRM:
Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.
100 (-) TOTAL OUTFLOWS
Articles 222(3) and 235 (1) and (2).
Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade.
This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.
This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.
110 TOTAL INFLOWS
Securitisation positions which are debt securities and are eligible financial collateral according to Article 197(1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.
This piece of information is related to column 100 (Total Inflows) of the CR SA Total template.
120 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’.
This piece of information is related to column 110 of the CR SA Total template.
130 (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)
This item also includes credit linked notes (Article 218 of CRR).
This piece of information is related to columns 120 and 130 of the CR SA Total template.
140 FULLY ADJUSTED EXPOSURE VALUE (E*)
Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point (c) of CRR.
This piece of information is related to column 150 of the CR SA Total template.
150-180 BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS
Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in the CRR.
See columns 160 to 190 of the CR SA Total template.
For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, [0 %, 20 %], [20 %, [50 %] and [50 %, 100 %].
190 EXPOSURE VALUE
Securitisation positions according to Article 246 of CRR.
This piece of information is related to column 200 of the CR SA Total template.
200 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS
Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1 250 % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.
210 EXPOSURE VALUE SUBJECT TO RISK WEIGHTS
Exposure value minus the exposure value deducted from own funds.
220-320 BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS 220-260 RATED
Article 242(8) of CRR defines rated positions.
Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR.
270 1 250 % (UNRATED)
Article 242(7) of CRR defines unrated positions.
280 LOOK-THROUGH
Articles 253, 254 and 256(5) of CRR.
The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).
290 LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP
Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR.
Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.
300 LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)
Exposure value weighted average risk weight shall be provided.
310 INTERNAL ASSESSMENT APPROACH (IAA)
Articles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.
320 IAA: AVERAGE RISK WEIGHT (%)
Exposure value weighted average risk weight shall be provided.
330 RISK-WEIGHTED EXPOSURE AMOUNT
Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.
340 OF WHICH: SYNTHETIC SECURITISATIONS
For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.
350 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS
Articles 14(2), 406(2) and 407 of CRR provide that whenever certain requirements in Articles 405, 406 or 409 of CRR are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR. Such an additional risk weight may not only be imposed to investor institutions, but also to originators, sponsors and original lenders.
360 ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES
For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.
370-380 TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP
Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (column 370)/after (column 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR.
390 MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES
Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.
101.
The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.
102.
Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
Rows 010 TOTAL EXPOSURES
Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.
020 OF WHICH: RE-SECURITISATIONS
Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.
030 ORIGINATOR: TOTAL EXPOSURES
This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.
040-060 ON-BALANCE SHEET ITEMS
Article 246(1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments.
On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).
070-090 OFF-BALANCE SHEET ITEMS AND DERIVATIVES
These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified.
The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.
For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.
For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.
Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR.
100 EARLY AMORTISATION
This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.
110 INVESTOR: TOTAL EXPOSURES
This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.
The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.
120-140 ON-BALANCE SHEET ITEMS
The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.
150-170 OFF-BALANCE SHEET ITEMS AND DERIVATIVES
The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.
180 SPONSOR: TOTAL EXPOSURES
This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows the information regarding its own securitised assets.
190-210 ON-BALANCE SHEET ITEMS
The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.
220-240 OFF-BALANCE SHEET ITEMS AND DERIVATIVES
The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.
250-290 BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION
These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.
These rows are only to be reported for columns 190 to 270 and columns 330 to 340.
3.8.
C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
3.8.1.
General remarks
103.
The information in this template is requested for all securitisations for which a significant risk transfer is recognised and in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.
104.
The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.
105.
The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.
3.8.2.
Instructions concerning specific positions
Columns 010 TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date.
See column 010 of CR SEC SA.
020-040 SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES
Articles 249 and 250 of CRR.
Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.
020 (-) FUNDED CREDIT PROTECTION (CVA)
The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.
030 (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)
Following the general rule for ‘inflows’ and ‘outflows’ the amounts reported under column 030 of the CR SEC IRB template shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection).
The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.
040 NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION
All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.
The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.
050 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Securitisation positions held by the reporting institution, calculated according to Article 246(1)(b), (d) and (e), and (2) of CRR, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.
Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered.
In case of early amortisation clauses, institutions must specify the amount of "originator’s' interest" as defined in Article 256(2) of CRR.
In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.
060-090 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
See Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR.
This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).
060 (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)
Unfunded credit protection is defined in Article 4(1)(59) of CRR.
Article 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority.
This piece of information is related to columns 040 and 050 of the CR IRB template.
070 (-) FUNDED CREDIT PROTECTION
Funded credit protection is defined in Article 4(1)(58) of CRR.
Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column.
This piece of information is related to column 060 of the CR IRB template.
080-090 SUBSTITUTION OF THE EXPOSURE DUE TO CRM:
Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.
080 (-) TOTAL OUTFLOWS
Article 236 of CRR.
Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade.
This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.
This piece of information is related to column 070 of the CR IRB template.
090 TOTAL INFLOWS
This piece of information is related to column 080 of the CR IRB template.
100 EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’.
This piece of information is related to column 090 of the CR IRB template.
110 (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)
Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR).
120 FULLY ADJUSTED EXPOSURE VALUE (E*)
Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point (c) of CRR.
130-160 BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS
Article 246(1) point (c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified.
In this respect, Article 4(1)(56) of CRR defines conversion factor.
For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %].
170 EXPOSURE VALUE
Securitisation positions according to Article 246 of CRR.
This piece of information is related to column 110 of the CR IRB template.
180 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS
Article 266(3) of CRR foresees that in case of a securitisation position in respect of which a 1 250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.
190 EXPOSURE VALUE SUBJECT TO RISK WEIGHTS 200-320 RATINGS BASED METHOD (CREDIT QUALITY STEPS)
Article 261 of CRR.
IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating.
Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR.
330 SUPERVISORY FORMULA METHOD
For the Supervisory Formula Method (SFM), Article 262 of CRR.
The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided.
340 SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT
Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the "effective risk weight" of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100).
When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the ‘T’ adjusted according to what is established in Article 264(3) of CRR.
Weighted average risk weights shall be reported in this column.
350 LOOK-THROUGH
The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool).
Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated.
The undrawn amount of the liquidity facilities shall be reported under ‘Off balance sheet items and derivatives’.
As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR.
For early amortisations see Articles 256(5) and 265 of CRR.
360 LOOK-THROUGH: AVERAGE RISK WEIGHT
Exposure value weighted average risk weight shall be provided.
370 INTERNAL ASSESSMENT APPROACH
Article 259(3) and (4) of CRR envisages the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes.
380 IAA: AVERAGE RISK WEIGHT
Weighted average risk weights shall be reported in this column.
390 (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS
Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR.
Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.
400 RISK-WEIGHTED EXPOSURE AMOUNT
Part Three, Title II, Chapter 5, Section 3 of CRR prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.
410 RWEA OF WHICH: SYNTHETIC SECURITISATIONS
For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.
420 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS
Articles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.
430 ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES
For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.
Negative values shall be reported in this column.
440-450 TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP
Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered.
460 MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES
Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.
106.
The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations.
107.
Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
Rows 010 TOTAL EXPOSURES
Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.
020 OF WHICH: RE-SECURITISATIONS
Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.
030 ORIGINATOR: TOTAL EXPOSURES
This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.
040-090 ON-BALANCE SHEET ITEMS
Article 246(1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made.
On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR.
100-150 OFF-BALANCE SHEET ITEMS AND DERIVATIVES
These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified.
Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.
For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.
For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.
Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR.
160 EARLY AMORTISATION
This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.
170 INVESTOR: TOTAL EXPOSURES
This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.
The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.
180-230 ON-BALANCE SHEET ITEMS
The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here.
240-290 OFF-BALANCE SHEET ITEMS AND DERIVATIVES
The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.
300 SPONSOR: TOTAL EXPOSURES
This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets.
310-360 ON-BALANCE SHEET ITEMS
The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here.
370-420 OFF-BALANCE SHEET ITEMS AND DERIVATIVES
The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.
430-540 BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION
These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.
These rows are only to be reported for columns 170 to 320 and columns 400 to 410.
3.9.
C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
3.9.1.
General remarks
108.
This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested.
109.
This template is to be reported for:
- a..
Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.
- b..
Securitisations originated/sponsored by the reporting institution during the year of reportf1, in case it holds no position.
- c..
Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. This underlying could include covered bonds or other liabilities and shall be identified as such in column 160.
- d..
Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).
110.
This template shall be reported by consolidated groups and stand alone institutionsf2 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.
111.
On account of Article 406(1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470.
112.
Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.
3.9.2.
Instructions concerning specific positions
Columns 005 ROW NUMBER
The row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.
010 INTERNAL CODE
Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.
020 IDENTIFIER OF THE SECURITISATION (Code/Name)
Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the eight characters that are common to all tranches of the securitisation shall be reported in this column.
030 IDENTIFIER OF THE ORIGINATOR (Code/Name)
The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column.
In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.
040 SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)
Report the following abbreviations:
‘T’ for Traditional;
‘S’ for Synthetic.
The definitions of ‘traditional securitisation’ and ‘synthetic securitisation’ is provided in Article 242(10) and (11) of CRR.
050 ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?
Report the following abbreviations:
‘K’ if entirely recognised
‘P’ if partially derecognised
‘R’ if entirely derecognised
‘N’ if not applicable.
This column summarises the accounting treatment of the transaction.
In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet.
In all cases, investors shall report ‘N’ (not applicable).
In case of the securitisations of liabilities originators shall not report this column.
Option ‘P’ (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity’ continuing involvement as regulated in IAS 39.30-35.
060 SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?
Originators, only, shall report the following abbreviations:
‘N’ not subject to own funds requirements;
‘B’ banking book;
‘T’ trading book;
‘A’ partly in both books.
Articles 109, 243 and 244 of CRR.
This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book).
If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution.
Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates.
In the case of the securitisations of liabilities originators shall not report this column.
070 SECURITISATION OR RE-SECURITISATION?
According to definitions of ‘securitisation’ and ‘re-securitisation’ are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations:
'S' for securitisation;
'R' for re-securitisation.
080-100 RETENTION
Articles 404 to 410 of CRR.
080 TYPE OF RETENTION APPLIED
For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR:
AV 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’.
B 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.
C 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’.
D 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’.
E 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’.
N Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR.
U Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR.
In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance.
090 % OF RETENTION AT REPORTING DATE
The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date).
Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not necessarily required.
This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).
100 COMPLIANCE WITH THE RETENTION REQUIREMENT?
Article 405(1) of CRR.
Report the following abbreviations:
YN Yes;
No.
This column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).
110 ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)
Report the following abbreviations:
‘O’ for Originator;
‘S’ for Sponsor;
‘L’ for Original Lender;
‘I’ for Investor.
See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.
120-130 NON ABCP PROGRAMS
Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.
120 ORIGINATION DATE (mm/yyyy)
The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: ‘mm/yyyy’.
For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities.
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
130 TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE
This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date.
In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported.
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
140-220 SECURITISED EXPOSURES
Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.
140 TOTAL AMOUNT
Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced.
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
150 INSTITUTION'S SHARE (%)
It shall be reported the institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms).
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
160 TYPE
This column gathers information on the type of assets (‘1’ to ‘8’) or liabilities (‘9’ and ‘10’) of the securitised portfolio. The institution must report one of the following number codes:
12 Residential mortgages;
3 Commercial mortgages;
4 Credit card receivables;
5 Leasing;
6 Loans to corporates or SMEs (treated as corporates);
7 Consumer loans;
8 Trade receivables;
9 Other assets;
10 Covered bonds;
Other liabilities.
In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘10’ (Other liabilities) includes treasury bonds and credit linked notes.
For securitisation schemes backed by closed pools the type cannot change between reporting dates.
170 APPROACH APPLIED (SA/IRB/MIX)
This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures.
Report the following abbreviations:
‘S’ for Standardised Approach;
‘I’ for Internal Ratings Based Approach;
‘M’ for a combination of both approaches (SA/IRB).
If under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template.
If under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template.
If under combination of SA and IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates.
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.
180 NUMBER OF EXPOSURES
Article 261(1) of CRR.
This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘I’ in column 170). The institution shall report the effective number of exposures.
This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.
190 COUNTRY
Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then "OT" (other) shall be reported.
200 ELGD (%)
The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘I’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR.
This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.
210 (-) VALUE ADJUSTMENTS AND PROVISIONS
See columns 060 in CR SEC SA and 390 in CR SEC IRB.
This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities.
This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
Sponsors shall not report this column.
220 OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)
This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (kirb), as a percentage (with two decimals) on the total of securitised exposures at origination date. kirb is defined in Article 242(4) of CRR.
This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
Sponsors shall not report this column.
230-300 SECURITISATION STRUCTURE
This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity.
In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.
230-250 ON-BALANCE SHEET ITEMS
This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).
230 SENIOR
All tranches that do not qualify as mezzanine or first loss shall be included in this category.
240 MEZZANINE
See Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR.
250 FIRST LOSS
First loss tranche is defined in Article 242(15) of CRR.
260-280 OFF-BALANCE SHEET ITEMS AND DERIVATIVES
This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).
The same criteria of classification among tranches used for on-balance sheet items shall be applied here.
290 FIRST FORESEEABLE TERMINATION DATE
The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates:
- (i)
the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;
- (ii)
the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.
The month and year of the first foreseeable termination date shall be reported according to the following format: ‘mm/yyyy’.
300 LEGAL FINAL MATURITY DATE
The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).
The month and year of the legal final maturity date shall be reported according to the following format: ‘mm/yyyy’.
310-400 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS
This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.
310-330 ON-BALANCE SHEET ITEMS
The same criteria of classification among tranches used for on-balance sheet items shall be applied here.
340-360 OFF-BALANCE SHEET ITEMS AND DERIVATIVES
The same criteria of classification among tranches used for off-balance sheet items shall be applied here.
370-400 MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360).
370 DIRECT CREDIT SUBSTITUTES (DCS)
This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).
According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:
Guarantees having the character of credit substitutes.
Irrevocable standby letters of credit having the character of credit substitutes.
380 IRS/CRS
IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.
390 ELIGIBLE LIQUIDITY FACILITIES
Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).
400 OTHER (INCLUDING NON-ELIGIBLE LF)
This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).
410 EARLY AMORTISATION: CONVERSION FACTOR APPLIED
Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors’ interest (in order to calculate risk-weighted exposure amounts).
This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations).
According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread.
In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.
420 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS
This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template.
A negative figure shall be reported in this column.
430 TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP
This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column.
In the case of the securitisations of liabilities this column shall not be reported.
440 TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP
This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column.
In the case of the securitisations of liabilities this column shall not be reported.
450-510 SECURITISATION POSITIONS — TRADING BOOK 450 CTP OR NON-CTP?
Report the following abbreviations:
CN Correlation Trading Portfolio (CTP);
Non-CTP
460-470 NET POSITIONS — LONG/SHORT
See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.
480 TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK
See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.
4.
OPERATIONAL RISK TEMPLATES
4.1.
C 16.00 – OPERATIONAL RISK (OPR)
4.1.1.
General Remarks
113.
This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level
114.
Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should 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.
115.
If an institution can justify its competent authority that – due to exceptional circumstances such as a merger or a disposal of entities or activities – using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available.
116.
By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk.
117.
By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.
118.
This template shall be submitted by all institutions subject to operational risk own funds requirement.
4.1.2.
Instructions concerning specific positions
Columns 010-030 RELEVANT INDICATOR
Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks.
Hereafter, the term "relevant indicator" refers to "the sum of the elements" at the end of the financial year as defined in Article 316 point 1, Table1 of CRR.
If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year + 2).
Furthermore if there are no historical data on "relevant indicator" available the institution may use forward-looking business estimates.
040-060 LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)
These columns shall be used to report the amounts of the loans and advances for business lines ‘Commercial banking’ and ‘Retail banking’, as referred to in Article 319(1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319(1) point (a) of CRR).
For the "commercial banking" business line, securities held in the non-trading book shall also be included.
070 OWN FUND REQUIREMENT
The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.
071 TOTAL OPERATIONAL RISK EXPOSURE AMOUNT
Article 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5.
080 OF WHICH: DUE TO AN ALLOCATION MECHANISM
Article 18(1) of CRR (related to the inclusion, in the application referred to in Article 312(2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company.
090-120 AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE 090 OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES
The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).
100 (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES
In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322(2) point (a) of CRR) is reported.
110 (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION
The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a ‘perfect dependence’ situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than ‘perfect dependence’ between the risk classes). The ‘perfect dependence’ situation occurs in the ‘default case’, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the ‘default case’ and that obtained after applying the correlations structure between the risk classes. The value reflects the ‘diversification capacity’ of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.
120 (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)
In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.
Rows 010 BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)
This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR).
020 BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES
The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.
030-100 SUBJECT TO TSA
In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.
110-120 SUBJECT TO ASA
Institutions using the ASA (Article 319 of CRR) shall report for the respective years relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines "Commercial banking" and "Retail banking".
Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line ‘Commercial banking’ and those corresponding to the business line ‘Retail banking’ (Article 319 of CRR). There can be amounts for the rows corresponding to ‘Commercial banking’ and ‘Retail banking’ under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).
130 BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA
The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported.
In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.
4.2.
C 17.00 – OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)
4.2.1.
General Remarks
119.
This template summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss.
120.
The information is presented by distributing the gross losses above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line "Corporate items" as referred to in Article 322(3) point (b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.
121.
Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold.
122.
Rows present the business lines, and within each business line, information on the number of events, the amount of the total loss, the maximum single loss and the sum of the five largest losses (regardless the number of losses).
123.
This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.
124.
Institutions subject to Article 5(b)(2)(ii) of this Regulation may only report the following information for the sum of all event types (column 080) of the OPR Details template:
- (a)
number of events (row 910);
- (b)
total loss amount (row 920);
- (c)
maximum single loss (row 930); and
- (d)
sum of the five largest losses (row 940).
4.2.2.
Instructions concerning specific positions
Columns 010-070 EVENT TYPES
Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 of CRR.
Institutions that calculate their own funds requirement according to TSA or ASA can report the losses for which the event type is not identified in column 080.
080 TOTAL EVENT TYPES
In column 080, for each business line, institutions report the total ‘number of events’ and the total of ‘total loss amount’ as the simple aggregation of the number of loss events and the total gross loss amounts reported in columns 010 to 070. The ‘maximum single loss’ in column 080 is the maximum of the ‘maximum single gross losses’ reported in columns 010 to 070. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.
090-100 MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c) of CRR, last sentence of CRR. If the institution applies only one threshold for in each business line, only the column 090 shall be filled in. In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well.
Rows 010-840 BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS
For each business line as defined in Article 317(4) table 2 of CRR, including the additional business line "Corporate items" as referred to in Article 322(3) point (b) of CRR, and for each event type, the institution shall report, according to the thresholds the following information: number of events, total loss amount, maximum single loss and sum of the five largest losses. For a loss event that affects more than one business line the ‘total loss amount’ is distributed among all the affected business lines.
910-940 TOTAL BUSINESS LINES
For each event type (column 010 to 080), the following information (Article 322(3) points b), c) and e) of CRR on total business lines (rows 910 to 940) has to be reported:
Number of events (row 910): the number of events above the threshold by event types for the total business lines. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one.
Total loss amount (row 920): the total loss amount is the simple aggregation of the total loss amount for each business line.
Maximum single loss (row 930): the maximum single loss is the maximum loss over the threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines.
Sum of the five largest losses (row 940): the sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless the number of losses.
910-940/080 TOTAL BUSINESS LINES — TOTAL EVENT TYPES
Number of events: it is equal to the horizontal aggregation of the number of events in row 910, given that in those figures the events with impacts in different business lines shall have already been considered as one event. This number shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously.
Total loss amount: it is equal to both the horizontal aggregation of total loss amounts by event type in row 920 and the vertical aggregation of total loss amounts by business line in column 080.
Maximum single loss: as previously mentioned, when an event has impact in different business lines, it may be that the amount for ‘Maximum single loss’ in ‘Total Business lines’ for that particular event type is higher than the amounts of ‘Maximum single loss’ in each business line. Hence, the amount in this cell shall be equal to the highest of the values of ‘Maximum single loss’ in ‘Total Business lines’, which may not necessarily be equal to the highest value of ‘Maximum single loss’ across business lines in column 080.
Sum of the five largest losses: it is the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of ‘sum of the five largest losses’ in ‘Total Business lines’ nor the maximum value of ‘sum of the five largest losses’ in column 080.
5.
MARKET RISK TEMPLATES
125.
These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.
126.
The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of CRR.
5.1.
C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
5.1.1.
General Remarks
127.
This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively.
128.
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, HUF, ISK, JPY, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.
5.1.2.
Instructions concerning specific positions
Columns 010-020 ALL POSITIONS (LONG AND SHORT)
Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.
030-040 NET POSITIONS (LONG AND SHORT)
Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.
050 POSITIONS SUBJECT TO CAPITAL CHARGE
Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.
060 OWN FUNDS REQUIREMENTS
The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.
070 TOTAL RISK EXPOSURE AMOUNT
Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.
Rows 010-350 TRADED DEBT INSTRUMENTS IN TRADING BOOK
Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.
011 GENERAL RISK. 012 Derivatives
Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.
013 Other assets and liabilities
Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.
020-200 MATURITY BASED APPROACH
Positions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of CRR and the correspondent own funds requirements set up in Article 339(9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.
210-240 GENERAL RISK. DURATION BASED APPROACH
Positions in traded debt instruments subject to the duration-based approach according to Article 340(1) to (6) of CRR and the correspondent own funds requirements set up in Article 340(7) of CRR. The position shall be split by zones 1, 2 and 3.
250 SPECIFIC RISK
Sum of amounts reported in rows 251, 325 and 330.
Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92(3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327(1) of CRR.
251-321 Own funds requirement for non-securitisation debt instruments
Sum of the amounts reported in rows 260 to 321.
The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332(1) point (e) para 1 and 2 CRR – ‘look-through’). N-th-to-default credit derivatives which are rated externally (Article 332(1) point (e) para 3 CRR) shall be reported separately in line 321.
Reporting of positions subject to Article 336(3) CRR:
There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129(3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity.
If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.
325 Own funds requirement for securitisation instruments
Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.
330 Own funds requirement for the correlation trading portfolio
Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.
340 PARTICULAR APPROACH FOR POSITION RISK IN CIUs
Articles 348 to 350 of CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 of CRR. It includes, if it is the case, the effects of applicable caps in the own funds requirements.
If the particular approach according to Article 348 sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.
350-390 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 329(3) of CRR.
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.
5.2.
C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
5.2.1.
General Remarks
129.
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.
130.
The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
131.
Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.2.2.
Instructions concerning specific positions
Columns 010-020 ALL POSITIONS (LONG AND SHORT)
Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.
030-040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)
Article 258 of CRR.
050-060 NET POSITIONS (LONG AND SHORT)
Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.
070-520 BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS
Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.
230-240 and 460-470 1 250 %
Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.
250-260 and 480-490 SUPERVISORY FORMULA METHOD
Article 337(2) of CRR in connection with Article 262 of CRR.
These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche.
270 and 500 LOOK THROUGH
SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).
IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.
280-290/510-520 INTERNAL ASSESSMENT APPROACH
Article 109(1) sentence 2 and Article 259(3) and (4) of CRR.
These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI’s methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception.
530-540 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS
Article 337(3) of CRR in connection with Article 407 of CRR. Article 14(2) of CRR
550-570 BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS
Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.
580-600 AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS
Article 337 of CRR taking into account the discretion of Article 335 of CRR.
610 TOTAL OWN FUNDS REQUIREMENTS
According to Article 337(4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (column 580) and its weighted net short positions (column 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337(4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (column 600), in order to calculate the own funds requirements.
Rows 010 TOTAL EXPOSURES
Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.
040, 070 and 100 SECURITISATIONS
Article 4(61) and (62) of CRR.
020, 050, 080 and 110 RE-SECURITISATIONS
Article 4(63) of CRR.
030-050 ORIGINATOR
Article 4(13) of CRR
060-080 INVESTOR
Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor
090-110 SPONSOR
Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets
120-210 BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES
Article 337(4), last sentence of CRR.
The breakdown of the underlying assets follows the classification used in the SEC Details template (Column 'Type'):
1-residential mortgages;
2-commercial mortgages;
3-credit card receivables;
4-leasing;
5-loans to corporates or SMEs (treated as corporates);
6-consumer loans;
7-trade receivables;
8-other assets;
9-covered bonds;
10-other liabilities.
For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.
5.3.
C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
5.3.1.
General Remarks
132.
This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338(3)) and the corresponding own funds requirements under the standardised approach.
133.
The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.
134.
This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The "other CTP-positions" are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338(3) CRR), but they are explicitly "linked" (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading "securitisation" or "n-th to default credit derivative".
135.
Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.
5.3.2.
Instructions concerning specific positions
Columns 010-020 ALL POSITIONS (LONG AND SHORT)
Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338(2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of CRR.
030-040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)
Article 258 of CRR.
050-060 NET POSITIONS (LONG AND SHORT)
Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.
070-400 BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB)
Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.
160 and 330 OTHER
Other risk weights not explicitly mentioned in the previous columns.
For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or – if they are incorporated into the CTP – shall be assigned to the column of the respective risk weight.
170-180 and 360-370 1 250 %
Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.
190-200 and 340-350 SUPERVISORY FORMULA METHOD
Article 337(2) of CRR in connection with Article 262 of CRR.
210/380 LOOK THROUGH
SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).
IRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.
220-230 and 390-400 INTERNAL ASSESSMENT APPROACH
Article 259(3) and (4) of CRR.
410-420 BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS
Article 338 without taking into account the discretion of Article 335 of CRR.
430-440 AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS
Article 338 taking into account the discretion of Article 335 of CRR.
450 TOTAL OWN FUNDS REQUIREMENTS
The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).
Rows 010 TOTAL EXPOSURES
Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.
020-040 ORIGINATOR
Article 4(13) of CRR
050-070 INVESTOR
Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor
080-100 SPONSOR
Article 4(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets
030, 060 and 090 SECURITISATIONS
The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338(2) and (3) of CRR.
Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions'.
110 N-TH-TO-DEFAULT CREDIT DERIVATIVES
N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.
The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.
040, 070, 100 and 120 OTHER CTP POSITIONS
The positions in:
Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions';
CTP positions hedged by credit derivatives according to Article 346 CRR;
Other positions that satisfy Article 338(3) of CRR;
are included.
5.4.
C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.4.1.
General Remarks
136.
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.
137.
The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of following markets: Austria, Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Egypt, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Liechtenstein, Luxembourg, Malta, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA plus one residual template for all other markets. For the purpose of this reporting requirement the term ‘market’ shall be read as ‘country’.
5.4.2.
Instructions concerning specific positions
Columns 010-020 ALL POSITIONS (LONG AND SHORT)
Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR).
030-040 NET POSITIONS (LONG AND SHORT)
Articles 327, 329, 332, 341 and 345 of CRR
050 POSITIONS SUBJECT TO CAPITAL CHARGE
Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately.
060 OWN FUNDS REQUIREMENTS
The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.
070 TOTAL RISK EXPOSURE AMOUNT
Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.
Rows 010-130 EQUITIES IN TRADING BOOK
Own funds requirements for position risk according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.
020-040 GENERAL RISK
Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR.
Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.
Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.
021 Derivatives
Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.
022 Other assets and liabilities
Instruments other than derivatives included in the calculation of equity risk of trading book positions.
030 Exchange traded stock-index futures broadly diversified and subject to a particular approach
Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344(1) and (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).
040 Other equities than exchange traded stock-index futures broadly diversified
Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.
050 SPECIFIC RISK
Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.
080 PARTICULAR APPROACH FOR POSITION RISK IN CIUs
The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. For reporting purposes, those positions shall be reported in the MKR SA EQU template.
Positions in CIUs if capital requirements are calculated according to Article 348(1) CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 (reference to the ‘Use of internal models to calculate own funds requirements’) of CRR.
If the particular approach according to Article 348(1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.
If the specific methods of Article 350 CRR are applicable, the reporting of those positions shall follow the underlying investments. As a consequence, those positions would be reported in the relevant rows of either the MKR SA TDI or the MKR SA EQU template.
090-130 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 329(3) of CRR.
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.
5.5.
C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
5.5.1.
General Remarks
138.
Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs. Rows 100 to 470 of this template shall be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of CRR.
139.
The memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
5.5.2.
Instructions concerning specific positions
Columns 020-030 ALL POSITIONS (LONG AND SHORT)
Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) and positions related to items that are already deducted in the calculation of own funds shall not be reported.
040-050 NET POSITIONS (LONG AND SHORT)
Articles 352(3) and (4), first and second sentences, and 353 of CRR.
The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.
060-080 POSITIONS SUBJECT TO CAPITAL CHARGE
Articles 352(4), third sentence, 353 and 354 of CRR.
060-070 POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)
The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions.
Long net positions for each operation in a currency are added to obtain the long net position in that currency.
Short net positions for each operation in a currency are added to obtain the short net position in that currency.
Unmatched positions are added to positions subject to capital charges for other currencies (row 030) in column (060) or (070) depending on their short or long arrangement.
080 POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)
Matched positions for closely correlated currencies
RISK CAPITAL CHARGE (%)
As defined in Articles 351 and 354, the risk capital charges in percentage.
090 OWN FUNDS REQUIREMENTS
The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.
100 TOTAL RISK EXPOSURE AMOUNT
Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.
Rows 010 TOTAL POSITIONS IN NON REPORTING CURRENCIES
Positions in non-reporting currencies and their correspondent own funds requirements according to Article 92(3) point (c) (i) and Article 352(2) and (4) of CRR (for conversion into the reporting currency).
020 CURRENCIES CLOSELY CORRELATED
Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.
030 ALL OTHER CURRENCIES (including CIU’s treated as different currencies)
Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.
Reporting of CIU’s treated as separate currencies according to Article 353 CRR:
There are two different treatments of CIU’s treated as separate currencies for calculating the capital requirements:
- 1..
The modified gold method, if the direction of the CIU’s investment is not available (those CIU’s shall be added to an institution’s overall net foreign-exchange position)
- 2..
If the direction of the CIU’s investment is available, those CIU’s shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU)
The reporting of those CIU’s follows the calculation of the capital requirements accordingly.
040 GOLD
Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.
050-090 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 352(5) and (6) of CRR.
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.
100-120 Breakdown of total positions (reporting currency included) by exposure types
Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.
100 Other assets and liabilities other than off-balance sheet items and derivatives
Positions not included in row 110 or 120 shall be included here.
110 Off-balance sheet items
Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.
120 Derivatives
Positions valued according to Articles 352 CRR.
130-470 MEMORANDUM ITEMS: CURRENCY POSITIONS
The memorandum items of the template shall be filled out separately for All currencies of the Member States of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
5.6.
C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
5.6.1.
General Remarks
140.
This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.
5.6.2.
Instructions concerning specific positions
Columns 010-020 All POSITIONS (LONG AND SHORT)
Gross long/short positions considered positions in the same commodity according to Article 357(1) and (4) of CRR (see also Article 359(1) of CRR).
030-040 NET POSITIONS (LONG AND SHORT)
As defined in Article 357(3) of CRR
050 POSITIONS SUBJECT TO CAPITAL CHARGE
Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.
060 OWN FUNDS REQUIREMENTS
The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.
070 TOTAL RISK EXPOSURE AMOUNT
Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.
Rows 010 TOTAL POSITIONS IN COMMODITIES
Positions in commodities and their correspondent own funds requirements for market risk according to Article 92(3) point (c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.
020-060 POSITIONS BY CATEGORY OF COMMODITY
For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.
070 MATURITY LADDER APPROACH
Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.
080 EXTENDED MATURITY LADDER APPROACH
Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR
090 SIMPLIFIED APPROACH
Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.
100-140 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 358(4) of CRR.
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation
5.7.
C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)
5.7.1.
General Remarks
141.
This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.
142.
Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR/Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.
5.7.2.
Instructions concerning specific positions
Columns 030-040 VaR
It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.
030 Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)
Articles 364(1) point (a) (ii) and 365 (1) of CRR.
040 Previous day VaR (VaRt-1)
Articles 364(1) point (a) (i) and 365 (1) of CRR.
050-060 Stressed VaR
It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.
050 Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)
Articles 364(1) point (b) (ii) and 365 (1) of CRR.
060 Latest available (SVaRt-1)
Articles 364(1) point (b) (i) and 365 (1) of CRR.
070-080 INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE
It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364(2) point (b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
070 12 weeks average measure
Article 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
080 Last Measure
Article 364(2) point (b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.
090-110 ALL PRICE RISKS CAPITAL CHARGE FOR CTP 090 FLOOR
Article 364(3) point (c) of CRR.
= 8 % of the capital charge that would be calculated in accordance with Article 338(1) of CRR for all positions in the ‘all price risks’ capital charge.
100-110 12 WEEKS AVERAGE MEASURE AND LAST MEASURE
Article 364(3) point (b).
110 LAST MEASURE
Article 364(3) point (a)
120 OWN FUNDS REQUIREMENTS
Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364(2) of CRR.
130 TOTAL RISK EXPOSURE AMOUNT
Article 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.
140 Number of overshootings (during previous 250 working days)
Referred to in Article 366 of CRR.
150-160 VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)
As referred to in Article 366 of CRR.
170-180 ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP
The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364(3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.
Rows 010 TOTAL POSITIONS
Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of CRR linked to the risk factors specified in Article 367(2) of CRR.
Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.
020 TRADED DEBT INSTRUMENTS
Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367(2) of CRR.
030 TDI – GENERAL RISK
General risk defined in Article 362 of CRR.
040 TDI – SPECIFIC RISK
Specific risk defined in Article 362 of CRR.
050 EQUITIES
Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367(2) of CRR.
060 EQUITIES – GENERAL RISK
General risk defined in Article 362 of CRR.
070 EQUITIES – SPECIFIC RISK
Specific risk defined in Article 362 of CRR.
080 FOREIGN EXCHANGE RISK
Articles 363(1) and 367 (2) of CRR.
090 COMMODITY RISK
Articles 363(1) and 367 (2) of CRR.
100 TOTAL AMOUNT FOR GENERAL RISK
Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable).
110 TOTAL AMOUNT FOR SPECIFIC RISK
Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable).
5.8.
C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)
5.8.1.
Instructions concerning specific positions
Columns 010 Exposure value
Article 271 of CRR in accordance with article 382 of CRR
Total EAD from all transactions subject to CVA charge
020 Of which: OTC derivatives
Article 271 of CRR in accordance with Article 382(1) of CRR
The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set
030 Of which: SFT
Article 271 of CRR in accordance with Article 382(2) of CRR
The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set
040 MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)
Article 383 of CRR in accordance with Article 363(1)(d) of CRR
VaR calculation based on internal models for market risk
050 PREVIOUS DAY (VaRt-1)
See instructions referring to column 040
060 MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)
See instructions referring to column 040
070 LATEST AVAILABLE (SVaRt-1)
See instructions referring to column 040
080 OWN FUNDS REQUIREMENTS
Article 92(3) d) of CRR
Own funds requirements for CVA Risk calculated via the chosen method
090 TOTAL RISK EXPOSURE AMOUNT
Article 92(4) b) of CRR
Own funds requirements multiplied by 12,5.
Memorandum items 100 Number of counterparties
Article 382 of CRR
Number of counterparties included in calculation of own funds for CVA risk
Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.
110 Of which: proxy was used to determine credit spread
number of counterparties where the credit spread was determined using a proxy instead of directly observed market data
120 INCURRED CVA
Accounting provisions due to decreased credit worthiness of derivatives counterparties
130 SINGLE NAME CDS
Article 386(1) lit. a of CRR
Total notional amounts of single name CDS used as hedge for CVA risk
140 INDEX CDS
Article 386(1) lit. b) of CRR
Total notional amounts of index CDS used as hedge for CVA risk
Rows 010 CVA risk total
Sum of rows 020-040 as applicable
020 According to Advanced method
Advanced CVA risk method as prescribed by Article 383 of CRR
030 According to Standardised method
Standardised CVA risk method as prescribed by Article 384 of CRR
040 Based on OEM
Amounts subject to the application of Article 385 of CRR
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 TEMPLATES 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 F 04.02 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss 4.3 F 04.03 Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets 4.4 F 04.04 Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments 4.5 F 04.05 Subordinated financial assets 5 F 05.00 Breakdown of loans and advances by product 6 F 06.00 Breakdown of loans and advances to non-financial corporations by NACE codes 7 F 07.00 Financial assets subject to impairment that are past due or impaired 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: 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 Derivatives - Hedge accounting 11.1 F 11.01 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge 12 F 12.00 Movements in allowances for credit losses and impairment of equity instruments Collateral and guarantees received 13.1 F 13.01 Breakdown of loans and advances by collateral and guarantees 13.2 F 13.02 Collateral obtained by taking possession during the period [held at the reporting date] 13.3 F 13.03 Collateral obtained by taking possession [tangible assets] accumulated 14 F 14.00 Fair value hierarchy: financial instruments at fair value 15 F 15.00 Derecognition and financial liabilities associated with transferred financial assets Breakdown of selected statement of profit or loss items 16.1 F 16.01 Interest income and expenses by instrument and counterparty sector 16.2 F 16.02 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument 16.3 F 16.03 Gains or losses on financial assets and liabilities held for trading by instrument 16.4 F 16.04 Gains or losses on financial assets and liabilities held for trading by risk 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 financial and non-financial assets Reconciliation between accounting and CRR scope of consolidation: Balance Sheet 17.1 F 17.01 Reconciliation between accounting and CRR scope of consolidation: Assets 17.2 F 17.02 Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given 17.3 F 17.03 Reconciliation between accounting and CRR scope of consolidation: Liabilities 18 F 18.00 Performing and non-performing exposures 19 F 19.00 Forborne exposures PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] Geographical breakdown 20.1 F 20.01 Geographical breakdown of assets by location of the activities 20.2 F 20.02 Geographical breakdown of liabilities by location of the activities 20.3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities 20.4 F 20.04 Geographical breakdown of assets by residence of the counterparty 20.5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty 20.6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty 20.7 F 20.07 Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes 21 F 21.00 Tangible and intangible assets: assets subject to operating lease Asset management, custody and other service functions 22.1 F 22.01 Fee and commission income and expenses by activity 22.2 F 22.02 Assets involved in the services provided PART 3 [SEMI-ANNUAL] Off-balance sheet activities: interests in unconsolidated structured entities 30.1 F 30.01 Interests in unconsolidated structured entities 30.2 F 30.02 Breakdown of interests in unconsolidated structured entities by nature of the activities Related parties 31.1 F 31.01 Related parties: amounts payable to and amounts receivable from 31.2 F 31.02 Related parties: expenses and income generated by transactions with PART 4 [ANNUAL] Group structure 40.1 F 40.01 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 41.3 F 41.03 Hybrid financial instruments not designated at fair value through profit or loss 42 F 42.00 Tangible and intangible assets: carrying amount by measurement method 43 F 43.00 Provisions Defined benefit plans and employee benefits 44.1 F 44.01 Components of net defined benefit plan assets and liabilities 44.2 F 44.02 Movements in defined benefit plan obligations 44.3 F 44.03 Memo items [related to staff expenses] Breakdown of selected items of statement of profit or loss 45.1 F 45.01 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio 45.2 F 45.02 Gains or losses on derecognition of non-financial assets other than held for sale 45.3 F 45.03 Other operating income and expenses 46 F 46.00 Statement of changes in equity 1.
Balance Sheet Statement [Statement of Financial Position]
1.1
Assets
References Breakdown in table Carrying amount 010 010 Cash, cash balances at central banks and other demand deposits IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 030 Cash balances at central banks Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 5 050 Financial assets held for trading IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives IAS 39.9 10 070 Equity instruments IAS 32.11 4 080 Debt securities Annex V.Part 1.24, 26 4 090 Loans and advances Annex V.Part 1.24, 27 4 100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 4 110 Equity instruments IAS 32.11 4 120 Debt securities Annex V.Part 1.24, 26 4 130 Loans and advances Annex V.Part 1.24, 27 4 140 Available-for-sale financial assets IFRS 7.8(d); IAS 39.9 4 150 Equity instruments IAS 32.11 4 160 Debt securities Annex V.Part 1.24, 26 4 170 Loans and advances Annex V.Part 1.24, 27 4 180 Loans and receivables IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 4 190 Debt securities Annex V.Part 1.24, 26 4 200 Loans and advances Annex V.Part 1.24, 27 4 210 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 4 220 Debt securities Annex V.Part 1.24, 26 4 230 Loans and advances Annex V.Part 1.24, 27 4 240 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9 11 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 2.4 4, 40 270 Tangible assets 280 Property, Plant and Equipment IAS 16.6; IAS 1.54(a) 21, 42 290 Investment property IAS 40.5; IAS 1.54(b) 21, 42 300 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 310 Goodwill IFRS 3.B67(d); CRR art 4(1)(113) 320 Other intangible assets IAS 38.8,118 21, 42 330 Tax assets IAS 1.54(n-o) 340 Current tax assets IAS 1.54(n); IAS 12.5 350 Deferred tax assets IAS 1.54(o); IAS 12.5; CRR art 4(106) 360 Other assets Annex V.Part 2.5 370 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 380 TOTAL ASSETS IAS 1.9(a), IG 6 1.2
Liabilities
References Breakdown in table Carrying amount 010 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 8 020 Derivatives IAS 39.9, AG 15(a) 10 030 Short positions IAS 39.AG 15(b) 8 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 8 050 Debt securities issued Annex V.Part 1.31 8 060 Other financial liabilities Annex V.Part 1.32-34 8 070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IAS 39.9 8 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 090 Debt securities issued Annex V.Part 1.31 8 100 Other financial liabilities Annex V.Part 1.32-34 8 110 Financial liabilities measured at amortised cost IFRS 7.8(f); IAS 39.47 8 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 130 Debt securities issued Annex V.Part 1.31 8 140 Other financial liabilities Annex V.Part 1.32-34 8 150 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 8 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b) 170 Provisions IAS 37.10; IAS 1.54(l) 43 180 Pensions and other post employment defined benefit obligations IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 43 190 Other long term employee benefits IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 43 200 Restructuring IAS 37.71, 84(a) 43 210 Pending legal issues and tax litigation IAS 37.Appendix C. Examples 6 and 10 43 220 Commitments and guarantees given IAS 37.Appendix C.9 43 230 Other provisions 43 240 Tax liabilities IAS 1.54(n-o) 250 Current tax liabilities IAS 1.54(n); IAS 12.5 260 Deferred tax liabilities IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 270 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 280 Other liabilities Annex V.Part 2.10 290 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 300 TOTAL LIABILITIES IAS 1.9(b);IG 6 1.3
Equity
References Breakdown in table Carrying amount 010 010 Capital IAS 1.54(r), BAD art 22 46 020 Paid up capital IAS 1.78(e) 030 Unpaid capital which has been called up IAS 1.78(e); Annex V.Part 2.14 040 Share premium IAS 1.78(e); CRR art 4(1)(124) 46 050 Equity instruments issued other than capital Annex V.Part 2.15-16 46 060 Equity component of compound financial instruments IAS 32.28-29; Annex V.Part 2.15 070 Other equity instruments issued Annex V.Part 2.16 080 Other equity IFRS 2.10; Annex V.Part 2.17 090 Accumulated other comprehensive income CRR art 4(1)(100) 46 095 Items that will not be reclassified to profit or loss IAS 1.82A(a) 100 Tangible assets IAS 16.39-41 110 Intangible assets IAS 38.85-87 120 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7 122 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 124 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.82(h); IAS 28.11 128 Items that may be reclassified to profit or loss IAS 1.82A(a) 130 Hedge of net investments in foreign operations [effective portion] IAS 39.102(a) 140 Foreign currency translation IAS 21.52(b); IAS 21.32, 38-49 150 Hedging derivatives. Cash flow hedges [effective portion] IFRS 7.23(c); IAS 39.95-101 160 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.55(b) 170 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 180 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.82(h); IAS 28.11 190 Retained earnings CRR art 4(1)(123) 200 Revaluation reserves IFRS 1.30, D5-D8; Annex V.Part 2.18 210 Other reserves IAS 1.54; IAS 1.78(e) 220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates IAS 28.11; Annex V.Part 2.19 230 Other Annex V.Part 2.19 240 (-) Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 46 250 Profit or loss attributable to owners of the parent IAS 27.28; IAS 1.81B (b)(ii) 2 260 (-) Interim dividends IAS 32.35 270 Minority interests [Non-controlling interests] IAS 27.4; IAS 1.54(q); IAS 27.27 280 Accumulated Other Comprehensive Income IAS 27.27-28; CRR art 4(1)(100) 46 290 Other items IAS 27.27-28 46 300 TOTAL EQUITY IAS 1.9(c), IG 6 46 310 TOTAL EQUITY AND TOTAL LIABILITIES IAS 1.IG6 2.
Statement of profit or loss
References Breakdown in table Current period 010 010 Interest income IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 16 020 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 030 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 040 Available-for-sale financial assets IFRS 7.20(b); IAS 39.55(b); IAS 39.9 050 Loans and receivables IFRS 7.20(b); IAS 39.9, 39.46(a) 060 Held-to-maturity investments IFRS 7.20(b); IAS 39.9, 39.46(b) 070 Derivatives - Hedge accounting, interest rate risk IAS 39.9; Annex V.Part 2.23 080 Other assets Annex V.Part 2.25 090 (Interest expenses) IAS 1.97; Annex V.Part 2.21 16 100 (Financial liabilities held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 110 (Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 120 (Financial liabilities measured at amortised cost) IFRS 7.20(b); IAS 39.47 130 (Derivatives - Hedge accounting, interest rate risk) IAS 39.9; Annex V.Part 2.23 140 (Other liabilities) Annex V.Part 2.26 150 (Expenses on share capital repayable on demand) IFRIC 2.11 160 Dividend income IAS 18.35(b)(v); Annex V.Part 2.28 170 Financial assets held for trading IFRS 7.20(a)(i), B5(e) 180 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e); IAS 39.9 190 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) 200 Fee and commission income IFRS 7.20(c) 22 210 (Fee and commission expenses) IFRS 7.20(c) 22 220 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net IFRS 7.20(a) (ii-v); Annex V.Part 2.97 16 230 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) 240 Loans and receivables IFRS 7.20(a)(iv); IAS 39.9, 39.56 250 Held-to-maturity investments IFRS 7.20(a)(iii); IAS 39.9, 39.56 260 Financial liabilities measured at amortised cost IFRS 7.20(a)(v); IAS 39.56 270 Other 280 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IAS 39.55(a) 16 290 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IAS 39.55(a) 16, 45 300 Gains or (-) losses from hedge accounting, net IFRS 7.24; Annex V.Part 2.30 16 310 Exchange differences [gain or (-) loss], net IAS 21.28, 52 (a) 330 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 45 340 Other operating income Annex V.Part 2.141-143 45 350 (Other operating expenses) Annex V.Part 2.141-143 45 355 TOTAL OPERATING INCOME, NET 360 (Administrative expenses) 370 (Staff expenses) IAS 19.7; IAS 1.102, IG 6 44 380 (Other administrative expenses) 390 (Depreciation) IAS 1.102, 104 400 (Property, Plant and Equipment) IAS 1.104; IAS 16.73(e)(vii) 410 (Investment Properties) IAS 1.104; IAS 40.79(d)(iv) 420 (Other intangible assets) IAS 1.104; IAS 38.118(e)(vi) 430 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 43 440 (Commitments and guarantees given) 450 (Other provisions) 460 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(e) 16 470 (Financial assets measured at cost) IFRS 7.20(e); IAS 39.66 480 (Available- for-sale financial assets) IFRS 7.20(e); IAS 39.67 490 (Loans and receivables IFRS 7.20(e); IAS 39.63 500 (Held to maturity investments) IFRS 7.20(e); IAS 39.63 510 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) IAS 28.40-43 16 520 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 16 530 (Property, plant and equipment) IAS 16.73(e)(v-vi) 540 (Investment properties) IAS 40.79(d)(v) 550 (Goodwill) IFRS 3.Appendix B67(d)(v); IAS 36.124 560 (Other intangible assets) IAS 38.118 (e)(iv)(v) 570 (Other) IAS 36.126 (a)(b) 580 Negative goodwill recognised in profit or loss IFRS 3.Appendix B64(n)(i) 590 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates IAS 1.82(c) 600 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.27 610 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 620 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 1.82(d); IAS 12.77 630 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS IAS 1, IG 6 640 Profit or (-) loss after tax from discontinued operations IAS 1.82(e); IFRS 5.33(a), 5.33 A 650 Profit or (-) loss before tax from discontinued operations IFRS 5.33(b)(i) 660 (Tax expense or (-) income related to discontinued operations) IFRS 5.33 (b)(ii),(iv) 670 PROFIT OR (-) LOSS FOR THE YEAR IAS 1.81A(a) 680 Attributable to minority interest [non-controlling interests] IAS 1.83(a)(i) 690 Attributable to owners of the parent IAS 1.81B (b)(ii) 3.
Statement of comprehensive income
References Current period 010 010 Profit or (-) loss for the year IAS 1.7, 81(b), 83(a), IG6 020 Other comprehensive income IAS 1.7, 81(b), IG6 030 Items that will not be reclassified to profit or loss IAS 1.82A(a) 040 Tangible assets IAS 1.7, IG6; IAS 16.39-40 050 Intangible assets IAS 1.7; IAS 38.85-86 060 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.93A 070 Non-current assets and disposal groups held for sale IFRS 5.38 080 Share of other recognised income and expense of entities accounted for using the equity method IAS 1.82(h), IG6; IAS 28.11 090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.31 100 Items that may be reclassified to profit or loss IAS 1.82A(b) 110 Hedge of net investments in foreign operations [effective portion] IAS 39.102(a) 120 Valuation gains or (-) losses taken to equity IAS 39.102(a) 130 Transferred to profit or loss IAS 1.7, 92-95; IAS 39.102(a) 140 Other reclassifications 150 Foreign currency translation IAS 1.7, IG6; IAS 21.52(b) 160 Translation gains or (-) losses taken to equity IAS 21.32, 38-47 170 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49 180 Other reclassifications 190 Cash flow hedges [effective portion] IAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96 200 Valuation gains or (-) losses taken to equity IAS 1.IG6; IAS 39.95(a)-96 210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IAS 39.97-101 220 Transferred to initial carrying amount of hedged items IAS 1.IG6; IAS 39.97-101 230 Other reclassifications 240 Available-for-sale financial assets IAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) 250 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) 260 Transferred to profit or loss IFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b) 270 Other reclassifications IFRS 5.IG Example 12 280 Non-current assets and disposal groups held for sale IFRS 5.38 290 Valuation gains or (-) losses taken to equity IFRS 5.38 300 Transferred to profit or loss IAS 1.7, 92-95; IFRS 5.38 310 Other reclassifications IFRS 5.IG Example 12 320 Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates IAS 1.82(h), IG6; IAS 28.11 330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.31 340 Total comprehensive income for the year IAS 1.7, 81A(a), IG6 350 Attributable to minority interest [Non-controlling interest] IAS 1.83(b)(i), IG6 360 Attributable to owners of the parent IAS 1.83(b)(ii), IG6 4.
Breakdown of financial assets by instrument and by counterparty sector
4.1
Financial assets held for trading
References Carrying amount Accumulated changes in fair value due to credit risk Annex V.Part 2.46 010 020 010 Equity instruments IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 4.2
Financial assets designated at fair value through profit or loss
References Carrying amount Accumulated changes in fair value due to credit risk IFRS 7.9 (c); Annex V.Part 2.46 010 020 010 Equity instruments IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IAS 39.9 4.3
Available-for-sale financial assets
References Carrying amount of unimpaired assets Carrying amount of impaired assets Carrying amount Accumulated impairment IAS 39.58-62 Annex V.Part 2.34 Annex V.Part 2.46 010 020 030 040 010 Equity instruments IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 AVAILABLE-FOR-SALE FINANCIAL ASSETS IFRS 7.8(d); IAS 39.9 4.4
Loans and receivables and held-to-maturity investments
References Unimpaired assets [gross carrying amount] Impaired assets [gross carrying amount] Specific allowances for financial assets, individually estimated Specific allowances for financial assets, collectively estimated Collective allowances for incurrred but not reported losses Carrying amount IFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59 IAS 39.AG 84-92; Annex V.Part 2.36 IAS 39.AG 84-92; Annex V.Part 2.37 IAS 39.AG 84-92; Annex V.Part 2.38 Annex V.Part 2.39 010 020 030 040 050 060 010 Debt securities Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f) 140 LOANS AND RECEIVABLES IAS 39,9 AG 16, AG26; Annex V.Part 1.16 150 Debt securities Annex V.Part 1.24, 26 160 Central banks Annex V.Part 1.35(a) 170 General governments Annex V.Part 1.35(b) 180 Credit institutions Annex V.Part 1.35(c) 190 Other financial corporations Annex V.Part 1.35(d) 200 Non-financial corporations Annex V.Part 1.35(e) 210 Loans and advances Annex V.Part 1.24, 27 220 Central banks Annex V.Part 1.35(a) 230 General governments Annex V.Part 1.35(b) 240 Credit institutions Annex V.Part 1.35(c) 250 Other financial corporations Annex V.Part 1.35(d) 260 Non-financial corporations Annex V.Part 1.35(e) 270 Households Annex V.Part 1.35(f) 280 HELD-TO-MATURITY IFRS 7.8(c); IAS 39.9, AG16, AG26 4.5
Subordinated financial assets
References Carrying amount 010 010 Loans and advances Annex V.Part 1.24, 27 020 Debt securities Annex V.Part 1.24, 26 030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Annex V.Part 2.40, 54 5.
Breakdown of Loan and advances by product
References Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households Annex V.Part 1.35(a) Annex V.Part 1.35(b) Annex V.Part 1.35(c) Annex V.Part 1.35(d) Annex V.Part 1.35(e) Annex V.Part 1.35(f) 010 020 030 040 050 060 By product 010 On demand [call] and short notice [current account] Annex V.Part 2.41(a) 020 Credit card debt Annex V.Part 2.41(b) 030 Trade receivables Annex V.Part 2.41(c) 040 Finance leases Annex V.Part 2.41(d) 050 Reverse repurchase loans Annex V.Part 2.41(e) 060 Other term loans Annex V.Part 2.41(f) 070 Advances that are not loans Annex V.Part 2.41(g) 080 LOANS AND ADVANCES Annex V.Part 1.24, 27 By collateral 090 of which: mortgage loans [Loans collateralized by immovable property] Annex V.Part 2.41(h) 100 of which: other collateralized loans Annex V.Part 2.41(i) By purpose 110 of which: credit for consumption Annex V.Part 2.41(j) 120 of which: lending for house purchase Annex V.Part 2.41(k) By subordination 130 of which: project finance loans Annex V.Part 2.41(l) 6.
Breakdown of loans and advances to non-financial corporations by NACE codes
References Non-financial corporations Gross carrying amount Of which: non-performing Accumulated impairment or Accumulated changes in fair value due to credit risk Annex V.Part 2.45 Annex V.Part 2. 145-162 Annex V.Part 2.46 010 012 020 010 A
Agriculture, forestry and fishing
NACE Regulation 020 B
Mining and quarrying
NACE Regulation 030 C
Manufacturing
NACE Regulation 040 D
Electricity, gas, steam and air conditioning supply
NACE Regulation 050 E
Water supply
NACE Regulation 060 F
Construction
NACE Regulation 070 G
Wholesale and retail trade
NACE Regulation 080 H
Transport and storage
NACE Regulation 090 I
Accommodation and food service activities
NACE Regulation 100 J
Information and communication
NACE Regulation 110 L
Real estate activities
NACE Regulation 120 M
Professional, scientific and technical activities
NACE Regulation 130 N
Administrative and support service activities
NACE Regulation 140 O
Public administration and defence, compulsory social security
NACE Regulation 150 P
Education
NACE Regulation 160 Q
Human health services and social work activities
NACE Regulation 170 R
Arts, entertainment and recreation
NACE Regulation 180 S
Other services
NACE Regulation 190 LOANS AND ADVANCES Annex V.Part 1.24, 27, 42, 43 7.
Financial assets subject to impairment that are past due or impaired
References Past due but not impaired Carrying amount of the impaired assets Specific allowances for financial assets, individually estimated Specific allowances for financial assets, collectively estimated Collective allowances for incurrred but not reported losses Accumulated write-offs ≤ 30 days > 30 days ≤ 60 days > 60 days ≤ 90 days > 90 days ≤ 180days > 180 days ≤ 1year > 1year IFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48 IAS 39.58-70 IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36 IAS 39 AG 84-92; Annex V.Part 2.37 IAS 39 AG 84-92; Annex V.Part 2.38 IAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50 010 020 030 040 050 060 070 080 090 100 110 010 Equity instruments IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 TOTAL Loans and advances by product, by collateral and by subordination 200 On demand [call] and short notice [current account] Annex V.Part 2.41(a) 210 Credit card debt Annex V.Part 2.41(b) 220 Trade receivables Annex V.Part 2.41(c) 230 Finance leases Annex V.Part 2.41(d) 240 Reverse repurchase loans Annex V.Part 2.41(e) 250 Other term loans Annex V.Part 2.41(f) 260 Advances that are not loans Annex V.Part 2.41(g) 270 of which: mortgage loans [Loans collateralized by inmovable property] Annex V.Part 2.41(h) 280 of which: other collateralized loans Annex V.Part 2.41(i) 290 of which: credit for consumption Annex V.Part 2.41(j) 300 of which: lending for house purchase Annex V.Part 2.41(k) 310 of which: project finance loans Annex V.Part 2.41(l) 8.
Breakdown of financial liabilities
8.1
Breakdown of financial liabilities by product and by counterparty sector
References Carrying amount Amount of cumulative change in fair values attributable to changes in credit risk Amount contractually required to pay at maturity Held for trading Designated at fair value through profit or loss Amortised cost Hedge accounting IFRS 7.8(e)(ii); IAS 39.9, AG 14-15 IFRS 7.8(e)(i); IAS 39.9 IFRS 7.8(f); IAS 39.47 IFRS 7.22(b); IAS 39.9 CRR art 30(b), art 424(1)(d)(i) 010 020 030 037 040 050 010 Derivatives IAS 39.9, AG 15(a) 020 Short positions IAS 39 AG 15(b) 030 Equity instruments IAS 32.11 040 Debt securities Annex V.Part 1.24, 26 050 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 060 Central banks Annex V.Part 1.35(a) 070 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 080 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 090 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 100 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 110 General governments Annex V.Part 1.35(b) 120 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 130 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 140 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 150 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 160 Credit institutions Annex V.Part 1.35(c) 170 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 180 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 190 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 200 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 210 Other financial corporations Annex V.Part 1.35(d) 220 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 230 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 240 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 250 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 260 Non-financial corporations Annex V.Part 1.35(e) 270 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 280 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 290 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 300 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 310 Households Annex V.Part 1.35(f) 320 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 330 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 340 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 350 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 360 Debt securities issued Annex V.Part 1.31; Annex V.Part 2.52 370 Certificates of deposits Annex V.Part 2.52(a) 380 Asset-backed securities CRR art 4(1)(61) 390 Covered bonds CRR art 129(1) 400 Hybrid contracts IAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d) 410 Other debt securities issued Annex V.Part 2.52(e) 420 Convertible compound financial instruments IAS 32.AG 31 430 Non-convertible 440 Other financial liabilities Annex V.Part 1.32-34 450 FINANCIAL LIABILITIES 8.2.
Subordinated financial liabilities
Carriyng amount References Designated at fair value through profit or loss At amortized cost IFRS 7.8(e)(i); IAS 39.9 IFRS 7.8(f); IAS 39.47 010 020 010 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 020 Debt securities issued Annex V.Part 1.31 030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.53-54 9.
Loan commitments, financial guarantees and other commitments
9.1
Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
References Nominal amount IFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62 010 010 Loan commitments given IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 021 of which: non-performing Annex V.Part 2. 145-162 030 Central banks Annex V.Part 1.35(a) 040 General governments Annex V.Part 1.35(b) 050 Credit institutions Annex V.Part 1.35(c) 060 Other financial corporations Annex V.Part 1.35(d) 070 Non-financial corporations Annex V.Part 1.35(e) 080 Households Annex V.Part 1.35(f) 090 Financial guarantees given IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58 101 of which: non-performing Annex V.Part 2. 145-162 110 Central banks Annex V.Part 1.35(a) 120 General governments Annex V.Part 1.35(b) 130 Credit institutions Annex V.Part 1.35(c) 140 Other financial corporations Annex V.Part 1.35(d) 150 Non-financial corporations Annex V.Part 1.35(e) 160 Households Annex V.Part 1.35(f) 170 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 181 of which: non-performing Annex V.Part 2. 145-162 190 Central banks Annex V.Part 1.35(a) 200 General governments Annex V.Part 1.35(b) 210 Credit institutions Annex V.Part 1.35(c) 220 Other financial corporations Annex V.Part 1.35(d) 230 Non-financial corporations Annex V.Part 1.35(e) 240 Households Annex V.Part 1.35(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 2.63 Annex V.Part 2.63 010 020 010 Loan commitments received IAS 39.2(h), 4(a)(c), BC 15; Annex V.Part 2.56-57 020 Central banks Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) 070 Households Annex V.Part 1.35(f) 080 Financial guarantees received IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; Annex V.Part 2.56, 58 090 Central banks Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) 140 Households Annex V.Part 1.35(f) 150 Other Commitments received Annex V.Part 2.56, 59 160 Central banks Annex V.Part 1.35(a) 170 General governments Annex V.Part 1.35(b) 180 Credit institutions Annex V.Part 1.35(c) 190 Other financial corporations Annex V.Part 1.35(d) 200 Non-financial corporations Annex V.Part 1.35(e) 210 Households Annex V.Part 1.35(f) 10.
Derivatives — Trading
By type of risk / By product or by type of market References Carrying amount Notional amount Financial assets held for trading Financial liabilities held for trading Total Trading of which: sold Annex V.Part 2.69 Annex V.Part 2.69 Annex V.Part 2.70-71 Annex V.Part 2.72 010 020 030 040 010 Interest rate Annex V.Part 2.67(a) 020 of which: economic hedges Annex V.Part 2.74 030 OTC options 040 OTC other 050 Organized market options 060 Organized market other 070 Equity Annex V.Part 2.67(b) 080 of which: economic hedges Annex V.Part 2.74 090 OTC options 100 OTC other 110 Organized market options 120 Organized market other 130 Foreign exchange and gold Annex V.Part 2.67(c) 140 of which: economic hedges Annex V.Part 2.74 150 OTC options 160 OTC other 170 Organized market options 180 Organized market other 190 Credit Annex V.Part 2.67(d) 200 of which: economic hedges Annex V.Part 2.74 210 Credit default swap 220 Credit spread option 230 Total return swap 240 Other 250 Commodity Annex V.Part 2.67(e) 260 of which: economic hedges Annex V.Part 2.74 270 Other Annex V.Part 2.67(f) 280 of which: economic hedges Annex V.Part 2.74 290 DERIVATIVES IAS 39.9 300 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) 310 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) 320 of which: OTC - rest Annex V.Part 2.75(c) 11.
Derivatives — 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 Annex V.Part 2.69 Annex V.Part 2.69 Annex V.Part 2.70, 71 Annex V.Part 2.72 010 020 030 040 010 Interest rate Annex V.Part 2.67(a) 020 OTC options 030 OTC other 040 Organized market options 050 Organized market other 060 Equity Annex V.Part 2.67(b) 070 OTC options 080 OTC other 090 Organized market options 100 Organized market other 110 Foreign exchange and gold Annex V.Part 2.67(c) 120 OTC options 130 OTC other 140 Organized market options 150 Organized market other 160 Credit Annex V.Part 2.67(d) 170 Credit default swap 180 Credit spread option 190 Total return swap 200 Other 210 Commodity Annex V.Part 2.67(e) 220 Other Annex V.Part 2.67(f) 230 FAIR VALUE HEDGES IFRS 7.22(b); IAS 39.86(a) 240 Interest rate Annex V.Part 2.67(a) 250 OTC options 260 OTC other 270 Organized market options 280 Organized market other 290 Equity Annex V.Part 2.67(b) 300 OTC options 310 OTC other 320 Organized market options 330 Organized market other 340 Foreign exchange and gold Annex V.Part 2.67(c) 350 OTC options 360 OTC other 370 Organized market options 380 Organized market other 390 Credit Annex V.Part 2.67(d) 400 Credit default swap 410 Credit spread option 420 Total return swap 430 Other 440 Commodity Annex V.Part 2.67(e) 450 Other Annex V.Part 2.67(f) 460 CASH FLOW HEDGES IFRS 7.22(b); IAS 39.86(b) 470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.22(b); IAS 39.86(c) 480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.89A, IE 1-31 490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39 IG F6 1-3 500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.22(b); IAS 39.9 510 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) 520 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) 530 of which: OTC - rest Annex V.Part 2.75(c) 12.
Movements in allowances for credit losses and impairment of equity instruments
References Opening balance Increases due toamounts set aside for estimated loan losses during the period Decreases due toamounts reversed for estimated loan losses during the period Decreases due toamounts taken against allowances 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 Annex V.Part 2.77 Annex V.Part 2.77 Annex V.Part 2.78 Annex V.Part 2.78 010 020 030 040 050 060 070 080 090 010 Equity instruments 020 Specific allowances for financial assets, individually estimated IAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36 030 Debt securities Annex V.Part 1.26 040 Central banks Annex V.Part 1.35(a) 050 General governments Annex V.Part 1.35(b) 060 Credit institutions Annex V.Part 1.35(c) 070 Other financial corporations Annex V.Part 1.35(d) 080 Non-financial corporations Annex V.Part 1.35(e) 090 Loans and advances Annex V.Part 1.27 100 Central banks Annex V.Part 1.35(a) 110 General governments Annex V.Part 1.35(b) 120 Credit institutions Annex V.Part 1.35(c) 130 Other financial corporations Annex V.Part 1.35(d) 140 Non-financial corporations Annex V.Part 1.35(e) 150 Households Annex V.Part 1.35(f) 160 Specific allowances for financial assets, collectively estimated IAS 39.59, 64; Annex V.Part 2.37 170 Debt securities Annex V.Part 1.26 180 Central banks Annex V.Part 1.35(a) 190 General governments Annex V.Part 1.35(b) 200 Credit institutions Annex V.Part 1.35(c) 210 Other financial corporations Annex V.Part 1.35(d) 220 Non-financial corporations Annex V.Part 1.35(e) 230 Loans and advances Annex V.Part 1.27 240 Central banks Annex V.Part 1.35(a) 250 General governments Annex V.Part 1.35(b) 260 Credit institutions Annex V.Part 1.35(c) 270 Other financial corporations Annex V.Part 1.35(d) 280 Non-financial corporations Annex V.Part 1.35(e) 290 Households Annex V.Part 1.35(f) 300 Collective allowances for incurred but not reported losses on financial assets IAS 39.59, 64; Annex V.Part 2.38 310 Debt securities Annex V.Part 1.26 320 Loans and advances Annex V.Part 1.27 530 Total 13.
Collateral and guarantees received
13.1
Breakdown of loans and advances by collateral and guarantees
Maximum amount of the collateral or guarantee that can be considered Guarantees and collateral References Mortgage loans [Loans collateralized by immovable property] Other collateralized loans Financial guarantees received Residential Commercial Cash [Debt instruments issued] Rest IFRS 7.36(b) Annex V.Part 2.81(a) Annex V.Part 2.81(a) Annex V.Part 2.81(b) Annex V.Part 2.81(b) Annex V.Part 2.81(c) 010 020 030 040 050 010 Loans and advances Annex V.Part 2.81 020 of which: Other financial corporations Annex V.Part 1.35(d) 030 of which: Non-financial corporations Annex V.Part 1.35(e) 040 of which: Households Annex V.Part 1.35(f) 13.2
Collateral obtained by taking possession during the period [held at the reporting date]
References Carrying amount 010 010 Non-current assets held-for-sale IFRS 7.38(a) 020 Property, plant and equipment IFRS 7.38(a) 030 Investment property IFRS 7.38(a) 040 Equity and debt instruments IFRS 7.38(a) 050 Other IFRS 7.38(a) 060 Total 13.3
Collateral obtained by taking possession [tangible assets] accumulated
References Carrying amount 010 010 Foreclosure [tangible assets] IFRS 7.38(a); Annex V.Part 2.84 14.
Fair value hierachy: financial instruments at fair value
References Fair value hierarchy IFRS 13.93 (b) Change in fair value for the period ITS V.Part 2.86 Accumulated change in fair value before taxes ITS V.Part 2.87 Level 1 Level 2 Level 3 Level 2 Level 3 Level 1 Level 2 Level 3 IFRS 13.76 IFRS 13.81 IFRS 13.86 IFRS 13.81 IFRS 13.86, 93(f) IFRS 13.76 IFRS 13.81 IFRS 13.86 010 020 030 040 050 060 070 080 ASSETS 010 Financial assets held for trading IFRS 7.8(a)(ii); IAS 39.9, AG 14 020 Derivatives IAS 39.9 030 Equity instruments IAS 32.11 040 Debt securities Annex V.Part 1.24, 26 050 Loans and advances Annex V.Part 1.24, 27 060 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 070 Equity instruments IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 100 Available-for-sale financial assets IFRS 7.8 (h)(d); IAS 39.9 110 Equity instruments IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 140 Derivatives – Hedge accounting IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 LIABILITIES 150 Financial liabilities held for trading IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 160 Derivatives IAS 39.9, AG 15(a) 170 Short positions IAS 39 AG 15(b) 180 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 190 Debt securities issued Annex V.Part 1.31 200 Other financial liabilities Annex V.Part 1.32-34 210 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e) (i); IAS 39.9 220 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 230 Debt securities issued Annex V.Part 1.31 240 Other financial liabilities Annex V.Part 1.32-34 250 Derivatives – Hedge accounting IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 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 2.89 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) IFRS 7.42D(e); CRR art 4(1)(61) IFRS 7.42D(e); Annex V.Part 2.91, 92 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.91, 92 IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 2.89 CRR art 109; Annex V.Part 2.90 010 020 030 040 050 060 070 080 090 100 110 010 Financial assets held for trading IFRS 7.8 (a)(ii); IAS 39.9, AG 14 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 050 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 060 Equity instruments IAS 32.11 070 Debt securities Annex V.Part 1.24, 26 080 Loans and advances Annex V.Part 1.24, 27 090 Available-for-sale financial assets IFRS 7.8(d); IAS 39.9 100 Equity instruments IAS 32.11 110 Debt securities Annex V.Part 1.24, 26 120 Loans and advances Annex V.Part 1.24, 27 130 Loans and receivables IFRS 7.8 (c); IAS 39.9, AG16, AG26 140 Debt securities Annex V.Part 1.24, 26 150 Loans and advances Annex V.Part 1.24, 27 160 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 170 Debt securities Annex V.Part 1.24, 26 180 Loans and advances Annex V.Part 1.24, 27 190 Total 16.
Breakdown of selected statement of profit or loss items
16.1
Interest income and expenses by instrument and counterparty sector
Current period References Income Expenses Annex V.Part 2.95 Annex V.Part 2.95 010 020 010 Derivatives -Trading IAS 39.9; Annex V.Part 2.96 020 Debt securities Annex V.Part 1.26 030 Central banks Annex V.Part 1.35(a) 040 General governments Annex V.Part 1.35(b) 050 Credit institutions Annex V.Part 1.35(c) 060 Other financial corporations Annex V.Part 1.35(d) 070 Non-financial corporations Annex V.Part 1.35(e) 080 Loans and advances Annex V.Part 1.27 090 Central banks Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) 140 Households Annex V.Part 1.35(f) 150 Other assets Annex V.Part 1.51 160 Deposits ECB/2008/32 Annex 2.Part 2.9 170 Central banks Annex V.Part 1.35(a) 180 General governments Annex V.Part 1.35(b) 190 Credit institutions Annex V.Part 1.35(c) 200 Other financial corporations Annex V.Part 1.35(d) 210 Non-financial corporations Annex V.Part 1.35(e) 220 Households Annex V.Part 1.35(f) 230 Debt securities issued Annex V.Part 1.31 240 Other financial liabilities Annex V.Part 1.32-34 250 Derivatives - Hedge accounting, interest rate risk Annex V.Part 2.95 260 Other Liabilities Annex V.Part 2.10 270 INTEREST IAS 18.35(b); IAS 1.97 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 010 010 Equity instruments IAS 32.11 020 Debt securities Annex V.Part 1.26 030 Loans and advances Annex V.Part 1.27 040 Deposits ECB/2008/32 Annex 2.Part 2.9 050 Debt securities issued Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET IFRS 7.20(a)(v-vii); IAS 39.55(a) 16.3
Gains or losses on financial assets and liabilities held for trading by instrument
References Current period 010 010 Derivatives IAS 39.9 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.26 040 Loans and advances Annex V.Part 1.27 050 Short positions IAS 39 AG 15(b) 060 Deposits ECB/2008/32 Annex 2.Part 2.9 070 Debt securities issued Annex V.Part 1.31 080 Other financial liabilities Annex V.Part 1.32-34 090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 7.20(a)(i) 16.4.
Gains or losses on financial assets and liabilities held for trading by risk
References Current period 010 010 Interest rate instruments and related derivatives Annex V.Part 2.99(a) 020 Equity instruments and related derivatives Annex V.Part 2.99(b) 030 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.99I 040 Credit risk instruments and related derivatives Annex V.Part 2.99(d) 050 Derivatives related with commodities Annex V.Part 2.99(e) 060 Other Annex V.Part 2.99(f) 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 7.20(a)(i) 16.5
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument
References Current period Accumulated changes in fair value due to credit risk Annex V.Part 2.100 010 020 010 Equity instruments IAS 32.11 020 Debt securities Annex V.Part 1.26 030 Loans and advances Annex V.Part 1.27 040 Deposits ECB/2008/32 Annex 2.Part 2.9 050 Debt securities issued Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET IFRS 7.20(a)(i) 16.6
Gains or losses from hedge accounting
References Current period 010 010 Fair value changes of the hedging instrument [including discontinuation] IFRS 7.24(a)(i) 020 Fair value changes of the hedged item attributable to the hedged risk IFRS 7.24(a)(ii) 030 Ineffectiveness in profit or loss from cash flow hedges IFRS 7.24(b) 040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations IFRS 7.24(c) 050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET IFRS 7.24 16.7
Impairment on financial and non-financial assets
Current period References AdditionsAnnex V.Part 2.102 ReversalsAnnex V.Part 2.102 Total Accumulated impairment 010 020 030 040 010 Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss IFRS 7.20(e) 020 Financial assets measured at cost IFRS 7.20(e); IAS 39.66 030 Available-for-sale financial assets IFRS 7.20(e); IAS 39.67-70 040 Loans and receivables IFRS 7.20(e); IAS 39.63-65 050 Held-to-maturity investments IFRS 7.20(e); IAS 39.63-65 060 Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates IAS 28.40-43 070 Subsidiaries IFRS 10 Appendix A 080 Joint ventures IAS 28.3 090 Associates IAS 28.3 100 Impairment or (-) reversal of impairment on non-financial assets IAS 36.126(a),(b) 110 Property, plant and equipment IAS 16.73(e)(v-vi) 120 Investment properties IAS 40.79(d)(v) 130 Goodwill IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) 140 Other intangible assets IAS 38.118(e)(iv)(v) 145 Other IAS 36.126(a),(b) 150 TOTAL 160 Interest income on impaired financial assets accrued IFRS 7.20(d); IAS 39.AG 93 17.
Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet
17.1
Assets
References Accounting scope of consolidation [Carrying amount] 010 010 Cash, cash balances at central banks and other demand deposits IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 030 Cash balances at central banks Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 050 Financial assets held for trading IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives IAS 39.9 070 Equity instruments IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 110 Equity instruments IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 140 Available-for-sale financial assets IFRS 7.8(d); IAS 39.9 150 Equity instruments IAS 32.11 160 Debt securities Annex V.Part 1.24, 26 170 Loans and advances Annex V.Part 1.24, 27 180 Loans and receivables IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 190 Debt securities Annex V.Part 1.24, 26 200 Loans and advances Annex V.Part 1.24, 27 210 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 220 Debt securities Annex V.Part 1.24, 26 230 Loans and advances Annex V.Part 1.24, 27 240 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 2.4 270 Assets under reinsurance and insurance contracts IFRS 4.IG20.(b)-(c); Annex V.Part 2.105 280 Tangible assets 290 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 300 Goodwill IFRS 3.B67(d); CRR art 4(1)(113) 310 Other intangible assets IAS 38.8,118 320 Tax assets IAS 1.54(n-o) 330 Current tax assets IAS 1.54(n); IAS 12.5 340 Deferred tax assets IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 350 Other assets Annex V.Part 2.5 360 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 370 TOTAL ASSETS IAS 1.9(a), IG 6 17.2
Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
References Accounting scope of consolidation [Nominal amount] 010 010 Loan commitments given IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 020 Financial guarantees given IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 040 OFF-BALANCE SHEET EXPOSURES 17.3
Liabilities and equity
References Accounting scope of consolidation [Carrying amount] 010 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 020 Derivatives IAS 39.9, AG 15(a) 030 Short positions IAS 39.AG 15(b) 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 050 Debt securities issued Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IAS 39.9 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 110 Financial liabilities measured at amortised cost IFRS 7.8(f); IAS 39.47 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 130 Debt securities issued Annex V.Part 1.31 140 Other financial liabilities Annex V.Part 1.32-34 150 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b) 170 Liabilities under insurance and reinsurance contracts IFRS 4.IG20(a); Annex V.Part 2.106 180 Provisions IAS 37.10; IAS 1.54(l) 190 Tax liabilities IAS 1.54(n-o) 200 Current tax liabilities IAS 1.54(n); IAS 12.5 210 Deferred tax liabilities IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 220 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 230 Other liabilities Annex V.Part 2.10 240 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 250 LIABILITIES IAS 1.9(b);IG 6 260 Capital IAS 1.54(r), BAD art 22 270 Share premium IAS 1.78(e); CRR art 4(1)(124) 280 Equity instruments issued other than capital Annex V.Part 2.15-16 290 Other equity IFRS 2.10; Annex V.Part 2.17 300 Accumulated other comprehensive income CRR art 4(1)(100) 310 Retained earnings CRR art 4(1)(123) 320 Revaluation reserves IFRS 1.30, D5-D8 330 Other reserves IAS 1.54; IAS 1.78 (e) 340 (-) Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 350 Profit or loss attributable to owners of the parent IAS 27.28; IAS 1.83(a)(ii) 360 (-) Interim dividends IAS 32.35 370 Minority interests [Non-controlling interests] IAS 27.4; IAS 1.54(q); IAS 27.27 380 TOTAL EQUITY IAS 1.9(c), IG 6 390 TOTAL EQUITY AND TOTAL LIABILITIES IAS 1.IG6 18.
Information on performing and non-performing exposures
References Gross carrying amount Accumulated impairment, accumulated changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Performing Non-performing on performing exposures on non-performing exposures Not past due or Past due <= 30 days Past due> 30 days <= 60 days Past due> 60 days <= 90 days Unlikely to pay that are not past-due or past-due <= 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year Of which: defaulted Of which: impaired Unlikely to pay that are not past-due or past-due <= 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year Collateral received on non-performing exposues Financialguarantees received on non-performing exposures 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 Annex V. Part 2. 45, 109, 145-162 Annex V. Part 2. 145-162 Annex V. Part 2. 158 Annex V. Part 2. 158 Annex V. Part 2. 158 Annex V. Part 2. 145-162 Annex V. Part 2. 159 Annex V. Part 2. 159 Annex V. Part 2. 159 Annex V. Part 2. 159 CRR art 178; Annex V. Part 2.61 IAS 39. 58-70 Annex V. Part 2. 46 Annex V. Part 2. 161 Annex V. Part 2. 161 Annex V. Part 2. 159,161 Annex V. Part 2. 159,161 Annex V. Part 2. 159,161 Annex V. Part 2. 159,161 Annex V. Part 2. 162 Annex V. Part 2. 162 010 Debt securities Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) 130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 140 Of which: Commercial real estate 150 Households Annex V.Part 1.35(f) 160 Of which: Residential mortgage loans 170 Of which: Credit for consumption 180 DEBT INSTRUMENTS AT AMORTISED COST Annex V. Part I. 13 (d)(e) 190 Debt securities Annex V.Part 1.24, 26 200 Central banks Annex V.Part 1.35(a) 210 General governments Annex V.Part 1.35(b) 220 Credit institutions Annex V.Part 1.35(c) 230 Other financial corporations Annex V.Part 1.35(d) 240 Non-financial corporations Annex V.Part 1.35(e) 250 Loans and advances Annex V.Part 1.24, 27 260 Central banks Annex V.Part 1.35(a) 270 General governments Annex V.Part 1.35(b) 280 Credit institutions Annex V.Part 1.35(c) 290 Other financial corporations Annex V.Part 1.35(d) 300 Non-financial corporations Annex V.Part 1.35(e) 310 Households Annex V.Part 1.35(f) 320 DEBT INSTRUMENTS AT FAIR VALUE other than HFT Annex V. Part I. 13 (b)(c) 330 DEBT INSTRUMENTS other than HFT Annex V. Part I. 13 (b)(c)(d)(e) 340 Loan commitments given IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 350 Central banks Annex V.Part 1.35(a) 360 General governments Annex V.Part 1.35(b) 370 Credit institutions Annex V.Part 1.35(c) 380 Other financial corporations Annex V.Part 1.35(d) 390 Non-financial corporations Annex V.Part 1.35(e) 400 Households Annex V.Part 1.35(f) 410 Financial guarantees given IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 420 Central banks Annex V.Part 1.35(a) 430 General governments Annex V.Part 1.35(b) 440 Credit institutions Annex V.Part 1.35(c) 450 Other financial corporations Annex V.Part 1.35(d) 460 Non-financial corporations Annex V.Part 1.35(e) 470 Households Annex V.Part 1.35(f) 480 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 490 Central banks Annex V.Part 1.35(a) 500 General governments Annex V.Part 1.35(b) 510 Credit institutions Annex V.Part 1.35(c) 520 Other financial corporations Annex V.Part 1.35(d) 530 Non-financial corporations Annex V.Part 1.35(e) 540 Households Annex V.Part 1.35(f) 550 OFF-BALANCE SHEET EXPOSURES Annex V.Part 2.55 19.
Information forborne exposures
References Gross carrying amount of exposures with forbearance measures Accumulated impairment, accumulated changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Performing exposures with forbearance measures Non-performing exposures with forbearance measures on perfoming exposures with forbearance measures on non-performing exposures with forbearance measures Instruments with modifications in their terms and conditions Refinancing of which: Performing forborne exposures under probation Instruments with modifications in their terms and conditions Refinancing of which: Defaulted of which: Impaired of which: Forbearance of non-performing exposures Instruments with modifications in their terms and conditions Refinancing Collateral received on exposures with forbearance measures Financial guarantees received on exposures with forbearance measures 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 Annex V. Part 2. 45, 109, 163-182 Annex V. Part 2. 145-162 Annex V. Part 2. 164 (a), 177, 178, 182 Annex V. Part 2. 164 (b), 177, 178, 181, 182 Annex V. Part 2. 176(b), 177, 180 Annex V. Part 2. 145-162 Annex V. Part 2. 164 (a), 179-180,182 Annex V. Part 2. 164 (b), 179-182 CRR art 178; Annex V. Part 2.61 IAS 39. 58-70 Annex V. Part 2. 172(a), 157 Annex V. Part 2. 46, 183 Annex V. Part 2. 145-183 Annex V. Part 2. 145-183 Annex V. Part 2. 164 (a), 179-180,182,183 Annex V. Part 2. 164 (b), 179-183 Annex V. Part 2. 162 Annex V. Part 2. 162 010 Debt securities Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) 130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 140 Of which: Commercial real estate 150 Households Annex V.Part 1.35(f) 160 Of which: Residential mortgage loans 170 Of which: Credit for consumption 180 DEBT INSTRUMENTS AT AMORTISED COST Annex V. Part I. 13 (d)(e) 190 Debt securities Annex V.Part 1.24, 26 200 Central banks Annex V.Part 1.35(a) 210 General governments Annex V.Part 1.35(b) 220 Credit institutions Annex V.Part 1.35(c) 230 Other financial corporations Annex V.Part 1.35(d) 240 Non-financial corporations Annex V.Part 1.35(e) 250 Loans and advances Annex V.Part 1.24, 27 260 Central banks Annex V.Part 1.35(a) 270 General governments Annex V.Part 1.35(b) 280 Credit institutions Annex V.Part 1.35(c) 290 Other financial corporations Annex V.Part 1.35(d) 300 Non-financial corporations Annex V.Part 1.35(e) 310 Households Annex V.Part 1.35(f) 320 DEBT INSTRUMENTS AT FAIR VALUE other than HFT Annex V. Part I. 13 (b)(c) 330 DEBT INSTRUMENTS other than HFT Annex V. Part I. 13 (b)(c)(d)(e) 340 Loan commitments given IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 20.
Geographical breakdown
20.1
Geographical breakdown of assets by location of the activities
References Carrying amount Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Cash, cash balances at central banks and other demand deposits IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 030 Cash balances at central banks Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 050 Financial assets held for trading IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives IAS 39.9 070 Equity instruments IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 110 Equity instruments IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 140 Available-for-sale financial assets IFRS 7.8(d); IAS 39.9 150 Equity instruments IAS 32.11 160 Debt securities Annex V.Part 1.24, 26 170 Loans and advances Annex V.Part 1.24, 27 180 Loans and receivables IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 190 Debt securities Annex V.Part 1.24, 26 200 Loans and advances Annex V.Part 1.24, 27 210 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 220 Debt securities Annex V.Part 1.24, 26 230 Loans and advances Annex V.Part 1.24, 27 240 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 2.4 270 Tangible assets 280 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 290 Tax assets IAS 1.54(n-o) 300 Other assets Annex V.Part 2.5 310 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38 320 ASSETS IAS 1.9(a), IG 6 20.2
Geographical breakdown of liabilities by location of the activities
References Carrying amount Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 020 Derivatives IAS 39.9, AG 15(a) 030 Short positions IAS 39.AG 15(b) 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 050 Debt securities issued Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IAS 39.9 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 110 Financial liabilities measured at amortised cost IFRS 7.8(f); IAS 39.47 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 130 Debt securities issued Annex V.Part 1.31 140 Other financial liabilities Annex V.Part 1.32-34 150 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b) 170 Provisions IAS 37.10; IAS 1.54(l) 180 Tax liabilities IAS 1.54(n-o) 190 Share capital repayable on demand IAS 32.IE 33; IFRIC 2; Annex V.Part 2.09 200 Other liabilities Annex V.Part 2.10 210 Liabilities included in disposal groups classified as held for sale IAS 1.54(p); IFRS 5.38 220 LIABILITIES IAS 1.9(b);IG 6 20.3
Geographical breakdown of statement of profit or loss items by location of the activities
References Current period Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Interest income IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 020 (Interest expense) IAS 1.97; Annex V.Part 2.21 030 (Expenses on share capital repayable on demand) IFRIC 2.11 040 Dividend income IAS 18.35(b)(v); Annex V.Part 2.28 050 Fee and commission income IFRS 7.20(c) 060 (Fee and commission expenses) IFRS 7.20(c) 070 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net IFRS 7.20(a)(ii-v) 080 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IAS 39.55(a) 090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a) (i); IAS 39.55(a) 100 Gains or (-) losses from hedge accounting, net IFRS 7.24 110 Exchange differences [gain or (-) loss], net IAS 21.28, 52(a) 130 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 140 Other operating income Annex V.Part 2.141-143 150 (Other operating expenses) Annex V.Part 2.141-143 155 TOTAL OPERATING INCOME, NET 160 (Administrative expenses) 170 (Depreciation) IAS 1.102, 104 180 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(e) 200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) IAS 28.40-43 210 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 220 Negative goodwill recognised in profit or loss IFRS 3.Appendix B64(n)(i) 230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates IAS 1.82(c) 240 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.27 250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 260 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 1.82(d); IAS 12.77 270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS IAS 1, IG 6 280 Profit or (-) loss after tax from discontinued operations IAS 1.82(e); IFRS 5.33(a), 5.33 A 290 PROFIT OR (-) LOSS FOR THE YEAR IAS 1.81A(a) 20.4
Geographical breakdown of assets by residence of the counterparty
z-axis Country of residence of the counterparty References Gross carrying amount Of which: debt forbearance Of which: non-perfoming Accumulated impairment or Accumulated changes in fair value due to credit risk Annex V.Part 2.109 Annex V.Part 2.163-183 Annex V.Part 2. 145-162 Annex V.Part 2.46 010 022 025 031 010 Derivatives IAS 39.9 020 Of which: credit institutions Annex V.Part 1.35(c) 030 Of which: other financial corporations Annex V.Part 1.35(d) 040 Equity instruments IAS 32.11 050 Of which: credit institutions Annex V.Part 1.35(c) 060 Of which: other financial corporations Annex V.Part 1.35(d) 070 Of which: non-financial corporations Annex V.Part 1.35(e) 080 Debt securities Annex V.Part 1.24, 26 090 Central banks Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) 140 Loans and advances Annex V.Part 1.24, 27 150 Central banks Annex V.Part 1.35(a) 160 General governments Annex V.Part 1.35(b) 170 Credit institutions Annex V.Part 1.35(c) 180 Other financial corporations Annex V.Part 1.35(d) 190 Non-financial corporations Annex V.Part 1.35(e) 200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 210 Of which: Loans collateralized by commercial immovable property 220 Households Annex V.Part 1.35(f) 230 Of which: Loans collateralized by residential immovable property 240 Of which: Credit for consumption 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 Of which: debt forbearance Of which: non-perfoming Provisions for commitments and guarantees given Annex V.Part 2.62 Annex V.Part 2.163-183 Annex V.Part 2. 145-162 Annex V.Part 2.61 010 022 025 030 010 Loan commitments given IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 020 Financial guarantees given IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 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 1.28, 2.107 010 010 Derivatives IAS 39.9, AG 15(a) 020 Of which: credit institutions Annex V.Part 1.35(c) 030 Of which: other financial corporations Annex V.Part 1.35(d) 040 Short positions IAS 39 AG 15(b) 050 Of which: credit institutions Annex V.Part 1.35(c) 060 Of which: other financial corporations Annex V.Part 1.35(d) 070 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 080 Central banks Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f) 20.7
Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes
z-axis Country of residence of the counterparty Non-financial corporations References Gross carrying amount Of which: non-performing Accumulated impairment or Accumulated changes in fair value due to credit risk Annex V.Part 2.109 Annex V.Part 2. 145-162 Annex V.Part 2.46 010 012 020 010 A
Agriculture, forestry and fishing
NACE Regulation 020 B
Mining and quarrying
NACE Regulation 030 C
Manufacturing
NACE Regulation 040 D
Electricity, gas, steam and air conditioning supply
NACE Regulation 050 E
Water supply
NACE Regulation 060 F
Construction
NACE Regulation 070 G
Wholesale and retail trade
NACE Regulation 080 H
Transport ans storage
NACE Regulation 090 I
Accommodation and food service activities
NACE Regulation 100 J
Information and communication
NACE Regulation 110 L
Real estate activities
NACE Regulation 120 M
Professional, scientific and technical activities
NACE Regulation 130 N
Administrative and support service activities
NACE Regulation 140 O
Public administration and defence, compulsory social security
NACE Regulation 150 P
Education
NACE Regulation 160 Q
Human health services and social work activities
NACE Regulation 170 R
Arts, entertainment and recreation
NACE Regulation 180 S
Other services
NACE Regulation 190 LOANS AND ADVANCES Annex V.Part 1.24, 27 21.
Tangible and intangible assets: assets subject to operating lease
References Carrying amount Annex V.Part 2.110-111 010 010 Property plant and equipment IAS 16.6; IAS 1.54(a) 020 Revaluation model IAS 17.49; IAS 16.31, 73(a)(d) 030 Cost model IAS 17.49; IAS 16.30, 73(a)(d) 040 Investment property IAS 40.IN5; IAS 1.54(b) 050 Fair value model IAS 17.49; IAS 40.33-55, 76 060 Cost model IAS 17.49; IAS 40.56,79(c) 070 Other intangible assets IAS 38.8, 118 080 Revaluation model IAS 17.49; IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 17.49; IAS 38.74 22.
Asset management, custody and other service functions
22.1
Fee and commission income and expenses by activity
References IFRS 7.20(c) Current period 010 010 Fee and commission income Annex V.Part 2.113-115 020 Securities 030 Issuances Annex V.Part 2.116(a) 040 Transfer orders Annex V.Part 2.116(b) 050 Other Annex V.Part 2.116(c) 060 Clearing and settlement Annex V.Part 2.116(d) 070 Asset management Annex V.Part 2.116(e); Annex V.Part 2.117(a) 080 Custody [by type of customer] Annex V.Part 2.116(e); Annex V.Part 2.117(b) 090 Collective investment 100 Other 110 Central administrative services for collective investment Annex V.Part 2.116(e); Annex V.Part 2.117(c) 120 Fiduciary transactions Annex V.Part 2.116(e); Annex V.Part 2.117(d) 130 Payment services Annex V.Part 2.116(e); Annex V.Part 2.117(e) 140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.117(f) 150 Collective investment 160 Insurance products 170 Other 180 Structured Finance Annex V.Part 2.116(f) 190 Servicing of securitization activities Annex V.Part 2.116(g) 200 Loan commitments given IAS 39.47(d)(ii); Annex V.Part 2.116(h) 210 Financial guarantees given IAS 39.47(c)(ii); Annex V.Part 2.116(h) 220 Other Annex V.Part 2.116(j) 230 (Fee and commission expenses) Annex V.Part 2.113-115 240 (Clearing and settlement) Annex V.Part 2.116(d) 250 (Custody) Annex V.Part 2.117(b) 260 (Servicing of securitization activities) Annex V.Part 2.116(g) 270 (Loan commitments received) Annex V.Part 2.116(i) 280 (Financial guarantees received) Annex V.Part 2.116(i) 290 (Other) Annex V.Part 2.116(j) 22.2
Assets involved in the services provided
References Amount of the assets involved in the services provided Annex V.Part 2.117(g) 010 010 Asset management [by type of customer] Annex V.Part 2.117(a) 020 Collective investment 030 Pension funds 040 Customer portfolios managed on a discretionary basis 050 Other investment vehicles 060 Custody assets [by type of customer] Annex V.Part 2.117(b) 070 Collective investment 080 Other 090 Of which: entrusted to other entities 100 Central administrative services for collective investment Annex V.Part 2.117(c) 110 Fiduciary transactions Annex V.Part 2.117(d) 120 Payment services Annex V.Part 2.117(e) 130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.117(f) 140 Collective investment 150 Insurance products 160 Other 30.
Off-balance sheet activities: Interests in unconsolidated structured entities
30.1
Interests in unconsolidated structured entities
References Carrying amount of financial assets recognised in the balance sheet Of which: liquidity support drawn Fair value of liquidity support drawn Carrying amount of financial liabilities recognised in the balance sheet Nominal amount of off-balance sheet items 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 2.118 IFRS 12.29(a) IFRS 12.B26(e) IFRS 12 B26(b) 010 020 030 040 050 060 070 010 Total 30.2
Breakdown of interests in unconsolidated structured entities by nature of the activities
By nature of the activities References Securitisation Special Purpose Entities Asset management Other activities CRR art 4(1)(66) Annex V.Part 2.117(a) Carrying amount IFRS 12.28, B6.(a) 010 020 030 010 Selected financial assets recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 021 of which: non-performing Annex V.Part 2. 145-162 030 Derivatives IAS 39.9 040 Equity instruments IAS 32.11 050 Debt securities Annex V.Part 1.24, 26 060 Loans and advances Annex V.Part 1.24, 27 070 Selected equity and financial liabilites recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 080 Equity instruments issued IAS 32.4 090 Derivatives IAS 39.9, AG 15 (a) 100 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 110 Debt securities issued Annex V.Part 1.31 Nominal amount 120 Off-balance sheet items given by the reporting institution IFRS 12.B26.(e) 131 of which: non-performing Annex V.Part 2. 145-162 31.
Related parties
31.1
Related parties: amounts payable to and amounts receivable from
References 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 2.120 IAS 24.19(d),(e); Annex V.Part 2.120 IAS 24.19(f) IAS 24.19(g) Annex V.Part 2.120 010 020 030 040 050 010 Selected financial assets IAS 24.18(b) 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 050 of which: Impaired financial assets 060 Selected financial liabilities IAS 24.18(b) 070 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 080 Debt securities issued Annex V.Part 1.31 090 Nominal amount of loan commitments, financial guarantees and other commitments given IAS 24.18(b); Annex V.Part 2.62 100 of which: defaulted IAS 24.18(b); Annex V.Part 2.61 110 Loan commitments, financial guarantees and other commitments received IAS 24.18(b); Annex V.Part 2.63, 121 120 Notional amount of derivatives Annex V.Part 2.70-71 130 Allowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments [To be replaced by "Accumulated impairment, accumulated changes in fair value due to credit risk and provisions on non-performing exposures" when reporting of non-performing exposures would be final] IAS 24.18(c) 31.2
Related parties: expenses and income generated by transactions with
References 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 2.120 010 020 030 040 050 010 Interest income IAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21 020 Interest expenses IAS 24.18(a); IAS 1.97; Annex V.Part 2.21 030 Dividend income IAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28 040 Fee and commission income IAS 24.18(a); IFRS 7.20(c) 050 Fee and commission expenses IAS 24.18(a); IFRS 7.20(c) 060 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss IAS 24.18(a) 070 Gains or (-) losses on derecognition of non-financial assets IAS 24.18(a); Annex V.Part 2.122 080 Increase or (-) decrease during the period in impairment and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments IAS 24.18(d) 40.
Group structure
40.1
Group structure: "entity-by-entity"
LEI code Entity code Entity name Entry date Share capital 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 2.123, 124(a) Annex V.Part 2.123, 124(b) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c) Annex V.Part 2.123, 124(d) Annex V.Part 2.123, 124(e) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g) Annex V.Part 2.123, 124(h) Annex V.Part 2.123, 124(i) IFRS 12.21(iv); Annex V.Part 2.123, 124(j) IFRS 12.21(iv); Annex V.Part 2.123, 124(k) IFRS 12.10(a)(i); Annex V.Part 2.123, 124(l) IFRS 12.21(b); Annex V.Part 2.123, 124(m) CRR art 18; Annex V.Part 2.123, 124(n) Annex V.Part 2.123, 124(0) Annex V.Part 2.123, 124(p) Annex V.Part 2.123, 124(q) IFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r) 010 020 030 040 050 060 070 080 090 095 100 110 120 130 140 150 160 170 180 190 40.2
Group structure: "instrument-by-instrument"
Security code Entity code Holding company LEI code Holding company code Holding company name Accumulated equity interest (%) Carrying amount Acquisition cost Annex V.Part 2.125(a) Annex V.Part 2.124(b), 125(c) Annex V.Part 2.125(b) Annex V.Part 2.124(j), 125(c) Annex V.Part 2.124(o), 125(c) Annex V.Part 2.124(p), 125(c) 010 020 030 040 050 060 070 080 41.
Fair value
41.1
Fair value hierarchy: financial instruments at amortised cost
ASSETS References Fair value Fair value hierarchy IFRS 13.93(b), BC216 IFRS 7.25-26 Level 1 IFRS 13.76 Level 2 IFRS 13.81 Level 3 IFRS 13.86 010 020 030 040 010 Loans and receivables IFRS 7.8 (c); IAS 39.9, AG16, AG26 020 Debt securities Annex V.Part 1.24, 26 030 Loans and advances Annex V.Part 1.24, 27 040 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 050 Debt securities Annex V.Part 1.24, 26 060 Loans and advances Annex V.Part 1.24, 27 LIABILITIES 070 Financial liabilities measured at amortised cost IFRS 7.8(f); IAS 39.47 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 41.2
Use of the Fair Value Option
Financial instruments designated at fair value through profit or loss References Carrying amount Accounting mismatch Evaluation on a fair value basis Hybrid contracts IFRS 7.B5(a) IAS 39.9b(i) IAS 39.9b(ii) IAS 39.11A-12 ASSETS 010 020 030 010 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 020 Equity Instruments IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 LIABILITIES 050 Financial liabilities designated at fair value through profit or loss IFRS 7.8(e)(i); IAS 39.9 060 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 070 Debt securities issued Annex V.Part 1.31 080 Other financial liabilities Annex V.Part 1.32-34 41.3
Hybrid financial instruments not designated at fair value through profit or loss
Rest of separable hybrid contracts [not designated at fair value through profit or loss] References Carrying amount FINANCIAL ASSETS 010 010 Financial assets held for trading IAS 39.9; Annex V.Part 2.129 020 Available-for-sale [Host contracts] IAS 39.11; Annex V.Part 2.130 030 Loans and receivables [Host contracts] IAS 39.11; Annex V.Part 2.130 040 Held-to-maturity investments [Host contracts] IAS 39.11; Annex V.Part 2.130 FINANCIAL LIABILITES 050 Financial liabilities held for trading IAS 39.9; Annex V.Part 2.129 060 Financial liabilities measured at amortized cost [Host contracts] IAS 39.11; Annex V.Part 2.130 42.
Tangible and intangible assets: carrying amount by measurement method
References Carrying amount 010 010 Property plant and equipment IAS 16.6; IAS 16.29; IAS 1.54(a) 020 Revaluation model IAS 16.31, 73(a),(d) 030 Cost model IAS 16.30, 73(a),(d) 040 Investment property IAS 40.5, 30; IAS 1.54(b) 050 Fair value model IAS 40,33-55, 76 060 Cost model IAS 40.56, 79(c) 070 Other intangible assets IAS 38.8, 118, 122; Annex V.Part 2.132 080 Revaluation model IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 38.74 43.
Provisions
References Carrying amount Pensions and other post employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given Other provisions Total IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 IAS 37.70-83 IAS 37.App C.6-10 IAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4 IAS 37.14 010 020 030 040 050 060 070 010 Opening balance [carrying amount at the beginning of the period] IAS 37.84 (a) 020 Additions, including increases in existing provisions IAS 37.84 (b) 030 (-) Amounts used IAS 37.84 (c) 040 (-) Unused amounts reversed during the period IAS 37.84 (d) 050 Increase in the discounted amount [passage of time] and effect of any change in the discount rate IAS 37.84 (e) 060 Other movements 070 Closing balance [carrying amount at the end of the period] IAS 37.84 (a) 44.
Defined benefit plans and employee benefits
44.1
Components of net defined benefit plan assets and liabilities
References Amount 010 010 Fair value of defined benefit plan assets IAS 19.140(a)(i), 142 020 Of which: Financial instruments issued by the institution IAS 19.143 030 Equity instruments IAS 19.142(b) 040 Debt instruments IAS 19.142(c) 050 Real estate IAS 19.142(d) 060 Other defined benefit plan assets 070 Present value of defined benefit obligations IAS 19.140(a)(ii) 080 Effect of the asset ceiling IAS 19.140(a)(iii) 090 Net defined benefit assets [Carrying amount] IAS 19.63; Annex V.Part 2.136 100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 110 Memo item: Fair value of any right to reimbursement recognised as an asset IAS 19.140(b) 44.2
Movements in defined benefit obligations
References Defined benefit obligations 010 010 Opening balance [present value] IAS 19.140(a)(ii) 020 Current service cost IAS 19.141(a) 030 Interest cost IAS 19.141(b) 040 Contributions paid IAS 19.141(f) 050 Actuarial (-) gains or losses from changes in demographic assumptions IAS 19.141(c)(ii) 060 Actuarial (-) gains or losses from changes in financial assumptions IAS 19.141(c)(iii) 070 Foreign currency exchange increase or (-) decrease IAS 19.141(e) 080 Benefits paid IAS 19.141(g) 090 Past service cost, including gains and losses arising from settlements IAS 19.141(d) 100 Increase or (-) decrease through business combinations and disposals IAS 19.141(h) 110 Other increases or (-) decreases 120 Closing balance [present value] IAS 19.140(a)(ii); Annex V.Part 2.138 44.3
Memo items [related to staff expenses]
References Current period 010 010 Pension and similar expenses Annex V.Part 2.139(a) 020 Share based payments IFRS 2.44; Annex V.Part 2.139(b) 45.
Breakdown of selected items of statement of profit or loss
45.1
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
References Current period Changes in fair value due to credit risk 010 020 010 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i); IAS 39.55(a) 020 Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i); IAS 39.55(a) 030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.20(a)(i) 45.2
Gains or losses on derecognition of non-financial assets other than held for sale
References Current period 010 020 Investment property IAS 40.69; IAS 1.34(a), 98(d) 030 Intangible assets IAS 38.113-115A; IAS 1.34(a) 040 Other assets IAS 1.34 (a) 050 GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS IAS 1.34 45.3
Other operating income and expenses
References Income Expenses 010 020 010 Changes in fair value in tangible assets measured using the fair value model IAS 40.76(d); Annex V.Part 2.141 020 Investment property IAS 40.75(f); Annex V.Part 2.141 030 Operating leases other than investment property IAS 17.50, 51, 56(b); Annex V.Part 2.142 040 Other Annex V.Part 2.143 050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.141-142 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 2.15-16 IAS 1.106; Annex V.Part 2.17 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 2.20 IAS 1.106(a), 83 (a)(ii) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a); IAS 27.27-28 IAS 1.54(q), 106(a); IAS 27.27-28 IAS 1.9(c), IG6 010 020 030 040 050 060 070 080 090 100 110 120 130 140 010 Opening balance [before restatement] 020 Effects of corrections of errors IAS 1.106.(b); IAS 8.42 030 Effects of changes in accounting policies IAS 1.106.(b); IAS 1.IG6; IAS 8.22 040 Opening balance [current period] 050 Issuance of ordinary shares IAS 1.106.(d).(iii) 060 Issuance of preference shares IAS 1.106.(d).(iii) 070 Issuance of other equity instruments IAS 1.106.(d).(iii) 080 Exercise or expiration of other equity instruments issued IAS 1.106.(d).(iii) 090 Conversion of debt to equity IAS 1.106.(d).(iii) 100 Capital reduction IAS 1.106.(d).(iii) 110 Dividends IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 120 Purchase of treasury shares IAS 1.106.(d).(iii); IAS 32.33 130 Sale or cancellation of treasury shares IAS 1.106.(d).(iii); IAS 32.33 140 Reclassification of financial instruments from equity to liability IAS 1.106.(d).(iii) 150 Reclassification of financial instruments from liability to equity IAS 1.106.(d).(iii) 160 Transfers among components of equity IAS 1.106.(d).(iii) 170 Equity increase or (-) decrease resulting from business combinations IAS 1.106.(d).(iii) 180 Share based payments IAS 1.106.(d).(iii); IFRS 2.10 190 Other increase or (-) decrease in equity IAS 1.106.(d) 200 Total comprehensive income for the year IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 210 Closing balance [current period] ANNEX IV
REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
COLOUR CODE IN TEMPLATES:
Parts for National GAAP reporters Cell not to be submitted for reporting institutions subject to the relevant accounting framework 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 F 04.02 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss 4.3 F 04.03 Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets 4.4 F 04.04 Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments 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 debt instruments 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 F 05.00 Breakdown of loans and advances by product 6 F 06.00 Breakdown of loans and advances to non-financial corporations by NACE codes 7 F 07.00 Financial assets subject to impairment that are past due or impaired 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: 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 Derivatives - 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 12 F 12.00 Movements in allowances for credit losses and impairment of equity instruments Collateral and guarantees received 13.1 F 13.01 Breakdown of loans and advances by collateral and guarantees 13.2 F 13.02 Collateral obtained by taking possession during the period [held at the reporting date] 13.3 F 13.03 Collateral obtained by taking possession [tangible assets] accumulated 14 F 14.00 Fair value hierarchy: financial instruments at fair value 15 F 15.00 Derecognition and financial liabilities associated with transferred financial assets Breakdown of selected statement of profit or loss items 16.1 F 16.01 Interest income and expenses by instrument and counterparty sector 16.2 F 16.02 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument 16.3 F 16.03 Gains or losses on financial assets and liabilities held for trading by instrument 16.4 F 16.04 Gains or losses on financial assets and liabilities held for trading by risk 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 financial and non-financial assets Reconciliation between accounting and CRR scope of consolidation: Balance Sheet 17.1 F 17.01 Reconciliation between accounting and CRR scope of consolidation: Assets 17.2 F 17.02 Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given 17.3 F 17.03 Reconciliation between accounting and CRR scope of consolidation: Liabilities 18 F 18.00 Performing and non-performing exposures 19 F 19.00 Forborne exposures PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] Geographical breakdown 20.1 F 20.01 Geographical breakdown of assets by location of the activities 20.2 F 20.02 Geographical breakdown of liabilities by location of the activities 20.3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities 20.4 F 20.04 Geographical breakdown of assets by residence of the counterparty 20.5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty 20.6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty 20.7 F 20.07 Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes 21 F 21.00 Tangible and intangible assets: assets subject to operating lease Asset management, custody and other service functions 22.1 F 22.01 Fee and commission income and expenses by activity 22.2 F 22.02 Assets involved in the services provided PART 3 [SEMI-ANNUAL] Off-balance sheet activities: interests in unconsolidated structured entities 30.1 F 30.01 Interests in unconsolidated structured entities 30.2 F 30.02 Breakdown of interests in unconsolidated structured entities by nature of the activities Related parties 31.1 F 31.01 Related parties: amounts payable to and amounts receivable from 31.2 F 31.02 Related parties: expenses and income generated by transactions with PART 4 [ANNUAL] Group structure 40.1 F 40.1 Group structure: "entity-by-entity" 40.2 F 40.02 Group structure: "instrument-by-instrument" Fair value 41.1 F 41.01 Fair value hierarchy: financial instruments at amortised cost 41.2 F 41.02 Use of the Fair Value Option 41.3 F 41.03 Hybrid financial instruments not designated at fair value through profit or loss 42 F 42.00 Tangible and intangible assets: carrying amount by measurement method 43 F 43.00 Provisions Defined benefit plans and employee benefits 44.1 F 44.01 Components of net defined benefit plan assets and liabilities 44.2 F 44.02 Movements in defined benefit plan obligations 44.3 F 44.03 Memo items [related to staff expenses] Breakdown of selected items of statement of profit or loss 45.1 F 45.01 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio 45.2 F 45.02 Gains or losses on derecognition of non-financial assets other than held for sale 45.3 F 45.03 Other operating income and expenses 46 F 46.00 Statement of changes in equity 1.
Balance Sheet Statement [Statement of Financial Position]
1.1
Assets
References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount 010 010 Cash, cash balances at central banks and other demand deposits BAD art 4.Assets(1) IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 5 050 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives CRR Annex II IAS 39.9 10 070 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 4 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 091 Trading financial assets Annex V.Part 1.15 092 Derivatives CRR Annex II; Annex V.Part 1.15 093 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 4 094 Debt securities Annex V.Part 1.24, 26 4 095 Loans and advances Annex V.Part 1.24, 27 4 100 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 4 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 4 120 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 130 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 140 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9 4 150 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 4 160 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 170 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 171 Non-trading non-derivative financial assets measured at fair value through profit or loss 4th Directive art 42a(1), (4) 4 172 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 4 173 Debt securities Annex V.Part 1.24, 26 4 174 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 4 175 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 4 176 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 4 177 Debt securities Annex V.Part 1.24, 26 4 178 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 4 180 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 4 190 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 200 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 210 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 4 220 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 230 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 231 Non-trading debt instruments measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 4 232 Debt securities Annex V.Part 1.24, 26 4 233 Loans and advances Annex V.Part 1.24, 27 4 234 Other non-trading non-derivative financial assets BAD art 35-37; Annex V.Part 1.17 4 235 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 4 236 Debt securities Annex V.Part 1.24, 26 4 237 Loans and advances Annex V.Part 1.24, 27 4 240 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 IFRS 7.22(b); IAS 39.9 11 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A (a) IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 IAS 1.54(e); Annex V.Part 2.4 4, 40 270 Tangible assets BAD art 4.Assets(10) 280 Property, Plant and Equipment IAS 16.6; IAS 1.54(a) 21, 42 290 Investment property IAS 40.5; IAS 1.54(b) 21, 42 300 Intangible assets BAD art 4.Assets(9); CRR art 4(115) IAS 1.54(c); CRR art 4(115) 310 Goodwill BAD art 4.Assets(9); CRR art 4(113) IFRS 3.B67(d); CRR art 4(113) 320 Other intangible assets BAD art 4.Assets(9) IAS 38.8,118 21, 42 330 Tax assets IAS 1.54(n-o) 340 Current tax assets IAS 1.54(n); IAS 12.5 350 Deferred tax assets 4th Directive art 43(1)(11); CRR art 4(106) IAS 1.54(o); IAS 12.5; CRR art 4(106) 360 Other assets Annex V.Part 2.5 Annex V.Part 2.5 370 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 380 TOTAL ASSETS BAD art 4 Assets IAS 1.9(a), IG 6 1.2
Liabilities
References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount 010 010 Financial liabilities held for trading 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 8 020 Derivatives CRR Annex II IAS 39.9, AG 15(a) 10 030 Short positions IAS 39.AG 15(b) 8 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 8 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 8 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 8 061 Trading financial liabilities 4th Directive art 42a(3) 8 062 Derivatives CRR Annex II; Annex V.Part 1.15 8 063 Short positions 8 064 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 065 Debt securities issued Annex V.Part 1.31 8 066 Other financial liabilities Annex V.Part 1.32-34 8 070 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (e)(i); IAS 39.9 8 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 8 100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 8 110 Financial liabilities measured at amortised cost 4th Directive art 42a(3), (5a); IAS 39.47 IFRS 7.8(f); IAS 39.47 8 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 8 140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 8 141 Non-trading non-derivative financial liabilities measured at a cost-based method 4th Directive art 42a(3) 8 142 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 143 Debt securities issued Annex V.Part 1.31 8 144 Other financial liabilities Annex V.Part 1.32-34 8 150 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23 IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 11 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A(b) IAS 39.89A(b) 170 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 43 175 Funds for general banking risks [if presented within liabilities] BAD art 38.1; CRR art 4(112); Annex V.Part 2.12 180 Pensions and other post employment defined benefit obligations Annex V.Part 2.7 IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 43 190 Other long term employee benefits Annex V.Part 2.8 IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 43 200 Restructuring IAS 37.71, 84(a) 43 210 Pending legal issues and tax litigation IAS 37.Appendix C. Examples 6 and 10 43 220 Commitments and guarantees given BAD art 24-25, 33(1) IAS 37.Appendix C.9 43 230 Other provisions 43 240 Tax liabilities IAS 1.54(n-o) 250 Current tax liabilities IAS 1.54(n); IAS 12.5 260 Deferred tax liabilities 4th Directive art 43(1)(11); CRR art 4(108) IAS 1.54(o); IAS 12.5; CRR art 4(108) 270 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 280 Other liabilities Annex V.Part 2.10 Annex V.Part 2.10 290 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 300 TOTAL LIABILITIES IAS 1.9(b);IG 6 1.3
Equity
References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount 010 010 Capital BAD art 4.Liabilities(9), BAD art 22 IAS 1.54(r), BAD art 22 46 020 Paid up capital BAD art 4.Liabilities(9) IAS 1.78(e) 030 Unpaid capital which has been called up BAD art 4.Liabilities(9) IAS 1.78(e); Annex V.Part 2.14 040 Share premium BAD art 4.Liabilities(10); CRR art 4(124) IAS 1.78(e); CRR art 4(124) 46 050 Equity instruments issued other than capital Annex V.Part 2.15-16 Annex V.Part 2.15-16 46 060 Equity component of compound financial instruments 4th Directive art 42a(5a); Annex V.Part 2.15 IAS 32.28-29; Annex V.Part 2.15 070 Other equity instruments issued Annex V.Part 2.16 Annex V.Part 2.16 080 Other equity Annex V.Part 2.17 IFRS 2.10; Annex V.Part 2.17 090 Accumulated other comprehensive income CRR art 4(100) CRR art 4(100) 46 095 Items that will not be reclassified to profit or loss IAS 1.82A(a) 100 Tangible assets IAS 16.39-41 110 Intangible assets IAS 38.85-87 120 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7 122 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 124 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.82(h); IAS 28.11 128 Items that may be reclassified to profit or loss IAS 1.82A(a) 130 Hedge of net investments in foreign operations [effective portion] 4th Directive art 42a(1), (5a) IAS 39.102(a) 140 Foreign currency translation BAD art 39(6) IAS 21.52(b); IAS 21.32, 38-49 150 Hedging derivatives. Cash flow hedges [effective portion] 4th Directive art 42a(1), (5a) IFRS 7.23(c); IAS 39.95-101 160 Available-for-sale financial assets 4th Directive art 42a(1), (5a) IFRS 7.20(a)(ii); IAS 39.55(b) 170 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 180 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.82(h); IAS 28.11 190 Retained earnings BAD art 4.Liabilities(13); CRR art 4(123) CRR art 4(123) 200 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.30, D5-D8; Annex V.Part 2.18 201 Tangible assets 4th Directive art 33(1)(c) 202 Equity instruments 4th Directive art 33(1)(c) 203 Debt securities 4th Directive art 33(1)(c) 204 Other 4th Directive art 33(1)(c) 205 Fair value reserves 4th Directive art 42a(1) 206 Hedge of net investments in foreign operations 4th Directive art 42a(1); art 42c(1)(b) 207 Hedging derivatives. Cash flow hedges 4th Directive art 42a(1); art 42c(1)(a); CRR article 30(a) 208 Hedging derivatives. Other hedges 4th Directive art 42a(1); art 42c(1)(a) 209 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 210 Other reserves BAD art 4 Liabilities(11)-(13) IAS 1.54; IAS 1.78(e) 215 Funds for general banking risks [if presented within equity] BAD art 38.1; CRR art 4(112); Annex V.Part 1.38 220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates 4th Directive art 59.4;Annex V.Part 2.19 IAS 28.11; Annex V.Part 2.19 230 Other Annex V.Part 2.19 Annex V.Part 2.19 235 First consolidation differences 7th Directive 19(1)(c) 240 (-) Treasury shares 4th Directive. Assets C (III)(7), D (III)(2); Annex V.Part 2.20 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 46 250 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IAS 27.28; IAS 1.81B (b)(ii) 2 260 (-) Interim dividends CRR Article 26(2b) IAS 32.35 270 Minority interests [Non-controlling interests] 7th Directive art 21 IAS 27.4; IAS 1.54(q); IAS 27.27 280 Accumulated Other Comprehensive Income CRR art 4(100) IAS 27.27-28; CRR art 4(100) 46 290 Other items IAS 27.27-28 46 300 TOTAL EQUITY IAS 1.9(c), IG 6 46 310 TOTAL EQUITY AND TOTAL LIABILITIES BAD art 4.Liabilities IAS 1.IG6 2.
Statement of profit or loss
References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Current period 010 010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.21 IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 16 020 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 030 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 040 Available-for-sale financial assets IFRS 7.20(b); IAS 39.55(b); IAS 39.9 050 Loans and receivables IFRS 7.20(b); IAS 39.9, 39.46(a) 060 Held-to-maturity investments IFRS 7.20(b); IAS 39.9, 39.46(b) 070 Derivatives - Hedge accounting, interest rate risk IAS 39.9; Annex V.Part 2.23 080 Other assets Annex V.Part 2.25 090 (Interest expenses) BAD art 27.Vertical layout(2); Annex V.Part 2.21 IAS 1.97; Annex V.Part 2.21 16 100 (Financial liabilities held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 110 (Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 120 (Financial liabilities measured at amortised cost) IFRS 7.20(b); IAS 39.47 130 (Derivatives - Hedge accounting, interest rate risk) IAS 39.9; Annex V.Part 2.23 140 (Other liabilities) Annex V.Part 2.26 150 (Expenses on share capital repayable on demand) IFRIC 2.11 160 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.28 IAS 18.35(b)(v); Annex V.Part 2.28 170 Financial assets held for trading IFRS 7.20(a)(i), B5(e) 180 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e); IAS 39.9 190 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) 200 Fee and commission income BAD art 27.Vertical layout(4) IFRS 7.20(c) 22 210 (Fee and commission expenses) BAD art 27.Vertical layout(5) IFRS 7.20(c) 22 220 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net BAD art 27.Vertical layout(6) IFRS 7.20(a) (ii-v); Annex V.Part 2.97 16 230 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) 240 Loans and receivables IFRS 7.20(a)(iv); IAS 39.9, 39.56 250 Held-to-maturity investments IFRS 7.20(a)(iii); IAS 39.9, 39.56 260 Financial liabilities measured at amortised cost IFRS 7.20(a)(v); IAS 39.56 270 Other 280 Gains or (-) losses on financial assets and liabilities held for trading, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IAS 39.55(a) 16 285 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 16 290 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); IAS 39.55(a) 16, 45 295 Gains or (-) losses on non-trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 16 300 Gains or (-) losses from hedge accounting, net 4th Directive art 42a(1), (5a), art 42c(1)(a) IFRS 7.24; Annex V.Part 2.30 16 310 Exchange differences [gain or (-) loss], net BAD art 39 IAS 21.28, 52 (a) 320 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net BAD art 27.Vertical layout(13)-(14) 330 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 45 340 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.141-143 Annex V.Part 2.141-143 45 350 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.141-143 Annex V.Part 2.141-143 45 355 TOTAL OPERATING INCOME, NET 360 (Administrative expenses) BAD art 27.Vertical layout(8) 370 (Staff expenses) BAD art 27.Vertical layout(8)(a) IAS 19.7; IAS 1.102, IG 6 44 380 (Other administrative expenses) BAD art 27.Vertical layout(8)(b); 390 (Depreciation) IAS 1.102, 104 400 (Property, Plant and Equipment) BAD art 27.Vertical layout(9) IAS 1.104; IAS 16.73(e)(vii) 410 (Investment Properties) BAD art 27.Vertical layout(9) IAS 1.104; IAS 40.79(d)(iv) 415 (Goodwill) BAD art 27.Vertical layout(9) 420 (Other intangible assets) BAD art 27.Vertical layout(9) IAS 1.104; IAS 38.118(e)(vi) 430 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 43 440 (Commitments and guarantees given) BAD art 27.Vertical layout(11)-(12) 450 (Other provisions) 455 (Increases or (-) decreases of the fund for general banking risks, net) BAD art 38.2 460 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) BAD art 35-37 IFRS 7.20(e) 16 470 (Financial assets measured at cost) IFRS 7.20(e); IAS 39.66 480 (Available- for-sale financial assets) IFRS 7.20(e); IAS 39.67 490 (Loans and receivables IFRS 7.20(e); IAS 39.63 500 (Held to maturity investments) IFRS 7.20(e); IAS 39.63 510 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 16 520 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 16 530 (Property, plant and equipment) BAD art 27.Vertical layout(9) IAS 16.73(e)(v-vi) 540 (Investment properties) BAD art 27.Vertical layout(9) IAS 40.79(d)(v) 550 (Goodwill) BAD art 27.Vertical layout(9) IFRS 3.Appendix B67(d)(v); IAS 36.124 560 (Other intangible assets) BAD art 27.Vertical layout(9) IAS 38.118 (e)(iv)(v) 570 (Other) IAS 36.126 (a)(b) 580 Negative goodwill recognised in profit or loss 7th Directive art 31 IFRS 3.Appendix B64(n)(i) 590 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) IAS 1.82(c) 600 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.27 610 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 620 (Tax expense or (-) income related to profit or loss from continuing operations) BAD art 27.Vertical layout(15) IAS 1.82(d); IAS 12.77 630 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS BAD art 27.Vertical layout(16) IAS 1, IG 6 632 Extraordinary profit or (-) loss after tax BAD art 27.Vertical layout(21) 633 Extraordinary profit or loss before tax BAD art 27.Vertical layout(19) 634 (Tax expense or (-) income related to extraordinary profit or loss) BAD art 27.Vertical layout(20) 640 Profit or (-) loss after tax from discontinued operations IAS 1.82(e); IFRS 5.33(a), 5.33 A 650 Profit or (-) loss before tax from discontinued operations IFRS 5.33(b)(i) 660 (Tax expense or (-) income related to discontinued operations) IFRS 5.33 (b)(ii),(iv) 670 PROFIT OR (-) LOSS FOR THE YEAR BAD art 27.Vertical layout(23) IAS 1.81A(a) 680 Attributable to minority interest [non-controlling interests] IAS 1.83(a)(i) 690 Attributable to owners of the parent IAS 1.81B (b)(ii) 3.
Statement of comprehensive income
References National GAAP compatible IFRS Current period 010 010 Profit or (-) loss for the year IAS 1.7, 81(b), 83(a), IG6 020 Other comprehensive income IAS 1.7, 81(b), IG6 030 Items that will not be reclassified to profit or loss IAS 1.82A(a) 040 Tangible assets IAS 1.7, IG6; IAS 16.39-40 050 Intangible assets IAS 1.7; IAS 38.85-86 060 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.93A 070 Non-current assets and disposal groups held for sale IFRS 5.38 080 Share of other recognised income and expense of entities accounted for using the equity method IAS 1.82(h), IG6; IAS 28.11 090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.31 100 Items that may be reclassified to profit or loss IAS 1.82A(b) 110 Hedge of net investments in foreign operations [effective portion] IAS 39.102(a) 120 Valuation gains or (-) losses taken to equity IAS 39.102(a) 130 Transferred to profit or loss IAS 1.7, 92-95; IAS 39.102(a) 140 Other reclassifications 150 Foreign currency translation IAS 1.7, IG6; IAS 21.52(b) 160 Translation gains or (-) losses taken to equity IAS 21.32, 38-47 170 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49 180 Other reclassifications 190 Cash flow hedges [effective portion] IAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96 200 Valuation gains or (-) losses taken to equity IAS 1.IG6; IAS 39.95(a)-96 210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IAS 39.97-101 220 Transferred to initial carrying amount of hedged items IAS 1.IG6; IAS 39.97-101 230 Other reclassifications 240 Available-for-sale financial assets IAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) 250 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) 260 Transferred to profit or loss IFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b) 270 Other reclassifications IFRS 5.IG Example 12 280 Non-current assets and disposal groups held for sale IFRS 5.38 290 Valuation gains or (-) losses taken to equity IFRS 5.38 300 Transferred to profit or loss IAS 1.7, 92-95; IFRS 5.38 310 Other reclassifications IFRS 5.IG Example 12 320 Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates IAS 1.82(h), IG6; IAS 28.11 330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.31 340 Total comprehensive income for the year IAS 1.7, 81A(a), IG6 350 Attributable to minority interest [Non-controlling interest] IAS 1.83(b)(i), IG6 360 Attributable to owners of the parent IAS 1.83(b)(ii), IG6 4.
Breakdown of financial assets by instrument and by counterparty sector
4.1
Financial assets held for trading
References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated changes in fair value due to credit risk Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 4.2
Financial assets designated at fair value through profit or loss
References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated changes in fair value due to credit risk IFRS 7.9 (c); Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 4.3
Available-for-sale financial assets
References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount of unimpaired assets Carrying amount of impaired assets Carrying amount Accumulated impairment IAS 39.58-62 Annex V.Part 2.34 Annex V.Part 2.46 010 020 030 040 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 190 AVAILABLE-FOR-SALE FINANCIAL ASSETS 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9 4.4
Loans and receivables and held-to-maturity investments
Unimpaired assets [gross carrying amount] Impaired assets [gross carrying amount] Specific allowances for financial assets, individually estimated Specific allowances for financial assets, collectively estimated Collective allowances for incurrred but not reported losses Carrying amount References National GAAP compatible IFRS IFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59 IAS 39.AG 84-92; Annex V.Part 2.36 IAS 39.AG 84-92; Annex V.Part 2.37 IAS 39.AG 84-92; Annex V.Part 2.38 Annex V.Part 2.39 References National GAAP based on BAD Annex V.Part 2.36 Annex V.Part 2.37 Annex V.Part 2.38 Annex V.Part 2.39 010 020 030 040 050 060 010 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 140 LOANS AND RECEIVABLES 4th Directive art 42a(4)(b),(5a); IAS 39.9 IAS 39,9 AG 16, AG26; Annex V.Part 1.16 150 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 160 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 170 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 180 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 190 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 200 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 210 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 220 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 230 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 240 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 250 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 260 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 270 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 280 HELD-TO-MATURITY 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(c); IAS 39.9, AG16, AG26 4.5
Subordinated financial assets
References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount 010 010 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 020 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Annex V.Part 2.40, 54 Annex V.Part 2.40, 54 4.6
Trading Financial assets
References National GAAP based on BAD Carrying amount Accumulated changes in fair value due to credit risk Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 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 changes in fair value due to credit risk Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS 4th Directive art 42a(1), (4) 4.8
Non-trading non-derivative financial assets measured at fair value to equity
References National GAAP based on BAD Carrying amount Accumulated changes in fair value due to credit risk Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY 4th Directive art 42a(1); art 42c (2) 4.9
Non-trading debt instruments measured at a cost-based method
References National GAAP based on BAD Unimpaired assets Impaired assets [gross carrying amount] Specific allowances for credit risk General allowances for credit risk Carrying amount CRR art 4(95) CRR art 4(95) CRR art 4(95) Annex V.Part 2.39 010 020 030 040 050 010 Debt securities Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f) 140 NON-TRADING DEBT INSTRUMENTS MEASURED AT A COST-BASED METHOD BAD art 37.1; art 42a(4)(b) 4.10
Other non-trading non-derivative financial assets
References National GAAP based on BAD Carrying amount 010 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS 4th Directive art 42a(1); art 42c(2) 5.
Breakdown of Loan and advances by product
Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households References National GAAP compatible IFRS Annex V.Part 1.35(a) Annex V.Part 1.35(b) Annex V.Part 1.35(c) Annex V.Part 1.35(d) Annex V.Part 1.35(e) Annex V.Part 1.35(f) References National GAAP based on BAD Annex V.Part 1.35(a) Annex V.Part 1.35(b) Annex V.Part 1.35(c) Annex V.Part 1.35(d) Annex V.Part 1.35(e) Annex V.Part 1.35(f) 010 020 030 040 050 060 By product 010 On demand [call] and short notice [current account] Annex V.Part 2.41(a) 020 Credit card debt Annex V.Part 2.41(b) 030 Trade receivables Annex V.Part 2.41(c) 040 Finance leases Annex V.Part 2.41(d) 050 Reverse repurchase loans Annex V.Part 2.41(e) 060 Other term loans Annex V.Part 2.41(f) 070 Advances that are not loans Annex V.Part 2.41(g) 080 LOANS AND ADVANCES Annex V.Part 1.24, 27 By collateral 090 of which: mortgage loans [Loans collateralized by immovable property] Annex V.Part 2.41(h) 100 of which: other collateralized loans Annex V.Part 2.41(i) By purpose 110 of which: credit for consumption Annex V.Part 2.41(j) 120 of which: lending for house purchase Annex V.Part 2.41(k) By subordination 130 of which: project finance loans Annex V.Part 2.41(l) 6.
Breakdown of loans and advances to non-financial corporations
Non-financial corporations Gross carrying amount Of which: non-performing Accumulated impairment or Accumulated changes in fair value due to credit risk References National GAAP compatible IFRS Annex V.Part 2.45 Annex V.Part 2. 145-162 Annex V.Part 2.46 References National GAAP based on BAD Annex V.Part 2.45 Annex V.Part 2. 145-162 Annex V.Part 2.46 010 012 020 010 A
Agriculture, forestry and fishing
NACE Regulation 020 B
Mining and quarrying
NACE Regulation 030 C
Manufacturing
NACE Regulation 040 D
Electricity, gas, steam and air conditioning supply
NACE Regulation 050 E
Water supply
NACE Regulation 060 F
Construction
NACE Regulation 070 G
Wholesale and retail trade
NACE Regulation 080 H
Transport and storage
NACE Regulation 090 I
Accommodation and food service activities
NACE Regulation 100 J
Information and communication
NACE Regulation 110 L
Real estate activities
NACE Regulation 120 M
Professional, scientific and technical activities
NACE Regulation 130 N
Administrative and support service activities
NACE Regulation 140 O
Public administration and defence, compulsory social security
NACE Regulation 150 P
Education
NACE Regulation 160 Q
Human health services and social work activities
NACE Regulation 170 R
Arts, entertainment and recreation
NACE Regulation 180 S
Other services
NACE Regulation 190 LOANS AND ADVANCES Annex V.Part 1.24, 27, 2.42-43 7.
Financial assets subject to impairment that are past due or impaired
References National GAAP based on BAD References National GAAP compatible IFRS Past due but not impaired Carrying amount of the impaired assets Specific allowances for financial assets, individually estimated Specific allowances for financial assets, collectively estimated Collective allowances for incurrred but not reported losses Specific alowances for credit risk General allowances for credit risk General allowance for banking risks Accumulated write-offs ≤ 30 days > 30 days ≤ 60 days > 60 days ≤ 90 days > 90 days ≤ 180days > 180 days ≤ 1year > 1year IFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48 IAS 39.58-70 IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36 IAS 39 AG 84-92; Annex V.Part 2.37 IAS 39 AG 84-92; Annex V.Part 2.38 IAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50 CRR art 4(95); Annex V.Part 2.47-48 CRR art 4(95) CRR art 4(95); Annex V.Part 2.36 CRR art 4(95); Annex V.Part 2.37 CRR art 4(95); Annex V.Part 2.38 CRR art 4(95) CRR art 4(95) BAD art 37.2; CRR art 4(95) CRR art 4(95); Annex V.Part 2.49-50 010 020 030 040 050 060 070 080 090 100 102 103 104 110 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 190 TOTAL Loans and advances by product, by collateral and by subordination 200 On demand [call] and short notice [current account] Annex V.Part 2.41(a) Annex V.Part 2.41(a) 210 Credit card debt Annex V.Part 2.41(b) Annex V.Part 2.41(b) 220 Trade receivables Annex V.Part 2.41(c) Annex V.Part 2.41(c) 230 Finance leases Annex V.Part 2.41(d) Annex V.Part 2.41(d) 240 Reverse repurchase loans Annex V.Part 2.41(e) Annex V.Part 2.41(e) 250 Other term loans Annex V.Part 2.41(f) Annex V.Part 2.41(f) 260 Advances that are not loans Annex V.Part 2.41(g) Annex V.Part 2.41(g) 270 of which: mortgage loans [Loans collateralized by inmovable property] Annex V.Part 2.41(h) Annex V.Part 2.41(h) 280 of which: other collateralized loans Annex V.Part 2.41(i) Annex V.Part 2.41(i) 290 of which: credit for consumption Annex V.Part 2.41(j) Annex V.Part 2.41(j) 300 of which: lending for house purchase Annex V.Part 2.41(k) Annex V.Part 2.41(k) 310 of which: project finance loans Annex V.Part 2.41(l) Annex V.Part 2.41(l) 8.
Breakdown of financial liabilities
8.1
Breakdown of financial liabilities by product and by counterparty sector
Carrying amount Accumulated changes in fair value due to credit risk Amount contractually required to pay at maturity Held for trading Designated at fair value through profit or loss Amortised cost Trading At a cost-based method Hedge accounting References National GAAP compatible IFRS IFRS 7.8(e)(ii); IAS 39.9, AG 14-15 IFRS 7.8(e)(i); IAS 39.9 IFRS 7.8(f); IAS 39.47 IFRS 7.22(b); IAS 39.9 CRR art 33(1)(b), art 33(1)(c) References National GAAP based on BAD 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 4th Directive art 42a(1), (5a); IAS 39.9 4th Directive art 42a(3), (5a); IAS 39.47 4th Directive art 42a(3); Annex V.Part 1.15 4th Directive art 42a(3) 4th Directive art 42a(1), (5a), art 42c(1)(a) CRR art 33(1)(b), art 33(1)(c) ECB/2008/32 art 7(2) 010 020 030 034 035 037 040 050 010 Derivatives CRR Annex II IAS 39.9, AG 15(a) 020 Short positions IAS 39 AG 15(b) 030 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 040 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 050 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 060 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 070 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 080 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 090 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 1.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 100 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 110 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 120 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 130 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 140 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 150 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 160 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 170 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 180 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 190 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 200 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 210 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 220 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 230 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 240 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 250 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 260 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 270 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 280 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 290 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 300 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 310 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 320 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 330 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 340 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 350 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 360 Debt securities issued Annex V.Part 1.31; Annex V.Part 2.52 Annex V.Part 1.31; Annex V.Part 2.52 370 Certificates of deposits Annex V.Part 2.52(a) Annex V.Part 2.52(a) 380 Asset-backed securities CRR art 4(61) CRR art 4(61) 390 Covered bonds CRR art 129(1) CRR art 129(1) 400 Hybrid contracts Annex V.Part 2.52(d) IAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d) 410 Other debt securities issued Annex V.Part 2.52(e) Annex V.Part 2.52(e) 420 Convertible compound financial instruments IAS 32.AG 31 430 Non-convertible 440 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 450 FINANCIAL LIABILITIES 8.2
Subordinated financial liabilities
Carriyng amount Designated at fair value through profit or loss At amortized cost At a cost-based method References National GAAP compatible IFRS IFRS 7.8(e)(i); IAS 39.9 IFRS 7.8(f); IAS 39.47 References National GAAP 4th Directive art 42a(1), (5a); IAS 39.9 4th Directive art 42a(3), (5a); IAS 39.47 4th Directive art 42a(3) 010 020 030 010 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 020 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.53-54 Annex V.Part 2.53-54 9.
Loan commitments, financial guarantees and other commitments
9.1
Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given
References National GAAP References National GAAP compatible IFRS Nominal amount IFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62 CRR Annex I; Annex V.Part 2.62 010 010 Loan commitments given CRR Annex I; Annex V.Part 2.56-57 IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 021 of which: non-performing Annex V.Part 2. 145-162 Annex V.Part 2. 145-162 030 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 040 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 050 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 060 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 070 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 080 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 090 Financial guarantees given CRR Annex I; Annex V.Part 2.56,58 IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58 101 of which: non-performing Annex V.Part 2. 145-162 Annex V.Part 2. 145-162 110 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 120 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 130 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 140 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 150 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 160 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 170 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 CRR Annex I; Annex V.Part 2.56, 59 181 of which: non-performing Annex V.Part 2. 145-162 Annex V.Part 2. 145-162 190 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 200 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 210 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 220 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 230 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 240 Households Annex V.Part 1.35(f) Annex V.Part 1.35(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 2.63 Annex V.Part 2.63 Annex V.Part 2.63 Annex V.Part 2.63 010 020 010 Loan commitments received Annex V.Part 2.56-57 IAS 39.2(h), 4(a)(c), BC 15; Annex V.Part 2.56-57 020 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 070 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 080 Financial guarantees received Annex V.Part 2.56, 58 IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58 090 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 140 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 150 Other Commitments received Annex V.Part 2.56, 59 Annex V.Part 2.56, 59 160 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 170 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 180 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 190 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 200 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 210 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 10.
Derivatives — Trading
By type of risk / By product or by type of market References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Mark-to-market [Mark-to-Model] value Notional amount Financial assets held for trading Financial liabilities held for trading Positive value. Trading Negative value. Trading Total Trading of which: sold Annex V.Part 2.69 Annex V.Part 2.69 Annex V.Part 2.70-71 Annex V.Part 2.72 CRR art 105 CRR art 105 Annex V.Part 2.70-71 Annex V.Part 2.72 010 020 022 025 030 040 010 Interest rate Annex V.Part 2.67(a) Annex V.Part 2.67(a) 020 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 030 OTC options 040 OTC other 050 Organized market options 060 Organized market other 070 Equity Annex V.Part 2.67(b) Annex V.Part 2.67(b) 080 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 090 OTC options 100 OTC other 110 Organized market options 120 Organized market other 130 Foreign exchange and gold Annex V.Part 2.67(c) Annex V.Part 2.67(c) 140 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 150 OTC options 160 OTC other 170 Organized market options 180 Organized market other 190 Credit Annex V.Part 2.67(d) Annex V.Part 2.67(d) 200 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 210 Credit default swap 220 Credit spread option 230 Total return swap 240 Other 250 Commodity Annex V.Part 2.67(e) Annex V.Part 2.67(e) 260 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 270 Other Annex V.Part 2.67(f) Annex V.Part 2.67(f) 280 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 290 DERIVATIVES CRR Annex II; Annex V.Part 1.15 IAS 39.9 300 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) Annex V.Part 1.35(c), 2.75(a) 310 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) Annex V.Part 1.35(d), 2.75(b) 320 of which: OTC - rest Annex V.Part 2.75(c) Annex V.Part 2.75(c) 11.
Derivatives — 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 Annex V.Part 2.69 Annex V.Part 2.69 Annex V.Part 2.70, 71 Annex V.Part 2.72 010 020 030 040 010 Interest rate Annex V.Part 2.67(a) 020 OTC options 030 OTC other 040 Organized market options 050 Organized market other 060 Equity Annex V.Part 2.67(b) 070 OTC options 080 OTC other 090 Organized market options 100 Organized market other 110 Foreign exchange and gold Annex V.Part 2.67(c) 120 OTC options 130 OTC other 140 Organized market options 150 Organized market other 160 Credit Annex V.Part 2.67(d) 170 Credit default swap 180 Credit spread option 190 Total return swap 200 Other 210 Commodity Annex V.Part 2.67(e) 220 Other Annex V.Part 2.67(f) 230 FAIR VALUE HEDGES IFRS 7.22(b); IAS 39.86(a) 240 Interest rate Annex V.Part 2.67(a) 250 OTC options 260 OTC other 270 Organized market options 280 Organized market other 290 Equity Annex V.Part 2.67(b) 300 OTC options 310 OTC other 320 Organized market options 330 Organized market other 340 Foreign exchange and gold Annex V.Part 2.67(c) 350 OTC options 360 OTC other 370 Organized market options 380 Organized market other 390 Credit Annex V.Part 2.67(d) 400 Credit default swap 410 Credit spread option 420 Total return swap 430 Other 440 Commodity Annex V.Part 2.67(e) 450 Other Annex V.Part 2.67(f) 460 CASH FLOW HEDGES IFRS 7.22(b); IAS 39.86(b) 470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.22(b); IAS 39.86(c) 480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.89A, IE 1-31 490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39 IG F6 1-3 500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.22(b); IAS 39.9 510 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) 520 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) 530 of which: OTC - rest Annex V.Part 2.75(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 Notional amount Total Hedging of which: sold Annex V.Part 2.70, 71 Annex V.Part 2.72 010 020 010 Interest rate Annex V.Part 2.67(a) 020 OTC options 030 OTC other 040 Organized market options 050 Organized market other 060 Equity Annex V.Part 2.67(b) 070 OTC options 080 OTC other 090 Organized market options 100 Organized market other 110 Foreign exchange and gold Annex V.Part 2.67(c) 120 OTC options 130 OTC other 140 Organized market options 150 Organized market other 160 Credit Annex V.Part 2.67(d) 170 Credit default swap 180 Credit spread option 190 Total return swap 200 Other 210 Commodity Annex V.Part 2.67(e) 220 Other Annex V.Part 2.67(f) 230 DERIVATIVES-HEDGE ACCOUNTING 240 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) 250 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) 260 of which: OTC - rest Annex V.Part 2.75(c) 12.
Movements in allowances for credit losses and impairment of equity instruments
References National GAAP CRR article 428(i) References National GAAP compatible IFRS IFRS 7.16, B5 (d); CRR article 428(i) Opening balance Increases due toamounts set aside for estimated loan losses during the period Decreases due toamounts reversed for estimated loan losses during the period Decreases due toamounts taken against allowances 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 Annex V.Part 2.77 Annex V.Part 2.77 Annex V.Part 2.78 Annex V.Part 2.78 Annex V.Part 2.77 Annex V.Part 2.77 Annex V.Part 2.78 Annex V.Part 2.78 010 020 030 040 050 060 070 080 090 010 Equity instruments 020 Specific allowances for financial assets, individually estimated CRR art 4(95); Annex V.Part 2.36 IAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36 030 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 040 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 050 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 060 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 070 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 080 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 090 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 100 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 110 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 120 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 130 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 140 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 150 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 160 Specific allowances for financial assets, collectively estimated CRR art 4(95); Annex V.Part 2.37 IAS 39.59, 64; Annex V.Part 2.37 170 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 180 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 190 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 200 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 210 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 220 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 230 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 240 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 250 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 260 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 270 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 280 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 290 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 300 Collective allowances for incurred but not reported losses on financial assets CRR art 4(95); Annex V.Part 2.38 IAS 39.59, 64; Annex V.Part 2.38 310 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 320 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 330 Specific allowances for credit risk CRR art 428 (g)(ii) 340 Debt securities Annex V.Part 1.26 350 Central banks Annex V.Part 1.35(a) 360 General governments Annex V.Part 1.35(b) 370 Credit institutions Annex V.Part 1.35(c) 380 Other financial corporations Annex V.Part 1.35(d) 390 Non-financial corporations Annex V.Part 1.35(e) 400 Loans and advances Annex V.Part 1.17 410 Central banks Annex V.Part 1.35(a) 420 General governments Annex V.Part 1.35(b) 430 Credit institutions Annex V.Part 1.35(c) 440 Other financial corporations Annex V.Part 1.35(d) 450 Non-financial corporations Annex V.Part 1.35(e) 460 Households Annex V.Part 1.35(f) 470 General alowances for credit risk CRR art 4(95) 480 Debt securities Annex V.Part 1.26 490 Loans and advances Annex V.Part 1.27 500 General allowance for banking risks BAD art 37.2; CRR art 4(95) 510 Debt securities Annex V.Part 1.26 520 Loans and advances Annex V.Part 1.27 530 Total 13.
Collateral and guarantees received
13.1
Breakdown of loans and advances by collateral and guarantees
Guarantees and collateral References National GAAP based on BAD Maximum amount of the collateral or guarantee that can be considered References National GAAP compatible IFRS Mortgage loans [Loans collateralized by immovable property] Other collateralized loans Financial guarantees received Residential Commercial Cash [Debt instruments issued] Rest IFRS 7.36(b) Annex V.Part 2.81(a) Annex V.Part 2.81(a) Annex V.Part 2.81(b) Annex V.Part 2.81(b) Annex V.Part 2.81(c) 010 020 030 040 050 010 Loans and advances Annex V.Part 2.80 Annex V.Part 2.81 020 of which: Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 030 of which: Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 040 of which: Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 13.2
Collateral obtained by taking possession during the period [held at the reporting date]
References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount 010 010 Non-current assets held-for-sale IFRS 7.38(a) 020 Property, plant and equipment IFRS 7.38(a) 030 Investment property IFRS 7.38(a) 040 Equity and debt instruments IFRS 7.38(a) 050 Other IFRS 7.38(a) 060 Total 13.3
Collateral obtained by taking possession [tangible assets] accumulated
References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount 010 010 Foreclosure [tangible assets] Annex V.Part 2.84 IFRS 7.38(a); Annex V.Part 2.84 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 2.86 Accumulated change in fair value before taxes Annex V.Part 2.87 Level 1 Level 2 Level 3 Level 2 Level 3 Level 1 Level 2 Level 3 IFRS 13.76 IFRS 13.81 IFRS 13.86 IFRS 13.81 IFRS 13.86, 93(f) IFRS 13.76 IFRS 13.81 IFRS 13.86 010 020 030 040 050 060 070 080 ASSETS 010 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(ii); IAS 39.9, AG 14 020 Derivatives CRR Annex II IAS 39.9 030 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 040 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 050 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 060 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 070 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 100 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (h)(d); IAS 39.9 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 140 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 LIABILITIES 150 Financial liabilities held for trading 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 160 Derivatives CRR Annex II IAS 39.9, AG 15(a) 170 Short positions IAS 39 AG 15(b) 180 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 190 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 200 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 210 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (e) (i); IAS 39.9 220 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 230 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 240 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 250 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.19 IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 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 liabilitiesAnnex V.Part 2.89 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) IFRS 7.42D(e); CRR art 4(61) IFRS 7.42D(e); Annex V.Part 2.91, 92 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.91, 92 IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 2.89 CRR art 109; Annex V.Part 2.90 CRR art 4(61) Annex V.Part 2.91, 92 CRR art 4(61) Annex V.Part 2.91, 92 CRR art 109; Annex V.Part 2.90 010 020 030 040 050 060 070 080 090 100 110 010 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (a)(ii); IAS 39.9, AG 14 020 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 041 Trading financial assets Annex V.Part 1.15 042 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 043 Debt securities Annex V.Part 1.24, 26 044 Loans and advances Annex V.Part 1.24, 27 050 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 060 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 070 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 080 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 090 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9 100 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 110 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 121 Non-trading non-derivative financial assets measured at fair value through profit or loss 4th Directive art 42a(1), (4) 122 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 123 Debt securities Annex V.Part 1.24, 26 124 Loan and advances 4th Directive art 42a(1), (4)(b); part 1.14, part 3.35 125 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 126 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 127 Debt securities Annex V.Part 1.24, 26 128 Loan and advances 4th Directive art 42a(1), (4)(b);part 1.14, part 3.35 130 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8 (c); IAS 39.9, AG16, AG26 140 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 150 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 160 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 170 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 180 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 181 Non-trading debt instruments measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part 1.16 182 Debt securities Annex V.Part 1.24, 26 183 Loans and advances Annex V.Part 1.24, 27 184 Other non-trading non-derivative financial assets BAD art 35-37 185 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 186 Debt securities Annex V.Part 1.24, 26 187 Loans and advances Annex V.Part 1.24, 27 190 Total 16.
Breakdown of selected statement of profit or loss items
16.1
Interest income and expenses by instrument and counterparty sector
References National GAAP based on BAD References National GAAP compatible IFRS Current period Income Expenses Annex V.Part 2.95 Annex V.Part 2.95 010 020 010 Derivatives -Trading CRR Annex II; Annex V.Part 2.96 IAS 39.9; Annex V.Part 2.96 020 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 030 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 040 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 050 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 060 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 070 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 080 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 090 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 140 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 150 Other assets Annex V.Part 1.51 Annex V.Part 1.51 160 Deposits ECB/2008/32 Annex 2.Part 2.9 ECB/2008/32 Annex 2.Part 2.9 170 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 180 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 190 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 200 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 210 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 220 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 230 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 240 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 250 Derivatives - Hedge accounting, interest rate risk Annex V.Part 2.95 Annex V.Part 2.95 260 Other Liabilities Annex V.Part 2.10 Annex V.Part 2.10 270 INTEREST BAD art 27.Vertical layout(1), (2) IAS 18.35(b); IAS 1.97 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 010 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 030 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 040 Deposits ECB/2008/32 Annex 2.Part 2.9 ECB/2008/32 Annex 2.Part 2.9 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(v-vii); IAS 39.55(a) 16.3
Gains or losses on financial assets and liabilities held for trading by instrument
References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 010 Derivatives CRR Annex II IAS 39.9 020 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 030 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 040 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 050 Short positions IAS 39 AG 15(b) 060 Deposits ECB/2008/32 Annex 2.Part 2.9 ECB/2008/32 Annex 2.Part 2.9 070 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 080 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 100 Derivatives CRR Annex II 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 120 Debt securities Annex V.Part 1.26 130 Loans and advances Annex V.Part 1.27 140 Short positions 150 Deposits ECB/2008/32 Annex 2.Part 2.9 160 Debt securities issued Annex V.Part 1.31 170 Other financial liabilities Annex V.Part 1.32-34 180 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6) 16.4
Gains or losses on financial assets and liabilities held for trading by risk
References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 010 Interest rate instruments and related derivatives Annex V.Part 2.99(a) Annex V.Part 2.99(a) 020 Equity instruments and related derivatives Annex V.Part 2.99(b) Annex V.Part 2.99(b) 030 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.99(c) Annex V.Part 2.99(c) 040 Credit risk instruments and related derivatives Annex V.Part 2.99(d) Annex V.Part 2.99(d) 050 Derivatives related with commodities Annex V.Part 2.99(e) Annex V.Part 2.99(e) 060 Other Annex V.Part 2.99(f) Annex V.Part 2.99(f) 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 080 Interest rate instruments and related derivatives Annex V.Part 2.99(a) 090 Equity instruments and related derivatives Annex V.Part 2.99(b) 100 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.99(c) 110 Credit risk instruments and related derivatives Annex V.Part 2.99(d) 120 Derivatives related with commodities Annex V.Part 2.99(e) 130 Other Annex V.Part 2.99(f) 140 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6) 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 2.100 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 030 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 040 Deposits ECB/2008/32 Annex 2.Part 2.9 ECB/2008/32 Annex 2.Part 2.9 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 080 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 090 Debt securities Annex V.Part 1.26 100 Loans and advances Annex V.Part 1.27 110 Deposits ECB/2008/32 Annex 2.Part 2.9 120 Debt securities issued Annex V.Part 1.31 130 Other financial liabilities Annex V.Part 1.32-34 140 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6) 16.6
Gains or losses from hedge accounting
References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 010 Fair value changes of the hedging instrument [including discontinuation] 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(a)(i) 020 Fair value changes of the hedged item attributable to the hedged risk 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(a)(ii) 030 Ineffectiveness in profit or loss from cash flow hedges 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(b) 040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(c) 050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET 4th Directive art 42a(1), (5a), art 42c(1)(a) IFRS 7.24 16.7
Impairment on financial and non-financial assets
References National GAAP based on BAD References National GAAP compatible IFRS Current period Additions Annex V.Part 2.102 Reversals Annex V.Part 2.102 Total Accumulated impairment 010 020 030 040 010 Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss BAD art 35-37 IFRS 7.20(e) 020 Financial assets measured at cost IFRS 7.20(e); IAS 39.66 030 Available-for-sale financial assets IFRS 7.20(e); IAS 39.67-70 040 Loans and receivables IFRS 7.20(e); IAS 39.63-65 050 Held-to-maturity investments IFRS 7.20(e); IAS 39.63-65 060 Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 070 Subsidiaries IFRS 10 Appendix A 080 Joint ventures IAS 28.3 090 Associates 4th Directive art 17 IAS 28.3 100 Impairment or (-) reversal of impairment on non-financial assets IAS 36.126(a),(b) 110 Property, plant and equipment BAD art 27.Vertical layout(9) IAS 16.73(e)(v-vi) 120 Investment properties BAD art 27.Vertical layout(9) IAS 40.79(d)(v) 130 Goodwill BAD art 27.Vertical layout(9) IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) 140 Other intangible assets BAD art 27.Vertical layout(9) IAS 38.118(e)(iv)(v) 145 Other IAS 36.126(a),(b) 150 TOTAL 160 Interest income on impaired financial assets accrued IFRS 7.20(d); IAS 39.AG 93 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] 010 010 Cash, cash balances at central banks and other demand deposits BAD art 4.Assets(1) IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 050 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives CRR Annex II IAS 39.9 070 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 091 Trading financial assets Annex V.Part 1.15 092 Derivatives CRR Annex II; Annex V.Part 1.15 093 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 094 Debt securities Annex V.Part 1.24, 26 095 Loans and advances Annex V.Part 1.24, 27 100 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 140 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9 150 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 160 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 170 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 171 Non-trading non-derivative financial assets measured at fair value through profit or loss 4th Directive art 42a(1), (4) 172 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 173 Debt securities Annex V.Part 1.24, 26 174 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 175 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 176 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 177 Debt securities Annex V.Part 1.24, 26 178 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 180 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 190 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 200 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 210 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 220 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 230 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 231 Non-trading debt instruments measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 232 Debt securities Annex V.Part 1.24, 26 233 Loans and advances Annex V.Part 1.24, 27 234 Other non-trading non-derivative financial assets BAD art 35-37; Annex V.Part 1.17 235 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 236 Debt securities Annex V.Part 1.24, 26 237 Loans and advances Annex V.Part 1.24, 27 240 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 IFRS 7.22(b); IAS 39.9 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A (a) IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 IAS 1.54(e); Annex V.Part 2.4 270 Assets under reinsurance and insurance contracts IFRS 4.IG20.(b)-(c); Annex V.Part 2.105 280 Tangible assets BAD art 4.Assets(10) 290 Intangible assets BAD art 4.Assets(9); CRR art 4(115) IAS 1.54(c); CRR art 4(115) 300 Goodwill BAD art 4.Assets(9); CRR art 4(113) IFRS 3.B67(d); CRR art 4(113) 310 Other intangible assets BAD art 4.Assets(9) IAS 38.8,118 320 Tax assets IAS 1.54(n-o) 330 Current tax assets IAS 1.54(n); IAS 12.5 340 Deferred tax assets 4th Directive art 43(1)(11); CRR art 4(106) IAS 1.54(o); IAS 12.5; CRR art 4(106) 350 Other assets Annex V.Part 2.5 Annex V.Part 2.5 360 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 370 TOTAL ASSETS 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] 010 010 Loan commitments given CRR Annex I; Annex V.Part 2.56, 57 IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 020 Financial guarantees given CRR Annex I; Annex V.Part 2.56, 58 IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 CRR Annex I; Annex V.Part 2.56, 59 040 OFF-BALANCE SHEET EXPOSURES 17.3
Liabilities and equity
References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Carrying amount] 010 010 Financial liabilities held for trading 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 020 Derivatives CRR Annex II IAS 39.9, AG 15(a) 030 Short positions IAS 39.AG 15(b) 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 061 Trading financial liabilities 4th Directive art 42a(3) 062 Derivatives CRR Annex II; Annex V.Part 1.15 063 Short positions 064 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 065 Debt securities issued Annex V.Part 1.31 066 Other financial liabilities Annex V.Part 1.32-34 070 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (e)(i); IAS 39.9 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 110 Financial liabilities measured at amortised cost 4th Directive art 42a(3), (5a); IAS 39.47 IFRS 7.8(f); IAS 39.47 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 141 Non-trading non-derivative financial liabilities measured at a cost-based method 4th Directive art 42a(3) 142 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 143 Debt securities issued Annex V.Part 1.31 144 Other financial liabilities Annex V.Part 1.32-34 150 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23 IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A(b) IAS 39.89A(b) 170 Liabilities under insurance and reinsurance contracts IFRS 4.IG20(a); Annex V.Part 2.106 180 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 190 Tax liabilities IAS 1.54(n-o) 200 Current tax liabilities IAS 1.54(n); IAS 12.5 210 Deferred tax liabilities 4th Directive art 43(1)(11); CRR art 4(108) IAS 1.54(o); IAS 12.5; CRR art 4(108) 220 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 230 Other liabilities Annex V.Part 2.10 Annex V.Part 2.10 240 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 250 LIABILITIES IAS 1.9(b);IG 6 260 Capital BAD art 4.Liabilities(9), BAD art 22 IAS 1.54(r), BAD art 22 270 Share premium BAD art 4.Liabilities(10); CRR art 4(124) IAS 1.78(e); CRR art 4(124) 280 Equity instruments issued other than capital Annex V.Part 2.15-16 Annex V.Part 2.15-16 290 Other equity Annex V.Part 2.17 IFRS 2.10; Annex V.Part 2.17 300 Accumulated other comprehensive income CRR art 4(100) CRR art 4(100) 310 Retained earnings CRR art 4(123) CRR art 4(123) 320 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.30, D5-D8 325 Fair value reserves 4th Directive art 42a(1) 330 Other reserves BAD art 4.Liabilities (11)-(13) IAS 1.54; IAS 1.78 (e) 335 First consolidation differences 7th Directive 19(1)(c) 340 (-) Treasury shares 4th Directive. Assets C (III)(7), D (III)(2); Annex V.Part 2.20 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 350 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IAS 27.28; IAS 1.83(a)(ii) 360 (-) Interim dividends CRR Article 26 (2) IAS 32.35 370 Minority interests [Non-controlling interests] 7th Directive art 21 IAS 27.4; IAS 1.54(q); IAS 27.27 380 TOTAL EQUITY IAS 1.9(c), IG 6 390 TOTAL EQUITY AND TOTAL LIABILITIES BAD art 4.Liabilities IAS 1.IG6 18.
Information on performing and non-performing exposures
References National GAAP based on BAD References National GAAP compatible IFRS Gross carrying amount Accumulated impairment, accumulated changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Performing Non-performing on performing exposures on non-performing exposures Not past due or Past due <= 30 days Past due > 30 days <= 60 days Past due > 60 days <= 90 days Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year Of which: defaulted Of which: impaired Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year Collateral received on non-performing exposues Financial guarantees received on non-performing exposures 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 Annex V. Part 2. 45, 109, 145-162 Annex V. Part 2. 145-162 Annex V. Part 2. 158 Annex V. Part 2. 158 Annex V. Part 2. 158 Annex V. Part 2. 145-162 Annex V. Part 2. 159 Annex V. Part 2. 159 Annex V. Part 2. 159 Annex V. Part 2. 159 CRR art 178; Annex V. Part 2.61 IAS 39. 58-70 Annex V. Part 2. 46 Annex V. Part 2. 161 Annex V. Part 2. 161 Annex V. Part 2. 159,161 Annex V. Part 2. 159,161 Annex V. Part 2. 159,161 Annex V. Part 2. 159,161 Annex V. Part 2. 162 Annex V. Part 2. 162 Annex V. Part 2. 45, 109, 145-162 Annex V. Part 2. 145-162 Annex V. Part 2. 158 Annex V. Part 2. 158 Annex V. Part 2. 158 Annex V. Part 2. 145-162 Annex V. Part 2. 159 Annex V. Part 2. 159 Annex V. Part 2. 159 Annex V. Part 2. 159 CRR art 178; Annex V. Part 2.61 CRR art 4(95) Annex V. Part 2. 46 Annex V. Part 2. 161 Annex V. Part 2. 161 Annex V. Part 2. 159,161 Annex V. Part 2. 159,161 Annex V. Part 2. 159,161 Annex V. Part 2. 159,161 Annex V. Part 2. 162 Annex V. Part 2. 162 010 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 140 Of which: Commercial real estate 150 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 160 Of which: Residential mortgage loans 170 Of which: Credit for consumption 180 DEBT INSTRUMENTS AT AMORTISED COST Annex V. Part I. 13 (d)(e); 14 (d)(e) Annex V. Part I. 13 (d)(e) 190 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 200 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 210 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 220 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 230 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 240 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 250 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 260 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 270 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 280 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 290 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 300 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 310 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 320 DEBT INSTRUMENTS AT FAIR VALUE other than HFT Annex V. Part I. 13 (b)(c); 14 (b)(c) Annex V. Part I. 13 (b)(c) 330 DEBT INSTRUMENTS other than HFT Annex V. Part I. 13 (b)(c)(d)(e); 14 (b)(c)(d)(e) Annex V. Part I. 13 (b)(c)(d)(e) 340 Loan commitments given CRR Annex I; Annex V.Part 2.56-57 IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 350 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 360 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 370 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 380 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 390 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 400 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 410 Financial guarantees given CRR Annex I; Annex V.Part 2.56,58 IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 420 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 430 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 440 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 450 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 460 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 470 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 480 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 CRR Annex I; Annex V.Part 2.56, 59 490 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 500 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 510 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 520 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 530 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 540 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 550 OFF-BALANCE SHEET EXPOSURES Annex V.Part 2.55 Annex V.Part 2.55 19.
Information forborne exposures
References National GAAP based on BAD References National GAAP compatible IFRS Gross carrying amount of exposures with forbearance measures Accumulated impairment, accumulated changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Performing exposures with forbearance measures Non-performing exposures with forbearance measures on perfoming exposures with forbearance measures on non-performing exposures with forbearance measures Instruments with modifications in their terms and conditions Refinancing of which: Performing forborne exposures under probation Instruments with modifications in their terms and conditions Refinancing of which: Defaulted of which: Impaired of which: Forbearance of non-performing exposures Instruments with modifications in their terms and conditions Refinancing Collateral received on exposures with forbearance measures Financial guarantees received on exposures with forbearance measures 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 Annex V. Part 2. 45, 109, 163-182 Annex V. Part 2. 145-162 Annex V. Part 2. 164 (a), 177, 178, 182 Annex V. Part 2. 164 (b), 177, 178, 181, 182 Annex V. Part 2. 176(b),177, 180 Annex V. Part 2. 145-162 Annex V. Part 2. 164 (a), 179-180, 182 Annex V. Part 2. 164 (b), 179-182 CRR art 178; Annex V. Part 2.61 IAS 39. 58-70 Annex V. Part 2. 172(a), 157 Annex V. Part 2. 46, 183 Annex V. Part 2. 145-183 Annex V. Part 2. 145-183 Annex V. Part 2. 164 (a), 179-180,182,183 Annex V. Part 2. 164 (b), 179-183 Annex V. Part 2. 162 Annex V. Part 2. 162 Annex V. Part 2. 45, 109, 163-182 Annex V. Part 2. 145-162 Annex V. Part 2. 164 (a), 177, 178, 182 Annex V. Part 2. 164 (b), 177, 178, 181, 182 Annex V. Part 2. 176(b), 177, 180 Annex V. Part 2. 145-162 Annex V. Part 2. 164 (a), 179-180,182 Annex V. Part 2. 164 (b), 179-182 CRR art 178; Annex V. Part 2.61 CRR art 4(95) Annex V. Part 2. 172(a), 157 Annex V. Part 2. 46, 183 Annex V. Part 2. 145-183 Annex V. Part 2. 145-183 Annex V. Part 2. 164 (a), 179-180,182,183 Annex V. Part 2. 164 (b), 179-183 Annex V. Part 2. 162 Annex V. Part 2. 162 010 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 140 Of which: Commercial real estate 150 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 160 Of which: Residential mortgage loans 170 Of which: Credit for consumption 180 DEBT INSTRUMENTS AT AMORTISED COST Annex V. Part I. 13 (d)(e); 14 (d)(e) Annex V. Part I. 13 (d)(e) 190 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 200 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 210 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 220 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 230 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 240 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 250 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 260 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 270 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 280 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 290 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 300 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 310 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 320 DEBT INSTRUMENTS AT FAIR VALUE other than HFT Annex V. Part I. 13 (b)(c); 14 (b)(c) Annex V. Part I. 13 (b)(c) 330 DEBT INSTRUMENTS other than HFT Annex V. Part I. 13 (b)(c)(d)(e); 14 (b)(c)(d)(e) Annex V. Part I. 13 (b)(c)(d)(e) 340 Loan commitments given CRR Annex I; Annex V.Part 2.56-57 IAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57 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 Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Cash, cash balances at central banks and other demand deposits BAD art 4.Assets(1) IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 050 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives CRR Annex II IAS 39.9 070 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 091 Trading financial assets Annex V.Part 1.15 092 Derivatives CRR Annex II; Annex V.Part 1.15 093 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 094 Debt securities Annex V.Part 1.24, 26 095 Loans and advances Annex V.Part 1.24, 27 100 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 140 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9 150 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 160 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 170 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 171 Non-trading non-derivative financial assets measured at fair value through profit or loss 4th Directive art 42a(1), (4) 172 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 173 Debt securities Annex V.Part 1.24, 26 174 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 175 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 176 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 177 Debt securities Annex V.Part 1.24, 26 178 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 180 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 190 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 200 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 210 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 220 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 230 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 231 Non-trading debt instruments measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 232 Debt securities Annex V.Part 1.24, 26 233 Loans and advances Annex V.Part 1.24, 27 234 Other non-trading non-derivative financial assets BAD art 35-37; Annex V.Part 1.17 235 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 236 Debt securities Annex V.Part 1.24, 26 237 Loans and advances Annex V.Part 1.24, 27 240 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 IFRS 7.22(b); IAS 39.9 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A (a) IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 IAS 1.54(e); Annex V.Part 2.4 270 Tangible assets BAD art 4.Assets(10) 280 Intangible assets BAD art 4.Assets(9); CRR art 4(115) IAS 1.54(c); CRR art 4(115) 290 Tax assets IAS 1.54(n-o) 300 Other assets Annex V.Part 2.5 Annex V.Part 2.5 310 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38 320 ASSETS BAD art 4 Assets IAS 1.9(a), IG 6 20.2
Geographical breakdown of liabilities by location of the activities
References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Financial liabilities held for trading 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 020 Derivatives CRR Annex II IAS 39.9, AG 15(a) 030 Short positions IAS 39.AG 15(b) 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 061 Trading financial liabilities 4th Directive art 42a(3) 062 Derivatives CRR Annex II; Annex V.Part 1.15 063 Short positions 064 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 065 Debt securities issued Annex V.Part 1.31 066 Other financial liabilities Annex V.Part 1.32-34 070 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (e)(i); IAS 39.9 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 110 Financial liabilities measured at amortised cost 4th Directive art 42a(3), (5a); IAS 39.47 IFRS 7.8(f); IAS 39.47 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 141 Non-trading non-derivative financial liabilities measured at a cost-based method 4th Directive art 42a(3) 142 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 143 Debt securities issued Annex V.Part 1.31 144 Other financial liabilities Annex V.Part 1.32-34 150 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23 IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A(b) IAS 39.89A(b) 170 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 180 Tax liabilities IAS 1.54(n-o) 190 Share capital repayable on demand IAS 32.IE 33; IFRIC 2; Annex V.Part 2.09 200 Other liabilities Annex V.Part 2.10 Annex V.Part 2.10 210 Liabilities included in disposal groups classified as held for sale IAS 1.54(p); IFRS 5.38 220 LIABILITIES IAS 1.9(b);IG 6 20.3
Geographical breakdown of statement of profit or loss items by location of the activities
References National GAAP based on BAD References National GAAP compatible IFRS Current period Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.21 IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 020 (Interest expense) BAD art 27.Vertical layout(2); Annex V.Part 2.21 IAS 1.97; Annex V.Part 2.21 030 (Expenses on share capital repayable on demand) IFRIC 2.11 040 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.28 IAS 18.35(b)(v); Annex V.Part 2.28 050 Fee and commission income BAD art 27.Vertical layout(4) IFRS 7.20(c) 060 (Fee and commission expenses) BAD art 27.Vertical layout(5) IFRS 7.20(c) 070 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(ii-v) 080 Gains or (-) losses on financial assets and liabilities held for trading, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IAS 39.55(a) 085 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net BAD art 27.Vertical layout(6) IFRS 7.20(a) (i); IAS 39.55(a) 095 Gains or (-) losses on non trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 100 Gains or (-) losses from hedge accounting, net 4th Directive art 42a(1), (5a), art 42c(1)(a) IFRS 7.24 110 Exchange differences [gain or (-) loss], net BAD art 39 IAS 21.28, 52(a) 120 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net BAD art 27.Vertical layout(13)-(14) 130 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 140 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.141-143 Annex V.Part 2.141-143 150 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.141-143 Annex V.Part 2.141-143 155 TOTAL OPERATING INCOME, NET 160 (Administrative expenses) BAD art 27.Vertical layout(8) 170 (Depreciation) IAS 1.102, 104 175 (Increases or (-) decreases of the fund for general banking risks, net) BAD art 38.2 180 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) BAD art 35-37 IFRS 7.20(e) 200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 210 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 220 Negative goodwill recognised in profit or loss 7th Directive art 31 IFRS 3.Appendix B64(n)(i) 230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) IAS 1.82(c) 240 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.27 250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 260 (Tax expense or (-) income related to profit or loss from continuing operations) BAD art 27.Vertical layout(15) IAS 1.82(d); IAS 12.77 270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS BAD art 27.Vertical layout(16) IAS 1, IG 6 275 Extraordinary profit or (-) loss after tax BAD art 27.Vertical layout(21) 280 Profit or (-) loss after tax from discontinued operations IAS 1.82(e); IFRS 5.33(a), 5.33 A 290 PROFIT OR (-) LOSS FOR THE YEAR BAD art 27.Vertical layout(23) IAS 1.81A(a) 20.4
Geographical breakdown of assets by residence of the counterparty
z-axis Country of residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Gross carrying amount Of which: debt forbearance Of which: non-perfoming Accumulated impairment or Accumulated changes in fair value due to credit risk Annex V.Part 2.109 Annex V.Part 2.163-183 Annex V.Part 2. 145-162 Annex V.Part 2.46 010 022 025 030 010 Derivatives CRR Annex II; Annex V.Part 1.15 IAS 39.9 020 Of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 030 Of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 040 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 050 Of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 060 Of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 070 Of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 090 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 140 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 150 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 160 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 170 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 180 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 190 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 210 Of which: Loans collateralized by commercial immovable property 220 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 230 Of which: Loans collateralized by residential immovable property 240 Of which: Credit for consumption 20.5
Geographical breakdown of off-balance sheet exposures by residence of the counterparty
z-axis Country of residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Nominal amount Of which: debt forbearance Of which: non-perfoming Provisions for commitments and guarantees given Annex V.Part 2.62 Annex V.Part 2.163-183 Annex V.Part 2. 145-162 010 022 025 030 010 Loan commitments given CRR Annex I; Annex V.Part 2.56, 57 IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 020 Financial guarantees given CRR Annex I; Annex V.Part 2.56, 58 IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 CRR Annex I; Annex V.Part 2.56, 59 20.6
Geographical breakdown of liabilities by residence of the counterparty
z-axis Country of residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.28, 2.107 010 010 Derivatives CRR Annex II IAS 39.9, AG 15(a) 020 Of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 030 Of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 040 Short positions IAS 39 AG 15(b) 050 Of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 060 Of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 070 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 080 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 20.7
Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes
z-axis Country of residence of the counterparty Non-financial corporations Gross carrying amount Of which: non-performing Accumulated impairment or Accumulated changes in fair value due to credit risk References National GAAP compatible IFRS Annex V.Part 2.109 Annex V.Part 2. 145-162 Annex V.Part 2.46 References National GAAP based on BAD Annex V.Part 2.109 Annex V.Part 2. 145-162 Annex V.Part 2.46 010 012 020 010 A
Agriculture, forestry and fishing
NACE Regulation 020 B
Mining and quarrying
NACE Regulation 030 C
Manufacturing
NACE Regulation 040 D
Electricity, gas, steam and air conditioning supply
NACE Regulation 050 E
Water supply
NACE Regulation 060 F
Construction
NACE Regulation 070 G
Wholesale and retail trade
NACE Regulation 080 H
Transport ans storage
NACE Regulation 090 I
Accommodation and food service activities
NACE Regulation 100 J
Information and communication
NACE Regulation 110 L
Real estate activities
NACE Regulation 120 M
Professional, scientific and technical activities
NACE Regulation 130 N
Administrative and support service activities
NACE Regulation 140 O
Public administration and defence, compulsory social security
NACE Regulation 150 P
Education
NACE Regulation 160 Q
Human health services and social work activities
NACE Regulation 170 R
Arts, entertainment and recreation
NACE Regulation 180 S
Other services
NACE Regulation 190 LOANS AND ADVANCES Annex V.Part 1.24, 27 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. 110-111 010 010 Property plant and equipment IAS 16.6; IAS 1.54(a) 020 Revaluation model IAS 17.49; IAS 16.31, 73(a)(d) 030 Cost model IAS 17.49; IAS 16.30, 73(a)(d) 040 Investment property IAS 40.IN5; IAS 1.54(b) 050 Fair value model IAS 17.49; IAS 40.33-55, 76 060 Cost model IAS 17.49; IAS 40.56,79(c) 070 Other intangible assets BAD art 4.Assets(9) IAS 38.8, 118 080 Revaluation model IAS 17.49; IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 17.49; IAS 38.74 22.
Asset management, custody and other service functions
22.1
Fee and commission income and expenses by activity
References National GAAP based on BAD BAD art 27.Vertical layout(4), (5) References National GAAP compatible IFRS IFRS 7.20(c) Current period 010 010 Fee and commission income ITS 2.Part 2.10-12 020 Securities 030 Issuances Annex V.Part 2.116(a) Annex V.Part 2.116(a) 040 Transfer orders Annex V.Part 2.116(b) Annex V.Part 2.116(b) 050 Other Annex V.Part 2.116(c) Annex V.Part 2.116(c) 060 Clearing and settlement Annex V.Part 2.116(d) Annex V.Part 2.116(d) 070 Asset management Annex V.Part 2.116(e); Annex V.Part 2.117(a) Annex V.Part 2.116(e); Annex V.Part 2.117(a) 080 Custody [by type of customer] Annex V.Part 2.116(e); Annex V.Part 2.117(b) Annex V.Part 2.116(e); Annex V.Part 2.117(b) 090 Collective investment 100 Other 110 Central administrative services for collective investment Annex V.Part 2.116(e); Annex V.Part 2.117(c) Annex V.Part 2.116(e); Annex V.Part 2.117(c) 120 Fiduciary transactions Annex V.Part 2.116(e); Annex V.Part 2.117(d) Annex V.Part 2.116(e); Annex V.Part 2.117(d) 130 Payment services Annex V.Part 2.116(e); Annex V.Part 2.117(e) Annex V.Part 2.116(e); Annex V.Part 2.117(e) 140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.117(f) Annex V.Part 2.117(f) 150 Collective investment 160 Insurance products 170 Other 180 Structured Finance Annex V.Part 2.116(f) Annex V.Part 2.116(f) 190 Servicing of securitization activities Annex V.Part 2.116(g) Annex V.Part 2.116(g) 200 Loan commitments given Annex V.Part 2.116(h) IAS 39.47(d)(ii); Annex V.Part 2.116(h) 210 Financial guarantees given Annex V.Part 2.116(h) IAS 39.47(c)(ii); Annex V.Part 2.116(h) 220 Other Annex V.Part 2.116(j) Annex V.Part 2.116(j) 230 (Fee and commission expenses) ITS 2.Part 2.10-12 240 (Clearing and settlement) Annex V.Part 2.116(d) Annex V.Part 2.116(d) 250 (Custody) Annex V.Part 2.117(b) Annex V.Part 2.117(b) 260 (Servicing of securitization activities) Annex V.Part 2.116(g) Annex V.Part 2.116(g) 270 (Loan commitments received) Annex V.Part 2.116(i) Annex V.Part 2.116(i) 280 (Financial guarantees received) Annex V.Part 2.116(i) Annex V.Part 2.116(i) 290 (Other) Annex V.Part 2.116(j) Annex V.Part 2.116(j) 22.2
Assets involved in the services provided
References National GAAP based on BAD References National GAAP compatible IFRS Amount of the assets involved in the services provided Annex V.Part 2.117(g) 010 010 Asset management [by type of customer] Annex V.Part 2.117(a) Annex V.Part 2.117(a) 020 Collective investment 030 Pension funds 040 Customer portfolios managed on a discretionary basis 050 Other investment vehicles 060 Custody assets [by type of customer] Annex V.Part 2.117(b) Annex V.Part 2.117(b) 070 Collective investment 080 Other 090 Of which: entrusted to other entities 100 Central administrative services for collective investment Annex V.Part 2.117(c) Annex V.Part 2.117(c) 110 Fiduciary transactions Annex V.Part 2.117(d) Annex V.Part 2.117(d) 120 Payment services Annex V.Part 2.117(e) Annex V.Part 2.117(e) 130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.117(f) Annex V.Part 2.117(f) 140 Collective investment 150 Insurance products 160 Other 30.
Off-balance sheet activities: Interests in unconsolidated structured entities
30.1
Interests in unconsolidated structured entities
References National GAAP 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 items 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 2.118 IFRS 12.29(a) IFRS 12.B26(e) IFRS 12 B26(b) 010 020 030 040 050 060 070 010 Total 30.2
Breakdown of interests in unconsolidated structured entities by nature of the activities
By nature of the activities References National GAAP based on BAD References National GAAP compatible IFRS Securitisation Special Purpose Entities Asset management Other activities CRR art 4 (66) Annex V.Part 2.117(a) Carrying amount IFRS 12.28, B6.(a) 010 020 030 010 Selected financial assets recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 021 of which: non-performing Annex V.Part 2. 145-162 Annex V.Part 2. 145-163 030 Derivatives CRR Annex II; Annex V.Part 1.6 IAS 39.9 040 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 050 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 060 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 070 Selected equity and financial liabilites recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 080 Equity instruments issued IAS 32.4 090 Derivatives CRR Annex II IAS 39.9, AG 15 (a) 100 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 110 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 Nominal amount 120 Off-balance sheet items given by the reporting institution IFRS 12.B26.(e) 131 of which: non-performing Annex V.Part 2. 145-162 Annex V.Part 2. 145-162 31.
Related parties
31.1
Related parties: amounts payable to and amounts receivable from
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 References National GAAP compatible IFRS IAS 24.19(a),(b) IAS 24.19(c); Annex V.Part 2.120 IAS 24.19(d),(e); Annex V.Part 2.120 IAS 24.19(f) IAS 24.19(g) References National GAAP based on BAD 4th Directive art 43(7a) 4th Directive art 43(7a) 4th Directive art 43(7a) 4th Directive art 43(7a) 4th Directive art 43(7a) Annex V.Part 2.120 Annex V.Part 2.120 010 020 030 040 050 010 Selected financial assets IAS 24.18(b) 020 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 050 of which: Impaired financial assets 060 Selected financial liabilities IAS 24.18(b) 070 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 080 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 090 Nominal amount of loan commitments, financial guarantees and other commitments given Annex V.Part 2.62 IAS 24.18(b); Annex V.Part 2.62 100 of which: defaulted Annex V.Part 2.61 IAS 24.18(b); Annex V.Part 2.61 110 Loan commitments, financial guarantees and other commitments received Annex V.Part 2.63, 121 IAS 24.18(b); Annex V.Part 2.63, 121 120 Notional amount of derivatives Annex V.Part 2.70-71 Annex V.Part 2.70-71 130 Allowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments IAS 24.18(c) 31.2
Related parties: expenses and income generated by transactions with
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 References National GAAP compatible IFRS IAS 24.19(a),(b) IAS 24.19(c) IAS 24.19(d),(e) IAS 24.19(f) IAS 24.19(g) References National GAAP based on BAD Annex V.Part 2.120 Annex V.Part 2.120 010 020 030 040 050 010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.21 IAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21 020 Interest expenses BAD art 27.Vertical layout(2); Annex V.Part 2.21 IAS 24.18(a); IAS 1.97; Annex V.Part 2.21 030 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.28 IAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28 040 Fee and commission income BAD art 27.Vertical layout(4) IAS 24.18(a); IFRS 7.20(c) 050 Fee and commission expenses BAD art 27.Vertical layout(5) IAS 24.18(a); IFRS 7.20(c) 060 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss BAD art 27.Vertical layout(6) IAS 24.18(a) 070 Gains or (-) losses on derecognition of non-financial assets Annex V.Part 2.122 IAS 24.18(a); Annex V.Part 2.122 080 Increase or (-) decrease during the period in impairment and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments IAS 24.18(d) 40.
Group structure
40.1
Group structure: "entity-by-entity"
LEI code Entity code Entity name Entry date Share capital 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 2.123, 124(a) Annex V.Part 2.123, 124(b) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c) Annex V.Part 2.123, 124(d) Annex V.Part 2.123, 124(e) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g) Annex V.Part 2.123, 124(h) Annex V.Part 2.123, 124(i) IFRS 12.21(iv); Annex V.Part 2.123, 124(j) IFRS 12.21(iv); Annex V.Part 2.123, 124(k) IFRS 12.10(a)(i); Annex V.Part 2.123, 124(l) IFRS 12.21(b); Annex V.Part 2.123, 124(m) CRR art 423(b); Annex V.Part 2.123, 124(n) Annex V.Part 2.123, 124(0) Annex V.Part 2.123, 124(p) Annex V.Part 2.123, 124(q) IFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r) Annex V.Part 2.123, 124(a) Annex V.Part 2.123, 124(b) Annex V.Part 2.123, 124(c) Annex V.Part 2.123, 124(d) Annex V.Part 2.123, 124(e) Annex V.Part 2.123, 124(f) Annex V.Part 2.123, 124(f) Annex V.Part 2.123, 124(f) Annex V.Part 2.123, 124(q) Annex V.Part 2.123, 124(h) Annex V.Part 2.123, 124(i) Annex V.Part 2.123, 124(j) Annex V.Part 2.123, 124(k) Annex V.Part 2.123, 124(l) Annex V.Part 2.123, 124(m) CRR art 423(b); Annex V.Part 2.123, 124(n) Annex V.Part 2.123, 124(0) Annex V.Part 2.123, 124(p) Annex V.Part 2.123, 124(q) Annex V.Part 2.123, 124(r) 010 020 030 040 050 060 070 080 090 095 100 110 120 130 140 150 160 170 180 190 40.2.
Group structure: "instrument-by-instrument"
Security code Entity code Holding company LEI code Holding company code Holding company name Accumulated equity interest (%) Carrying amount Acquisition cost Annex V.Part 2.125(a) Annex V.Part 2.124(b), 125(c) Annex V.Part 2.125(b) Annex V.Part 2.124(j), 125(c) Annex V.Part 2.124(o), 125(c) Annex V.Part 2.124(p), 125(c) Annex V.Part 2.125(a) Annex V.Part 2.124(b), 125(c) Annex V.Part 2.125(b) Annex V.Part 2.124(j), 125(c) Annex V.Part 2.124(o), 125(c) Annex V.Part 2.124(p), 125(c) 010 020 030 040 050 060 070 080 41.
Fair value
41.1
Fair value hierarchy: financial instruments at amortised cost
ASSETS References National GAAP based on BAD References National GAAP compatible IFRS Fair value Fair value hierarchy IFRS 13.93(b), BC216 IFRS 7.25-26 Level 1 IFRS 13.76 Level 2 IFRS 13.81 Level 3 IFRS 13.86 010 020 030 040 010 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8 (c); IAS 39.9, AG16, AG26 020 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 030 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 040 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 050 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 060 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 LIABILITIES 070 Financial liabilities measured at amortised cost 4th Directive art 42a(3), (5a); IAS 39.47 IFRS 7.8(f); IAS 39.47 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 41.2
Use of the Fair Value Option
Carrying amount Financial instruments designated at fair value through profit or loss References National GAAP based on BAD References National GAAP compatible IFRS Accounting mismatch Evaluation on a fair value basis Hybrid contracts IFRS 7.B5(a) IAS 39.9b(i) IAS 39.9b(ii) IAS 39. 11A-12; Annex V.Part 2.127 ASSETS 010 020 030 010 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 020 Equity Instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 LIABILITIES 050 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(e)(i); IAS 39.9 060 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 070 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 080 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 41.3
Hybrid financial instruments not designated at fair value through profit or loss
Rest of separable hybrid contracts [not designated at fair value through profit or loss] References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount FINANCIAL ASSETS 010 010 Financial assets held for trading 4th Directive art 42a(4)(b),(5a); IAS 39.9; Annex V.Part 2.129 IAS 39.9; Annex V.Part 2.129 020 Available-for-sale [Host contracts] 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 030 Loans and receivables [Host contracts] 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 040 Held-to-maturity investments [Host contracts] 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 FINANCIAL LIABILITES 050 Financial liabilities held for trading 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.129 IAS 39.9; Annex V.Part 2.129 060 Financial liabilities measured at amortized cost [Host contracts] 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 42.
Tangible and intangible assets: carrying amount by measurement method
References National GAAP compatible IFRS Carrying amount 010 010 Property plant and equipment IAS 16.6; IAS 16.29; IAS 1.54(a) 020 Revaluation model IAS 16.31, 73(a),(d) 030 Cost model IAS 16.30, 73(a),(d) 040 Investment property IAS 40.5, 30; IAS 1.54(b) 050 Fair value model IAS 40,33-55, 76 060 Cost model IAS 40.56, 79(c) 070 Other intangible assets IAS 38.8, 118, 122; Annex V.Part 2.132 080 Revaluation model IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 38.74 43.
Provisions
Carrying amount Pensions and other employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given Other provisions Total References National GAAP compatible IFRS IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 IAS 37.70-83 IAS 37.App C.6-10 IAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4 IAS 37.14 References National GAAP based on BAD Annex V.Part 2.7 Annex V.Part 2.8 BAD art 24-25, 33(1) 010 020 030 040 050 060 070 010 Opening balance [carrying amount at the beginning of the period] IAS 37.84 (a) 020 Additions, including increases in existing provisions IAS 37.84 (b) 030 (-) Amounts used IAS 37.84 (c) 040 (-) Unused amounts reversed during the period IAS 37.84 (d) 050 Increase in the discounted amount [passage of time] and effect of any change in the discount rate IAS 37.84 (e) 060 Other movements 070 Closing balance [carrying amount at the end of the period] IAS 37.84 (a) 44
Defined benefit plans and employee benefits
44.1
Components of net defined benefit plan assets and liabilities
References National GAAP compatible IFRS Amount 010 010 Fair value of defined benefit plan assets IAS 19.140(a)(i), 142 020 Of which: Financial instruments issued by the institution IAS 19.143 030 Equity instruments IAS 19.142(b) 040 Debt instruments IAS 19.142(c) 050 Real estate IAS 19.142(d) 060 Other defined benefit plan assets 070 Present value of defined benefit obligations IAS 19.140(a)(ii) 080 Effect of the asset ceiling IAS 19.140(a)(iii) 090 Net defined benefit assets [Carrying amount] IAS 19.63; Annex V.Part 2.136 100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 110 Memo item: Fair value of any right to reimbursement recognised as an asset IAS 19.140(b) 44.2
Movements in defined benefit obligations
References National GAAP compatible IFRS Defined benefit obligations 010 010 Opening balance [present value] IAS 19.140(a)(ii) 020 Current service cost IAS 19.141(a) 030 Interest cost IAS 19.141(b) 040 Contributions paid IAS 19.141(f) 050 Actuarial (-) gains or losses from changes in demographic assumptions IAS 19.141(c)(ii) 060 Actuarial (-) gains or losses from changes in financial assumptions IAS 19.141(c)(iii) 070 Foreign currency exchange increase or (-) decrease IAS 19.141(e) 080 Benefits paid IAS 19.141(g) 090 Past service cost, including gains and losses arising from settlements IAS 19.141(d) 100 Increase or (-) decrease through business combinations and disposals IAS 19.141(h) 110 Other increases or (-) decreases 120 Closing balance [present value] IAS 19.140(a)(ii); Annex V.Part 2.138 44.3
Memo items [related to staff expenses]
References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 010 Pension and similar expenses Annex V.Part 2.139(a) Annex V.Part 2.139(a) 020 Share based payments Annex V.Part 2.139b) IFRS 2.44; Annex V.Part 2.139(b) 45
Breakdown of selected items of statement of profit or loss
45.1
Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio
References National GAAP based on BAD References National GAAP compatible IFRS Current period Changes in fair value due to credit risk 010 020 010 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1),(5a); IAS 39.9 IFRS 7.20(a)(i); IAS 39.55(a) 020 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1),(5a); IAS 39.9 IFRS 7.20(a)(i); IAS 39.55(a) 030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES 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 other than held for sale
References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 020 Investment property IAS 40.69; IAS 1.34(a), 98(d) 030 Intangible assets IAS 38.113-115A; IAS 1.34(a) 040 Other assets IAS 1.34 (a) 050 GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS IAS 1.34 45.3
Other operating income and expenses
References National GAAP based on BAD References National GAAP compatible IFRS Income Expenses 010 020 010 Changes in fair value in tangible assets measured using the fair value model Annex V.Part 2.141 IAS 40.76(d); Annex V.Part 2.141 020 Investment property Annex V.Part 2.141 IAS 40.75(f); Annex V.Part 2.141 030 Operating leases other than investment property Annex V.Part 2.142 IAS 17.50, 51, 56(b); Annex V.Part 2.142 040 Other Annex V.Part 2.143 Annex V.Part 2.143 050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.141-142 Annex V.Part 2.141-142 46.
Statement of changes in equity
Sources of equity changes 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 References National GAAP compatible IFRS IAS 1.106, 54(r) IAS 1.106, 78(e) IAS 1.106, Annex V.Part 2.15-16 IAS 1.106; Annex V.Part 2.17 IAS 1.106 CRR art 4(123) IFRS 1.30 D5-D8 IAS 1.106, 54(c) IAS 1.106; IAS 32.34, 33; Annex V.Part 2.20 IAS 1.106(a), 83 (a)(ii) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a); IAS 27.27-28 IAS 1.54(q), 106(a); IAS 27.27-28 IAS 1.9(c), IG6 References National GAAP based on BAD BAD art 4.Liabilities(9), BAD art 22 BAD art 4.Liabilities(10); CRR art 4(124) Annex V.Part 2.15-17 Annex V.Part 2.17 4th Directive art 42a(1), (5a) BAD art 4 Liabilities (13); CRR art 4(123) BAD art 4.Liabilities(12) 7th Directive 19(1)(c) 4th Directive.Assets C (III)(7), D (III)(2); Annex V.Part 2.20 BAD art 4.Liabilities(14) CRR Article 26(2b) 7th Directive art 21 7th Directive art 21 010 020 030 040 050 060 070 075 080 085 090 100 110 120 130 140 010 Opening balance [before restatement] 020 Effects of corrections of errors IAS 1.106.(b); IAS 8.42 030 Effects of changes in accounting policies IAS 1.106.(b); IAS 1.IG6; IAS 8.22 040 Opening balance [current period] 050 Issuance of ordinary shares IAS 1.106.(d).(iii) 060 Issuance of preference shares IAS 1.106.(d).(iii) 070 Issuance of other equity instruments IAS 1.106.(d).(iii) 080 Exercise or expiration of other equity instruments issued IAS 1.106.(d).(iii) 090 Conversion of debt to equity IAS 1.106.(d).(iii) 100 Capital reduction IAS 1.106.(d).(iii) 110 Dividends IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 120 Purchase of treasury shares IAS 1.106.(d).(iii); IAS 32.33 130 Sale or cancellation of treasury shares IAS 1.106.(d).(iii); IAS 32.33 140 Reclassification of financial instruments from equity to liability IAS 1.106.(d).(iii) 150 Reclassification of financial instruments from liability to equity IAS 1.106.(d).(iii) 160 Transfers among components of equity IAS 1.106.(d).(iii) 170 Equity increase or (-) decrease resulting from business combinations IAS 1.106.(d).(iii) 180 Share based payments IAS 1.106.(d).(iii); IFRS 2.10 190 Other increase or (-) decrease in equity IAS 1.106.(d) 200 Total comprehensive income for the year IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 210 Closing balance [current period] ANNEX V
REPORTING ON FINANCIAL INFORMATION
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.
The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in Article 4(1)(77) of CRR.
3.
Institutions shall only submit those parts of the templates related to:
- (a)
assets, liabilities, equity, income and expenses that are recognised by the institution;
- (b)
off-balance sheet exposures and activities in which the institution is involved;
- (c)
transactions performed by the institution;
- (d)
valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.
4.
For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:
- (a)
‘IAS regulation’: Regulation (EC) No 1606/2002;
- (b)
‘IAS’ or ‘IFRS’: ‘International Accounting Standards’, as defined in Article 2 of the IAS regulation that has been adopted by the Commission;
- (c)
‘ECB BSI Regulation’ or ‘ECB/2008/32’: Regulation (EC) No 25/2009 of the European Central Bankf3;
- (d)
‘NACE Regulation’: Regulation (EC) No 1893/2006 of the European Parliament and of the Councilf4;
- (e)
‘BAD’: Council Directive 86/635/EECf5;
- (f)
‘4th Directive’: Fourth Council Directive 78/660/EECf6;
- (g)
‘National GAAP’: national generally accepted accounting principles developed under BAD;
- (h)
‘SME’: micro, small and medium-sized enterprises defined in Commission Recommendation C(2003)1422f7; ‘ISIN code’: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;
- (i)
‘LEI code’: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction.
2.
CONVENTION
5.
For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that this data point is not requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in black means that the related data points should not be submitted by those institutions that follow those references in that row or column.
6.
Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.
7.
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.
8.
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’.
9.
In the ‘Data Point Model’ (‘DPM’) for financial information reporting templates of Annexes III and IV, every data point (cell) has a ‘base item’ to which the ‘credit/debit’ attribute is allocated. This allocation ensures that all entities who report data points follow the ‘sign convention’ and allows to know the ‘credit/debit’ attribute that corresponds to each data point.
10.
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
11.
Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Part 1, Title II, Chapter 2, Section 2, of CRR. Institutions shall account for their subsidiaries and joint ventures using the same methods as for prudential consolidation:
- (a)
institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5)of CRR;
- (b)
institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR;
- (c)
institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) of CRR.
4.
ACCOUNTING PORTFOLIOS
4.1.
Assets
12.
‘Accounting portfolios’ shall mean financial instruments aggregated by valuation rules. These aggregations do not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as ‘Cash, cash balances at central banks and other demand deposits’ as well as those financial instruments classified as ‘Held for sale’ presented in the items ‘Non-current assets and disposal groups classified as held for sale’ and ‘Liabilities included in disposal groups classified as held for sale’.
13.
The following accounting portfolios based on IFRS shall be used for financial assets:
- (a)
‘Financial assets held for trading’;
- (b)
‘Financial assets designated at fair value through profit or loss’;
- (c)
‘Available-for-sale financial assets’;
- (d)
‘Loans and Receivables’;
- (e)
‘Held-to-maturity investments’.
14.
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 debt instruments measured at a cost-based method’; and
- (e)
‘Other non-trading non-derivative financial assets’.
15.
‘Trading financial assets’ has the same meaning as under the relevant National GAAP based on BAD. Under National GAAP based on BAD, derivatives that are not held for hedge accounting shall be reported in this item without regarding the method applied to measure these contracts. Institutions shall include derivatives contracts in the balance sheet only when these contracts are recognised in accordance with the relevant accounting framework.
16.
For financial assets, ‘cost-based methods’ include those valuation rules by which the financial asset is measured at cost plus interest accrued less impairment losses.
17.
Under National GAAP based on BAD, ‘Other non-trading non-derivative financial assets’ shall include financial assets that do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets that are measured at the lower of their amount at initial recognition or their fair value (so-called ‘Lower Of Cost Or Market’ or ‘LOCOM’).
18.
Under National GAAP based on BAD, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.
19.
‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.
4.2.
Liabilities
20.
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’.
21.
The following accounting portfolios based on National GAAP shall be used for financial liabilities:
- (a)
‘Trading financial liabilities’; and
- (b)
‘Non-trading non-derivative financial liabilities measured at a cost-based method’.
22.
Under National GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios.
23.
Both under IFRS and National GAAP, ‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.
5.
FINANCIAL INSTRUMENTS
5.1.
Financial assets
24.
The carrying amount shall mean the amount to be reported in the asset side of the balance sheet. The carrying amount of financial assets shall include accrued interest.
25.
Financial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’, ‘Debt securities’, and ‘Loan and advances’.
26.
‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.
27.
‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with the ECB BSI Regulation as well as advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. ‘Advances that are not loans’ are further characterized in paragraph 41(g) of Part 1 of this Annex. Consequently, ‘debt instruments’ shall include ‘loans and advances’ and ‘debt securities’.
5.2.
Financial liabilities
28.
The carrying amount shall mean the amount to be reported in the liability side of the balance sheet. The carrying amount of financial liabilities shall include accrued interest.
29.
Financial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’.
30.
‘Deposits’ are defined in the same way as in the ECB BSI Regulation.
31.
‘Debt securities issued’ are debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation.
32.
‘Other financial liabilities’ include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.
33.
Under IFRS or compatible National GAAP, ‘Other financial liabilities’ may include financial guarantees when they are measured either at fair value through profit or loss [IAS 39.47(a)] or at the amount initially recognised less cumulative amortization [IAS 39.47(c)(ii)]. Loan commitments shall be reported as ‘Other financial liabilities’ where they are designated as financial liabilities at fair value through profit or loss [IAS 39.4(a)] or they are commitments to provide a loan at a below-market interest rate [IAS 39.4(b), 47(d)]. Provisions arising from these contracts [IAS 39.47(c)(i), (d)(i)] are reported as provisions for ‘Commitments and guarantees given’.
34.
‘Other financial liabilities’ may 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 (payables for transactions recognised before the payment date).
6.
COUNTERPARTY BREAKDOWN
35.
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 ‘non-financial corporations’); social security funds; and international organisations, such as the European Community, the International Monetary Fund and the Bank for International Settlements;
- (c)
credit institutions: any institution covered by the definition in Article 4(1)(1) of CRR (‘undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account’) and multilateral development banks;
- (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 and financial auxiliaries;
- (e)
non-financial corporations: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation;
- (f)
Households: individuals or groups of individuals as consumers, and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households and which are principally engaged in the production of non-market goods and services intended for particular groups of households are included.
36.
The counterparty sector allocation is 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 should be driven by the characteristics of the more relevant or determinant obligor.
PART 2
TEMPLATE RELATED INSTRUCTIONS
1.
BALANCE SHEET
1.1.
Assets (1.1)
1.
‘Cash on hand’ includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.
2.
‘Cash balances at central banks’ include balances receivable on demand at central banks.
3.
‘Other demand deposits’ include balances receivable on demand with credit institutions.
4.
‘Investments in subsidiaries, joint ventures and associates’ include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated. The carrying amount of investments accounted for using the equity method includes 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 may include gold, silver and other commodities, even when they are held with trading intent.
6.
‘Non-current assets and disposal groups classified as held for sale’ has the same meaning as under IFRS 5.
1.2.
Liabilities (1.2)
7.
Provisions for ‘Pensions and other post employment defined benefit obligations’ include the amount of net defined benefit liabilities.
8.
Under IFRS or compatible National GAAP, provisions for ‘Other long-term employee benefits’ 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’.
9.
‘Share capital repayable on demand’ includes 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.
10.
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’.
11.
‘Liabilities included in disposal groups classified as held for sale’ has the same meaning as under IFRS 5.
12.
‘Funds for general banking risks’ are amounts that have been assigned in accordance with Article 38 of the BAD. When recognised, they shall appear separately either as liabilities under ‘provisions’ or within equity under ‘other reserves’.
1.3.
Equity (1.3)
13.
Under IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the scope of IAS 32.
14.
‘Unpaid capital which has been called up’ includes the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date.
15.
‘Equity component of compound financial instruments’ includes the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an equity component) issued by the institution, when segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives whose values are interdependent).
16.
‘Other equity instruments issued’ includes equity instruments that are financial instruments other than ‘Capital’ and ‘Equity component of compound financial instruments’.
17.
‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10].
18.
Under IFRS or compatible National GAAP, ‘Revaluation reserves’ includes the amount of reserves resulting from first-time adoption to IAS, or compatible National GAAP, that have not been released to other type of reserves.
19.
‘Other reserves’ are split between ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates’ and ‘Other’. ‘Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates’ include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years. ‘Other’ includes reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve.
20.
‘Treasury shares’ cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution.
2.
STATEMENT OF PROFIT OR LOSS (2)
21.
Interest income and interest expense from financial instruments held for trading, and from financial instruments designated at fair value through profit or loss, 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’).
22.
Institutions shall report the following items broken down by accounting portfolios:
- (a)
‘Interest income’;
- (b)
‘Interest expense’;
- (c)
‘Dividend income’;
- (d)
‘Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss, net’;
- (e)
‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss’.
23.
‘Interest income. Derivatives – Hedge accounting, interest rate risk’ and ‘Interest expenses. Derivatives – Hedge accounting, interest rate risk’ include the amounts related to those derivatives classified in the category ‘hedge accounting’ which cover interest rate risk. They 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.
24.
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 may be reported as interest income and expenses to present correct interest income and expenses from the financial instruments that are hedged. These amounts shall be included as a part of the items ‘Interest income. Financial assets held for trading’ and ‘Interest expenses. Financial liabilities held for trading’.
25.
‘Interest income — other assets’ includes amounts of interest income not included in the other items. This item may include 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.
26.
‘Interest expenses — other liabilities’ includes amounts of interest expenses not included in the other items. This item may include 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.
27.
‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’ includes profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations.
28.
Dividend income from financial assets held for trading and from financial assets designated at fair value through profit or loss shall be reported either as ‘dividend income’ separately from other gains and losses from these categories or as part of gains or losses from these categories of instruments. Dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within ‘Share of the profit or (–) loss of investments in subsidiaries, joint ventures and associates’ and, according to IAS 28.10, the carrying amount of the investment shall be reduced for those accounted for under the equity method. Under IFRS, the gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates shall be reported within ‘Share of the profit or (–) loss of investments in subsidiaries, joint ventures and associates’.
29.
Under IFRS or compatible National GAAP, impairment on ‘Financial assets at cost’ includes impairment losses arising from the application of the impairment rules in IAS 39.66.
30.
For ‘Gains or (–) losses from hedge accounting, net’ institutions shall report fair value changes on hedging instruments and hedged items, including the result of ineffectiveness from cash flow hedges and from hedges of net investment in foreign operations.
3.
STATEMENT OF COMPREHENSIVE INCOME (3)
31.
Under IFRS or compatible National GAAP, ‘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)
32.
Financial assets shall be broken down by instrument and – where required – by counterparty.
33.
Under IFRS or compatible National GAAP, equity instruments shall be reported with a specific breakdown (‘of which’) to identify instruments measured at cost and specific counterparty sectors only. Under National GAAP based on BAD, equity instruments shall be reported with a specific breakdown (‘of which’) to identify unquoted and specific counterparty sectors only.
34.
For available-for-sale financial assets institutions shall report the fair value of impaired assets and unimpaired assets respectively, and the cumulative amount of impairment losses recognised in profit or loss as at the reporting date. The sum of fair value of unimpaired assets and fair value of impaired assets shall be the carrying amount of these assets.
35.
Under IFRS or compatible National GAAP, for financial assets classified as ‘Loans and receivables’ or as ‘Held-to-maturity’, the gross carrying amount of unimpaired assets and of impaired assets shall be reported. The allowances shall be broken down to ‘Specific allowances for financial assets, individually estimated’, ‘Specific allowances for financial assets, collectively estimated’ and ‘Collective allowances for incurred but not reported losses’. Under National GAAP based on BAD, for financial assets classified as ‘non-trading non-derivative financial asset measured at a cost-based method’, the gross carrying amount of unimpaired assets and of impaired assets shall be reported.
36.
‘Specific allowances for financial assets, individually estimated’ shall include cumulative amount of impairment related to financial assets which have been assessed individually.
37.
‘Specific allowances for financial assets, collectively estimated’ shall include the cumulative amount of collective impairment calculated on insignificant loans which are impaired on individual basis and for which the institution decides to use a statistical approach (portfolio basis). This approach does not preclude performing individual impairment evaluation of loans that are individually insignificant and thus to report them as specific allowances for financial assets, individually estimated.
38.
‘Collective allowances for incurred but not reported losses’ shall include the cumulative amount of collective impairment determined on financial assets which are not impaired on individual basis. For ‘allowances for incurred but not reported losses’, IAS 39.59(f), AG87 and AG90 may be followed.
39.
The sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount.
40.
Template 4.5 includes the carrying amount of ‘Loans and advances’ and ‘Debt securities’ that fall within the definition of ‘subordinated debt’ in paragraph 54 of this Part.
5.
BREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5)
41.
The ‘carrying amount’ of loans and advances shall be reported by type of product net of allowances due to impairment. 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 the ‘accounting portfolio’ in which they are included shall be allocated to the following products:
- (a)
‘on demand (call) and short notice (current account)’ include balances receivable on demand (call), at short notice, current accounts and similar balances which may include loans that are overnight deposits for the borrower, regardless of their legal form. It also includes ‘overdrafts’ that are debit balances on current account balances;
- (b)
‘Credit card debt’ includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation];
- (c)
‘Trade receivables’ include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. This item includes all factoring transactions (both with and without recourse);
- (d)
‘Finance leases’ include the carrying amount of finance lease receivables. Under IFRS or compatible National GAAP, ‘finance lease receivables’ are as defined in IAS 17;
- (e)
‘Reverse repurchase loans’ include finance granted in exchange for securities bought under repurchase agreements or borrowed under securities lending agreements;
- (f)
‘Other term loans’ include debit balances with contractually fixed maturities or terms that are not included in other items;
- (g)
‘Advances that are not loans’ include advances that cannot be classified as ‘loans’ according to the ECB BSI Regulation. This item includes, 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);
- (h)
‘Mortgage loans [Loans collateralized by immovable property]’ include loans formally secured by immovable property collateral independently of their loan/collateral ratio (commonly referred as ‘loan-to-value’);
- (i)
‘Other collateralized loans’ include loans formally backed by collateral, independently of their loan/collateral ratio (so-called ‘loan-to-value’), other than ‘Loans collateralised by immovable property’, ‘Finance leases’ and ‘Reverse repurchase loans’. This collateral includes pledges of securities, cash, and other collateral;
- (j)
‘Credit for consumption’ includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation];
- (k)
‘Lending for house purchase’ includes credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation];
- (l)
‘Project finance loans’ include loans that are recovered solely from the income of the projects financed by them.
6.
BREAKDOWN OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6)
42.
Gross carrying amount of loans and advances to non-financial corporations shall be classified by sector of economic activities using codes in NACE Regulation (‘NACE Codes’) on the basis of the principal activity of the counterparty.
43.
The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36 of Part 1.
44.
Reporting of NACE codes shall be done with the first level of disaggregation (by ‘section’).
45.
For debt instruments at amortised cost or at fair value through other comprehensive income, ‘Gross carrying amount’ shall mean the carrying amount excluding ‘Accumulated impairment’. For debt instruments at fair value through profit and loss, ‘Gross carrying amount’ shall mean the carrying amount excluding ‘Accumulated changes in fair value due to credit risk’.
46.
‘Accumulated impairment’ shall be reported for financial assets at amortised cost or at fair value through other comprehensive income. ‘Accumulated changes in fair value due to credit risk’ figures shall be reported for financial assets at fair value through profit or loss. ‘Accumulated impairment’ shall include specific allowances for financial assets, individually and collectively estimated as defined in paragraphs 36 and 37 as well as ‘Collective allowances for incurred but not reported losses’ as defined in paragraph 38, but do not include ‘Accumulated write-offs’ amounts as defined in paragraph 49.
7.
FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR IMPAIRED (7)
47.
Debt instruments that are past due but not impaired at the reporting reference date shall be reported in the accounting portfolios subject to impairment. According to IFRS or compatible National GAAP, these accounting portfolios comprise the categories ‘Available for sale’, ‘Loans and receivables’, and ‘Held-to-maturity’. According to National GAAP based on BAD, these accounting portfolios comprise also ‘Non-trading debt instruments measured at a cost-based method’ and ‘Other non-trading non-derivative financial assets’.
48.
Assets qualify as past due when counterparties have failed to make a payment when contractually due. The whole amounts of such assets shall be reported and broken down according to the number of days of the oldest past due instalment. The past due analysis shall not include any impaired assets. The carrying amount of impaired financial assets shall be reported separately from the past due assets.
49.
The column ‘Accumulated write-offs’ includes the cumulative amount of principal and past due interest of any debt instrument that the institution is no longer recognising because they are considered uncollectible, independently of the portfolio in which they were included. These amounts shall be reported until the total extinguishment of all the institution’s rights (by expiry of the statute-of–limitations period, forgiveness or other causes) or until recovery.
50.
‘Write-offs’ could be caused both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as by reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.
8.
BREAKDOWN OF FINANCIAL LIABILITIES (8)
51.
As ‘Deposits’ are defined in the same way as in 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 close to overnight deposits, are classified as deposits redeemable at notice.
52.
‘Debt securities issued’ shall be disaggregated into the following type of products:
- (a)
‘Certificates of deposits’ are securities that enable the holders to withdraw funds from an account;
- (b)
‘Asset backed securities’ according to Article 4(1)(61) of CRR;
- (c)
‘Covered Bonds’ according to Article 129(1) of CRR;
- (d)
‘Hybrid contracts’ comprise contracts with embedded derivatives;
- (e)
‘Other debt securities issued’ includes debt securities not recorded in the previous lines and distinguishes convertible and non-convertible instruments.
53.
‘Subordinated financial liabilities’ issued are treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities are classified as ‘Debt securities issued’, whereas subordinated liabilities in the form of deposits are classified as ‘Deposits’.
54.
Template 8.2 includes the carrying amount of ‘Deposits’ and ‘Debt securities issued’ that meet the definition of subordinated debt classified by accounting portfolios. ‘Subordinated debt’ instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied [ECB BSI Regulation].
9.
LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)
55.
Off-balance sheet exposures include the off-balance sheet items listed in Annex I of CRR. Off-balance sheet exposures shall be broken down in loan commitments given, financial guarantees given, and other commitments given.
56.
Information on loan commitments, financial guarantees, and other commitments given and received include both revocable and irrevocable commitments.
57.
‘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. The following items of Annex I of 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.
58.
‘Financial guarantees’ are 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 when due in accordance with the original or modified terms of a debt instrument. Under IFRS or compatible National GAAP, these contracts meet the IAS 39.9 and IFRS 4.A definition of financial guarantee contracts. The following items of Annex I of 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’;
59.
‘Other commitments’ includes the following items of Annex I of 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’ when 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 of CRR.
60.
Under IFRS or compatible National GAAP, the following item are recognised in the balance sheet and, consequently, should not be reported as off-balance sheet exposures:
- (a)
‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IAS 39;
- (b)
‘Acceptances’ are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as ‘trade receivables’ on the balance sheet;
- (c)
‘Endorsements on bills’ that do not meet the criteria for de-recognition under IAS 39;
- (d)
‘Transactions with recourse’ that do not meet the criteria for de-recognition under IAS 39;
- (e)
‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IAS 39;
- (f)
‘Asset sale and repurchase agreements as defined in Article 12(3) and (5) of Directive 86/635/EEC’. In these contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified (or to be specified). Therefore, these contracts meet the definition of derivatives under IAS 39.9.
61.
‘of which: defaulted’ shall include the nominal amount of those loan commitments, financial guarantees and other commitments given whose counterparty has incurred in default according to Article 178 of CRR.
62.
For off-balance sheet exposures, the ‘Nominal amount’ is 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 is the maximum amount the entity could have to pay if the guarantee is called on. For loan commitments, the nominal amount is the undrawn amount that the institution has committed to lend. Nominal amounts are exposure values before applying conversion factors and credit risk mitigation techniques.
63.
In template 9.2, for loan commitments received, the nominal amount is the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received the nominal amount is 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’ is the maximum amount the counterparty could have to pay if the guarantee is called on. When 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 (10 AND 11)
64.
The carrying amount and the notional amount of the derivatives held for trading and the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market (over-the-counter versus organised markets) and type of product.
65.
Institutions shall report the derivatives held for hedge accounting broken down by type of hedge.
66.
Derivatives included in hybrid instruments which have been separated from the host contract shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in these templates. However, if the hybrid instrument is measured at fair value through profit or loss, the contract as a whole shall be included in the category of held for trading or financial instruments designated at fair value through profit or loss (and, thus, the embedded derivatives are not reported in 10 and 11).
10.1.
Classification of derivatives by type of risk
67.
All derivatives shall be classified into the following risk categories:
- (a)
Interest rate: Interest rate derivatives are contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category is restricted to those deals where all the legs are exposed to only one currency’s interest rate. Thus it excludes contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be reported as foreign exchange contracts. Interest rate contracts include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaptions and interest rate warrants.
- (b)
Equity: Equity derivatives are 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 include contracts involving the exchange of currencies in the forward market and the exposure to gold. They therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives include all deals involving exposure to more than one currency, whether in interest rates or exchange rates. Gold contracts include all deals involving exposure to that commodity.
- (d)
Credit: Credit derivatives are contracts that do not meet the definition of financial guarantees and in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit. The contracts 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.
- (e)
Commodity: These derivatives are contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products.
- (f)
Other: These derivatives are 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.
68.
When 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 should be included in this category.
- (c)
Foreign exchange and gold: This category includes all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining either to interest-bearing financial instruments or exchange rates.
10.2.
Amounts to be reported for derivatives
69.
The ‘carrying amount’ for all derivatives (hedging or trading) is the fair value. Derivatives with a positive fair value (above zero) are ‘financial assets’ and derivatives with a negative fair value (below zero) are ‘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 is 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’).
70.
The ‘Notional amount’ is the gross nominal of all deals concluded and not yet settled at the reference date. In particular, the following shall be taken account to determine the notional amount:
- (a)
For contracts with variable nominal or notional principal amounts, the basis for reporting is 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 is the contract effective notional amount or par value;
- (c)
Swaps: The notional amount of a swap is 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 is 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 is 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 is 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 is defined as either the predefined monetary amount or the fair value of the underlying at the reference date.
71.
The column ‘Notional amount’ of derivatives includes, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, independently of whether the derivatives are considered assets or liabilities on the face of the balance sheet. All notional amounts shall be reported regardless whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts is not allowed.
72.
The ‘Notional amount’ shall be reported by ‘total’ and by ‘of which: sold’ for the line items: ‘OTC options’, ‘Organised market options’, ‘Commodity’ and ‘Other’. The item ‘of which sold’ includes the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to their counterparties (protection buyers).
10.3.
Derivatives classified as ‘economic hedges’
73.
Derivatives that are not effective hedging instruments in accordance with IAS 39 should be included in the ‘held for trading’ portfolio. This applies also to derivatives held for hedging purposes not meeting the requirements in IAS 39 to be effective hedging instruments as well as to derivatives linked to unquoted equity instruments whose fair value cannot be measured reliably.
74.
Derivatives ‘held for trading’ that meet the definition of ‘economic hedges’ shall be reported separately for each type of risk. The item ‘economic hedges’ includes those derivatives that are classified as ‘held for trading’ but they are not part of the trading book as defined in Article 4(1)(86) of CRR. This item does not include derivatives for proprietary trading.
10.4.
Breakdown of derivatives by counterparty sector
75.
The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparty using the following categories:
- (a)
‘credit institutions’,
- (b)
‘other financial corporations’, and
- (c)
‘rest’ comprising all other counterparties.
76.
All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the institution in the contract (buyer or seller of protection) is allocated.
11.
MOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY INSTRUMENTS (12)
77.
‘Increases due to amounts set aside for estimated loan losses during the period’ shall be reported when, for the main category of assets or the counterparty, the estimation of the impairment for the period result 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 when, 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.
78.
As explained in paragraph 50 of this Part, ‘write-offs’ may be done either by recognising directly in the statement of profit or loss the reduction in the amount of the financial asset (without using an allowance account) or by reducing the amount of the allowance accounts related to a financial asset. ‘Decreases due to amounts taken against allowances’ means decreases in the accumulated amount of allowances due to ‘write-offs’ made during the period because the related debt instruments are considered uncollectible. ‘Value adjustments recorded directly to the statement of profit or loss’ are ‘write-offs’ made during the period directly against the amount of the related financial asset.
12.
COLLATERAL AND GUARANTEES RECEIVED (13)
12.1.
Breakdown of loans and advances by collateral and guarantees (13.1)
79.
The pledges and guarantees backing the loans and advances shall be reported by type of pledges: mortgage loans and other collateralised loans, and by financial guarantees. The loans and advances shall be broken down by counterparties.
80.
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 a financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.
81.
For reporting loans and advances according to the type of pledge the following definitions shall be used:
- (a)
within ‘Mortgage loans [Loans collateralised by immovable property]’, ‘Residential’ includes loans secured by residential immovable property and ‘Commercial’ loans secured by pledges of commercial immovable property; in both cases as defined in CRR;
- (b)
within ‘Other collateralised loans’, ‘Cash [Debt instruments issued]’ includes pledges of deposits in or debt securities issued by the institution, and ‘Rest’ includes pledges of other securities or assets. The term institution must be understood here as referring to the institution providing the debt security to be used as collateral (which issues it actually) and receiving the loan and advance; not to the reporting institution, which is the one which receives the collateral and grants the loan and advance;
- (c)
‘Financial guarantees received’ include contracts that require the issuer to make specified payments to reimburse the institution of 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.
82.
For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the ‘Maximum collateral/guarantee that can be considered’ shall be allocated according to its quality starting from the one with the best quality.
12.2.
Collateral obtained by taking possession during the period [held at the reporting date] (13.2)
83.
This template includes the carrying amount of the collateral that has been obtained between the beginning and the end of the reference period and that remain recognised in the balance sheet at the reference date.
12.3.
Collateral obtained by taking possession [tangible assets] accumulated (13.3)
84.
‘Foreclosure [tangible assets]’ is the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as ‘Property, plant and equipment’.
13.
FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)
85.
Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by in IFRS 13.72.
86.
‘Change in fair value for the period’ shall include gains or losses from re-measurements in the period of the instruments that continue to exist at the reporting date. These gains and losses are reported as for inclusion in the statement of profit or loss; thus, the amounts reported are before taxes.
87.
‘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)
88.
Template 15 includes information on transferred financial assets of which part or all do not qualify for de-recognition, and financial assets entirely derecognised for which the institution retains servicing rights.
89.
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.
90.
The column ‘Amounts derecognised for capital purposes’ includes the carrying amount of the financial assets recognised for accounting purposes but derecognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Article 109 of CRR since significant credit risk has been transferred according to the articles 243 and 244 of CRR.
91.
‘Repurchase agreements’ (‘repos’) are 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 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.
92.
‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) involve cash received or loaned out by the institution.
93.
In a securitisation transaction, when the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the ‘accounting portfolios’ in which the financial assets were included prior to their de-recognition.
15.
BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)
94.
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)
95.
The interests shall be broken down both by interest income on financial and other assets and interest expenses on financial and other liabilities. Interest income on financial assets includes interest income on derivatives held for trading, debt securities, and loans and advances. Interest expenses on financial liabilities includes interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios are taken into account except those included in the items ‘Derivatives — Hedge accounting’ not used to hedge interest rate risk.
96.
Interest on derivatives held for trading includes 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.
15.2.
Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)
97.
Gains and losses on de-recognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.
15.3.
Gains or losses on financial assets and liabilities held for trading by instrument (16.3)
98.
Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the financial instrument.
15.4.
Gains or losses on financial assets and liabilities held for trading by risk (16.4)
99.
Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated to the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on assets and liabilities other than derivatives shall be included as follows:
- (a)
Interest rate instruments: including trading of loans and advances, deposits and debt securities (held or issued);
- (b)
Equity instruments: including trading of shares, quotas of UCITS and other equity instruments;
- (c)
Foreign exchange trading: including exclusively trading on foreign exchanges;
- (d)
Credit risk instruments: including trading of credit link notes;
- (e)
Commodities: this item includes only derivatives because commodities held with trading intent shall be reported under ‘Other assets’ not under ‘Financial assets held for trading’.
- (f)
Other: including trading of financial instruments which cannot be classified in other breakdowns.
15.5.
Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)
100.
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 and the amount of change in fair value in the period due to changes in the credit risk (own credit risk of the borrower or issuer).
15.6.
Gains or losses from hedge accounting (16.6)
101.
Gains and losses from hedge accounting 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.
15.7.
Impairment on financial and non-financial assets (16.7)
102.
‘Additions’ shall be reported when, 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 when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period result in the recognition of net income.
16.
RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)
103.
‘Accounting scope of consolidation’ includes 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 insurance undertakings and non-financial corporations.
104.
In this template, the item ‘Investments in subsidiaries, joint ventures and associates’ shall not include subsidiaries as with the accounting scope of consolidation all subsidiaries are fully consolidated
105.
‘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.
106.
Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts issued.
17.
GEOGRAPHICAL BREAKDOWN (20)
107.
Template 20 shall be reported when the institution exceeds the threshold described in Article 5.1(a)(iv). The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between ‘domestic activities’ and ‘non-domestic activities’. ‘Location’ means the jurisdiction of incorporation of the legal entity which has recognized the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, ‘Domestic’ shall include the activities recognised in Member State where the institution is located.
108.
Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the immediate counterparty. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’.
109.
In template 20.4 for debt instruments, ‘gross carrying amount’ shall be reported as defined in paragraph 45 of Part 2. For derivatives and equity instruments, the amount to be reported is the carrying amount. ‘Of which: Non-performing’ loans and advances shall be reported as defined in paragraphs 145 to157 of this Annex. Debt forbearance comprises all ‘debt’ contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 163 to 179 of this Annex, are extended. Template 20.7 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’).
18.
TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)
110.
For the purposes of the calculation of the threshold in Article 9(e) tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by total of tangible assets.
111.
Under IFRS or compatible National GAAP, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be reported broken down by measurement method.
19.
ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)
112.
For the purposes of the calculation of the threshold in Article 9(f), the amount of ‘net fee and commission income’ is 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’ is the absolute value of the difference between ‘interest income’ and ‘interest expenses’.
19.1.
Fee and commission income and expenses by activity (22.1)
113.
The fee and commission income and expenses shall be reported by type of activity. Under IFRS or compatible National GAAP, this template includes fee and commission income and expenses other than:
- (a)
amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and
- (b)
amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].
114.
Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included; they form part of the initial acquisition/issue value of these instruments and are amortised to profit or loss over their residual life using the effective interest rate [see IAS 39.43].
115.
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’ or ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net’. They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss.
116.
Institutions shall report fee and commission income and expenses according to the following criteria:
- (a)
‘Securities. Issuances’ includes 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’ includes fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;
- (c)
‘Securities. Other’ includes fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;
- (d)
‘Clearing and settlement’ includes fee and commission income (expenses) generated by (charged to) the institution when participating in counterparty, clearing and settlement facilities;
- (e)
‘Asset management’, ‘Custody’, ‘Central administrative services for collective investment undertakings’, ‘Fiduciary transactions’, ‘Payment services’ include fee and commission income (expenses) generated by (charged to) the institution when providing these services;
- (f)
‘Structured finance’ includes fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution;
- (g)
‘Servicing fees from securitisation activities’ includes, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers;
- (h)
‘Loan commitments given’ and ‘Financial guarantees given’ include the amount, recognized as income during the period, of the amortization of the fees and commission for these activities initially recognised as ‘other financial liabilities’;
- (i)
‘Loan commitments received’ and ‘Financial guarantees received’ include the fee and commission expense recognised by the institution as a consequence of the charge made by the counterparty that has given the loan commitment or the financial guarantee;
- (j)
‘Other’ includes the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from ‘other commitments’, from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.
19.2.
Assets involved in the services provided (22.2)
117.
Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:
- (a)
‘Asset management’ refers 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’ refers 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’ refers 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’ refers to the administrative services provided by the institution to collective investment undertakings. It includes, 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’ refers to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody asset management services to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item without regarding whether the institution provides additionally other services;
- (e)
‘Payment services’ refers to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it;
- (f)
‘Customer resources distributed but not managed’ refers to products issued by entities outside the 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’ includes 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 if the fair value is not available. In those cases where the institution provides services to entities such as collective investment undertakings, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, if appropriate.
20.
INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)
118.
‘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.
21.
RELATED PARTIES (31)
119.
Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party.
120.
Intra-group transactions and intra-group outstanding balances shall be eliminated. Under ‘Subsidiaries and other entities of the same group’, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated with the prudential scope of consolidation or because, in accordance with Article 19 of CRR, the subsidiaries are excluded from the scope of prudential consolidation for being immaterial or because, for institutions that are part of a bigger 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 when either proportional consolidation or the equity method is applied.
21.1.
Related parties: amounts payable to and amounts receivable from (31.1)
121.
For ‘Loan commitments, financial guarantees and other commitments received’, the amount that shall be reported is the sum of the ‘nominal’ of loan commitments received, the ‘maximum collateral/guarantee that can be considered’ of financial guarantees received and the ‘nominal’ of the other commitments received.
21.2.
Related parties: expenses and income generated by transactions with (31.2)
122.
‘Gains or losses on de-recognition of non-financial assets’ shall include all the gains and losses on de-recognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on de-recognition of non-financial assets, which have been generated by transactions with related parties and that are part of the following line items of the ‘Statement of profit or loss’:
- (a)
‘Gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates’;
- (b)
‘Gains or losses on de-recognition of non-financial assets other than held for sale’;
- (c)
‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’, and;
- (d)
‘Profit or loss after tax from discontinued operations’.
22.
GROUP STRUCTURE (40)
123.
Institutions shall provide detailed information on subsidiaries, joint ventures and associates as of the reporting date. All subsidiaries regardless the activity they perform shall be reported. Securities classified as ‘Financial assets held for trading’, ‘Financial assets designated at fair value through profit or loss’, ‘Available-for-sale financial assets’ and Treasury shares, that is to say, own shares of reporting institution owned by it, shall be excluded from the scope of this template.
22.1.
Group structure: ‘entity-by-entity’ (40.1)
124.
The following information shall be reported on a ‘entity-by-entity’ basis:
- (a)
‘LEI code’ includes the LEI code of the investee;
- (b)
‘Entity code’ includes the identification code of the investee. The entity code is a row identifier and shall be unique for each row in template 40.1.
- (c)
‘Entity name’ includes the name of the investee;
- (d)
‘Entry date’ means the date in which the investee entered within the ‘scope of the group’;
- (e)
‘Share capital’ means the total amount of capital issued by the investee as at the reference date;
- (f)
‘Equity of Investee’, ‘Total assets of the Investee’ and ‘Profit or (loss) of the Investee’ include the amounts of these items in the last financial statements of the investee;
- (g)
‘Residence of investee’ means the country of residence of the investee.
- (h)
‘Sector of investee’ means the sector of counterparty as defined in paragraph 35 of Part 1;
- (i)
‘NACE code’ shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by ‘section’); for financial corporations, NACE codes shall be reported with a two level detail (by ‘division’);
- (j)
‘Accumulated equity interest (%)’ is the percentage of ownership instruments held by the institution as of the reference date;
- (k)
‘Voting rights (%)’ means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.
- (l)
‘Group structure [relationship]’ shall indicate the relationship between the parent and the investee (subsidiary, joint venture or associate);
- (m)
‘Accounting treatment [Accounting Group]’ shall indicate the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation or equity method);
- (n)
‘Accounting treatment [CRR Group]’ shall indicate the accounting treatment with the CRR scope of consolidation (full integration, proportional integration or equity method);
- (o)
‘Carrying amount’ means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;
- (p)
‘Acquisition cost’ means the amount paid by the investors;
- (q)
‘Goodwill link to the investee’ means the amount of goodwill reported on the consolidated balance sheet of the institution for the investee in the items ‘goodwill’ or ‘investments in subsidiaries, joint ventures and associated’;
- (r)
‘Fair value of the investments for which there are published price quotations’ means the price at the reference date; it shall be provided only if the instruments are quoted.
22.2.
Group structure: ‘instrument-by-instrument’ (40.2)
125.
The following information shall be reported on an ‘instrument-by-instrument’ basis:
- (a)
‘Security code’ includes the ISIN code of the security. For securities without ISIN code assigned, it includes another code that uniquely identifies the security. ‘Security code’ and ‘Holding company code’ are a composite row identifier, and together shall be unique for each row in template 40.2;
- (b)
‘Holding company code’ is the identification code of the entity within the group that holds the investment;
- (c)
‘Entity code’, ‘Accumulated equity interest (%)’, ‘Carrying amount’ and ‘Acquisition cost’ are defined above. The amounts shall correspond to the security held by the related holding company.
23.
FAIR VALUE (41)
23.1.
Fair value hierarchy: financial instruments at amortised cost (41.1)
126.
Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 7.27 A shall be reported in this template.
23.2.
Use of fair value option (41.2)
127.
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. ‘Hybrid contracts’ includes the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it includes non-separated hybrid instruments in their entirely.
23.3.
Hybrid financial instruments not designated at fair value through profit or loss (41.3)
128.
In this template shall be reported information on hybrid financial instruments with the exception of those hybrid contracts measured at fair value through profit or loss under the ‘fair value option’ that are reported in template 41.2.
129.
‘Held for trading’ includes the carrying amount of hybrid financial instruments classified, as a whole, as ‘financial assets held for trading’ or ‘financial liabilities held for trading’; that is it includes non-separated hybrid instruments in their entirely.
130.
The other rows include the carrying amount of the host contracts that have been separated from the embedded derivatives according to the relevant accounting framework. The carrying amounts of the embedded derivatives separated from these host contracts, in accordance with the relevant accounting framework, shall be reported in templates 10 and 11.
24.
TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)
131.
‘Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement.
132.
‘Other intangible assets’ include all other intangible assets than goodwill.
25.
PROVISIONS (43)
133.
This template includes reconciliation between the carrying amount of the item ‘Provisions’ at the beginning and end of the period by the nature of the movements.
26.
DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)
134.
These templates include accumulated information of all defined benefit plans of the institution. When there is more than one defined benefit plan, aggregated amount of all plans shall be reported.
26.1.
Components of net defined benefit plan assets and liabilities (44.1)
135.
‘Components of net defined benefit plan assets and liabilities’ shows the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights [IAS 19.140 (a), (b)].
136.
‘Net defined benefit assets’ includes, in the event of a surplus, the surplus amounts that shall be recognized 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 recognized in the memo item ‘Fair value of any right to reimbursement recognized as asset’ are included in the item ‘Other assets’ of the balance sheet.
26.2.
Movements in defined benefit obligations (44.2)
137.
‘Movements in defined benefit obligations’ shows 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 are presented separately.
138.
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’.
26.3.
Memo items [related to staff expenses] (44.3)
139.
For reporting of memorandum items related to staff expenses, the following definitions shall be used:
- (a)
‘Pension and similar expenses’ includes the amount recognized in the period as staff expenses for any post – employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds.
- (b)
‘Share based payments’ include the amount recognized in the period as staff expenses for share based payments.
27.
BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)
27.1.
Gains or losses on de-recognition of non-financial assets other than held-for-sale (45.2)
140.
Gains and losses on de-recognition of non-financial assets other than held for sale shall be broken down by type of asset; each line item shall include the gain or the loss on the asset (such as property, software, hardware, gold, investment) that has been derecognised.
27.2.
Other operating income and expenses (45.3)
141.
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.
142.
‘Operating leases other than investment property’ includes, for the column ‘income’, the returns obtained, and for the column ‘expenses’ the costs incurred by the institution as lessor in their operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item ‘Other administrative expenses’.
143.
Gains or losses from remeasurements of holdings of precious metals and other commodities measured at fair value less cost to sell shall be reported among the items included in ‘Other operating income. Other’ or ‘Other operating expenses. Other’
28.
STATEMENT OF CHANGES IN EQUITY (46)
144.
The statement of changes in equity discloses the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.
29.
NON-PERFORMING EXPOSURES (18)
145.
For the purpose of template 18, non-performing exposures are those that satisfy any of the following criteria:
- (a)
material exposures which are more than 90 days past due;
- (b)
the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past due amount or of the number of days past due.
146.
That categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 of CRR or as impaired for accounting purposes in accordance with the applicable accounting framework.
147.
Exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures. Exposures with ‘collective allowances for incurred but not reported losses’ referred to in paragraph 38 of this Annex shall not be considered as non-performing exposures unless they meet the criteria to be considered as non-performing exposures.
148.
Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. Materiality shall be assessed in accordance with Article 178 of CRR.
149.
For the purpose of template 18, ‘exposures’ includes all debt instruments (loans and advances and debt securities) and off-balance sheet exposures, except those held for trading exposures. Off-balance sheet exposures comprise the following revocable and irrevocable items:
- (a)
loan commitments given;
- (b)
financial guarantees given;
- (c)
other commitments given.
150.
For the purpose of template 18, an exposure is ‘past-due’ when any amount of principal, interest or fee has not been paid at the date it was due.
151.
For the purpose of template 18, ‘debtor’ means an obligor within the meaning of Article 178 of CRR.
152.
A commitment shall be considered as a non-performing exposure for its nominal amount where, when drawn down or otherwise used, it would lead to exposures that present a risk of not being paid back in full without realisation of collateral.
153.
Financial guarantees given shall be considered as non-performing exposures for their nominal amount where the financial guarantee is at risk of being called by the counterparty (‘guaranteed party’), including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 145. Where the guaranteed party is past-due on the amount due under the financial guarantee contract, the reporting institution shall assess whether the resulting receivable meets the non-performing criteria.
154.
Exposures classified as non-performing in accordance with paragraph 145 shall be categorised as either non-performing on an individual basis (‘transaction based’) or as non-performing for the overall exposure to a given debtor (‘debtor based’). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures:
- (a)
for non-performing exposures classified as defaulted in accordance with Article 178 of CRR, the categorisation approach of Article 178 shall be applied;
- (b)
for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied;
- (c)
for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 of CRR for defaulted exposures shall be applied.
155.
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. When a debtor belongs to a group, the need to also consider exposures to other entities of the group as non-performing shall be assessed, where they are not already considered as impaired or defaulted in accordance with Article 178 of CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.
156.
Exposures shall be considered to have ceased being non-performing when all of the following conditions are met:
- (a)
the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification;
- (b)
the situation of the debtor has improved to the extent that full repayment, according to the original or when applicable the modified conditions, is likely to be made;
- (c)
the debtor does not have any amount past-due by more than 90 days.
An exposure shall remain classified as non-performing while those conditions are not met, even though the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification according to the applicable accounting framework and Article 178 of CRR respectively.
157.
Where forbearance measures are applied to non-performing exposures, those exposures shall be considered to have ceased being non-performing where all the following conditions are met:
- (a)
the application of forbearance measures does not lead to the recognition of impairment or default;
- (b)
one year has passed since the forbearance measures were applied;
- (c)
there is not, following the forbearance measures, any past-due amount or concern regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns shall be determined after an analysis of the debtor’s financial situation by the institution. Concerns may be considered as no longer existing where the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (where there were past-due amounts) or that has been written-off (where there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions.
Those specific exit conditions shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures according to the applicable accounting framework and Article 178 of CRR respectively.
158.
Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount. Performing exposures past due by less than 90 days shall be reported separately for their entire amount.
159.
Non-performing exposures shall be reported broken down by past due time bands. Exposures that are not past due or are past due by 90 days or less but nevertheless are identified as non-performing due to the likelihood of non-full repayment shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due.
160.
The following exposures shall be identified in separate columns:
- (a)
exposures which are considered to be impaired in accordance with the applicable accounting framework, except where they are exposures with incurred but not reported losses;
- (b)
exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.
161.
‘Accumulated impairment’ and ‘accumulated changes in fair value due to credit risk’ figures shall be reported in accordance with paragraph 46. ‘Accumulated impairment’ means the reduction in the carrying amount of the exposure either directly or through the use of an allowance account. Accumulated impairment reported on non-performing exposures shall not include incurred but not reported losses. Incurred but not reported losses shall be reported in accumulated impairment on performing exposures. ‘Accumulated changes in fair value due to credit risk’ shall be reported for exposures designated at fair value through profit and loss in accordance with the applicable accounting framework.
162.
Information on collateral held and financial guarantee received on non-performing exposures shall be reported separately. Amounts reported for collateral received and financial guarantees received shall be calculated in accordance with paragraphs 79 to 82. Therefore, the sum of the amounts reported for both collateral and financial guarantees shall be capped at the carrying amount of the related exposure.
30.
FORBORNE EXPOSURES (19)
163.
For the purpose of template 19, forborne exposures are debt contracts in respect of which forbearance measures have been applied. Forbearance measures consist of concessions towards a debtor that is experiencing or about to experience difficulties in meeting its financial commitments (‘financial difficulties’).
164.
For the purpose of template 19, a concession refers to either of the following actions:
- (a)
a modification of the previous terms and conditions of a contract that the debtor is considered unable to comply with due to its financial difficulties (‘troubled debt’) resulting in insufficient debt service ability and that would not have been granted had the debtor not been experiencing financial difficulties;
- (b)
a total or partial refinancing of a troubled debt contract, that would not have been granted had the debtor not been experiencing financial difficulties.
A concession may entail a loss for the lender.
165.
Evidence of a concession includes the following:
- (a)
a difference in favour of the debtor between the modified terms of the contract and the previous terms of the contract;
- (b)
inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at that time.
166.
The exercise of clauses which, when used at the discretion of the debtor, enable the debtor to change the terms of the contract (‘embedded forbearance clauses’) shall be treated as a concession when the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.
167.
‘Refinancing’ means the use of debt contracts to ensure the total or partial payment of other debt contracts the current terms of which the debtor is unable to comply with.
168.
For the purpose of template 19, ‘debtor’ includes all the natural and legal entities in the debtor’s group which are within the accounting scope of consolidation.
169.
For the purpose of template 19, ‘debt’ includes loans, debt securities and revocable and irrevocable loan commitments given, but excludes exposures held for trading.
170.
For the purpose of template 19, ‘exposure’ has the same meaning as given for ‘debt’ in paragraph 169.
171.
For the purpose of template 19, ‘institution’ means the institution which applied the forbearance measures.
172.
Exposures shall be regarded as forborne where a concession has been made, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 of CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Nevertheless the following shall be treated as forbearance measures:
- (a)
a modified contract that has been classified as non-performing before the modification or would in the absence of modification be classified as non-performing;
- (b)
the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt;
- (c)
the institution approves the use of embedded forbearance clauses for a debtor who is non-performing or who would be considered as non-performing without the use of those clauses;
- (d)
simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing.
173.
A modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession.
174.
There is a rebuttable presumption that forbearance has taken place in the following circumstances:
- (a)
the modified contract was totally or partially past due by more than 30 days (without being non-performing) at least once during the three months prior to its modification or would be more than 30 days past due, totally or partially, without modification;
- (b)
simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was totally or partially past due by 30 days at least once during the three months prior to its refinancing;
- (c)
the institution approves the use of embedded forbearance clauses for 30 days past due debtors or debtors who would be 30 days past due without the exercise of those clauses.
175.
Financial difficulties shall be assessed at debtor level as referred to in paragraph 168. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures.
176.
The classification as forborne shall be discontinued when all of the following conditions are met:
- (a)
the contract is considered to be performing, including where it has been reclassified from the non-performing category after an analysis of the financial condition of the debtor showed that it no longer met the conditions to be considered as non-performing;
- (b)
a minimum two year probation period has passed from the date the forborne exposure was considered to be performing;
- (c)
regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period;
- (d)
none of the exposures to the debtor is more than 30 days past due at the end of the probation period.
177.
Where the conditions referred to in paragraph 176 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 on at least a quarterly basis.
178.
A forborne exposure may be considered as performing from the date the forbearance measures were applied where either of the following conditions is 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.
179.
Where additional forbearance measures are applied to a performing forborne contract under probation or it becomes more than 30 days past due, it shall be classified as non-performing.
180.
‘Performing exposures with forbearance measures’ comprise forborne exposures that do not meet the criteria to be considered as non-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’. Non-performing exposures with forbearance measures comprise forborne exposures that meet the criteria to be considered as non-performing. Those non-performing exposures with forbearance measures 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)
exposures to which the conditions referred to in paragraph 157 apply;
- (d)
forborne exposures which have been reclassified from the performing category, including exposures under probation having been re-forborne or are more than 30 days past-due.
Exposures to which paragraph 157 applies shall be separately identified in the column ‘of which: forbearance of non-performing exposures’.
181.
The column ‘Refinancing’ comprises 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.
182.
Forborne exposures combining modifications and refinancing shall be allocated to the column ‘Instruments with modifications of the terms and conditions’ or the column ‘Refinancing’ according to the measure that has the most impact on cash-flows. Refinancing by a pool of banks shall be reported in the column ‘Refinancing’ for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash-flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to its de-recognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt.
183.
Accumulated impairment and accumulated changes in fair value due to credit risk shall be reported in accordance with paragraph 46. ‘Accumulated impairment’ means the reduction in the carrying amount of the exposure either directly or through the use of an allowance account. The amount of ‘accumulated impairment’ to be reported in the column ‘on non-performing exposures with forbearance measures’ for non-performing exposures shall not include incurred but not reported losses. Incurred but not reported losses shall be reported in the column ‘on performing exposures with forbearance measures’. ‘Accumulated changes in fair value due to credit risk’ are reported for exposures designated at fair value through profit and loss in accordance with the applicable accounting framework.
PART 3
MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS
1.
The following tables map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables.
Table 2 Standardised Approach SA exposure classes (CRR Article 112) FINREP counterparty sectors Comments (a)
Central governments or central banks
(1)
Central banks
(2)
General governments
These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty (b)
Regional governments or local authorities
(2)
General governments
(c)
Public sector entities
(2)
General governments
(d)
Multilateral development banks
(3)
Credit institutions
(e)
International organisations
(2)
General governments
(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
(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 should be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, when securitized positions remain recognised in the balance sheet, the counterparty sectors are 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 are 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
(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 are 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, when securitized positions remain recognised in the balance sheet, the counterparty sectors are 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.
Annotations
Footnotes
- f1
-
The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).
- f2
-
‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.
- f3
-
Regulation (EC) No 25/2009 of the European Central Bank of 19 December 2008 concerning the balance sheet of monetary financial institutions sector (recast) (ECB/2008/32) (OJ L 15, 20.1.2009, p. 14).
- f4
-
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).
- f5
-
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).
- f6
-
Fourth Council Directive 78/660/EEC of 25 July 1978 based in Article 54(3)(g) of the Treaty on the annual accounts of certain types of companies (OJ L 222, 14.8.1978, p. 11).
- f7
-
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).