{
  "url": "https://openlegislation.uk/eu-regulation-2015-227/annex-I",
  "json_url": "https://openlegislation.uk/eu-regulation-2015-227/annex-I.json",
  "legislation": "eur/2015/227",
  "legislation_title": "Commission Implementing Regulation (EU) 2015/227 of 9 January 2015 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2015-227",
  "path": "annex/I",
  "kind": "annex",
  "number": "I",
  "heading": null,
  "text": "ANNEX I\nREPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS\nCOREP TEMPLATES\nTemplate number\nTemplate code\nName of the template/group of templates\nShort name\nCAPITAL ADEQUACY\nCA\n1\nC 01.00\nOWN FUNDS\nCA1\n2\nC 02.00\nOWN FUNDS REQUIREMENTS\nCA2\n3\nC 03.00\nCAPITAL RATIOS\nCA3\n4\nC 04.00\nMEMORANDUM ITEMS:\nCA4\nTRANSITIONAL PROVISIONS\nCA5\n5.1\nC 05.01\nTRANSITIONAL PROVISIONS\nCA5.1\n5.2\nC 05.02\nGRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID\nCA5.2\nGROUP SOLVENCY\nGS\n6.1\nC 06.01\nGROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL\nGS Total\n6.2\nC 06.02\nGROUP SOLVENCY: INFORMATION ON AFFILIATES\nGS\nCREDIT RISK\nCR\n7\nC 07.00\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS\nCR SA\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS\nCR IRB\n8.1\nC 08.01\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS\nCR IRB 1\n8.2\nC 08.02\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools)\nCR IRB 2\nGEOGRAPHICAL BREAKDOWN\nCR GB\n9.1\nC 09.01\nTable 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)\nCR GB 1\n9.2\nC 09.02\nTable 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)\nCR GB 2\n9.3\nC 09.03\nTable 9.3 - Breakdown of total own funds requirements for credit risk of relevant credit exposures by country\nCR GB 3\nCREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS\nCR EQU IRB\n10.1\nC 10.01\nCREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS\nCR EQU IRB 1\n10.2\nC 10.02\nCREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:\nCR EQU IRB 2\n11\nC 11.00\nSETTLEMENT/DELIVERY RISK\nCR SETT\n12\nC 12.00\nCREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS\nCR SEC SA\n13\nC 13.00\nCREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS\nCR SEC IRB\n14\nC 14.00\nDETAILED INFORMATION ON SECURITISATIONS\nCR SEC Details\nOPERATIONAL RISK\nOPR\n16\nC 16.00\nOPERATIONAL RISK\nOPR\n17\nC 17.00\nOPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR\nOPR Details\nMARKET RISK\nMKR\n18\nC 18.00\nMARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS\nMKR SA TDI\n19\nC 19.00\nMARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS\nMKR SA SEC\n20\nC 20.00\nMARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO\nMKR SA CTP\n21\nC 21.00\nMARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES\nMKR SA EQU\n22\nC 22.00\nMARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK\nMKR SA FX\n23\nC 23.00\nMARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES\nMKR SA COM\n24\nC 24.00\nMARKET RISK INTERNAL MODELS\nMKR IM\n25\nC 25.00\nCREDIT VALUE ADJUSTMENT RISK\nCVA\nC 01.00 — OWN FUNDS (CA1)\nRows\nID\nItem\nAmount\n010\n1\nOWN FUNDS\n015\n1.1\nTIER 1 CAPITAL\n020\n1.1.1\nCOMMON EQUITY TIER 1 CAPITAL\n030\n1.1.1.1\nCapital instruments eligible as CET1 Capital\n040\n1.1.1.1.1\nPaid up capital instruments\n050\n1.1.1.1.2*\nMemorandum item: Capital instruments not eligible\n060\n1.1.1.1.3\nShare premium\n070\n1.1.1.1.4\n(-) Own CET1 instruments\n080\n1.1.1.1.4.1\n(-) Direct holdings of CET1 instruments\n090\n1.1.1.1.4.2\n(-) Indirect holdings of CET1 instruments\n091\n1.1.1.1.4.3\n(-) Synthetic holdings of CET1 instruments\n092\n1.1.1.1.5\n(-) Actual or contingent obligations to purchase own CET1 instruments\n130\n1.1.1.2\nRetained earnings\n140\n1.1.1.2.1\nPrevious years retained earnings\n150\n1.1.1.2.2\nProfit or loss eligible\n160\n1.1.1.2.2.1\nProfit or loss attributable to owners of the parent\n170\n1.1.1.2.2.2\n(-) Part of interim or year-end profit not eligible\n180\n1.1.1.3\nAccumulated other comprehensive income\n200\n1.1.1.4\nOther reserves\n210\n1.1.1.5\nFunds for general banking risk\n220\n1.1.1.6\nTransitional adjustments due to grandfathered CET1 Capital instruments\n230\n1.1.1.7\nMinority interest given recognition in CET1 capital\n240\n1.1.1.8\nTransitional adjustments due to additional minority interests\n250\n1.1.1.9\nAdjustments to CET1 due to prudential filters\n260\n1.1.1.9.1\n(-) Increases in equity resulting from securitised assets\n270\n1.1.1.9.2\nCash flow hedge reserve\n280\n1.1.1.9.3\nCumulative gains and losses due to changes in own credit risk on fair valued liabilities\n285\n1.1.1.9.4\nFair value gains and losses arising from the institution's own credit risk related to derivative liabilities\n290\n1.1.1.9.5\n(-) Value adjustments due to the requirements for prudent valuation\n300\n1.1.1.10\n(-) Goodwill\n310\n1.1.1.10.1\n(-) Goodwill accounted for as intangible asset\n320\n1.1.1.10.2\n(-) Goodwill included in the valuation of significant investments\n330\n1.1.1.10.3\nDeferred tax liabilities associated to goodwill\n340\n1.1.1.11\n(-) Other intangible assets\n350\n1.1.1.11.1\n(-) Other intangible assets before deduction of deferred tax liabilities\n360\n1.1.1.11.2\nDeferred tax liabilities associated to other intangible assets\n370\n1.1.1.12\n(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities\n380\n1.1.1.13\n(-) IRB shortfall of credit risk adjustments to expected losses\n390\n1.1.1.14\n(-) Defined benefit pension fund assets\n400\n1.1.1.14.1\n(-) Defined benefit pension fund assets\n410\n1.1.1.14.2\nDeferred tax liabilities associated to defined benefit pension fund assets\n420\n1.1.1.14.3\nDefined benefit pension fund assets which the institution has an unrestricted ability to use\n430\n1.1.1.15\n(-) Reciprocal cross holdings in CET1 Capital\n440\n1.1.1.16\n(-) Excess of deduction from AT1 items over AT1 Capital\n450\n1.1.1.17\n(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight\n460\n1.1.1.18\n(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight\n470\n1.1.1.19\n(-) Free deliveries which can alternatively be subject to a 1 250 % risk weight\n471\n1.1.1.20\n(-) 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\n472\n1.1.1.21\n(-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight\n480\n1.1.1.22\n(-) CET1 instruments of financial sector entites where the institution does not have a significant investment\n490\n1.1.1.23\n(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences\n500\n1.1.1.24\n(-) CET1 instruments of financial sector entities where the institution has a significant investment\n510\n1.1.1.25\n(-) Amount exceeding the 17.65 % threshold\n520\n1.1.1.26\nOther transitional adjustments to CET1 Capital\n524\n1.1.1.27\n(-) Additional deductions of CET1 Capital due to Article 3 CRR\n529\n1.1.1.28\nCET1 capital elements or deductions - other\n530\n1.1.2\nADDITIONAL TIER 1 CAPITAL\n540\n1.1.2.1\nCapital instruments eligible as AT1 Capital\n550\n1.1.2.1.1\nPaid up capital instruments\n560\n1.1.2.1.2*\nMemorandum item: Capital instruments not eligible\n570\n1.1.2.1.3\nShare premium\n580\n1.1.2.1.4\n(-) Own AT1 instruments\n590\n1.1.2.1.4.1\n(-) Direct holdings of AT1 instruments\n620\n1.1.2.1.4.2\n(-) Indirect holdings of AT1 instruments\n621\n1.1.2.1.4.3\n(-) Synthetic holdings of AT1 instruments\n622\n1.1.2.1.5\n(-) Actual or contingent obligations to purchase own AT1 instruments\n660\n1.1.2.2\nTransitional adjustments due to grandfathered AT1 Capital instruments\n670\n1.1.2.3\nInstruments issued by subsidiaries that are given recognition in AT1 Capital\n680\n1.1.2.4\nTransitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries\n690\n1.1.2.5\n(-) Reciprocal cross holdings in AT1 Capital\n700\n1.1.2.6\n(-) AT1 instruments of financial sector entities where the institution does not have a significant investment\n710\n1.1.2.7\n(-) AT1 instruments of financial sector entities where the institution has a significant investment\n720\n1.1.2.8\n(-) Excess of deduction from T2 items over T2 Capital\n730\n1.1.2.9\nOther transitional adjustments to AT1 Capital\n740\n1.1.2.10\nExcess of deduction from AT1 items over AT1 Capital (deducted in CET1)\n744\n1.1.2.11\n(-) Additional deductions of AT1 Capital due to Article 3 CRR\n748\n1.1.2.12\nAT1 capital elements or deductions - other\n750\n1.2\nTIER 2 CAPITAL\n760\n1.2.1\nCapital instruments and subordinated loans eligible as T2 Capital\n770\n1.2.1.1\nPaid up capital instruments and subordinated loans\n780\n1.2.1.2*\nMemorandum item: Capital instruments and subordinated loans not eligible\n790\n1.2.1.3\nShare premium\n800\n1.2.1.4\n(-) Own T2 instruments\n810\n1.2.1.4.1\n(-) Direct holdings of T2 instruments\n840\n1.2.1.4.2\n(-) Indirect holdings of T2 instruments\n841\n1.2.1.4.3\n(-) Synthetic holdings of T2 instruments\n842\n1.2.1.5\n(-) Actual or contingent obligations to purchase own T2 instruments\n880\n1.2.2\nTransitional adjustments due to grandfathered T2 Capital instruments and subordinated loans\n890\n1.2.3\nInstruments issued by subsidiaries that are given recognition in T2 Capital\n900\n1.2.4\nTransitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries\n910\n1.2.5\nIRB Excess of provisions over expected losses eligible\n920\n1.2.6\nSA General credit risk adjustments\n930\n1.2.7\n(-) Reciprocal cross holdings in T2 Capital\n940\n1.2.8\n(-) T2 instruments of financial sector entities where the institution does not have a significant investment\n950\n1.2.9\n(-) T2 instruments of financial sector entities where the institution has a significant investment\n960\n1.2.10\nOther transitional adjustments to T2 Capital\n970\n1.2.11\nExcess of deduction from T2 items over T2 Capital (deducted in AT1)\n974\n1.2.12\n(-) Additional deductions of T2 Capital due to Article 3 CRR\n978\n1.2.13\nT2 capital elements or deductions - other\nC 02.00 — OWN FUNDS REQUIREMENTS (CA2)\nRows\nItem\nLabel\nAmount\n010\n1\nTOTAL RISK EXPOSURE AMOUNT\n020\n1*\nOf which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR\n030\n1**\nOf which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR\n040\n1.1\nRISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES\n050\n1.1.1\nStandardised approach (SA)\n060\n1.1.1.1\nSA exposure classes excluding securitisation positions\n070\n1.1.1.1.01\nCentral governments or central banks\n080\n1.1.1.1.02\nRegional governments or local authorities\n090\n1.1.1.1.03\nPublic sector entities\n100\n1.1.1.1.04\nMultilateral Development Banks\n110\n1.1.1.1.05\nInternational Organisations\n120\n1.1.1.1.06\nInstitutions\n130\n1.1.1.1.07\nCorporates\n140\n1.1.1.1.08\nRetail\n150\n1.1.1.1.09\nSecured by mortgages on immovable property\n160\n1.1.1.1.10\nExposures in default\n170\n1.1.1.1.11\nItems associated with particular high risk\n180\n1.1.1.1.12\nCovered bonds\n190\n1.1.1.1.13\nClaims on institutions and corporates with a short-term credit assessment\n200\n1.1.1.1.14\nCollective investments undertakings (CIU)\n210\n1.1.1.1.15\nEquity\n211\n1.1.1.1.16\nOther items\n220\n1.1.1.2\nSecuritisation positions SA\n230\n1.1.1.2*\nof which: resecuritisation\n240\n1.1.2\nInternal ratings based Approach (IRB)\n250\n1.1.2.1\nIRB approaches when neither own estimates of LGD nor Conversion Factors are used\n260\n1.1.2.1.01\nCentral governments and central banks\n270\n1.1.2.1.02\nInstitutions\n280\n1.1.2.1.03\nCorporates - SME\n290\n1.1.2.1.04\nCorporates - Specialised Lending\n300\n1.1.2.1.05\nCorporates - Other\n310\n1.1.2.2\nIRB approaches when own estimates of LGD and/or Conversion Factors are used\n320\n1.1.2.2.01\nCentral governments and central banks\n330\n1.1.2.2.02\nInstitutions\n340\n1.1.2.2.03\nCorporates - SME\n350\n1.1.2.2.04\nCorporates - Specialised Lending\n360\n1.1.2.2.05\nCorporates - Other\n370\n1.1.2.2.06\nRetail - Secured by real estate SME\n380\n1.1.2.2.07\nRetail - Secured by real estate non-SME\n390\n1.1.2.2.08\nRetail - Qualifying revolving\n400\n1.1.2.2.09\nRetail - Other SME\n410\n1.1.2.2.10\nRetail - Other non-SME\n420\n1.1.2.3\nEquity IRB\n430\n1.1.2.4\nSecuritisation positions IRB\n440\n1.1.2.4*\nOf which: resecuritisation\n450\n1.1.2.5\nOther non credit-obligation assets\n460\n1.1.3\nRisk exposure amount for contributions to the default fund of a CCP\n490\n1.2\nTOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY\n500\n1.2.1\nSettlement/delivery risk in the non-Trading book\n510\n1.2.2\nSettlement/delivery risk in the Trading book\n520\n1.3\nTOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS\n530\n1.3.1\nRisk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)\n540\n1.3.1.1\nTraded debt instruments\n550\n1.3.1.2\nEquity\n560\n1.3.1.3\nForeign Exchange\n570\n1.3.1.4\nCommodities\n580\n1.3.2\nRisk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)\n590\n1.4\nTOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)\n600\n1.4.1\nOpR Basic indicator approach (BIA)\n610\n1.4.2\nOpR Standardised (STA) / Alternative Standardised (ASA) approaches\n620\n1.4.3\nOpR Advanced measurement approaches (AMA)\n630\n1.5\nADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS\n640\n1.6\nTOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT\n650\n1.6.1\nAdvanced method\n660\n1.6.2\nStandardised method\n670\n1.6.3\nBased on OEM\n680\n1.7\nTOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK\n690\n1.8\nOTHER RISK EXPOSURE AMOUNTS\n710\n1.8.2\nOf which: Additional stricter prudential requirements based on Art 458\n720\n1.8.2*\nOf which: requirements for large exposures\n730\n1.8.2**\nOf which: due to modified risk weights for targeting asset bubbles in the residential and commercial property\n740\n1.8.2***\nOf which: due to intra financial sector exposures\n750\n1.8.3\nOf which: Additional stricter prudential requirements based on Art 459\n760\n1.8.4\nOf which: Additional risk exposure amount due to Article 3 CRR\nC 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)\nRows\nID\nItem\nAmount\n010\n1\nCET1 Capital ratio\n020\n2\nSurplus(+)/Deficit(-) of CET1 capital\n030\n3\nT1 Capital ratio\n040\n4\nSurplus(+)/Deficit(-) of T1 capital\n050\n5\nTotal capital ratio\n060\n6\nSurplus(+)/Deficit(-) of total capital\nMemorandum Items: Capital ratios due to Pillar II adjustments\n070\n7\nCET1 capital ratio including Pillar II adjustments\n080\n8\nTarget CET1 capital ratio due to Pillar II adjustments\n090\n9\nT1 capital ratio including Pillar II adjustments\n100\n10\nTarget T1 capital ratio due to Pillar II adjustments\n110\n11\nTotal capital ratio including Pillar II adjustments\n120\n12\nTarget Total capital ratio due to Pillar II adjustments\nC 04.00 — MEMORANDUM ITEMS (CA4)\nRow\nID\nItem\nColumn\nDeferred tax assest and liabilities\n010\n010\n1\nTotal deferred tax assets\n020\n1.1\nDeferred tax assets that do not rely on future profitability\n030\n1.2\nDeferred tax assets that rely on future profitability and do not arise from temporary differences\n040\n1.3\nDeferred tax assets that rely on future profitability and arise from temporary differences\n050\n2\nTotal deferred tax liabilities\n060\n2.1\nDeferred tax liabilities non deductible from deferred tax assets that rely on future profitability\n070\n2.2\nDeferred tax liabilities deductible from deferred tax assets that rely on future profitability\n080\n2.2.1\nDeductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences\n090\n2.2.2\nDeductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences\nCredit risk adjustments and expected losses\n100\n3\nIRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures\n110\n3.1\nTotal credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount\n120\n3.1.1\nGeneral credit risk adjustments\n130\n3.1.2\nSpecific credit risk adjustments\n131\n3.1.3\nAdditional value adjustments and other own funds reductions\n140\n3.2\nTotal expected losses eligible\n145\n4\nIRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures\n150\n4.1\nSpecific credit risk adjustments and positions treated similarily\n155\n4.2\nTotal expected losses eligible\n160\n5\nRisk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2\n170\n6\nTotal gross provisions eligible for inclusion in T2 capital\n180\n7\nRisk weighted exposure amounts for calculating the cap to the provision eligible as T2\nThresholds for Common Equity Tier 1 deductions\n190\n8\nThreshold non deductible of holdings in financial sector entities where an institution does not have a significant investment\n200\n9\n10 % CET1 threshold\n210\n10\n17.65 % CET1 threshold\n220\n11\nEligible capital for the purposes of qualifying holdings outside the financial sector and large exposures\nInvestments in the capital of financial sector entities where the institution does not have a significant investment\n230\n12\nHoldings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions\n240\n12.1\nDirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n250\n12.1.1\nGross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n260\n12.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n270\n12.2\nIndirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n280\n12.2.1\nGross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n290\n12.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n291\n12.3\nSynthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n292\n12.3.1\nGross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\n293\n12.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n300\n13\nHoldings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions\n310\n13.1\nDirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n320\n13.1.1\nGross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n330\n13.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n340\n13.2\nIndirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n350\n13.2.1\nGross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n360\n13.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n361\n13.3\nSynthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n362\n13.3.1\nGross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\n363\n13.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n370\n14\nHoldings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions\n380\n14.1\nDirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n390\n14.1.1\nGross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n400\n14.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n410\n14.2\nIndirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n420\n14.2.1\nGross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n430\n14.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n431\n14.3\nSynthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n432\n14.3.1\nGross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment\n433\n14.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nInvestments in the capital of financial sector entities where the institution has a significant investment\n440\n15\nHoldings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions\n450\n15.1\nDirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\n460\n15.1.1\nGross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment\n470\n15.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n480\n15.2\nIndirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\n490\n15.2.1\nGross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\n500\n15.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n501\n15.3\nSynthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment\n502\n15.3.1\nGross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment\n503\n15.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n510\n16\nHoldings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions\n520\n16.1\nDirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\n530\n16.1.1\nGross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment\n540\n16.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n550\n16.2\nIndirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\n560\n16.2.1\nGross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\n570\n16.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n571\n16.3\nSynthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment\n572\n16.3.1\nGross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment\n573\n16.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\n580\n17\nHoldings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions\n590\n17.1\nDirect holdings of T2 capital of financial sector entities where the institution has a significant investment\n600\n17.1.1\nGross direct holdings of T2 capital of financial sector entities where the institution has a significant investment\n610\n17.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\n620\n17.2\nIndirect holdings of T2 capital of financial sector entities where the institution has a significant investment\n630\n17.2.1\nGross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment\n640\n17.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\n641\n17.3\nSynthetic holdings of T2 capital of financial sector entities where the institution has a significant investment\n642\n17.3.1\nGross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment\n643\n17.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nTotal risk exposure amounts of holdings not deducted from the corresponding capital category:\n650\n18\nRisk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital\n660\n19\nRisk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital\n670\n20\nRisk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital\nTemporary waiver from deduction from own funds\n680\n21\nHoldings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\n690\n22\nHoldings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\n700\n23\nHoldings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\n710\n24\nHoldings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\n720\n25\nHoldings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\n730\n26\nHoldings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\nCapital buffers\n740\n27\nCombined buffer requirement\n750\nCapital conservation buffer\n760\nConservation buffer due to macro-prudential or systemic risk identified at the level of a Member State\n770\nInstitution specific countercyclical capital buffer\n780\nSystemic risk buffer\n790\nSystemical important institution buffer\n800\nGlobal Systemically Important Institution buffer\n810\nOther Systemically Important Institution buffer\nPillar II requirements\n820\n28\nOwn funds requirements related to Pillar II adjustments\nAdditional information for investment firms\n830\n29\nInitial capital\n840\n30\nOwn funds based on Fixed Overheads\nAdditional information for calculation of reporting thresholds\n850\n31\nNon-domestic original exposures\n860\n32\nTotal original exposures\nBasel I floor\n870\nAdjustments to total own funds\n880\nOwn funds fully adjusted for Basel I floor\n890\nOwn funds requirements for Basel I floor\n900\nOwn funds requirements for Basel I floor - SA alternative\nC 05.01 — TRANSITIONAL PROVISIONS (CA5.1)\nAdjustments to CET1\nAdjustments to AT1\nAdjustments to T2\nAdjustments included in RWAs\nMemorandum items\nApplicable percentage\nEligible amount without transitional provisions\nCode\nID\nItem\n010\n020\n030\n040\n050\n060\n010\n1\nTOTAL ADJUSTMENTS\n020\n1.1\nGRANDFATHERED INSTRUMENTS\nlink to {CA1;r220}\nlink to {CA1;r660}\nlink to {CA1;r880}\n030\n1.1.1\nGrandfathered instruments: Instruments constituting state aid\n040\n1.1.1.1\nInstruments that qualified as own funds according to 2006/48/EC\n050\n1.1.1.2\nInstruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme\n060\n1.1.2\nInstruments not constituting state aid\nlink to {CA5.2;r010;c060}\nlink to {CA5.2;r020;c060}\nlink to {CA5.2;r090;c060}\n070\n1.2\nMINORITY INTERESTS AND EQUIVALENTS\nlink to {CA1;r240}\nlink to {CA1;r680}\nlink to {CA1;r900}\n080\n1.2.1\nCapital instruments and items that do not qualify as minority interests\n090\n1.2.2\nTransitional recognition in consolidated own funds of minority interests\n091\n1.2.3\nTransitional recognition in consolidated own funds of qualifying Additional Tier 1 capital\n092\n1.2.4\nTransitional recognition in consolidated own funds of qualifying Tier 2 capital\n100\n1.3\nOTHER TRANSITIONAL ADJUSTMENTS\nlink to {CA1;r520}\nlink to {CA1;r730}\nlink to {CA1;r960}\n110\n1.3.1\nUnrealised gains and losses\n120\n1.3.1.1\nUnrealised gains\n130\n1.3.1.2\nUnrealised losses\n133\n1.3.1.3.\nUnrealised gains on exposures to central governments classified in the \"Available for sale\" category of EU-endorsed IAS39\n136\n1.3.1.4.\nUnrealised loss on exposures to central governments classified in the \"Available for sale\" category of EU-endorsed IAS39\n138\n1.3.1.5.\nFair value gains and losses arising from the institution's own credit risk related to derivative liabilities\n140\n1.3.2\nDeductions\n150\n1.3.2.1\nLosses for the current financial year\n160\n1.3.2.2\nIntangible assets\n170\n1.3.2.3\nDeferred tax assets that rely on future profitability and do not arise from temporary differences\n180\n1.3.2.4\nIRB shortfall of provisions to expected losses\n190\n1.3.2.5\nDefined benefit pension fund assets\n194\n1.3.2.5*\nof which: Introduction of amendments to IAS 19 - positive item\n198\n1.3.2.5**\nof which: Introduction of amendments to IAS 19 - negative item\n200\n1.3.2.6\nOwn instruments\n210\n1.3.2.6.1\nOwn CET1 instruments\n211\n1.3.2.6.1**\nof which: Direct holdings\n212\n1.3.2.6.1*\nof which: Indirect holdings\n220\n1.3.2.6.2\nOwn AT1 instruments\n221\n1.3.2.6.2**\nof which: Direct holdings\n222\n1.3.2.6.2*\nof which: Indirect holdings\n230\n1.3.2.6.3\nOwn T2 instruments\n231\n1.3.2.6.3*\nof which: Direct holdings\n232\n1.3.2.6.3**\nof which: Indirect holdings\n240\n1.3.2.7\nReciprocal cross holdings\n250\n1.3.2.7.1\nReciprocal cross holdings in CET1 Capital\n260\n1.3.2.7.1.1\nReciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment\n270\n1.3.2.7.1.2\nReciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment\n280\n1.3.2.7.2\nReciprocal cross holdings in AT1 Capital\n290\n1.3.2.7.2.1\nReciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment\n300\n1.3.2.7.2.2\nReciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment\n310\n1.3.2.7.3\nReciprocal cross holdings in T2 Capital\n320\n1.3.2.7.3.1\nReciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment\n330\n1.3.2.7.3.2\nReciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment\n340\n1.3.2.8\nOwn funds instruments of financial sector entities where the institution does not have a significant investment\n350\n1.3.2.8.1\nCET1 instruments of financial sector entities where the institution does not have a significant investment\n360\n1.3.2.8.2\nAT1 instruments of financial sector entities where the institution does not have a significant investment\n370\n1.3.2.8.3\nT2 instruments of financial sector entities where the institution does not have a significant investment\n380\n1.3.2.9\nDeferred 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\n390\n1.3.2.10\nOwn funds instruments of financial sector entities where the institution has a significant investment\n400\n1.3.2.10.1\nCET1 instruments of financial sector entities where the institution has a significant investment\n410\n1.3.2.10.2\nAT1 instruments of financial sector entities where the institution has a significant investment\n420\n1.3.2.10.3\nT2 instruments of financial sector entities where the institution has a significant investment\n425\n1.3.2.11\nExemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items\n430\n1.3.3\nAdditional filters and deductions\nC 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)\nCA 5.2 Grandfathered instruments: Instruments not constituting State aid\nAmount of instruments plus related share premium\nBase for calculating the limit\nApplicable percentage\nLimit\n(-) Amount that exceeds the limits for grandfathering\nTotal grandfathered amount\nCode\nID\nItem\n010\n020\n030\n040\n050\n060\n010\n1.\nInstruments that qualified for point a) of Article 57 of 2006/48/EC\nlink to {CA5.1;r060;c010)\n020\n2.\nInstruments 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\nlink to {CA5.1;r060;c020)\n030\n2.1\nTotal instruments without a call or an incentive to redeem\n040\n2.2.\nGrandfathered instruments with a call and incentive to redeem\n050\n2.2.1\nInstruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity\n060\n2.2.2\nInstruments 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\n070\n2.2.3\nInstruments 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\n080\n2.3\nExcess on the limit of CET1 grandfathered instruments\n090\n3\nItems that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490\nlink to {CA5.1;r060;c030)\n100\n3.1\nTotal items without an incentive to redeem\n110\n3.2\nGrandfathered items with an incentive to redeem\n120\n3.2.1\nItems with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity\n130\n3.2.2\nItems 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\n140\n3.2.3\nItems 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\n150\n3.3\nExcess on the limit of AT1 grandfathered instruments\nC 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)\nINFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP\nCAPITAL BUFFERS\nTOTAL RISK EXPOSURE AMOUNT\nQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS\nCONSOLIDATED OWN FUNDS\nCOMBINED BUFFER REQUIRE-MENTS\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nPOSITION, FX AND COMMODITIES RISKS\nOPERATIONAL RISK\nOTHER RISK EXPOSURE AMOUNTS\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL\nQUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL\nMEMORANDUM ITEM: GOODWILL (–) / (+) NEGATIVE GOODWILL\nOF WHICH: COMMON EQUITY TIER 1\nOF WHICH: ADDITIONAL TIER 1\nOF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT\nOF WHICH: (–) GOODWILL / (+) NEGATIVE GOODWILL\nCAPITAL CONSERVATION BUFFER\nINSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER\nCONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE\nSYSTEMIC RISK BUFFER\nSYSTEMICAL IMPORTANT INSTITUTION BUFFER\nGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nOTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\n380\n390\n400\n410\n420\n430\n440\n450\n460\n470\n480\n010\nTOTAL\nC 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)\nENTITIES WITHIN SCOPE OF CONSOLIDATION\nINFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS\nINFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP\nCAPITAL BUFFERS\nNAME\nCODE\nLEI code\nINSITUTION OR EQUIVALENT (YES / NO)\nSCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)\nCOUNTRY CODE\nSHARE OF HOLDING (%)\nTOTAL RISK EXPOSURE AMOUNT\nOWN FUNDS\nTOTAL RISK EXPOSURE AMOUNT\nQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS\nCONSOLIDATED OWN FUNDS\nCOMBINED BUFFER REQUIRE-MENTS\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nPOSITION, FX AND COMMODITIES RISKS\nOPERATIONAL RISK\nOTHER RISK EXPOSURE AMOUNTS\nTOTAL TIER 1 CAPITAL\nTIER 2 CAPITAL\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nPOSITION, FX AND COMMODITIES RISKS\nOPERATIONAL RISK\nOTHER RISK EXPOSURE AMOUNTS\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL\nQUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL\nMEMORANDUM ITEM:GOODWILL (-) / (+) NEGATIVE GOODWILL\nOF WHICH: COMMON EQUITY TIER 1\nOF WHICH: ADDITIONAL TIER 1\nOF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT\nOF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL\nCAPITAL CONSERVATION BUFFER\nINSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER\nCONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE\nSYSTEMIC RISK BUFFER\nSYSTEMICAL IMPORTANT INSTITUTION BUFFER\nGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nOTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nCOMMON EQUITY TIER 1 CAPITAL\nADDITIONAL TIER 1 CAPITAL\nMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL\nOF WHICH: QUALIFYING OWN FUNDS\nRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS\nOF WHICH: QUALIFYING TIER 1 CAPITAL\nRELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS\nOF WHICH: MINORITY INTERESTS\nRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES\nOF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL\nOF WHICH: QUALIFYING TIER 2 CAPITAL\n010\n020\n025\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\n380\n390\n400\n410\n420\n430\n440\n450\n460\n470\n480\nC 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)\nSA Exposure class\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\n(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE\nEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD\nFULLY ADJUSTED EXPOSURE VALUE (E*)\nBREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nUNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)\nFUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nVOLATILITY ADJUSTMENT TO THE EXPOSURE\n(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)\n0 %\n20 %\n50 %\n100 %\nOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK\nOF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI\nOF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) FINANCIAL COLLATERAL: SIMPLE METHOD\n(-) OTHER FUNDED CREDIT PROTECTION\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS (+)\nOF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS\n010\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n215\n220\n230\n240\n010\nTOTAL EXPOSURES\nCell linked to CA\n020\nof which: SME\n030\nof which: SME subject to SME-supporting factor\n040\nof which: Secured by mortgages on immovable property - Residential property\n050\nof which: Exposures under the permanent partial use of the standardised approach\n060\nof which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n070\nOn balance sheet exposures subject to credit risk\n080\nOff balance sheet exposures subject to credit risk\n090\nSecurities Financing Transactions\n100\nof which: centrally cleared through a QCCP\n110\nDerivatives & Long Settlement Transactions\n120\nof which: centrally cleared through a QCCP\n130\nFrom Contractual Cross Product Netting\nBREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:\n140\n0 %\n150\n2 %\n160\n4 %\n170\n10 %\n180\n20 %\n190\n35 %\n200\n50 %\n210\n70 %\n220\n75 %\n230\n100 %\n240\n150 %\n250\n250 %\n260\n370 %\n270\n1 250 %\n280\nOther risk weights\nMEMORANDUM ITEMS\n290\nExposures secured by mortgages on commercial immovable property\n300\nExposures in default subject to a risk weight of 100 %\n310\nExposures secured by mortgages on residential property\n320\nExposures in default subject to a risk weight of 150 %\nC 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)\nIRB Exposure class:\nOwn estimates of LGD and/or conversion factors:\nINTERNAL RATING SYSTEM\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nEXPOSURE VALUE\nCREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT\nSUBJECT TO DOUBLE DEFAULT TREATMENT\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nEXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nEXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nMEMORANDUM ITEMS:\nUNFUNDED CREDIT PROTECTION\n(-) OTHER FUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nOWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION\nFUNDED CREDIT PROTECTION\nUNFUNDED CREDIT PROTECTION\nEXPECTED LOSS AMOUNT\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nNUMBER OF OBLIGORS\nPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS (+)\nOF WHICH: OFF BALANCE SHEET ITEMS\nOF WHICH: OFF BALANCE SHEET ITEMS\nOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nGUARANTEES\nCREDIT DERIVATIVES\nOWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION\nELIGIBLE FINANCIAL COLLATERAL\nOTHER ELIGIBLE COLLATERAL\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nREAL ESTATE\nOTHER PHYSICAL COLLATERAL\nRECEIVABLES\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n255\n260\n270\n280\n290\n300\n010\nTOTAL EXPOSURES\nCell linked to CA\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n020\nOn balance sheet items subject to credit risk\n030\nOff balance sheet items subject to credit risk\nExposures / Transactions subject to counterparty credit risk\n040\nSecurities Financing Transactions\n050\nDerivatives & Long Settlement Transactions\n060\nFrom Contractual Cross Product Netting\n070\nEXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL\n080\nSPECIALIZED LENDING SLOTTING CRITERIA: TOTAL\nBREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:\n090\nRISK WEIGHT: 0 %\n100\n50 %\n110\n70 %\n120\nOf which: in category 1\n130\n90 %\n140\n115 %\n150\n250 %\n160\nALTERNATIVE TREATMENT: SECURED BY REAL ESTATE\n170\nEXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS\n180\nDILUTION RISK: TOTAL PURCHASED RECEIVABLES\nC 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)\nIRB Exposure class:\nOwn estimates of LGD and/or conversion factors:\nOBLIGOR GRADE (ROW IDENTIFIER)\nINTERNAL RATING SYSTEM\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nEXPOSURE VALUE\nCREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT\nSUBJECT TO DOUBLE DEFAULT TREATMENT\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nEXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nEXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR\nMEMORANDUM ITEMS:\nUNFUNDED CREDIT PROTECTION\n(-) OTHER FUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nOWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION\nFUNDED CREDIT PROTECTION\nUNFUNDED CREDIT PROTECTION\nEXPECTED LOSS AMOUNT\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nNUMBER OF OBLIGORS\nPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS (+)\nOF WHICH: OFF BALANCE SHEET ITEMS\nOF WHICH: OFF BALANCE SHEET ITEMS\nOF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nGUARANTEES\nCREDIT DERIVATIVES\nOWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION\nELIGIBLE FINANCIAL COLLATERAL\nOTHER ELIGIBLE COLLATERAL\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nREAL ESTATE\nOTHER PHYSICAL COLLATERAL\nRECEIVABLES\n005\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n255\n260\n270\n280\n290\n300\nC 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)\nCountry:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nExposures in default\nObserved new defaults for the period\nGeneral credit risk adjustments\nSpecific credit risk adjustments\nOf which: write off\nCredit risk adjustments/write-offs for observed new defaults\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\n010\n020\n040\n050\n055\n060\n070\n075\n080\n090\n010\nCentral governments or central banks\n020\nRegional governments or local authorities\n030\nPublic sector entities\n040\nMultilateral Development Banks\n050\nInternational Organisations\n060\nInstitutions\n070\nCorporates\n075\nof which: SME\n080\nRetail\n085\nof which: SME\n090\nSecured by mortgages on immovable property\n095\nof which: SME\n100\nExposures in default\n110\nItems associated with particularly high risk\n120\nCovered bonds\n130\nClaims on institutions and corporates with a short-term credit assessment\n140\nCollective investments undertakings (CIU)\n150\nEquity exposures\n160\nOther exposures\nTotal exposures\nC 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)\nCountry:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nOf which: defaulted\nObserved new defaults for the period\nGeneral credit risk adjustments\nSpecific credit risk adjustments\nOf which: write off\nCredit risk adjustments/write-offs for observed new defaults\nPD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nOf which: defaulted\nEXPOSURE VALUE\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nOf which: defaulted\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nEXPECTED LOSS AMOUNT\n010\n030\n040\n050\n055\n060\n070\n080\n090\n100\n105\n110\n120\n125\n130\n010\nCentral governments or central banks\n020\nInstitutions\n030\nCorporates\n040\nOf Which: Specialised Lending\n050\nOf Which: SME\n060\nRetail\n070\nSecured by real estate property\n080\nSME\n090\nNon-SME\n100\nQualifying Revolving\n110\nOther Retail\n120\nSME\n130\nNon-SME\n140\nEquity\nTotal exposures\nC 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)\nCountry:\nAmount\n010\n010\nOwn fund requirements for credit risk\nC 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)\nINTERNAL RATING SYSTEM\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE VALUE\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nRISK WEIGHTED EXPOSURE AMOUNT\nMEMORANDUM ITEM:\nUNFUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nEXPECTED LOSS AMOUNT\nPD ASSIGNED TO THE OBLIGOR GRADE (%)\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) TOTAL OUTFLOWS\n010\n020\n030\n040\n050\n060\n070\n080\n090\n010\nTOTAL IRB EQUITY EXPOSURES\nCell linked to CA\n020\nPD/LGD APRROACH: TOTAL\n050\nSIMPLE RISK WEIGHT APPROACH: TOTAL\n060\nBREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:\n070\nRISK WEIGHT: 190 %\n080\n290 %\n090\n370 %\n100\nINTERNAL MODELS APPROACH\n110\nEQUITY EXPOSURES SUBJECT TO RISK WEIGHTS\nC 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)\nOBLIGOR GRADE (ROW IDENTIFIER)\nINTERNAL RATING SYSTEM\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE VALUE\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nRISK WEIGHTED EXPOSURE AMOUNT\nMEMORANDUM ITEM:\nUNFUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nEXPECTED LOSS AMOUNT\nPD ASSIGNED TO THE OBLIGOR GRADE (%)\n(-) GUARANTEES\n(-) CREDIT DERIVATIVES\n(-) TOTAL OUTFLOWS\n005\n010\n020\n030\n040\n050\n060\n070\n080\n090\nC 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)\nUNSETTLED TRANSACTIONS AT SETTLEMENT PRICE\nPRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS\nOWN FUNDS REQUIREMENTS\nTOTAL SETTLEMENT RISK EXPOSURE AMOUNT\n010\n020\n030\n040\n010\nTotal unsettled transactions in the Non-trading Book\nCell linked to CA\n020\nTransactions unsettled up to 4 days (Factor 0 %)\n030\nTransactions unsettled between 5 and 15 days (Factor 8 %)\n040\nTransactions unsettled between 16 and 30 days (Factor 50 %)\n050\nTransactions unsettled between 31 and 45 days (Factor 75 %)\n060\nTransactions unsettled for 46 days or more (Factor 100 %)\n070\nTotal unsettled transactions in the Trading Book\nCell linked to CA\n080\nTransactions unsettled up to 4 days (Factor 0 %)\n090\nTransactions unsettled between 5 and 15 days (Factor 8 %)\n100\nTransactions unsettled between 16 and 30 days (Factor 50 %)\n110\nTransactions unsettled between 31 and 45 days (Factor 75 %)\n120\nTransactions unsettled for 46 days or more (Factor 100 %)\nC 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)\nTOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED\nSYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES\nSECURITISATION POSITIONS\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\n(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)\nFULLY ADJUSTED EXPOSURE VALUE (E*)\nBREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS\nEXPOSURE VALUE\nBREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS\nBREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS\nRISK-WEIGHTED EXPOSURE AMOUNT\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS\nADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES\nTOTAL RISK-WEIGHTED EXPOSURE AMOUNT\nMEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES\n(-) FUNDED CREDIT PROTECTION (Cva)\n(-) TOTAL OUTFLOWS\nNOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\n(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)\n(-) FUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\n0 %\n> 0 % and <= 20 %\n> 20 % and <= 50 %\n> 50 % and <= 100 %\n(-) DEDUCTED FROM OWN FUNDS\nSUBJECT TO RISK WEIGHTS\nRATED (CREDIT QUALITY STEPS)\n1 250 %\nLOOK-THROUGH\nINTERNAL ASSESMENT APPROACH\n(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS\nCQS 1\nCQS 2\nCQS 3\nCQS 4\nALL OTHER CQS\nUNRATED\nOF WHICH: SECOND LOSS IN ABCP\nOF WHICH: AVERAGE RISK WEIGHT (%)\nAVERAGE RISK WEIGHT (%)\nOF WHICH: SYNTHETIC SECURITISATIONS\nBEFORE CAP\nAFTER CAP\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\n380\n390\n010\nTOTAL EXPOSURES\nCell linked to CA\n020\nOF WHICH: RE-SECURITISATIONS\nCell linked to CA\n030\nORIGINATOR: TOTAL EXPOSURES\n040\nON-BALANCE SHEET ITEMS\n050\nSECURITISATIONS\n060\nRE-SECURITISATIONS\n070\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\n080\nSECURITISATIONS\n090\nRE-SECURITISATIONS\n100\nEARLY AMORTISATION\n110\nINVESTOR: TOTAL EXPOSURES\n120\nON-BALANCE SHEET ITEMS\n130\nSECURITISATIONS\n140\nRE-SECURITISATIONS\n150\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\n160\nSECURITISATIONS\n170\nRE-SECURITISATIONS\n180\nSPONSOR: TOTAL EXPOSURES\n190\nON-BALANCE SHEET ITEMS\n200\nSECURITISATIONS\n210\nRE-SECURITISATIONS\n220\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\n230\nSECURITISATIONS\n240\nRE-SECURITISATIONS\nBREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:\n250\nCQS 1\n260\nCQS 2\n270\nCQS 3\n280\nCQS 4\n290\nALL OTHER CQS AND UNRATED\nC 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)\nTOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED\nSYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES\nSECURITISATION POSITIONS\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\n(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)\nFULLY ADJUSTED EXPOSURE VALUE (E*)\nBREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS\nEXPOSURE VALUE\nBREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS\n(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS\nRISK-WEIGHTED EXPOSURE AMOUNT\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS\nADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES\nTOTAL RISK-WEIGHTED EXPOSURE AMOUNT\nMEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES\n(-) FUNDED CREDIT PROTECTION (Cva)\n(-) TOTAL OUTFLOWS\nNOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\n(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)\n(-) FUNDED CREDIT PROTECTION\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\n0 %\n> 0 % and <=20 %\n> 20 % and <=50 %\n> 50 % and <=100 %\n(-) DEDUCTED FROM OWN FUNDS\nSUBJECT TO RISK WEIGHTS\nRATINGS BASED METHOD (CREDIT QUALITY STEPS)\n1 250 %\nSUPERVISORY FORMULA METHOD\nLOOK-THROUGH\nINTERNAL ASSESSMENT APPROACH\n(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)\n(-) TOTAL OUTFLOWS\nTOTAL INFLOWS\nCQS 1 & S/T CQS 1\nCQS 2\nCQS 3\nCQS 4 & S/T CQS 2\nCQS 5\nCQS 6\nCQS 7 & S/T CQS 3\nCQS 8\nCQS 9\nCQS 10\nCQS 11\nALL OTHER CQS\nUNRATED\nAVERAGE RISK WEIGHT (%)\nAVERAGE RISK WEIGHT (%)\nAVERAGE RISK WEIGHT (%)\nOF WHICH: SYNTHETIC SECURITISATIONS\nBEFORE CAP\nAFTER CAP\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\n380\n390\n400\n410\n420\n430\n440\n450\n460\n010\nTOTAL EXPOSURES\nCell linked to CA\n020\nOF WHICH: RE-SECURITISATIONS\nCell linked to CA\n030\nORIGINATOR: TOTAL EXPOSURES\n040\nON-BALANCE SHEET ITEMS\n050\nSECURITISATIONS\nA\n060\nB\n070\nC\n080\nRE-SECURITISATIONS\nD\n090\nE\n100\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\n110\nSECURITISATIONS\nA\n120\nB\n130\nC\n140\nRE-SECURITISATIONS\nD\n150\nE\n160\nEARLY AMORTISATION\n170\nINVESTOR: TOTAL EXPOSURES\n180\nON-BALANCE SHEET ITEMS\n190\nSECURITISATIONS\nA\n200\nB\n210\nC\n220\nRE-SECURITISATIONS\nD\n230\nE\n240\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\n250\nSECURITISATIONS\nA\n260\nB\n270\nC\n280\nRE-SECURITISATIONS\nD\n290\nE\n300\nSPONSOR: TOTAL EXPOSURES\n310\nON-BALANCE SHEET ITEMS\n320\nSECURITISATIONS\nA\n330\nB\n340\nC\n350\nRE-SECURITISATIONS\nD\n360\nE\n370\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\n380\nSECURITISATIONS\nA\n390\nB\n400\nC\n410\nRE-SECURITISATIONS\nD\n420\nE\nBREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:\n430\nCQS 1 & S/T CQS 1\n440\nCQS 2\n450\nCQS 3\n460\nCQS 4 & S/T CQS 2\n470\nCQS 5\n480\nCQS 6\n490\nCQS 7 & S/T CQS 3\n500\nCQS 8\n510\nCQS 9\n520\nCQS 10\n530\nCQS 11\n540\nALL OTHER CQS AND UNRATED\nC 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)\nROW NUMBER\nINTERNAL CODE\nIDENTIFIER OF THE SECURITISATION\nIDENTIFIER OF THE ORIGINATOR\nSECURITISATION TYPE: (TRADITIONAL / SYNTHETIC)\nACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet?\nSOLVENCY TREATMENT: Securitisation positions subject to own funds requirements?\nSECURITISATION OR RE-SECURITISATION?\nRETENTION\nROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)\nNON ABCP PROGRAMMES\nSECURITISED EXPOSURES\nSECURITISATION STRUCTURE\nSECURITISATION POSITIONS\n(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS\nTOTAL RISK-WEIGHTED EXPOSURE AMOUNT\nSECURITISATION POSITIONS - TRADING BOOK\nTYPE OF RETENTION APPLIED\n% OF RETENTION AT REPORTING DATE\nCOMPLIANCE WITH THE RETENTION REQUIREMENT?\nORIGINATION DATE (mm/yyyy)\nTOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE\nTOTAL AMOUNT\nINSTITUTION'S SHARE (%)\nTYPE\nAPPROACH APPLIED (SA/IRB/MIX)\nNUMBER OF EXPOSURES\nCOUNTRY\nELGD (%)\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nOWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)\nON-BALANCE SHEET ITEMS\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nMATURITY\nORIGINAL EXPOSURE PRE-CONVERSION FACTORS\nMEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES\nEARLY AMORTISATION\nCTP OR NON-CTP?\nNET POSITIONS\nTOTAL OWN FUNDS REQUIREMENTS (SA)\nSENIOR\nMEZZANINE\nFIRST LOSS\nSENIOR\nMEZZANINE\nFIRST LOSS\nFIRST FORESEEABLE TERMINATION DATE\nLEGAL FINAL MATURITY DATE\nON-BALANCE SHEET ITEMS\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nDIRECT CREDIT SUBSTITUTES\nIRS / CRS\nELIGIBLE LIQUIDITY FACILITIES\nOTHER (including non-eligible LF)\nCONVERSION FACTOR APPLIED\nSENIOR\nMEZZANINE\nFIRST LOSS\nSENIOR\nMEZZANINE\nFIRST LOSS\nBEFORE CAP\nAFTER CAP\nLONG\nSHORT\nSPECIFIC RISK\n005\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\n380\n390\n400\n410\n420\n430\n440\n450\n460\n470\n480\nC 16.00 — OPERATIONAL RISK (OPR)\nBANKING ACTIVITIES\nRELEVANT INDICATOR\nLOANS AND ADVANCES (IN CASE OF ASA APPLICATION)\nOWN FUNDS REQUIREMENT\nTotal operational risk exposure amount\nAMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE\nYEAR-3\nYEAR-2\nLAST YEAR\nYEAR-3\nYEAR-2\nLAST YEAR\nOF WHICH: DUE TO AN ALLOCATION MECHANISM\nOWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)\n010\n020\n030\n040\n050\n060\n070\nO71\n080\n090\n100\n110\n120\n010\n1.\nBANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)\nCell linked to CA2\n020\n2.\nBANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES\nCell linked to CA2\nSUBJECT TO TSA:\n030\nCORPORATE FINANCE (CF)\n040\nTRADING AND SALES (TS)\n050\nRETAIL BROKERAGE (RBr)\n060\nCOMMERCIAL BANKING (CB)\n070\nRETAIL BANKING (RB)\n080\nPAYMENT AND SETTLEMENT (PS)\n090\nAGENCY SERVICES (AS)\n100\nASSET MANAGEMENT (AM)\nSUBJECT TO ASA:\n110\nCOMMERCIAL BANKING (CB)\n120\nRETAIL BANKING (RB)\n130\n3.\nBANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA\nCell linked to CA2\nC 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)\nMAPPING OF LOSSES TO BUSINESS LINES\nEVENT TYPES\nTOTAL EVENT TYPES\nMEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION\nINTERNAL FRAUD\nEXTERNAL FRAUD\nEMPLOYMENT PRACTICES AND WORKPLACE SAFETY\nCLIENTS, PRODUCTS & BUSINESS PRACTICES\nDAMAGE TO PHYSICAL ASSETS\nBUSINESS DISRUPTION AND SYSTEM FAILURES\nEXECUTION, DELIVERY & PROCESS MANAGEMENT\nLOWEST\nHIGHEST\nRows\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n010\nCORPORATE FINANCE [CF]\nNumber of events\n020\nTotal loss amount\n030\nMaximum single loss\n040\nSum of the five largest losses\n110\nTRADING AND SALES [TS]\nNumber of events\n120\nTotal loss amount\n130\nMaximum single loss\n140\nSum of the five largest losses\n210\nRETAIL BROKERAGE [RBr]\nNumber of events\n220\nTotal loss amount\n230\nMaximum single loss\n240\nSum of the five largest losses\n310\nCOMMERCIAL BANKING [CB]\nNumber of events\n320\nTotal loss amount\n330\nMaximum single loss\n340\nSum of the five largest losses\n410\nRETAIL BANKING [RB]\nNumber of events\n420\nTotal loss amount\n430\nMaximum single loss\n440\nSum of the five largest losses\n510\nPAYMENT AND SETTLEMENT [PS]\nNumber of events\n520\nTotal loss amount\n530\nMaximum single loss\n540\nSum of the five largest losses\n610\nAGENCY SERVICES [AS]\nNumber of events\n620\nTotal loss amount\n630\nMaximum single loss\n640\nSum of the five largest losses\n710\nASSET MANAGEMENT [AM]\nNumber of events\n720\nTotal loss amount\n730\nMaximum single loss\n740\nSum of the five largest losses\n810\nCORPORATE ITEMS [CI]\nNumber of events\n820\nTotal loss amount\n830\nMaximum single loss\n840\nSum of the five largest losses\n910\nTOTAL BUSINESS LINES\nNumber of events\n920\nTotal loss amount\n930\nMaximum single loss\n940\nSum of the five largest losses\nC 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)\nCurrency:\nPOSITIONS\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nLONG\nSHORT\nLONG\nSHORT\n010\n020\n030\n040\n050\n060\n070\n010\nTRADED DEBT INSTRUMENTS IN TRADING BOOK\nCell linked to CA2\n011\nGeneral risk\n012\nDerivatives\n013\nOther assets and liabilities\n020\nMaturity-based approach\n030\nZone 1\n040\n0 ≤ 1 month\n050\n> 1 ≤ 3 months\n060\n> 3 ≤ 6 months\n070\n> 6 ≤ 12 months\n080\nZone 2\n090\n> 1 ≤ 2 (1,9 for cupon of less than 3 %) years\n100\n> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years\n110\n> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years\n120\nZone 3\n130\n> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years\n140\n> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years\n150\n> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years\n160\n> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years\n170\n> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years\n180\n> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years\n190\n(> 12,0 ≤ 20,0 for cupon of less than 3 %) years\n200\n(> 20 for cupon of less than 3 %) years\n210\nDuration-based approach\n220\nZone 1\n230\nZone 2\n240\nZone 3\n250\nSpecific risk\n251\nOwn funds requirement for non-securitisation debt instruments\n260\nDebt securities under the first category in Table 1\n270\nDebt securities under the second category in Table 1\n280\nWith residual term ≤ 6 months\n290\nWith a residual term > 6 months and ≤ 24 months\n300\nWith a residual term > 24 months\n310\nDebt securities under the third category in Table 1\n320\nDebt securities under the fourth category in Table 1\n321\nRated nth-to default credit derivatives\n325\nOwn funds requirement for securitisation instruments\n330\nOwn funds requirement for the correlation trading portfolio\n340\nParticular approach for position risk in CIUs\n350\nAdditional requirements for options (non-delta risks)\n360\nSimplified method\n370\nDelta plus approach - additional requirements for gamma risk\n380\nDelta plus approach - additional requirements for vega risk\n390\nScenario matrix approach\nC 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)\nALL POSITIONS\n(-) POSITIONS DEDUCTED FROM OWN FUNDS\nNET POSITIONS\nBREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS\nBREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS\nBEFORE CAP\nAFTER CAP\nTOTAL OWN FUNDS REQUIREMENTS\nRISK WEIGHTS < 1 250 %\n1 250 %\nSUPERVISORY FORMULA METHOD\nLOOK-THROUGH\nINTERNAL ASSESMENT APPROACH\nRISK WEIGHTS < 1 250 %\n1 250 %\nSUPERVISORY FORMULA METHOD\nLOOK-THROUGH\nINTERNAL ASSESMENT APPROACH\nLONG\nSHORT\n(-) LONG\n(-) SHORT\nLONG\nSHORT\n7 - 10 %\n12 - 18 %\n20 - 35 %\n40 - 75 %\n100 %\n150 %\n200 %\n225 %\n250 %\n300 %\n350 %\n425 %\n500 %\n650 %\n750 %\n850 %\nRATED\nUNRATED\nAVERAGE RISK WEIGHT (%)\nAVERAGE RISK WEIGHT (%)\n7 - 10 %\n12 - 18 %\n20 - 35 %\n40 - 75 %\n100 %\n150 %\n200 %\n225 %\n250 %\n300 %\n350 %\n425 %\n500 %\n650 %\n750 %\n850 %\nRATED\nUNRATED\nAVERAGE RISK WEIGHT (%)\nAVERAGE RISK WEIGHT (%)\nWEIGHTED NET LONG POSITIONS\nWEIGHTED NET SHORT POSITIONS\nWEIGHTED NET LONG POSITIONS\nWEIGHTED NET SHORT POSITIONS\nSUM OF WEIGHTED NET LONG AND SHORT POSITIONS\nWEIGHTED NET LONG POSITIONS\nWEIGHTED NET SHORT POSITIONS\nSUM OF WEIGHTED NET LONG AND SHORT POSITIONS\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\n380\n390\n400\n410\n420\n430\n440\n450\n460\n470\n480\n490\n500\n510\n520\n530\n540\n550\n560\n570\n580\n590\n600\n610\n010\nTOTAL EXPOSURES\nCell linked to MKR SA TDI {325:060}\n020\nOf which: RE-SECURITISATIONS\n030\nORIGINATOR: TOTAL EXPOSURES\n040\nSECURITISATIONS\n050\nRE-SECURITISATIONS\n060\nINVESTOR: TOTAL EXPOSURES\n070\nSECURITISATIONS\n080\nRE-SECURITISATIONS\n090\nSPONSOR: TOTAL EXPOSURES\n100\nSECURITISATIONS\n110\nRE-SECURITISATIONS\nBREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES:\n120\n1.\nResidential mortgages\n130\n2.\nCommercial mortgages\n140\n3.\nCredit card receivables\n150\n4.\nLeasing\n160\n5.\nLoans to corporates or SMEs\n170\n6.\nConsumer loans\n180\n7.\nTrade receivables\n190\n8.\nOther assets\n200\n9.\nCovered Bondes\n210\n10.\nOther liabilities\nC 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)\nALL POSITIONS\n(-) POSITIONS DEDUCTED FROM OWN FUNDS\nNET POSITIONS\nBREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS\nBREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS\nBEFORE CAP\nAFTER CAP\nTOTAL OWN FUNDS REQUIREMENTS\nRISK WEIGHTS < 1 250 %\n1 250 %\nSUPERVISORY FORMULA METHOD\nLOOK-THROUGH\nINTERNAL ASSESMENT APPROACH\nRISK WEIGHTS < 1 250 %\n1 250 %\nSUPERVISORY FORMULA METHOD\nLOOK-THROUGH\nINTERNAL ASSESMENT APPROACH\nLONG\nSHORT\n(-) LONG\n(-) SHORT\nLONG\nSHORT\n7 - 10 %\n12 - 18 %\n20 - 35 %\n40 - 75 %\n100 %\n250 %\n350 %\n425 %\n650 %\nOther\nRATED\nUNRATED\nAVERAGE RISK WEIGHT (%)\nAVERAGE RISK WEIGHT (%)\n7 - 10 %\n12 - 18 %\n20 - 35 %\n40 - 75 %\n100 %\n250 %\n350 %\n425 %\n650 %\nOther\nRATED\nUNRATED\nAVERAGE RISK WEIGHT (%)\nAVERAGE RISK WEIGHT (%)\nWEIGHTED NET LONG POSITIONS\nWEIGHTED NET SHORT POSITIONS\nWEIGHTED NET LONG POSITIONS\nWEIGHTED NET SHORT POSITIONS\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n260\n270\n280\n290\n300\n310\n320\n330\n340\n350\n360\n370\n380\n390\n400\n410\n420\n430\n440\n450\n010\nTOTAL EXPOSURES\nCell linked to MKR SA TDI {330:060}\nSECURITISATION POSITIONS:\n020\nORIGINATOR: TOTAL EXPOSURES\n030\nSECURITISATIONS\n040\nOTHER CTP POSITIONS\n050\nINVESTOR: TOTAL EXPOSURES\n060\nSECURITISATIONS\n070\nOTHER CTP POSITIONS\n080\nSPONSOR: TOTAL EXPOSURES\n090\nSECURITISATIONS\n100\nOTHER CTP POSITIONS\nN-TH-TO-DEFAULT CREDIT DERIVATES:\n110\nN-TH-TO-DEFAULT CREDIT DERIVATIVES\n120\nOTHER CTP POSITIONS\nC 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)\nNational market:\nPOSITIONS\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nLONG\nSHORT\nLONG\nSHORT\n010\n020\n030\n040\n050\n060\n070\n010\nEQUITIES IN TRADING BOOK\nCell linked to CA\n020\nGeneral risk\n021\nDerivatives\n022\nOther assets and liabilities\n030\nExchange traded stock-index futures broadly diversified subject to particular approach\n040\nOther equities than exchange traded stock-index futures broadly diversified\n050\nSpecific risk\n080\nParticular approach for position risk in CIUs\n090\nAdditional requirements for options (non-delta risks)\n100\nSimplified method\n110\nDelta plus approach - additional requirements for gamma risk\n120\nDelta plus approach - additional requirements for vega risk\n130\nScenario matrix approach\nC 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nLONG\nSHORT\nLONG\nSHORT\nLONG\nSHORT\nMATCHED\n020\n030\n040\n050\n060\n070\n080\n090\n100\n010\nTOTAL POSITIONS IN NON-REPORTING CURRENCIES\nCell linked to CA\n020\nCurrencies closely correlated\n030\nAll other currencies (including CIUs treated as different currencies)\n040\nGold\n050\nAdditional requirements for options (non-delta risks)\n060\nSimplified method\n070\nDelta plus approach - additional requirements for gamma risk\n080\nDelta plus approach - additional requirements for vega risk\n090\nScenario matrix approach\nBREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES\n100\nOther assets and liabilities other than off-balance sheet items and derivatives\n110\nOff-balance sheet items\n120\nDerivatives\nMemorandum items: CURRENCY POSITIONS\n130\nEuro\n140\nLek\n150\nArgentine Peso\n160\nAustralian Dollar\n170\nBrazilian Real\n180\nBulgarian Lev\n190\nCanadian Dollar\n200\nCzech Koruna\n210\nDanish Krone\n220\nEgyptian Pound\n230\nPound Sterling\n240\nForint\n250\nYen\n270\nLithuanian Litas\n280\nDenar\n290\nMexican Peso\n300\nZloty\n310\nRumanian Leu\n320\nRussian Ruble\n330\nSerbian Dinar\n340\nSwedish Krona\n350\nSwiss Franc\n360\nTurkish Lira\n370\nHryvnia\n380\nUS Dollar\n390\nIceland Krona\n400\nNorwegian Krone\n410\nHong Kong Dollar\n420\nNew Taiwan Dollar\n430\nNew Zealand Dollar\n440\nSingapore Dollar\n450\nWon\n460\nYuan Renminbi\n470\nOther\nC 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)\nALL POSITIONS\nNET POSITIONS\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nLONG\nSHORT\nLONG\nSHORT\n010\n020\n030\n040\n050\n060\n070\n010\nTOTAL POSITIONS IN COMMODITIES\nCell linked to CA\n020\nPrecious metals (except gold)\n030\nBase metals\n040\nAgricultural products (softs)\n050\nOthers\n060\nOf which energy products (oil, gas)\n070\nMaturity ladder approach\n080\nExtended maturity ladder approach\n090\nSimplified approach: All positions\n100\nAdditional requirements for options (non-delta risks)\n110\nSimplified method\n120\nDelta plus approach - additional requirements for gamma risk\n130\nDelta plus approach - additional requirements for vega risk\n140\nScenario matrix approach\nC 24.00 — MARKET RISK INTERNAL MODELS (MKR IM)\nVaR\nSTRESSED VaR\nINCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE\nALL PRICE RISKS CAPITAL CHARGE FOR CTP\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nNumber of overshootings during previous 250 working days\nVaR Multiplication Factor (mc)\nSVaR Multiplication Factor (ms)\nASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP\nASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP\nMULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)\nPREVIOUS DAY (VaRt-1)\nMULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)\nLATEST AVAILABLE (SVaRt-1)\n12 WEEKS AVERAGE MEASURE\nLAST MEASURE\nFLOOR\n12 WEEKS AVERAGE MEASURE\nLAST MEASURE\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n010\nTOTAL POSITIONS\nCell linked to CA\nMemorandum items: BREAKDOWN OF MARKET RISK\n020\nTraded debt instruments\n030\nTDI - General risk\n040\nTDI - Specific Risk\n050\nEquities\n060\nEquities - General risk\n070\nEquities - Specific Risk\n080\nForeign Exchange risk\n090\nCommodities risk\n100\nTotal amount for general risk\n110\nTotal amount for specific risk\nC 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA)\nEXPOSURE VALUE\nVaR\nSTRESSED VaR\nOWN FUNDS REQUIREMENTS\nTOTAL RISK EXPOSURE AMOUNT\nMEMORANDUM ITEMS\nCVA RISK HEDGE NOTIONALS\nof which: OTC Derivatives\nof which: SFT\nMULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)\nPREVIOUS DAY (VaRt-1)\nMULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)\nLATEST AVAILABLE (SVaRt-1)\nNumber of counterparties\nof which: proxy was used to determine credit spread\nINCURRED CVA\nSINGLE NAME CDS\nINDEX CDS\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n010\nCVA risk total\nLink to {CA2;r640;c010}\n020\nAccording to Advanced method\nLink to {CA2;r650;c010}\n030\nAccording to Standardised method\nLink to {CA2;r660;c010}\n040\nBased on OEM\nLink to {CA2;r670;c010}\nANNEX II\nREPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS\nPART I:\nGENERAL INSTRUCTIONS\n1.\nSTRUCTURE AND CONVENTIONS\n1.1.\nSTRUCTURE\n1.\nOverall, the framework consists of five blocks of templates:\n(a) capital adequacy, an overview of regulatory capital; total risk exposure amount;\n(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\n(c) credit risk (including counterparty, dilution and settlement risks);\n(d) market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);\n(e) operational risk.\n2.\nFor 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.\n3.\nInstitutions report only those templates that are relevant depending on the approach used for determining own funds requirements.\n1.2.\nNUMBERING CONVENTION\n4.\nThe 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.\n5.\nThe following general notation is followed in the instructions: {Template;Row;Column}.\n6.\nIn 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}.\n7.\nIn the case of templates with only one column, only rows are referred to. {Template;Row}\n8.\nAn asterisk sign is used to express that the validation is done for the rows or columns specified before.\n1.3.\nSIGN CONVENTION\n9.\nAny 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.\nPART II:\nTEMPLATE RELATED INSTRUCTIONS\n1.\nCAPITAL ADEQUACY OVERVIEW (CA)\n1.1.\nGENERAL REMARKS\n10.\nCA 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:\na)) 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\nb)) CA2 template summarizes the total risk exposures amounts (as defined in Article 92(3) of CRR)\nc)) CA3 template contains the ratios for which CRR state a minimum level, and some other related data\nd)) CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.\ne)) 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.\n11.\nThe 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.\n12.\nThe 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).\n13.\nTransitional provisions are treated as follows in CA templates:\na)) 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.\nb)) 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.\nc)) Template CA5 is exclusively used for reporting the transitional provisions.\n14.\nThe 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.\na)) The templates CA1, CA2 or CA5 only contain data on Pillar I issues.\nb)) 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.\nc)) 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.\n1.2.\nC 01.00 — OWN FUNDS (CA1)\n1.2.1.\nInstructions concerning specific positions\nRow\nLegal references and instructions\n010\n1.\nOwn funds\nArticles 4(1)(118) and 72 of CRR\nThe own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.\n015\n1.1\nTier 1 capital\nArticle 25 of CRR\nThe Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital\n020\n1.1.1\nCommon Equity Tier 1 capital\nArticle 50 of CRR\n030\n1.1.1.1\nCapital instruments eligible as CET1 capital\nArticles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR\n040\n1.1.1.1.1\nPaid up capital instruments\nArticles 26(1) point (a) and 27 to 31 of CRR\nCapital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included.\nThe share premium related to the instruments shall not be included.\nCapital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.\n050\n1.1.1.1.2*\nMemorandum item: Capital instruments not eligible\nArticle 28(1) points (b), (l) and (m) of CRR\nConditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.\nThe amount to be reported shall not include the share premium related to the instruments\n060\n1.1.1.1.3\nShare premium\nArticles 4(1)(124), 26(1) point (b) of CRR\nShare premium has the same meaning as under the applicable accounting standard.\nThe amount to be reported in this item shall be the part related to the \"Paid up capital instruments\".\n070\n1.1.1.1.4\n(-) Own CET1 instruments\nArticles 36(1) point (f) and 42 of CRR\nOwn CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR.\nHoldings on shares included as \"Capital instruments not eligible\" shall not be reported in this row.\nThe amount to be reported shall include the share premium related to the own shares.\nItems 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.\n080\n1.1.1.1.4.1\n(-) Direct holdings of CET1 instruments\nArticles 36(1) point (f) and 42 of CRR\nCommon Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.\nThe 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.\n090\n1.1.1.1.4.2\n(-) Indirect holdings of CET1 instruments\nArticles 4(1)(114), 36(1) point (f) and 42 of CRR\n091\n1.1.1.1.4.3\n(-) Synthetic holdings of CET1 instruments\nArticles 4(1)(126), 36(1) point (f) and 42 of CRR\n092\n1.1.1.1.5\n(-) Actual or contingent obligations to purchase own CET1 instruments\nArticles 36(1) point (f) and 42 of CRR\nAccording 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.\n130\n1.1.1.2\nRetained earnings\nArticles 26(1) point (c) and 26(2) of CRR\nRetained earnings includes the previous year retained earnings plus the eligible interim or year-end profits\n140\n1.1.1.2.1\nPrevious years retained earnings\nArticles 4(1)(123) and 26(1) c) of CRR\nArticle 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\".\n150\n1.1.1.2.2\nProfit or loss eligible\nArticles 4(1)(121), 26(2) and 36(1) point (a) of CRR\nArticle 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.\nOn the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR.\n160\n1.1.1.2.2.1\nProfit or loss attributable to owners of the parent\nArticles 26(2) and 36(1) point (a) of CRR\nThe amount to be reported shall be the profit or loss reported in the accounting income statement.\n170\n1.1.1.2.2.2\n(-) Part of interim or year-end profit not eligible\nArticle 26(2) of CRR\nThis 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.\nIf 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)\nNote that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.\n180\n1.1.1.3\nAccumulated other comprehensive income\nArticles 4(1)(100) and 26(1) point (d) of CRR\nThe 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.\n200\n1.1.1.4\nOther reserves\nArticles 4(1)(117) and 26(1) point (e) of CRR\nOther 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\".\nThe amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.\n210\n1.1.1.5\nFunds for general banking risk\nArticles 4(1)(112) and 26(1) point (f) of CRR\nFunds 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\"\nThe amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.\n220\n1.1.1.6\nTransitional adjustments due to grandfathered CET1 Capital instruments\nArticles 483(1) to (3), and 484 to 487 of CRR\nAmount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.\n230\n1.1.1.7\nMinority interest given recognition in CET1 capital\nArticle 4(120) and 84 of CRR\nSum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.\n240\n1.1.1.8\nTransitional adjustments due to additional minority interests\nArticles 479 and 480 of CRR\nAdjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.\n250\n1.1.1.9\nAdjustments to CET1 due to prudential filters\nArticles 32 to 35 of CRR\n260\n1.1.1.9.1\n(-) Increases in equity resulting from securitised assets\nArticle 32(1) of CRR\nThe amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard.\nFor 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.\n270\n1.1.1.9.2\nCash flow hedge reserve\nArticle 33(1) point (a) of CRR\nThe 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.\nThe amount shall be net of any tax charge foreseeable at the moment of the calculation.\n280\n1.1.1.9.3\nCumulative gains and losses due to changes in own credit risk on fair valued liabilities\nArticle 33(1) point (b) of CRR\nThe 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.\nUnaudited profit shall not be included in this item.\n285\n1.1.1.9.4\nFair value gains and losses arising from the institution’s own credit risk related to derivative liabilities\nArticle 33(1) point (c) and 33(2) of CRR\nThe 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.\nUnaudited profit shall not be included in this item.\n290\n1.1.1.9.5\n(-) Value adjustments due to the requirements for prudent valuation\nArticles 34 and 105 of CRR\nAdjustments 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\n300\n1.1.1.10\n(-) Goodwill\nArticles 4(1)(113), 36(1) point (b) and 37 of CRR\n310\n1.1.1.10.1\n(-) Goodwill accounted for as intangible asset\nArticles 4(1)(113) and 36(1) point (b) of CRR\nGoodwill has the same meaning as under the applicable accounting standard.\nThe amount to be reported here shall be the same that is reported in the balance sheet.\n320\n1.1.1.10.2\n(-) Goodwill included in the valuation of significant investments\nArticle 37 point (b) and 43 of CRR\n330\n1.1.1.10.3\nDeferred tax liabilities associated to goodwill\nArticle 37 point (a) of CRR\nAmount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard\n340\n1.1.1.11\n(-) Other intangible assets\nArticles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR\nOther intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.\n350\n1.1.1.11.1\n(-) Other intangible assets before deduction of deferred tax liabilities\nArticles 4(1)(115) and 36(1) point (b) of CRR\nOther intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.\nThe amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.\n360\n1.1.1.11.2\nDeferred tax liabilities associated to other intangible assets\nArticle 37 point (a) of CRR\nAmount 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\n370\n1.1.1.12\n(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities\nArticles 36(1) point (c) and 38 of CRR\n380\n1.1.1.13\n(-) IRB shortfall of credit risk adjustments to expected losses\nArticles 36(1) point (d), 40, 158 and 159 of CRR\nThe 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)\n390\n1.1.1.14\n(-) Defined benefit pension fund assets\nArticles 4(1)(109), 36(1) point (e) and 41 of CRR\n400\n1.1.1.14.1\n(-) Defined benefit pension fund assets\nArticles 4(1)(109), 36(1) point (e) of CRR\nDefined 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’\nThe amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).\n410\n1.1.1.14.2\nDeferred tax liabilities associated to defined benefit pension fund assets\nArticles 4(1)(108) and (109), and 41(1) point (a) of CRR\nAmount 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.\n420\n1.1.1.14.3\nDefined benefit pension fund assets which the institution has an unrestricted ability to use\nArticles 4(1)(109) and 41(1) point (b) of CRR\nThis 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.\nThe assets included in this row shall receive a risk weight for credit risk requirements.\n430\n1.1.1.15\n(-) Reciprocal cross holdings in CET1 Capital\nArticles 4(1)(122), 36(1) point (g) and 44 of CRR\nHoldings 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\nThe amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.\n440\n1.1.1.16\n(-) Excess of deduction from AT1 items over AT1 Capital\nArticle 36(1) point (j) of CRR\nThe 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.\n450\n1.1.1.17\n(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1.250 % risk weight\nArticles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR\nQualifying 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’.\nAccording 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 %.\n460\n1.1.1.18\n(-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight\nArticles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR\nSecuritisation 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.\n470\n1.1.1.19\n(-) Free deliveries which can alternatively be subject to a 1.250 % risk weight\nArticles 36(1) point (k) (iii) and 379(3) of CRR\nFree 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.\n471\n1.1.1.20\n(-) 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\nArticles 36(1) point (k) (iv) and 153(8) of CRR\nAccording 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 %.\n472\n1.1.1.21\n(-) Equity exposures under an internal models approach which can alternatively be subject to a 1.250 % risk weight\nArticles 36(1) point (k) (v) and 155(4) of CRR\nAccording 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 %.\n480\n1.1.1.22\n(-) CET1 instruments of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR\nPart 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\nSee alternatives to deduction when consolidation is applied (Article 49(2) and (3))\n490\n1.1.1.23\n(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences\nArticles 36(1) point (c); 38 and 48(1) point (a) of CRR\nPart 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.\n500\n1.1.1.24\n(-) CET1 instruments of financial sector entities where the institution has a significant investment\nArticles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR\nPart 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.\nSee alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).\n510\n1.1.1.25\n(-) Amount exceeding the 17.65 % threshold\nArticle 48(1) of CRR\nPart 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.\n520\n1.1.1.26\nOther transitional adjustments to CET1 Capital\nArticles 469 to 472, 478 and 481 of CRR\nAdjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.\n524\n1.1.1.27\nAdditional deductions of CET1 Capital due to Article 3 CRR\nArticle 3 CRR\n529\n1.1.1.28\nCET1 capital elements or deductions — other\nThis 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.\nThis 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).\n530\n1.1.2\nADDITIONAL TIER 1 CAPITAL\nArticle 61 of CRR\n540\n1.1.2.1\nCapital instruments eligible as AT1 Capital\nArticles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR\n550\n1.1.2.1.1\nPaid up capital instruments\nArticles 51 point (a) and 52 to 54 of CRR\nThe amount to be reported shall not include the share premium related to the instruments\n560\n1.1.2.1.2\n(*) Memorandum item: Capital instruments not eligible\nArticle 52(1) points (c), (e) and (f) of CRR\nConditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.\nThe amount to be reported shall not include the share premium related to the instruments\n570\n1.1.2.1.3\nShare premium\nArticle 51 point (b) of CRR\nShare premium has the same meaning as under the applicable accounting standard.\nThe amount to be reported in this item shall be the part related to the \"Paid up capital instruments\".\n580\n1.1.2.1.4\n(-) Own AT1 instruments\nArticles 52(1) point (b), 56 point (a) and 57 of CRR\nOwn AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR.\nHoldings on shares included as \"Capital instruments not eligible\" shall not be reported in this row.\nThe amount to be reported shall include the share premium related to the own shares.\nItems 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.\n590\n1.1.2.1.4.1\n(-) Direct holdings of AT1 instruments\nArticles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR\nAdditional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.\n620\n1.1.2.1.4.2\n(-) Indirect holdings of AT1 instruments\nArticles 52(1) point (b) (ii), 56 point (a) and 57of CRR\n621\n1.1.2.1.4.3\n(-) Synthetic holdings of AT1 instruments\nArticles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR\n622\n1.1.2.1.5\n(-) Actual or contingent obligations to purchase own AT1 instruments\nArticles 56 point (a) and 57 of CRR\nAccording 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.\n660\n1.1.2.2\nTransitional adjustments due to grandfathered AT1 Capital instruments\nArticles 483(4) and (5), 484 to 487, 489 and 491 of CRR\nAmount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.\n670\n1.1.2.3\nInstruments issued by subsidiaries that are given recognition in AT1 Capital\nArticles 83, 85 and 86 of CRR\nSum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.\nQualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included.\n680\n1.1.2.4\nTransitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries\nArticle 480 of CRR\nAdjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.\n690\n1.1.2.5\n(-) Reciprocal cross holdings in AT1 Capital\nArticles 4(1)(122), 56 point (b) and 58 of CRR\nHoldings 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\nThe 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.\n700\n1.1.2.6\n(-) AT1 instruments of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR\nPart 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\n710\n1.1.2.7\n(-) AT1 instruments of financial sector entities where the institution has a significant investment\nArticles 4(1)(27), 56 point (d), 59 and 79 of CRR\nHoldings 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\n720\n1.1.2.8\n(-) Excess of deduction from T2 items over T2 Capital\nArticle 56 point (e) of CRR\nThe amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1)’.\n730\n1.1.2.9\nOther transitional adjustments to AT1 Capital\nArticles 474, 475, 478 and 481 of CRR\nAdjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.\n740\n1.1.2.10\nExcess of deduction from AT1 items over AT1 Capital (deducted in CET1)\nArticle 36(1) point (j) of CRR\nAdditional 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.\nWith 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.\n744\n1.1.2.11\nAdditional deductions of AT1 Capital due to Article 3 CRR\nArticle 3 CRR\n748\n1.1.2.12\nAT1 capital elements or deductions — other\nThis 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.\nThis 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)!\n750\n1.2\nTIER 2 CAPITAL\nArticle 71 of CRR\n760\n1.2.1\nCapital instruments and subordinated loans eligible as T2 Capital\nArticles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR\n770\n1.2.1.1\nPaid up capital instruments and subordinated loans\nArticles 62 point (a), 63 and 65 of CRR\nThe amount to be reported shall not include the share premium related to the instruments\n780\n1.2.1.2\n(*) Memorandum item: Capital instruments and subordinated loans not eligible\nArticle 63 points (c), (e) and (f); and article 64 of CRR\nConditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.\nThe amount to be reported shall not include the share premium related to the instruments\n790\n1.2.1.3\nShare premium\nArticles 62 point (b) and 65 of CRR\nShare premium has the same meaning as under the applicable accounting standard.\nThe amount to be reported in this item shall be the part related to the \"Paid up capital instruments\".\n800\n1.2.1.4\n(-) Own T2 instruments\nArticle 63 point (b) (i), 66 point (a), and 67 of CRR\nOwn T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR.\nHoldings on shares included as \"Capital instruments not eligible\" shall not be reported in this row.\nThe amount to be reported shall include the share premium related to the own shares.\nItems 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.\n810\n1.2.1.4.1\n(-) Direct holdings of T2 instruments\nArticles 63 point (b), 66 point (a) and 67 of CRR\nTier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.\n840\n1.2.1.4.2\n(-) Indirect holdings of T2 instruments\nArticles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR\n841\n1.2.1.4.3\n(-) Synthetic holdings of T2 instruments\nArticles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR\n842\n1.2.1.5\n(-) Actual or contingent obligations to purchase own T2 instruments\nArticles 66 point (a) and 67 of CRR\nAccording 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.\n880\n1.2.2\nTransitional adjustments due to grandfathered T2 Capital instruments and subordinated loans\nArticles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR\nAmount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.\n890\n1.2.3\nInstruments issued by subsidiaries that are given recognition in T2 Capital\nArticles 83, 87 and 88 of CRR\nSum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.\nQualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included.\n900\n1.2.4\nTransitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries\nArticle 480 of CRR\nAdjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.\n910\n1.2.5\nIRB Excess of provisions over expected losses eligible\nArticle 62 point (d) of CRR\nFor 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.\n920\n1.2.6\nSA General credit risk adjustments\nArticle 62 point (c) of CRR\nFor institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.\n930\n1.2.7\n(-) Reciprocal cross holdings in T2 Capital\nArticles 4(1)(122), 66 point (b) and 68 of CRR\nHoldings 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.\nThe 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.\n940\n1.2.8\n(-) T2 instruments of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR\nPart 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.\n950\n1.2.9\n(-) T2 instruments of financial sector entities where the institution has a significant investment\nArticles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR\nHoldings 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.\n960\n1.2.10\nOther transitional adjustments to T2 Capital\nArticles 476 to 478 and 481 of CRR\nAdjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.\n970\n1.2.11\nExcess of deduction from T2 items over T2 Capital (deducted in AT1)\nArticle 56 point (e) of CRR\nTier 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.\nWith 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.\n974\n1.2.12\n(-) Additional deductions of T2 Capital due to Article 3 CRR\nArticle 3 CRR\n978\n1.2.13\nT2 capital elements or deductions — other\nThis 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.\nThis 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).\n1.3.\nC 02.00 — OWN FUNDS REQUIREMENTS (CA2)\n1.3.1.\nInstructions concerning specific positions\nRow\nLegal references and instructions\n010\n1.\nTOTAL RISK EXPOSURE AMOUNT\nArticles 92(3), 95, 96 and 98 of CRR\n020\n1*\nOf which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR\nFor investment firms under Article 95(2) and Article 98 of CRR\n030\n1**\nOf which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR\nFor investment firms under Article 96(2) and Article 97 of CRR\n040\n1.1\nRISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES\nArticle 92(3) points (a) and (f) of CRR\n050\n1.1.1\nStandardised approach (SA)\nCR SA and SEC SA templates at the level of total exposures.\n060\n1.1.1.1\nSA exposure classes excluding securitisations positions\nCR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.\n070\n1.1.1.1.01\nCentral governments or central banks\nSee CR SA template\n080\n1.1.1.1.02\nRegional governments or local authorities\nSee CR SA template\n090\n1.1.1.1.03\nPublic sector entities\nSee CR SA template\n100\n1.1.1.1.04\nMultilateral Development Banks\nSee CR SA template\n110\n1.1.1.1.05\nInternational Organisations\nSee CR SA template\n120\n1.1.1.1.06\nInstitutions\nSee CR SA template\n130\n1.1.1.1.07\nCorporates\nSee CR SA template\n140\n1.1.1.1.08\nRetail\nSee CR SA template\n150\n1.1.1.1.09\nSecured by mortgages on immovable property\nSee CR SA template\n160\n1.1.1.1.10\nExposures in default\nSee CR SA template\n170\n1.1.1.1.11\nItems associated with particular high risk\nSee CR SA template\n180\n1.1.1.1.12\nCovered bonds\nSee CR SA template\n190\n1.1.1.1.13\nClaims on institutions and corporate with a short-term credit assessment\nSee CR SA template\n200\n1.1.1.1.14\nCollective investments undertakings (CIU)\nSee CR SA template\n210\n1.1.1.1.15\nEquity\nSee CR SA template\n211\n1.1.1.1.16\nOther items\nSee CR SA template\n220\n1.1.1.2\nSecuritisations positions SA\nCR SEC SA template at the level of total securitisation types\n230\n1.1.1.2.*\nOf which: resecuritisation\nCR SEC SA template at the level of total securitisation types\n240\n1.1.2\nInternal ratings based Approach (IRB)\n250\n1.1.2.1\nIRB approaches when neither own estimates of LGD nor Conversion Factors are used\nCR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)\n260\n1.1.2.1.01\nCentral governments and central banks\nSee CR IRB template\n270\n1.1.2.1.02\nInstitutions\nSee CR IRB template\n280\n1.1.2.1.03\nCorporates — SME\nSee CR IRB template\n290\n1.1.2.1.04\nCorporates – Specialised Lending\nSee CR IRB template\n300\n1.1.2.1.05\nCorporates – Other\nSee CR IRB template\n310\n1.1.2.2\nIRB approaches when own estimates of LGD and/or Conversion Factor are used\nCR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)\n320\n1.1.2.2.01\nCentral governments and central banks\nSee CR IRB template\n330\n1.1.2.2.02\nInstitutions\nSee CR IRB template\n340\n1.1.2.2.03\nCorporates — SME\nSee CR IRB template\n350\n1.1.2.2.04\nCorporates – Specialised Lending\nSee CR IRB template\n360\n1.1.2.2.05\nCorporates – Other\nSee CR IRB template\n370\n1.1.2.2.06\nRetail – secure by real estate SME\nSee CR IRB template\n380\n1.1.2.2.07\nRetail – secure by real estate non-SME\nSee CR IRB template\n390\n1.1.2.2.08\nRetail – Qualifying revolving\nSee CR IRB template\n400\n1.1.2.2.09\nRetail – Other SME\nSee CR IRB template\n410\n1.1.2.2.10\nRetail – Other non-SME\nSee CR IRB template\n420\n1.1.2.3\nEquity IRB\nSee CR EQU IRB template\n430\n1.1.2.4\nSecuritisations positions IRB\nCR SEC IRB template at the level of total securitisation types\n440\n1.1.2.4*\nOf which: resecuritisation\nCR SEC IRB template at the level of total securitisation types\n450\n1.1.2.5\nOther non credit-obligation assets\nThe amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.\n460\n1.1.3\nRisk exposure amount for contributions to the default fund of a CCP\nArticles 307 to 309 of CRR\n490\n1.2\nTOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY\nArticles 92(3) point (c) (ii) and 92(4) point (b) of CRR\n500\n1.2.1\nSettlement/delivery risk in the non-Trading book\nSee CR SETT template\n510\n1.2.2\nSettlement/delivery risk in the Trading book\nSee CR SETT template\n520\n1.3\nTOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS\nArticles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR\n530\n1.3.1\nRisk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)\n540\n1.3.1.1\nTraded debt instruments\nMKR SA TDI template at the level of total currencies.\n550\n1.3.1.2\nEquity\nMKR SA EQU template at the level of total national markets.\n560\n1.3.1.3\nForeign Exchange\nSee MKR SA FX template\n570\n1.3.1.4\nCommodities\nSee MKR SA COM template\n580\n1.3.2\nRisk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)\nSee MKR IM template\n590\n1.4\nTOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)\nArticle 92(3) point (e) and 92(4) point (b) of CRR\nFor investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero.\n600\n1.4.1\nOpR Basic Indicator approach (BIA)\nSee OPR template\n610\n1.4.2\nOpR Standardised (TSA)/Alternative Standardised (ASA) approaches\nSee OPR template\n620\n1.4.3\nOpR Advanced measurement approaches (AMA)\nSee OPR template\n630\n1.5\nADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS\nArticles 95(2), 96(2), 97 and 98(1) point (a) of CRR\nOnly for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR\nInvestment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5.\nInvestment firms under Article 95 of CRR shall report:\nIf 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.\nIf 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.\n640\n1.6\nTOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT\nArticle 92(3) point (d) of CRR See CVA template.\n650\n1.6.1\nAdvanced method\nOwn funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.\n660\n1.6.2\nStandardised method\nOwn funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.\n670\n1.6.3.\nBased on OEM\nOwn funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.\n680\n1.7\nTOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK\nArticles 92(3) point (b) (ii) and 395 to 401 of CRR\n690\n1.8\nOTHER RISK EXPOSURE AMOUNTS\nArticles 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.\nInstitutions shall report the amounts needed to comply with the following:\nStricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR\nAdditional risk exposure amounts due to Article 3 CRR\nThis item does not have a link to a details template.\n710\n1.8.2\nOf which: Additional stricter prudential requirements based on Art 458\nArticle 458 of CRR\n720\n1.8.2*\nOf which: requirements for large exposures\nArticle 458 of CRR\n730\n1.8.2**\nOf which: due to modified risk weights for targeting asset bubbles in the residential and commercial property\nArticle 458 of CRR\n740\n1.8.2***\nOf which: Of which: due to intra financial sector exposures\nArticle 458 of CRR\n750\n1.8.3\nOf which: Additional stricter prudential requirements based on Art 459\nArticle 459 of CRR\n760\n1.8.4\nOf which: Additional risk exposure amount due to Article 3 CRR\nArticle 3 CRR\nThe 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).\n1.4.\nC 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)\n1.4.1.\nInstructions concerning specific positions\nRows\n010\n1\nCET1 Capital ratio\nArticle 92(2) point (a) of CRR\nThe CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.\n020\n2\nSurplus(+)/Deficit(-) of CET1 capital\nThis 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.\n030\n3\nT1 Capital ratio\nArticle 92(2) point (b) of CRR\nThe T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.\n040\n4\nSurplus(+)/Deficit(-) of T1 capital\nThis 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.\n050\n5\nTotal capital ratio\nArticle 92(2) point (c) of CRR\nThe total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.\n060\n6\nSurplus(+)/Deficit(-) of total capital\nThis 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.\n070\nCET1 capital ratio including Pillar II adjustments\nArticle 92(2) point (a) of CRR and Article 104(2) CRD IV\nThis cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.\n080\nTarget CET1 capital ratio due to Pillar II adjustments\nArticle 104(2) CRD IV\nThis cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.\n090\nT1 capital ratio including Pillar II adjustments\nArticle 92(2) point (b) of CRR and Article 104(2) CRD IV\nThis cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.\n100\nTarget T1 capital ratio due to Pillar II adjustments\nArticle 104(2) CRD IV\nThis cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.\n110\nTotal capital ratio including Pillar II adjustments\nArticle 92(2) point (c) of CRR and Article 104(2) CRD IV\nThis cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.\n120\nTarget Total capital ratio due to Pillar II adjustments\nArticle 104(2) CRD IV\nThis cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.\n1.5.\nC 04.00 — MEMORANDUM ITEMS (CA4)\n1.5.1.\nInstructions concerning specific positions\nRows\n010\n1.\nTotal deferred tax assets\nThe amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.\n020\n1.1\nDeferred tax assets that do not rely on future profitability\nArticle 39 of CRR\nDeferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.\n030\n1.2\nDeferred tax assets that rely on future profitability and do not arise from temporary differences\nArticles 36(1) point (c) and 38 of CRR\nDeferred 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).\n040\n1.3\nDeferred tax assets that rely on future profitability and arise from temporary differences\nArticles 36(1) point (c); 38 and 48(1) point (a) of CRR\nDeferred 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.\n050\n2\nTotal deferred tax liabilities\nThe amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.\n060\n2.1\nDeferred tax liabilities non deductible from deferred tax assets that rely on future profitability\nArticle 38(3) and (4) of CRR\nDeferred 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.\n070\n2.2\nDeferred tax liabilities deductible from deferred tax assets that rely on future profitability\nArticle 38 of CRR\n080\n2.2.1\nDeductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences\nArticle 38(3), (4) and (5) of CRR\nDeferred 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\n090\n2.2.2\nDeductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences\nArticle 38(3), (4) and (5) of CRR\nDeferred 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\n100\n3.\nIRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures\nArticles 36(1) point (d), 62 point (d), 158 and 159 of CRR\nThis item shall only be reported by IRB institutions.\n110\n3.1\nTotal credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount\nArticle 159 of CRR\nThis item shall only be reported by IRB institutions.\n120\n3.1.1\nGeneral credit risk adjustments\nArticle 159 of CRR\nThis item shall only be reported by IRB institutions.\n130\n3.1.2\nSpecific credit risk adjustments\nArticle 159 of CRR\nThis item shall only be reported by IRB institutions.\n131\n3.1.3\nAdditional value adjustments and other own funds reductions\nArticles 34, 110 and 159 of CRR\nThis item shall only be reported by IRB institutions.\n140\n3.2\nTotal expected losses eligible\nArticles 158(5), (6) and (10), and 159 of CRR\nThis item shall only be reported by IRB institutions. Only the expected loss related to non defaulted exposures shall be reported.\n145\n4\nIRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures\nArticles 36(1) point (d), 62 point (d), 158 and 159 of CRR\nThis item shall only be reported by IRB institutions.\n150\n4.1\nSpecific credit risk adjustments and positions treated similarily\nArticle 159 of CRR\nThis item shall only be reported by IRB institutions.\n155\n4.2\nTotal expected losses eligible\nArticles 158(5), (6) and (10), and 159 of CRR\nThis item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.\n160\n5\nRisk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2\nArticle 62 point (d) of CRR\nFor 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.\nThe 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.\n170\n6\nTotal gross provisions eligible for inclusion in T2 capital\nArticle 62 point (c) of CRR\nThis item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.\nThe amount to be reported shall be gross of tax effects.\n180\n7\nRisk weighted exposure amounts for calculating the cap to the provision eligible as T2\nArticle 62 point (c) of CRR\nAccording 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.\nThe 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.\n190\n8\nThreshold non deductible of holdings in financial sector entities where an institution does not have a significant investment\nArticle 46(1) point (a) of CRR\nThis 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 %.\n200\n9\n10 % CET1 threshold\nArticle 48(1) points (a) and (b) of CRR\nThis 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.\nThe amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.\n210\n10\n17.65 % CET1 threshold\nArticle 48(1) of CRR\nThis 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.\nThe 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.\n220\n11\nEligible capital for the purposes of qualifying holdings outside the financial sector and large exposures\nArticle 4(1)(71)\n‘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.\n230\n12\nHoldings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions\nArticles 44 to 46 and 49 of CRR\n240\n12.1\nDirect holdings of CET1 capital Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\nArticles 44, 45, 46 and 49 of CRR\n250\n12.1.1\nGross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\nArticles 44, 46 and 49 of CRR\nDirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:\na)) Underwriting positions held for 5 working days or fewer;\nb)) The amounts relating to the investments for which any alternative in article 49 is applied; and\nc)) Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR\n260\n12.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 45 of CRR\nArticle 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.\n270\n12.2\nIndirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(114), 44 and 45 of CRR\n280\n12.2.1\nGross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(114), 44 and 45 of CRR\nThe 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.\nHoldings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included\n290\n12.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nArticles 4(1)(114) and 45 of CRR\nArticle 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.\n291\n12.3.1\nSynthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(126), 44 and 45 of CRR\n292\n12.3.2\nGross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(126), 44 and 45 of CRR\n293\n12.3.3\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nArticles 4(1)(126) and 45 of CRR\n300\n13\nHoldings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions\nArticles 58 to 60 of CRR\n310\n13.1\nDirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\nArticles 58, 59 and 60(2) of CRR\n320\n13.1.1\nGross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\nArticles 58 and 60(2) of CRR\nDirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:\na)) Underwriting positions held for 5 working days or fewer; and\nb)) Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR\n330\n13.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 59 of CRR\nArticle 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.\n340\n13.2\nIndirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(114), 58 and 59 of CRR\n350\n13.2.1\nGross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(114), 58 and 59 of CRR\nThe 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.\nHoldings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included\n360\n13.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nArticles 4(1)(114) and 59 of CRR\nArticle 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.\n361\n13.3\nSynthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(126), 58 and 59 of CRR\n362\n13.3.1\nGross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(126), 58 and 59 of CRR\n363\n13.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nArticles 4(1)(126) and 59 of CRR\n370\n14.\nHoldings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions\nArticles 68 to 70 of CRR\n380\n14.1\nDirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nArticles 68, 69 and 70(2) of CRR\n390\n14.1.1\nGross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nArticles 68 and 70(2) of CRR\nDirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding:\na)) Underwriting positions held for 5 working days or fewer; and\nb)) Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR\n400\n14.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 69 of CRR\nArticle 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.\n410\n14.2\nIndirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nArticle 4(1)(114), 68 and 69 of CRR\n420\n14.2.1\nGross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(114), 68 and 69 of CRR\nThe 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.\nHoldings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included\n430\n14.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nArticles 4(1)(114) and 69 of CRR\nArticle 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.\n431\n14.3\nSynthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(126), 68 and 69 of CRR\n432\n14.3.1\nGross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nArticles 4(1)(126), 68 and 69 of CRR\n433\n14.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nArticles 4(1)(126) and 69 of CRR\n440\n15\nHoldings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions\nArticles 44, 45, 47 and 49 of CRR\n450\n15.1\nDirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\nArticles 44, 45, 47 and 49 of CRR\n460\n15.1.1\nGross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment\nArticles 44, 45, 47 and 49 of CRR\nDirect holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding:\na)) Underwriting positions held for 5 working days or fewer;\nb)) The amounts relating to the investments for which any alternative in article 49 is applied; and\nc)) Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR\n470\n15.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 45 of CRR\nArticle 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.\n480\n15.2\nIndirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(114), 44 and 45 of CRR\n490\n15.2.1\nGross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(114), 44 and 45 of CRR\nThe 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.\nHoldings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included.\n500\n15.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nArticles 4(1)(114) and 45 of CRR\nArticle 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.\n501\n15.3\nSynthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(126), 44 and 45 of CRR\n502\n15.3.1\nGross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(126), 44 and 45 of CRR\n503\n15.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nArticles 4(1)(126) and 45 of CRR\n510\n16\nHoldings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions\nArticles 58 and 59 of CRR\n520\n16.1\nDirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\nArticles 58 and 59 of CRR\n530\n16.1.1\nGross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment\nArticle 58 of CRR\nDirect holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding:\na)) Underwriting positions held for 5 working days or fewer (Article 56 point (d); and\nb)) Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR\n540\n16.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 59 of CRR\nArticle 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.\n550\n16.2\nIndirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(114), 58 and 59 of CRR\n560\n16.2.1\nGross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(114), 58 and 59 of CRR\nThe 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.\nHoldings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included.\n570\n16.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nArticle 4(1)(114) and 59 of CRR\nArticle 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.\n571\n16.3\nSynthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(126), 58 and 59 of CRR\n572\n16.3.1\nGross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(126), 58 and 59 of CRR\n573\n16.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nArticles 4(1)(126) and 59 of CRR\n580\n17\nHoldings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions\nArticles 68 and 69 of CRR\n590\n17.1\nDirect holdings of T2 capital of financial sector entities where the institution has a significant investment\nArticles 68 and 69 of CRR\n600\n17.1.1\nGross direct holdings of T2 capital of financial sector entities where the institution has a significant investment\nArticle 68 of CRR\nDirect holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding:\na)) Underwriting positions held for 5 working days or fewer (Article 66 point (d); and\nb)) Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR\n610\n17.1.2\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 69 of CRR\nArticle 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.\n620\n17.2\nIndirect holdings of T2 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(114), 68 and 69 of CRR\n630\n17.2.1\nGross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(114), 68 and 69 of CRR\nThe 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.\nHoldings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included\n640\n17.2.2\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nArticles 4(1)(114), 69 of CRR\nArticle 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.\n641\n17.3\nSynthetic holdings of T2 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(126), 68 and 69 of CRR\n642\n17.3.1\nGross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment\nArticles 4(1)(126), 68 and 69 of CRR\n643\n17.3.2\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nArticles 4(1)(126) and 69 of CRR\n650\n18\nRisk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital\nArticle 46(4) of CRR\n660\n19\nRisk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital\nArticle 60(4) of CRR\n670\n20\nRisk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital\nArticle 70(4) of CRR\n680\n21\nHoldings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\nArticle 79 of CRR\nA 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.\nNote that these instruments shall also be reported on item 12.1.\n690\n22\nHoldings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\nArticle 79 of CRR\nA 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.\nNote that these instruments shall also be reported on item 15.1.\n700\n23\nHoldings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\nArticle 79 of CRR\nA 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.\nNote that these instruments shall also be reported on item 13.1.\n710\n24\nHoldings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\nArticle 79 of CRR\nA 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.\nNote that these instruments shall also be reported on item 16.1.\n720\n25\nHoldings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived\nArticle 79 of CRR\nA 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.\nNote that these instruments shall also be reported on item 14.1.\n730\n26\nHoldings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived\nArticle 79 of CRR\nA 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.\nNote that these instruments shall also be reported on item 17.1.\n740\n27\nCombined buffer requirement\nArticle 128 point (6) of CRD\n750\nCapital conservation buffer\nArticles 128 point (1) and 129 of CRD\nAccording 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.\n760\nConservation buffer due to macro-prudential or systemic risk identified at the level of a Member State\nArticle 458(2) point d (iv) of CRR\nIn 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.\n770\nInstitution specific countercyclical capital buffer\nArticles 128 point (2), 130, 135-140 of CRD\n780\nSystemic risk buffer\nArticles 128 point (5), 133 and 134 of CRD\n790\nSystemically important institution buffer\nArticle 131 of CRD\nInstitutions shall report the amount of the Systemically important institution buffer which is applicable on a consolidated basis.\n800\nGlobal Systemically Important Institution buffer\nArticles 128 point (3) and 131 of CRD\n810\nOther Systemically Important Institution buffer\nArticles 128 point (4) and 131 of CRD\n820\n28\nOwn funds requirements related to Pillar II adjustments\nArticle 104(2) of CRD.\nIf 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.\n830\n29\nInitial capital\nArticles 12, 28 to 31of CRD and Article 93 of CRR\n840\n30\nOwn funds based on Fixed Overheads\nArticles 96(2) point (b), 97 and 98(1) point (a) of CRR\n850\n31\nNon-domestic original exposures\nInformation 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.\nExposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.\n860\n32\nTotal original exposures\nInformation 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.\nExposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.\n870\nAdjustments to total own funds\nArticle 500(4) of CRR\n880\nOwn funds fully adjusted for Basel I floor\nArticle 500(1) point (b) and (4) of CRR\n890\nOwn funds requirements for Basel I floor\nArticle 500(1) point (b) of CRR\n900\nOwn funds requirements for Basel I floor — SA alternative\nArticle 500(2) and (3) of CRR\n1.6.\nTRANSITIONAL PROVISIONS and GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)\n1.6.1.\nGeneral remarks\n15.\nCA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR.\n16.\nCA5 is structured as follows:\na.. 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.\nb.. Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.\n17.\nInstitutions 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.\n18.\nInstitutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply.\n19.\nSome 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.\n1.6.2.\nC 05.01 — Transitional provisions (CA5.1)\n20.\nInstitutions 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.\n21.\nInstitutions 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.\n22.\nInstitutions 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).\n23.\nIn 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.\n24.\nThere 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.\n1.6.2.1.\nInstructions concerning specific positions\nColumns\n010\nAdjustments to CET1\n020\nAdjustments to AT1\n030\nAdjustments to T2\n040\nAdjustments included in RWAs\nColumn 050 includes the relevant residual amount, i.e. prior the application of provisions of Chapter 2 or 3 of Part Three of CRR.\nWhereas 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.\n050\nApplicable percentage\n060\nEligible amount without transitional provisions\nColumn 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.\nRows\n010\n1.\nTotal adjustments\nThis row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments\n020\n1.1\nGrandfathered instruments\nArticles 483 to 491 of CRR\nThis row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.\n030\n1.1.1\nGrandfathered instruments: Instruments constituting state aid\nArticle 483 CRR\n040\n1.1.1.1\nInstruments that qualified as own funds according to 2006/48/EC\nArticle 483(1) (2), (4) and (6) of CRR\n050\n1.1.1.2\nInstruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme\nArticle 483(1), (3), (5), (7) and (8) of CRR\n060\n1.1.2\nInstruments not constituting state aid\nThe amounts to be reported shall be obtained from column 060 of table CA 5.2.\n070\n1.2\nMinority interests and equivalents\nArticles 479 and 480 of CRR\nThis 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.\n080\n1.2.1\nCapital instruments and items that do not qualify as minority interests\nArticles 479 of CRR\nThe amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.\n090\n1.2.2\nTransitional recognition in consolidated own funds of minority interests\nArticles 84 and 480 of CRR\nThe amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.\n091\n1.2.3\nTransitional recognition in consolidated own funds of qualifying Additional Tier 1 capital\nArticle 85 and 480 of CRR\nThe amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.\n092\n1.2.4\nTransitional recognition in consolidated own funds of qualifying Tier 2 capital\nArticle 87 and 480 of CRR\nThe amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.\n100\n1.3\nOther transitional adjustments\nArticles 467 to 478 and 481 of CRR\nThis 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.\n110\n1.3.1\nUnrealised gains and losses\nArticles 467 and 468 of CRR\nThis row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value.\n120\n1.3.1.1\nUnrealised gains\nArticle 468(1) of CRR\n130\n1.3.1.2\nUnrealised losses\nArticle 467(1) of CRR\n133\n1.3.1.3\nUnrealised gains on exposures to central governments classified in the \"Available for sale\" category of EU-endorsed IAS39\nArticle 468 of CRR\n136\n1.3.1.4\nUnrealised loss on exposures to central governments classified in the \"Available for sale\" category of EU-endorsed IAS39\nArticle 467 of CRR\n138\n1.3.1.5\nFair value gains and losses arising from the institution's own credit risk related to derivative liabilities\nArticle 468 of CRR\n140\n1.3.2\nDeductions\nArticles 36(1), 469 to 478 of CRR\nThis row reflects the overall effect of transitional provisions on deductions.\n150\n1.3.2.1.\nLosses for the current financial year\nArticles 36(1) point (a), 469 (1), 472 (3) and 478 of CRR\nThe amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR.\nWhere firms have only been required to deduct material losses:\nwhere the total interim net loss was ‘material’, the full residual amount would be deducted from Tier 1, or\nwhere the whole total interim net loss was not 'material', no deduction of residual amount would be made.\n160\n1.3.2.2.\nIntangible assets\nArticles 36(1) point (b), 469 (1), 472 (4) and 478 of CRR\nWhen determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR.\nThe amount to be reported in column 060 of this row shall be the original deduction Article 36(1)(b) of CRR.\n170\n1.3.2.3.\nDeferred tax assets that rely on future profitability and do not arise from temporary differences\nArticles 36(1) point (c), 469 (1), 472 (5) and 478 of CRR\nWhen 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.\nThe amount to be reported in column 060 of this row: Total amount according to Article 469(1) c) of CRR.\n180\n1.3.2.4.\nIRB shortfall of provisions to expected losses\nArticles 36(1) point (d), 469 (1), 472 (6) and 478 of CRR\nWhen 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.\nThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(d) of CRR\n190\n1.3.2.5.\nDefined benefit pension fund assets\nArticles 33(1) point (e), 469 (1), 472 (7), 473 and 478 of CRR\nWhen 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.\nThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(e) of CRR\n194\n1.3.2.5.*\nof which: Introduction of amendments to IAS 19 – positive item\nArticle 473 of CRR\n198\n1.3.2.5.**\nof which: Introduction of amendments to IAS 19 – negative item\nArticle 473 of CRR\n200\n1.3.2.6.\nOwn instruments\nArticles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR\n210\n1.3.2.6.1\nOwn CET1 instruments\nArticles 36(1) point (f), 469 (1), 472 (8) and 478 of CRR\nWhen 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.\nGiven 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.\nThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR.\n211\n1.3.2.6.1**\nof which: Direct holdings\nThe 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.\n212\n1.3.2.6.1*\nof which: Indirect holdings\nThe 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.\n220\n1.3.2.6.2\nOwn AT1 instruments\nArticles 56 point (a), 474, 475(2) and 478 of CRR\nWhen determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR.\nGiven 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.\nThe amount to be reported in column 060 of this row: Original deduction Article 56 (a) of CRR.\n221\n1.3.2.6.2**\nof which: Direct holdings\nThe 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.\n222\n1.3.2.6.2*\nof which: Indirect holdings\nThe 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.\n230\n1.3.2.6.3\nOwn T2 instruments\nArticles 66 point (a), 476, 477(2) and 478 of CRR\nWhen determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR.\nGiven 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.\nThe amount to be reported in column 060 of this row: Original deduction Article 66 (a) of CRR.\n231\nof which: Direct holdings\nThe 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\n232\nof which: Indirect holdings\nThe 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\n240\n1.3.2.7.\nReciprocal cross holdings\nGiven 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.\n250\n1.3.2.7.1\nReciprocal cross holdings in CET1 Capital\nArticles 36(1) point (g), 469 (1), 472(9) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(g) of CRR\n260\n1.3.2.7.1.1\nReciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment\nArticles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR\nThe amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR\n270\n1.3.2.7.1.2\nReciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment\nArticles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR\nThe amount to be reported in column 060 of this row: Residual amount according to Article 469(1)(b) of CRR\n280\n1.3.2.7.2\nReciprocal cross holdings in AT1 Capital\nArticles 56 point (b), 474, 475(3) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 56 (b) of CRR\n290\n1.3.2.7.2.1\nReciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment\nArticles 56 point (b), 474, 475(3) point (a) and 478 of CRR\nThe amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR\n300\n1.3.2.7.2.2\nReciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment\nArticles 56 point (b), 474, 475(3) point (b) and 478 of CRR\nThe amount to be reported in column 060 of this row: Residual amount according to Article 475(3) of CRR\n310\n1.3.2.7.3\nReciprocal cross holdings in T2 Capital\nArticles 66 point (b), 476, 477(3) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 66 (b) of CRR\n320\n1.3.2.7.3.1\nReciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment\nArticles 66 point (b), 476, 477(3) point (a) and 478 of CRR\nThe amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR\n330\n1.3.2.7.3.2\nReciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment\nArticles 66 point (b), 476, 477(3) point (b) and 478 of CRR\nThe amount to be reported in column 060 of this row: Residual amount according to Article 477(3) of CRR\n340\n1.3.2.8.\nOwn funds instruments of financial sector entities where the institution does not have a significant investment\n350\n1.3.2.8.1\nCET1 instruments of financial sector entities where the institution does not have a significant investment\nArticles 36(1) point (h), 469 (1), 472(10) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(h) of CRR\n360\n1.3.2.8.2\nAT1 instruments of financial sector entities where the institution does not have a significant investment\nArticles 56 point (c), 474, 475(4) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 56 (c) of CRR\n370\n1.3.2.8.3\nT2 instruments of financial sector entities where the institution does not have a significant investment\nArticles 66 point (c), 476, 477(4) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 66 (c) of CRR\n380\n1.3.2.9\nDeferred 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\nArticle 470(2) and (3) of CRR\nThe amount to be reported in column 060 of this row: Article 470(1) of CRR\n390\n1.3.2.10\nOwn funds instruments of financial sector entities where the institution has a significant investment\n400\n1.3.2.10.1\nCET1 instruments of financial sector entities where the institution has a significant investment\nArticles 36(1) point (i), 469 (1), 472(11) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 36(1)(i) of CRR\n410\n1.3.2.10.2\nAT1 instruments of financial sector entities where the institution has a significant investment\nArticles 56 point (d), 474, 475(4) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 56 (d) of CRR\n420\n1.3.2.10.3\nT2 instruments of financial sector entities where the institution has a significant investment\nArticles 66 point (d), 476, 477(4) and 478 of CRR\nThe amount to be reported in column 060 of this row: Original deduction Article 66 (d) of CRR\n425\n1.3.2.11\nExemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items\nArticle 471 of CRR\n430\n1.3.3\nAdditional filters and deductions\nArticle 481 of CRR\nThis row reflects the overall effect of transitional provisions on additional filters and deductions.\n25.\nIn 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.\n1.6.3.\nC 05.02 — Grandfathered instruments: instruments not constituing state aid (CA5.2)\n26.\nInstitutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).\n1.6.3.1.\nInstructions concerning specific positions\nColumns\n010\nAmount of instruments plus related share premium\nArticle 484(3) to (5) of CRR\nInstruments which are eligible for each respective row, including their related share premiums.\n020\nBase for calculating the limit\nArticles 486(2) to (4) of CRR\n030\nApplicable percentage\nArticle 486(5) of CRR\n040\nLimit\nArticle 486(2) to (5) of CRR\n050\n(-) Amount that exceeds the limits for grandfathering\nArticle 486(2) to (5) of CRR\n060\nTotal grandfathered amount\nThe amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.\nRows\n010\n1.\nInstruments that qualified for point (a) of Article 57 of 2006/48/EC\nArticle 484(3) of CRR\nThe amount to be reported shall include the related share premium accounts.\n020\n2.\nInstruments 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\nArticle 484(4) of CRR\n030\n2.1\nTotal instruments without a call or an incentive to redeem\nArticle 489 of CRR\nThe amount to be reported shall include the related share premium accounts.\n040\n2.2\nGrandfathered instruments with a call and incentive to redeem\nArticle 489 of CRR\n050\n2.2.1\nInstruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity\nArticles 489(3), and 491 point (a) of CRR\nThe amount to be reported shall include the related share premium accounts.\n060\n2.2.2\nInstruments 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\nArticles 489(5), and 491 point (a) of CRR\nThe amount to be reported shall include the related share premium accounts.\n070\n2.2.3\nInstruments 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\nArticles 489(6) and 491 point (c) of CRR\nThe amount to be reported shall include the related share premium accounts\n080\n2.3\nExcess on the limit of CET1 grandfathered instruments\nArticle 487(1) of CRR\nThe excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.\n090\n3.\nItems that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490\nArticle 484(5) of CRR\n100\n3.1\nTotal items without an incentive to redeem\nArticle 490 of CRR\n110\n3.2\nGrandfathered items with an incentive to redeem\nArticle 490 of CRR\n120\n3.2.1\nItems with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity\nArticles 490(3), and 491 point (a) of CRR\nThe amount to be reported shall include the related share premium accounts.\n130\n3.2.2\nItems 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\nArticles 490(5), and 491 point (a) of CRR\nThe amount to be reported shall include the related share premium accounts.\n140\n3.2.3\nItems 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\nArticles 490(6) and 491 point (c) of CRR\nThe amount to be reported shall include the related share premium accounts.\n150\n3.3\nExcess on the limit of AT1 grandfathered instruments\nArticle 487(2) of CRR\nThe excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.\n2.\nGROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)\n2.1.\nGENERAL REMARKS\n27.\nTemplates 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.\na)) Entities within the scope of consolidation;\nb)) Detailed group solvency information;\nc)) Information on the contribution of individual entities to group solvency;\nd)) Information on capital buffers;\n28.\nInstitutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.\n2.2.\nDETAILED GROUP SOLVENCY INFORMATION\n29.\nThe 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.\n30.\nIn the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.\n2.3.\nINFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY\n31.\nThe 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.\n32.\nThe third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.\n33.\nAs 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.\n34.\nThe 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.\n35.\nThe 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.\n36.\nIt 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.\n37.\nAn 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.\n2.4.\nC 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)\nColumns\nInstructions\n250-400\nENTITIES WITHIN SCOPE OF CONSOLIDATION\nSee instructions for C 06.02\n410-480\nCAPITAL BUFFERS\nSee instructions for C 06.02\nRows\nInstructions\n010\nTOTAL\nThe Total shall represent the sum of the values reported in all rows of template C 06.02.\n2.5.\nC 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)\nColumns\nInstructions\n010-060\nENTITIES WITHIN SCOPE OF CONSOLIDATION\nThis 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.\n010\nNAME\nName of the entity within the scope of consolidation.\n020\nCODE\nThis code is a row identifier and shall be unique for each row in the table.\nCode assigned to the entity within the scope of consolidation.\nThe actual composition of the code depends on the national reporting system.\n025\nLEI CODE\nLEI 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.\nUntil 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)).\nWhere a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.\n030\nINSTITUTION OR EQUIVALENT: YES/NO\n\"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.\n‘NO’ shall be reported otherwise.\nMinority interests:\n81(1) point (a) (ii) and 82(1) point (a) (ii)\nTo 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.\n040\nSCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP)\n‘SF’ shall be reported for individual subsidiaries fully consolidated.\n‘SP’ shall be reported for individual subsidiaries partially consolidated.\n050\nCOUNTRY CODE\nInstitutions shall report the two-letter country code according to ISO 3166-2.\n060\nSHARE OF HOLDING (%)\nThis 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.\n070-240\nINFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT\nThe 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).\nInformation shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.\nThe 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.\nReporting of fixed overheads of investment firms:\nInvestment 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.\nThe part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.\n070\nTOTAL RISK EXPOSURE AMOUNT\nThe sum of the columns 080 to 110 shall be reported.\n080\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nThe 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.\n090\nPOSITION, FX AND COMMODITY RISKS\nThe 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.\n100\nOPERATIONAL RISK\nThe 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.\nFixed overheads shall be included in this column including the row 630 ‘ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS’ of the template CA2.\n110\nOTHER RISK EXPOSURE AMOUNTS\nThe 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.\n120-240\nDETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS\nThe information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.\n120\nOWN FUNDS\nThe 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.\n130\nOF WHICH: QUALIFYING OWN FUNDS\nArticle 82 of CRR\nThis column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.\nQualifying 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.\nThe amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.\n140\nRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES\nArticle 87(1)(b) of CRR\n150\nTOTAL TIER 1 CAPITAL\nArticle 25 of CRR\n160\nOF WHICH: QUALIFYING TIER 1 CAPITAL\nArticle 82 of CRR\nThis column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.\nQualifying 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.\nThe amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.\n170\nRELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS\nArticle 85(1)(b) of CRR\n180\nCOMMON EQUITY TIER 1 CAPITAL\nArticle 50 of CRR\n190\nOF WHICH: MINORITY INTERESTS\nArticle 81 of CRR\nThis 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.\nTo 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.\nThe amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.\n200\nRELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES\nArticle 84(1)(b) of CRR\n210\nADDITIONAL TIER 1 CAPITAL\nArticle 61 of CRR\n220\nOF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL\nArticles 82 and 83 of CRR\nThis 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.\nTo 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.\nThe amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.\n230\nTIER 2 CAPITAL\nArticle 71 of CRR\n240\nOF WHICH: QUALIFYING TIER 2 CAPITAL\nArticles 82 and 83 of CRR\nThis 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.\nTo 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.\nThe 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.\n250-400\nINFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP\n250-290\nCONTRIBUTION TO RISKS\nThe information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.\n250\nTOTAL RISK EXPOSURE AMOUNT\nThe sum of the columns 260 to 290 shall be reported.\n260\nCREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK\nThe 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.\n270\nPOSITION, FX AND COMMODITY RISKS\nRisk 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.\n280\nOPERATIONAL RISK\nIn case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification.\nFixed overheads shall be included in this column.\n290\nOTHER RISK EXPOSURE AMOUNTS\nThe amount to be reported in this column corresponds to the risk exposure amount not especially listed above.\n300-400\nCONTRIBUTION TO OWN FUNDS\nThis 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.\nColumns 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.\nOwn 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.\nThe information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.\n300-350\nQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS\nThe 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.\n300\nQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS\nArticle 87 of CRR\n310\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL\nArticle 85 of CRR\n320\nMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL\nArticle 84 of CRR\nThe amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR.\n330\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL\nArticle 86 of CRR\nThe amount to be reported is the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 according to the CRR.\n340\nQUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL\nArticle 89 of CRR\nThe amount to be reported is the amount of qualifying own funds of a subsidiary that is included in consolidated T2 according to the CRR.\n350\nMEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL\n360-400\nCONSOLIDATED OWN FUNDS\nArticle 18 CRR\nThe 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.\n360\nCONSOLIDATED OWN FUNDS\n370\nOF WHICH: COMMON EQUITY TIER 1\n380\nOF WHICH: ADDITIONAL TIER 1\n390\nOF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT\nThe contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests.\n400\nOF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL\nGoodwill or negative goodwill of the reporting entity on the subsidiary is reported here.\n410-480\nCAPITAL BUFFERS\nThe 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.\n410\nCOMBINED BUFFER REQUIREMENTS\nArticle 128 point (2) of CRD\n420\nCAPITAL CONSERVATION BUFFER\nArticle 128 point (1) and 129 of CRD\nAccording 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.\n430\nINSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER\nArticle 128 point (7), Article 130 and 135-140 of CRD\nIn this cell the concrete amount of the countercyclical buffer shall be reported.\n440\nCONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE\nArticle 458(2) point d (iv) of CRR\nIn 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.\n450\nSYSTEMIC RISK BUFFER\nArticle 133 and 134 of CRD\nIn this cell the amount of the systemic risk buffer shall be reported.\n460\nSYSTEMICAL IMPORTANT INSTITUTION BUFFER\nArticle 128 point (4) of CRD\nIn this cell the amount of the Systemically important institution buffer shall be reported.\n470\nGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nArticle 131 of CRD\nIn this cell the amount of the Global Systemically Important Institution buffer shall be reported.\n480\nOTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nArticle 131 of CRD\nIn this cell the amount of the Other Systemically Important Institution buffer shall be reported.\n3.\nCREDIT RISK TEMPLATES\n3.1.\nGENERAL REMARKS\n38.\nThere 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.\n3.1.1.\nReporting of CRM techniques with substitution effect\n39.\nArticle 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.\n40.\nArticle 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.\n41.\nArticles 196, 197 and 200 of CRR regulate the funded credit protection.\n42.\nReporting 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.\n43.\nThe exposure type does not change because of unfunded credit protection.\n44.\nIf 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.\n45.\nThe 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.\n3.1.2.\nReporting of Counterparty Credit Risk\n46.\nExposures 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.\n3.2.\nC 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)\n3.2.1.\nGeneral remarks\n47.\nThe 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:\na)) the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;\nb)) the amount and type of credit risk mitigation techniques used for mitigating the risks.\n3.2.2.\nScope of the CR SA template\n48.\nAccording 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.\n49.\nThe 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.\n50.\nHowever the following positions are not within the scope of CR SA:\na)) 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.\nb)) Exposures deducted from own funds.\n51.\nThe scope of the CR SA template covers the following own funds requirements:\na)) 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;\nb)) Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;\nc)) Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.\n52.\nThe 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.\n53.\nIn 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.\n54.\nThese memorandum items shall only be reported for the following exposure classes:\na)) Central governments or central banks (Article 112 point (a) of CRR)\nb)) Regional governments or local authorities (Article 112 point (b) of CRR)\nc)) Public sector entities (Article 112 point (c) of CRR)\nd)) Institutions (Article 112 point (f) of CRR)\ne)) Corporates (Article 112 point (g) of CRR)\nf)) Retail (Article 112 point (h) of CRR).\n55.\nThe 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.\n56.\nThe 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'.\n57.\nE.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'.\n3.2.3.\nAssignment of exposures to exposure classes under the Standardised Approach\n58.\nIn 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:\na)) 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.\nb)) 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.\n59.\nThe 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.\n60.\nFor 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).\n61.\nArticle 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.\n62.\nFor 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.\n63.\nAn 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.\n64.\nWith this background the assessment ranking in the decision tree mentioned below would follow the following order:\n1.. Securitisation positions;\n2.. Items associated with particular high risk;\n3.. Equity exposures\n4.. Exposures in default;\n5.. Exposures in the form of units or shares in collective investment undertakings (‘CIU’)/Exposures in the form of covered bonds (disjoint exposure classes);\n6.. Exposures secured by mortgages on immovable property;\n7.. Other items;\n8.. Exposures to institutions and corporates with a short-term credit assessment;\n9.. 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.\n65.\nIn 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’).\n66.\nIn 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.\n67.\nIn 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.\nDECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR\nOriginal exposure pre conversion factors\nDoes it fit for being assigned to the exposure class of Article 112 (m)?\nYES\nSecuritisation positions\nNO\nDoes it fit for being assigned to the exposure class of Article 112point (k)?\nYES\nItems associated with particular high risk (also see Article 128)\nNO\nDoes it fit for being assigned to the exposure class of Article 112 point (p)?\nYES\nEquity exposures (also see Article 133)\nNO\nDoes it fit for being assigned to the exposure class of Article 112 point (j)?\nYES\nExposures in default\nNO\nDoes it fit for being assigned to the exposure classes of Article 112 points (l) and (o)?\nYES\nExposures in the form of units or shares in collective investment undertakings (CIU)\nExposures in the form of covered bonds (also see Article 129)\nThese 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.\nNO\nDoes it fit for being assigned to the exposure class of Article 112 point (i)?\nYES\nExposures secured by mortgages on immovable property (also see Article 124)\nNO\nDoes it fit for being assigned to the exposure class of Article 112 point (q)?\nYES\nOther items\nNO\nDoes it fit for being assigned to the exposure class of Article 112 point (n)?\nYES\nExposures to institutions and corporates with a short-term credit assessment\nNO\nThe exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward.\nExposures to central governments or central banks\nExposures to regional governments or local authorities\nExposures to public sector entities\nExposures to multilateral development banks\nExposures to international organisations\nExposures to institutions\nExposures to corporates\nRetail exposures\n3.2.4.\nClarifications on the scope of some specific exposure classes referred to in Article 112 of CRR\n3.2.4.1.\nExposure Class ‘Institutions’\n68.\nReporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:\n69.\nExposures 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.\n70.\nAccording 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.\n3.2.4.2.\nExposure Class ‘Covered Bonds’\n71.\nThe assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:\n72.\nBonds 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.\n3.2.4.3.\nExposure class ‘Collective Investment Undertakings’\n73.\nWhere 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.\n3.2.5.\nInstructions concerning specific positions\nColumns\n010\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nExposure 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:\nFor 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.\nExposure values for leases are subject to Article 134(7) of CRR.\nIn 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.\nIn 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.\n030\n(-) Value adjustments and provision associated with the original exposure\nArticle 24 and 110 of CRR\nValue adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.\n040\nExposure net of value adjustments and provisions\nSum of columns 010 and 030.\n050-100\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nCredit 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.\nIf 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.\nItems to be reported here:\ncollateral, incorporated according to Financial Collateral Simple Method;\neligible unfunded credit protection.\nPlease also see instructions of point 4.1.1.\n050-060\nUnfunded credit protection: adjusted values (Ga)\nArticle 235 of CRR\nArticle 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection.\n050\nGuarantees\nArticle 203 of CRR\nUnfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives.\n060\nCredit derivatives\nArticle 204 of CRR.\n070-080\nFunded credit protection\nThese 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).\nCredit 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.\n070\nFinancial collateral: simple method\nArticle 222(1) to (2) of CRR.\n080\nOther funded credit protection\nArticle 232 of CRR.\n090-100\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nArticles 222(3), Article 235(1) to (2) and Article 236 of CRR.\nOutflows 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.\nInflows and outflows within the same exposure classes shall also be reported.\nExposures stemming from possible in- and outflows from and to other templates shall be taken into account.\n110\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nAmount 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\n120-140\nCREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD\nArticles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)\nCredit 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.\nThe 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.\n120\nVolatility adjustment to the exposure\nArticle 223(2) to (3) of CRR.\nThe amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He\n130\n(-) Financial collateral adjusted value (Cvam)\nArticle 239(2) of CRR.\nFor trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR.\nThe 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.\n140\nOf which: Volatility and maturity adjustments\nArticle 223(1) of CRR and Article 239(2) of CRR.\nThe 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]\n150\nFully adjusted exposure value (E*)\nArticle 220(4), Article 223(2) to (5) and Article 228(1) of CRR.\n160-190\nBreakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors\nArticle 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR.\n200\nExposure value\nPart 3 title II chapter 4 section 4 of CRR.\nExposure 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.\n210\nOf which: Arising from Counterparty Credit Risk\nFor 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.\n215\nRisk weighted exposure amount pre SME-supporting factor\nArticle 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.\n220\nRisk weighted exposure amount after SME-supporting factor\nArticle 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.\n230\nOf which: with a credit assessment by a nominated ECAI\n240\nOf which: with a credit assessment derived from central government\nRows\nInstructions\n010\nTotal exposures\n020\nof which: SME\nThis row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property\nAll exposures to SME shall be reported here.\n030\nof which: SME subject to the SME-supporting factor\nThis row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property.\nOnly exposures to SME which meet the requirements of Article 501 CRR shall be reported here.\n040\nof which: Secured by mortgages on immovable property — Residential property\nArticle 125 of CRR.\nOnly reported in exposure class 'Secured by mortgages on immovable property'\n050\nof which: Exposures under the permanent partial use of the standardised approach\nExposures treated under Article 150(1) of the CRR\n060\nof which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation\nExposures treated under Article 148(1) of the CRR\n070-130\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES\nReporting 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.\nReporting 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.\n070\nOn balance sheet exposures subject to credit risk\nAssets referred to in Article 24 of CRR not included in any other category.\nExposures, 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.\nFree 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.\nExposures 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.\n080\nOff balance sheet exposures subject to credit risk\nOff-balance sheet positions comprise those items listed in Annex I of CRR.\nExposures, 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.\nExposures 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.\n090\nSecurities Financing Transactions\nSecurities 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.\n100\nOf which: centrally cleared through a QCCP\nArticle 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR.\nTrade exposures to a CCP according to Article 4(91) of CRR\n110\nDerivatives and Long Settlement Transactions\nDerivatives comprise those contract listed in Annex II of CRR.\nLong Settlement Transactions as defined in Article 272(2) of CRR.\nDerivatives 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.\n120\nOf which: centrally cleared through a QCCP\nArticle 306 of CRR for qualifying CCPs according to Articles 4(88) in conjunction with Article 301(2) of CRR\nTrade exposures to a CCP according to Article 4(91) of CRR\n130\nFrom Contractual Cross Product Netting\nExposures 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.\n140-280\nBREAKDOWN OF EXPOSURES BY RISK WEIGHTS\n140\n0 %\n150\n2 %\nArticle 306(1) of CRR\n160\n4 %\nArticle 305(3) of CRR\n170\n10 %\n180\n20 %\n190\n35 %\n200\n50 %\n210\n70 %\nArticle 232(3) point (c) of CRR.\n220\n75 %\n230\n100 %\n240\n150 %\n250\n250 %\nArticle 133(2) of CRR\n260\n370 %\nArticle 471 of CRR\n270\n1 250 %\nArticle 133(2) of CRR\n280\nOther risk weights\nThis row is not available for exposure classes Government, Corporates, Institutions and Retail.\nFor reporting those exposures not subject to the risk weights listed in the template.\nArticle 113(1) to (5) of CRR.\nUnrated 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\".\nSee also Article 124(2) and Article 152(2) point (b) of CRR.\n290-320\nMemorandum Items\nSee also the explanation of the purpose of the memorandum items in the general section of the CR SA.\n290\nExposures secured by mortgages on commercial immovable property\nArticle 112 point (i) of CRR\nThis 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.\n300\nExposures in default subject to a risk weight of 100 %\nArticle 112 point (j) of CRR.\nExposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.\n310\nExposures secured by mortgages on residential property\nArticle 112 point (i) of CRR.\nThis 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.\n320\nExposures in default subject to a risk weight of 150 %\nArticle 112 point (j) of CRR.\nExposures included in the exposure class ‘exposures in default’ which shall be included in this exposure class if they were not in default.\n3.3.\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)\n3.3.1.\nScope of the CR IRB template\n74.\nThe scope of the CR IRB template covers own funds requirements for:\ni.. Credit risk in the banking book, among which:\nCounterparty credit risk in the banking book;\nDilution risk for purchased receivables;\nii.. Counterparty credit risk in the trading book;\niii.. Free deliveries resulting from all business activities.\n75.\nThe 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).\n76.\nThe CR IRB template does not cover the following data:\ni.. Equity exposures, which are reported in the CR EQU IRB template;\nii.. Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;\niii.. ‘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;\niv.. Credit valuation adjustment risk, which is reported on the CVA Risk template;\nThe 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.\n77.\nIn 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:\n\"NO\" in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)\n\"YES\" in case own estimates of LGD and credit conversion factors are used (Advanced IRB)\nIn any case, for the reporting of the retail portfolios \"YES\" has to be reported.\nIn 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.\n3.3.2.\nBreakdown of the CR IRB template\n78.\nThe 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:\n1) Total\n(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)\n2) Central banks and central governments\n(Article 147(2)(a) CRR)\n3) Institutions\n(Article 147(2) point (b) CRR)\n4.1) Corporate – SME\n(Article 147(2) point (c) CRR\n4.1)* Corporate — SME subject to SME-supporting factor\n(Article 147(2) point (c) CRR in conjunction with Article 501(2))\n4.2) Corporate – Specialised lending\n(Article 147(8) CRR)\n4.3) Corporate – Other\n(All corporates according to Article 147(2) point (c), not reported under 4.1 and 4.2).\n5.1) Retail – Secured by immovable property SME\n(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).\n5.1)* Retail — Secured by immovable property SME subject to SME-supporting factor\n(Exposures reflecting Article 147(2) point (d) in conjunction with Article 154(3) CRR which are secured by immovable property).\n5.2) Retail – Secured by immovable property non-SME\n(Exposures reflecting Article 147(2) point (d) CRR which are secured by immovable property and not reported under 5.1).\n5.3) Retail – Qualifying revolving\n(Article 147(2) point (d) in conjunction with Article 154(4) CRR).\n5.4) Retail – Other SME\n(Article 147(2) point (d) not reported under 5.1 and 5.3).\n5.4)* Retail – Other SME subject to SME supporting factor\n(Article 147(2) point (d) in conjunction with Article 501(2) CRR not reported under 5.1 and 5.3).\n5.5) Retail – Other non – SME\n(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).\nFor 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.\n3.3.3.\nC 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)\n3.3.3.1\nInstructions concerning specific positions\nColumns\nInstructions\n010\nINTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\nThe 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.\nFor 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.\nIt 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.\nOtherwise, 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.\nInstitutions 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.\nFor 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 %.\n020\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nInstitutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.\nThe 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.\nThe 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.\n030\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nBreakdown 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.\n040-080\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nCredit 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’.\n040-050\nUNFUNDED CREDIT PROTECTION\nUnfunded credit protection: Values as they are defined in Article 4(59) of CRR.\nIf 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.\n040\nGUARANTEES:\nIf 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.\nRegarding exposures subject to the double default treatment, the value of unfunded credit protection is reported in Column 220.\nWhen own estimates of LGD are not used: The Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.\nWhen Own estimates of LGD are used: Article 183 of CRR, except paragraph 3. The nominal amount of the guarantees shall be reported.\nGuarantees 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.\n050\nCREDIT DERIVATIVES:\nWhen own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.\nWhen the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160\nRegarding exposures subject to the double default treatment the value of unfunded credit protection is reported in Column 220.\n060\nOTHER FUNDED CREDIT PROTECTION\nWhen own estimates of LGD are not used: Article 232 of CRR\nWhen own estimates of LGD are used: those credit risk mitigants that comply with the criteria in Article 212 of the CRR.\nTo 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\n070-080\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nOutflows 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.\nInflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered.\nExposures stemming from possible in- and outflows from and to other templates shall be taken into account.\n090\nEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nExposure 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.\n100, 120\nOf which: Off Balance Sheet Items\nSee CR-SA instructions\n110\nEXPOSURE VALUE\nThe value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported.\nFor 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.\nFor 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’.\n130\nOf which: Arising from counterparty Credit Risk\nSee CR SA instructions.\n140\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nBreakdown 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.\n150-210\nCREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT\nCRM 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.\nWhere own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of the CRR\nWhere own estimates of LGD are used:\nRegarding 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.\nRegarding funded credit protection collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of the CRR.\n150\nGUARANTEES\nSee instructions to column 040.\n160\nCREDIT DERIVATIVES\nSee instructions to column 050.\n170\nOWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION\nThe relevant value used in the internal modelling of the institution.\nThose credit risk mitigants that comply with the criteria in Article 212 of the CRR.\n180\nELIGIBLE FINANCIAL COLLATERAL\nFor 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.\nWhen 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.\nWhen 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.\n190-210\nOTHER ELIGIBLE COLLATERAL\nWhere own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR.\nWhere 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.\n190\nREAL ESTATE\nWhere 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.\nWhen own estimates of LGD are used the amount to be reported shall be the estimated market value.\n200\nOTHER PHYSICAL COLLATERAL\nWhere 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.\nWhere own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.\n210\nRECEIVABLES\nWhen own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported.\nWhen own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.\n220\nSUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION\nGuarantees 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’.\n230\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nAll 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.\nFor defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered.\nThe definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.\nAll effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).\nFor 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.\nThe 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.\nIf own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered.\nIn 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.\nThe 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.\nData shall not be reported for specialized lending exposures referred to in Article 153(5).\nExposure 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.\n240\nEXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nExposure 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.\n250\nEXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)\nThe 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.\nThis 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’.\n255\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nFor Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.\nThe SME-supporting factor according to Article 501 of CRR shall not be taken into account.\n260\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nFor Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR.\nThe SME-supporting factor according to Article 501 of CRR shall be taken into account.\n270\nOF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES\nBreakdown 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.\n280\nEXPECTED LOSS AMOUNT\nFor 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.\n290\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nValue 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.\n300\nNUMBER OF OBLIGORS\nArticles 172(1) and (2) of CRR.\nFor 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.\nWithin 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.\nAs 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).\nRows\nInstructions\n010\nTOTAL EXPOSURES\n020-060\nBREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:\n020\nOn balance sheet items subject to credit risk\nAssets referred to in Article 24 of CRR not included in any other category.\nExposures, 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.\nFree 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.\nExposures 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.\n030\nOff balance sheet items subject to credit risk\nOff-balance sheet positions comprise those items listed in Annex I of CRR.\nExposures, 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.\nExposures 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.\n040-060\nExposures/Transactions subject to counterparty credit risk\n040\nSecurities Financing Transactions\nSecurities 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.\nSecurities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.\n050\nDerivatives and Long Settlement Transactions\nDerivatives 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.\n060\nFrom Contractual Cross Product Netting\nSee CR SA instructions\n070\nEXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL\nFor exposures to corporates, institutions and Central governments and Central Banks see Article 142(1) point (6) and Article 170(1) point (c) of CRR.\nFor retail exposures see Article 170(3) point (b) of CRR. For Exposures arising from purchased receivables see Article 166(6) of CRR.\nExposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.\nWhere 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.\nA master scale is not used. Instead, institutions shall determine the scale to be used themselves.\n080\nSPECIALIZED LENDING SLOTTING CRITERIA: TOTAL\nArticle 153(5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.\n090-150\nBREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:\n120\nOf which: In category 1\nArticle 153(5) table 1 of CRR.\n160\nALTERNATIVE TREATMENT: SECURED BY REAL ESTATE\nArticles 193(1) and (2), 194 (1) to (7) and 230 (3) of CRR.\n170\nEXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS\nExposures 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.\n180\nDILUTION RISK: TOTAL PURCHASED RECEIVABLES\nSee 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.\nAccording 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.\n3.3.4.\nC 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)\nColumn\nInstructions\n005\nObligor grade (row identifier)\nThis 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.\n010-300\nInstructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.\nRow\nInstructions\n010-001 – 010-NNN\nValues 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.\n3.4.\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB)\n79.\nInstitutions 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.\n80.\nThe 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.\n81.\nData 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.\n3.4.1.\nC 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)\n3.4.1.1.\nInstructions concerning specific positions\nColumns\n010\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nSame definition as for column 010 of CR SA template\n020\nExposures in default\nOriginal exposure pre conversion factors for those exposures which have been classified as ‘defaulted exposures’.\nThis ‘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'.\nThis 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.\n040\nObserved new defaults for the period\nThe 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.\n050\nGeneral credit risk adjustments\nCredit risk adjustments according to Article 110 of CRR.\n055\nSpecific credit risk adjustments\nCredit risk adjustments according to Article 110 of CRR.\n060\nWrite-offs\nWrite-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)].\n070\nCredit risk adjustments/write-offs for observed new defaults\nSum 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.\n075\nExposure value\nSame definition as for column 200 of CR SA template\n080\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nSame definition as for column 215 of CR SA template\n090\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nSame definition as for column 220 of CR SA template\nRows\n010\nCentral governments or central banks\nArticle 112 point (a) of CRR.\n020\nRegional governments or local authorities\nArticle 112 point (b) of CRR.\n030\nPublic sector entities\nArticle 112 point (c) of CRR.\n040\nMultilateral developments banks\nArticle 112 point (d) of CRR.\n050\nInternational organisations\nArticle 112 point (e) of CRR.\n060\nInstitutions\nArticle 112 point (f) of CRR.\n070\nCorporates\nArticle 112 point (g) of CRR.\n075\nof which: SME\nSame definition as for row 020of CR SA template\n080\nRetail\nArticle 112 point (h) of CRR.\n085\nof which: SME\nSame definition as for row 020of CR SA template\n090\nSecured by mortgages on immovable property\nArticle 112 point (i) of CRR.\n095\nof which: SME\nSame definition as for row 020of CR SA template\n100\nExposures in default\nArticle 112 point (j) of CRR.\n110\nItems associated with particularly high risk\nArticle 112 point (k) of CRR.\n120\nCovered bonds\nArticle 112 point (l) of CRR.\n130\nClaims on institutions and corporates with a short-term credit assessment\nArticle 112 point (n) of CRR.\n140\nCollective investments undertakings (CIU)\nArticle 112 point (o) of CRR.\n150\nEquity exposures\nArticle 112 point (p) of CRR.\n160\nOther exposures\nArticle 112 point (q) of CRR.\n3.4.2.\nC 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)\n3.4.2.1.\nInstructions concerning specific positions\nColumns\n010\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nSame definition as for column 020 of CR IRB template\n030\nOf which defaulted\nOriginal exposure value for those exposures which have been classified as ‘defaulted exposures’ according to CRR article 178.\n040\nObserved new defaults for the period\nThe 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.\n050\nGeneral credit risk adjustments\nCredit risk adjustments according to Article 110 of CRR.\n055\nSpecific credit risk adjustments\nCredit risk adjustments according to Article 110 of CRR.\n060\nWrite-offs\nWrite-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)].\n070\nCredit risk adjustments/write-offs for observed new defaults\nSum 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.\n080\nINTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)\nSame definition as for column 010 of CR IRB template\n090\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nSame definition as for column 230 of CR IRB template. Provisions laid down in Article 181(1) point (h) of CRR shall apply.\nData shall not be reported for specialized lending exposures referred to in Article 153(5).\n100\nOf which: defaulted\nExposure weighted LGD for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.\n105\nExposure value\nSame definition as for column 110 of CR IRB template.\n110\nRISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR\nSame definition as for column 255 of CR IRB template\n120\nOf which defaulted\nRisk weighted exposure amount for those exposures which have been classified as ‘defaulted exposures’ according to Article 178 of CRR.\n125\nRISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR\nSame definition as for column 260 of CR IRB template\n130\nEXPECTED LOSS AMOUNT\nSame definition as for column 280 of CR IRB template\nRows\n010\nCentral banks and central governments\n(Article 147(2)(a) CRR)\n020\nInstitutions\n(Article 147(2) point (b) CRR)\n030\nCorporates\n(All corporates according to Article 147(2) point (c).)\n040\nOf which: Specialized lending\n(Article 147(8) a CRR)\nData shall not be reported for specialized lending exposures referred to in Article 153(5).\n050\nOf which: SME\n(Article 147(2) point (c) CRR)\n060\nRetail\nAll Retail exposures according to Article 147(2) point (d)\n070\nRetail – Secured by real estate property\nExposures reflecting Article 147(2) point (d) CRR which are secured by real estate.\n080\nSME\nRetail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR which are secured by real estate.\n090\nnon-SME\nRetail exposures reflecting Article 147(2) point (d) CRR which are secured by real estate.\n100\nRetail – Qualifying revolving\n(Article 147(2) point (d) in conjunction with Article 154(4) CRR).\n110\nOther Retail\nOther retail exposures according to Article 147(2) point (d) not reported in rows 070 - 100.\n120\nSME\nOther retail exposures reflecting Article 147(2) point (d) in conjunction with Article 153(3) CRR.\n130\nnon-SME\nOther retail exposures reflecting Article 147(2) point (d) CRR.\n140\nEquity\nEquity exposures reflecting Article 147(2) point (e) CRR.\n3.4.3.\nC 09.03 – Breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)\n3.4.3.1.\nGeneral remarks\n82.\nAccording 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:\na)) 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\nb)) Denominator: Total own funds requirements for credit risk that relate to the relevant credit exposures\n83.\nThis 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.\n84.\nThe 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.\n3.4.3.2.\nInstructions concerning specific positions\nRows\n010\nOwn funds requirements for credit risk\nPart Three, Title II of the CRR\n3.5.\nC 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)\n3.5.1.\nGeneral remarks\n85.\nThe 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.\n86.\nThe 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.\n87.\nAccording to Article 147(6) of CRR, the following exposures shall be assigned to the equity exposure class:\na)) non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or\nb)) debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).\n88.\nCollective 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.\n89.\nIn 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:\nthe Simple Risk Weight approach,\nthe PD/LGD approach, or\nthe Internal Models approach.\nMoreover, 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))).\n90.\nThe following equity claims shall not be reported in the CR EQU IRB template:\nEquity 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).\nEquity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:\nGrandfathered equity exposures according to Article 495(1) of CRR,\nEquity 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),\nEquity 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).\nEquity 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).\nEquity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.\n3.5.2.\nInstructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)\nColumns\n005\nOBLIGOR GRADE (ROW IDENTIFIER)\nThe 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.\n010\nINTERNAL RATING SYSTEM\nPD ASSIGNED TO THE OBLIGOR GRADE (%)\nInstitutions 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.\nThe 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.\nFor 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.\n020\nORIGINAL EXPOSURE PRE CONVERSION FACTORS\nInstitutions 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.\nInstitutions 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’).\nInstitutions 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.\n030-040\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nUNFUNDED CREDIT PROTECTION\nGUARANTEES\nCREDIT DERIVATIVES\nIrrespective 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.\n050\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\n(-) TOTAL OUTFLOWS\nInstitutions 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.\n060\nEXPOSURE VALUE\nInstitutions 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).\nAs 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).\n070\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nInstitutions 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.\n080\nRISK WEIGHTED EXPOSURE AMOUNT\nInstitutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR.\nIn 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).\nWith 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).\n090\nMEMORANDUM ITEM: EXPECTED LOSS AMOUNT\nInstitutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR.\n91.\nIn 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).\nRows\nCR EQU IRB 1 — row 020,\nPD/LGD APRROACH: TOTAL\nInstitutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template.\nCR EQU IRB 1 — rows 050-090\nSIMPLE RISK WEIGHT APPROACH: TOTAL\nBREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:\nInstitutions 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.\nCR EQU IRB 1 — row 100\nINTERNAL MODELS APPROACH\nInstitutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100.\nCR EQU IRB 1 — row 110\nEQUITY EXPOSURES SUBJECT TO RISK WEIGHTS\nInstitutions 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,\nthe risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as\nequity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 110.\nCR EQU IRB 2\nBREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:\nInstitutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template.\nIn 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.\n3.6.\nC 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)\n3.6.1.\nGeneral remarks\n92.\nThis 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.\n93.\nInstitutions 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.\n94.\nAccording 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.\n95.\nIn 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.\n96.\nInstitutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.\n97.\nAccording 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.\n98.\nNote 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).\n3.6.2.\nInstructions concerning specific positions\nColumns\n010\nUNSETTLED TRANSACTIONS AT SETTLEMENT PRICE\nIn 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.\nAll 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.\n020\nPRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS\nIn 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.\nOnly unsettled transactions at a loss after the due settlement date shall be reported in column 020\n030\nOWN FUNDS REQUIREMENTS\nInstitutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.\n040\nTOTAL SETTLEMENT RISK EXPOSURE AMOUNT\nIn 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.\nRows\n010\nTotal unsettled transactions in the Non-trading Book\nInstitutions 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).\nInstitutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.\nInstitutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.\nInstitutions 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).\n020 to 060\nTransactions unsettled up to 4 days (Factor 0 %)\nTransactions unsettled between 5 and 15 days (Factor 8 %)\nTransactions unsettled between 16 and 30 days (Factor 50 %)\nTransactions unsettled between 31 and 45 days (Factor 75 %)\nTransactions unsettled for 46 days or more (Factor 100 %)\nInstitutions 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.\nNo own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.\n070\nTotal unsettled transactions in the Trading Book\nInstitutions 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).\nInstitutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.\nInstitutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.\nInstitutions 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).\n080 to 120\nTransactions unsettled up to 4 days (Factor 0 %)\nTransactions unsettled between 5 and 15 days (Factor 8 %)\nTransactions unsettled between 16 and 30 days (Factor 50 %)\nTransactions unsettled between 31 and 45 days (Factor 75 %)\nTransactions unsettled for 46 days or more (Factor 100 %)\nInstitutions 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.\nNo own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.\n3.7.\nC 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)\n3.7.1.\nGeneral remarks\n99.\nThe 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.\n100.\nThe 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.\n3.7.2.\nInstructions concerning specific positions\nColumns\n010\nTOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED\nOriginator 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.\nIn 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.\n020-040\nSYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES\nFollowing 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.\n020\n(-) FUNDED CREDIT PROTECTION (CVA)\nThe 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.\n030\n(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)\nFollowing 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)\nThe calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.\n040\nNOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION\nAll tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.\nThe effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.\n050\nSECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS\nSecuritisation 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.\nValue adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered.\nIn case of early amortization clauses, institutions must specify the amount of \"originator’s' interest\" as defined in Article 256(2) of CRR.\nIn 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.\n060\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nValue 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.\n070\nEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS\nSecuritisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors.\nThis piece of information is related to column 040 of the CR SA Total template.\n080-110\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nArticle 4(57) and Part Three, Title II, Chapter 4 of CRR.\nThis 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).\nSee CR SA instructions (Reporting of CRM techniques with substitution effect).\n080\n(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)\nUnfunded credit protection is defined in Article 4(59) and regulated in Article 235 of CRR.\nSee CR SA instructions (Reporting of CRM techniques with substitution effect).\n090\n(-) FUNDED CREDIT PROTECTION\nFunded credit protection is defined in Article 4(58) and regulated in Articles 195, 197 and 200 of CRR.\nCredit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral.\nSee CR SA instructions (Reporting of CRM techniques with substitution effect).\n100-110\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM:\nInflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.\n100\n(-) TOTAL OUTFLOWS\nArticles 222(3) and 235 (1) and (2).\nOutflows 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.\nThis amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.\nThis piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.\n110\nTOTAL INFLOWS\nSecuritisation 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.\nThis piece of information is related to column 100 (Total Inflows) of the CR SA Total template.\n120\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nExposure 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’.\nThis piece of information is related to column 110 of the CR SA Total template.\n130\n(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)\nThis item also includes credit linked notes (Article 218 of CRR).\nThis piece of information is related to columns 120 and 130 of the CR SA Total template.\n140\nFULLY ADJUSTED EXPOSURE VALUE (E*)\nSecuritisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point (c) of CRR.\nThis piece of information is related to column 150 of the CR SA Total template.\n150-180\nBREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS\nArticle 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.\nSee columns 160 to 190 of the CR SA Total template.\nFor 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 %].\n190\nEXPOSURE VALUE\nSecuritisation positions according to Article 246 of CRR.\nThis piece of information is related to column 200 of the CR SA Total template.\n200\n(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS\nArticle 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.\n210\nEXPOSURE VALUE SUBJECT TO RISK WEIGHTS\nExposure value minus the exposure value deducted from own funds.\n220-320\nBREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS\n220-260\nRATED\nArticle 242(8) of CRR defines rated positions.\nExposure 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.\n270\n1 250 % (UNRATED)\nArticle 242(7) of CRR defines unrated positions.\n280\nLOOK-THROUGH\nArticles 253, 254 and 256(5) of CRR.\nThe 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).\n290\nLOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP\nExposure 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.\nArticle 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.\n300\nLOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)\nExposure value weighted average risk weight shall be provided.\n310\nINTERNAL ASSESSMENT APPROACH (IAA)\nArticles 109(1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.\n320\nIAA: AVERAGE RISK WEIGHT (%)\nExposure value weighted average risk weight shall be provided.\n330\nRISK-WEIGHTED EXPOSURE AMOUNT\nTotal 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.\n340\nOF WHICH: SYNTHETIC SECURITISATIONS\nFor synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.\n350\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS\nArticles 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.\n360\nADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES\nFor 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.\n370-380\nTOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP\nTotal 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.\n390\nMEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES\nRisk 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.\n101.\nThe 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.\n102.\nTotal 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.\nRows\n010\nTOTAL EXPOSURES\nTotal exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.\n020\nOF WHICH: RE-SECURITISATIONS\nTotal amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.\n030\nORIGINATOR: TOTAL EXPOSURES\nThis 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.\n040-060\nON-BALANCE SHEET ITEMS\nArticle 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.\nOn-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).\n070-090\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThese 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.\nThe 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.\nFor liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.\nFor 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.\nOff-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.\n100\nEARLY AMORTISATION\nThis row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.\n110\nINVESTOR: TOTAL EXPOSURES\nThis 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.\nThe 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.\n120-140\nON-BALANCE SHEET ITEMS\nThe same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.\n150-170\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThe same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.\n180\nSPONSOR: TOTAL EXPOSURES\nThis 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.\n190-210\nON-BALANCE SHEET ITEMS\nThe same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.\n220-240\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThe same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.\n250-290\nBREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION\nThese 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.\nThese rows are only to be reported for columns 190 to 270 and columns 330 to 340.\n3.8.\nC 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)\n3.8.1.\nGeneral remarks\n103.\nThe 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.\n104.\nThe 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.\n105.\nThe 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.\n3.8.2.\nInstructions concerning specific positions\nColumns\n010\nTOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED\nFor 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.\nSee column 010 of CR SEC SA.\n020-040\nSYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES\nArticles 249 and 250 of CRR.\nMaturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.\n020\n(-) FUNDED CREDIT PROTECTION (CVA)\nThe 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.\n030\n(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)\nFollowing 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).\nThe calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.\n040\nNOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION\nAll tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount.\nThe effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.\n050\nSECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS\nSecuritisation 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.\nValue adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered.\nIn case of early amortisation clauses, institutions must specify the amount of \"originator’s' interest\" as defined in Article 256(2) of CRR.\nIn 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.\n060-090\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nSee Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR.\nThis 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).\n060\n(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)\nUnfunded credit protection is defined in Article 4(1)(59) of CRR.\nArticle 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority.\nThis piece of information is related to columns 040 and 050 of the CR IRB template.\n070\n(-) FUNDED CREDIT PROTECTION\nFunded credit protection is defined in Article 4(1)(58) of CRR.\nSince the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column.\nThis piece of information is related to column 060 of the CR IRB template.\n080-090\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM:\nInflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.\n080\n(-) TOTAL OUTFLOWS\nArticle 236 of CRR.\nOutflows 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.\nThis amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.\nThis piece of information is related to column 070 of the CR IRB template.\n090\nTOTAL INFLOWS\nThis piece of information is related to column 080 of the CR IRB template.\n100\nEXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS\nExposure 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’.\nThis piece of information is related to column 090 of the CR IRB template.\n110\n(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)\nArticles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR).\n120\nFULLY ADJUSTED EXPOSURE VALUE (E*)\nSecuritisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point (c) of CRR.\n130-160\nBREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS\nArticle 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.\nIn this respect, Article 4(1)(56) of CRR defines conversion factor.\nFor 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 %].\n170\nEXPOSURE VALUE\nSecuritisation positions according to Article 246 of CRR.\nThis piece of information is related to column 110 of the CR IRB template.\n180\n(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS\nArticle 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.\n190\nEXPOSURE VALUE SUBJECT TO RISK WEIGHTS\n200-320\nRATINGS BASED METHOD (CREDIT QUALITY STEPS)\nArticle 261 of CRR.\nIRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating.\nExposure 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.\n330\nSUPERVISORY FORMULA METHOD\nFor the Supervisory Formula Method (SFM), Article 262 of CRR.\nThe 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.\n340\nSUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT\nCredit 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).\nWhen 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.\nWeighted average risk weights shall be reported in this column.\n350\nLOOK-THROUGH\nThe 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).\nArticle 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated.\nThe undrawn amount of the liquidity facilities shall be reported under ‘Off balance sheet items and derivatives’.\nAs 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.\nFor early amortisations see Articles 256(5) and 265 of CRR.\n360\nLOOK-THROUGH: AVERAGE RISK WEIGHT\nExposure value weighted average risk weight shall be provided.\n370\nINTERNAL ASSESSMENT APPROACH\nArticle 259(3) and (4) of CRR envisages the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes.\n380\nIAA: AVERAGE RISK WEIGHT\nWeighted average risk weights shall be reported in this column.\n390\n(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS\nInstitutions 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.\nValue 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.\n400\nRISK-WEIGHTED EXPOSURE AMOUNT\nPart 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.\n410\nRWEA OF WHICH: SYNTHETIC SECURITISATIONS\nFor synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.\n420\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS\nArticles 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.\n430\nADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES\nFor 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.\nNegative values shall be reported in this column.\n440-450\nTOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/AFTER CAP\nTotal 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.\n460\nMEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES\nRisk 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.\n106.\nThe 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.\n107.\nTotal 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.\nRows\n010\nTOTAL EXPOSURES\nTotal exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.\n020\nOF WHICH: RE-SECURITISATIONS\nTotal amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.\n030\nORIGINATOR: TOTAL EXPOSURES\nThis 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.\n040-090\nON-BALANCE SHEET ITEMS\nArticle 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.\nOn-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.\n100-150\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThese 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.\nOff-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.\nFor liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.\nFor 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.\nOff-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.\n160\nEARLY AMORTISATION\nThis row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242(13) and (14) of CRR.\n170\nINVESTOR: TOTAL EXPOSURES\nThis 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.\nThe 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.\n180-230\nON-BALANCE SHEET ITEMS\nThe 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.\n240-290\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThe 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.\n300\nSPONSOR: TOTAL EXPOSURES\nThis 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.\n310-360\nON-BALANCE SHEET ITEMS\nThe 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.\n370-420\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThe 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.\n430-540\nBREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION\nThese 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.\nThese rows are only to be reported for columns 170 to 320 and columns 400 to 410.\n3.9.\nC 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)\n3.9.1.\nGeneral remarks\n108.\nThis 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.\n109.\nThis template is to be reported for:\na.. 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.\nb.. Securitisations originated/sponsored by the reporting institution during the year of report, in case it holds no position.\nc.. 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.\nd.. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).\n110.\nThis template shall be reported by consolidated groups and stand alone institutions 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.\n111.\nOn 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.\n112.\nInstitutions 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.\n3.9.2.\nInstructions concerning specific positions\nColumns\n005\nROW NUMBER\nThe 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.\n010\nINTERNAL CODE\nInternal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.\n020\nIDENTIFIER OF THE SECURITISATION (Code/Name)\nCode 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.\n030\nIDENTIFIER OF THE ORIGINATOR (Code/Name)\nThe 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.\nIn 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.\n040\nSECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)\nReport the following abbreviations:\n‘T’ for Traditional;\n‘S’ for Synthetic.\nThe definitions of ‘traditional securitisation’ and ‘synthetic securitisation’ is provided in Article 242(10) and (11) of CRR.\n050\nACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?\nReport the following abbreviations:\n‘K’ if entirely recognised\n‘P’ if partially derecognised\n‘R’ if entirely derecognised\n‘N’ if not applicable.\nThis column summarises the accounting treatment of the transaction.\nIn case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet.\nIn all cases, investors shall report ‘N’ (not applicable).\nIn case of the securitisations of liabilities originators shall not report this column.\nOption ‘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.\n060\nSOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?\nOriginators, only, shall report the following abbreviations:\n‘N’ not subject to own funds requirements;\n‘B’ banking book;\n‘T’ trading book;\n‘A’ partly in both books.\nArticles 109, 243 and 244 of CRR.\nThis 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).\nIf 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.\nConversely, 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.\nIn the case of the securitisations of liabilities originators shall not report this column.\n070\nSECURITISATION OR RE-SECURITISATION?\nAccording 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:\n'S' for securitisation;\n'R' for re-securitisation.\n080-100\nRETENTION\nArticles 404 to 410 of CRR.\n080\nTYPE OF RETENTION APPLIED\nFor each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR:\nA 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’.\nV 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.\nB 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’.\nC 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’.\nD 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’.\nE Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR.\nN Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR.\nU 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.\n090\n% OF RETENTION AT REPORTING DATE\nThe 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).\nNotwithstanding 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.\nThis column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).\n100\nCOMPLIANCE WITH THE RETENTION REQUIREMENT?\nArticle 405(1) of CRR.\nReport the following abbreviations:\nY Yes;\nN No.\nThis column shall not be reported in case codes ‘E’ (exempted) or ‘N’ (not applicable) are reported under column 080 (Type of retention applied).\n110\nROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)\nReport the following abbreviations:\n‘O’ for Originator;\n‘S’ for Sponsor;\n‘L’ for Original Lender;\n‘I’ for Investor.\nSee 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.\n120-130\nNON ABCP PROGRAMS\nBecause 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.\n120\nORIGINATION DATE (mm/yyyy)\nThe 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’.\nFor 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.\nThis piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.\n130\nTOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE\nThis column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date.\nIn 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.\nThis piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.\n140-220\nSECURITISED EXPOSURES\nColumns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.\n140\nTOTAL AMOUNT\nInstitutions 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.\nThis piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.\n150\nINSTITUTION'S SHARE (%)\nIt 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).\nThis piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.\n160\nTYPE\nThis 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:\n1 Residential mortgages;\n2 Commercial mortgages;\n3 Credit card receivables;\n4 Leasing;\n5 Loans to corporates or SMEs (treated as corporates);\n6 Consumer loans;\n7 Trade receivables;\n8 Other assets;\n9 Covered bonds;\n10 Other liabilities.\nIn 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.\nFor securitisation schemes backed by closed pools the type cannot change between reporting dates.\n170\nAPPROACH APPLIED (SA/IRB/MIX)\nThis column gathers information on the approach that at reporting date the institution would apply to the securitised exposures.\nReport the following abbreviations:\n‘S’ for Standardised Approach;\n‘I’ for Internal Ratings Based Approach;\n‘M’ for a combination of both approaches (SA/IRB).\nIf under SA, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template.\nIf under IRB, ‘P’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template.\nIf 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.\nThis 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.\n180\nNUMBER OF EXPOSURES\nArticle 261(1) of CRR.\nThis 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.\nThis 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.\n190\nCOUNTRY\nReport 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.\n200\nELGD (%)\nThe 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.\nThis 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.\n210\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nSee columns 060 in CR SEC SA and 390 in CR SEC IRB.\nThis 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.\nThis piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.\nSponsors shall not report this column.\n220\nOWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)\nThis 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.\nThis 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.\nSponsors shall not report this column.\n230-300\nSECURITISATION STRUCTURE\nThis 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.\nIn the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.\n230-250\nON-BALANCE SHEET ITEMS\nThis block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).\n230\nSENIOR\nAll tranches that do not qualify as mezzanine or first loss shall be included in this category.\n240\nMEZZANINE\nSee Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR.\n250\nFIRST LOSS\nFirst loss tranche is defined in Article 242(15) of CRR.\n260-280\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThis block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss).\nThe same criteria of classification among tranches used for on-balance sheet items shall be applied here.\n290\nFIRST FORESEEABLE TERMINATION DATE\nThe 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:\n(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;\n(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.\nThe month and year of the first foreseeable termination date shall be reported according to the following format: ‘mm/yyyy’.\n300\nLEGAL FINAL MATURITY DATE\nThe date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation).\nThe month and year of the legal final maturity date shall be reported according to the following format: ‘mm/yyyy’.\n310-400\nSECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS\nThis 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.\n310-330\nON-BALANCE SHEET ITEMS\nThe same criteria of classification among tranches used for on-balance sheet items shall be applied here.\n340-360\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThe same criteria of classification among tranches used for off-balance sheet items shall be applied here.\n370-400\nMEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThis 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).\n370\nDIRECT CREDIT SUBSTITUTES (DCS)\nThis column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).\nAccording to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:\nGuarantees having the character of credit substitutes.\nIrrevocable standby letters of credit having the character of credit substitutes.\n380\nIRS/CRS\nIRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.\n390\nELIGIBLE LIQUIDITY FACILITIES\nLiquidity 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-).\n400\nOTHER (INCLUDING NON-ELIGIBLE LF)\nThis 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).\n410\nEARLY AMORTISATION: CONVERSION FACTOR APPLIED\nArticles 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).\nThis column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations).\nAccording 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.\nIn 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.\n420\n(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS\nThis piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template.\nA negative figure shall be reported in this column.\n430\nTOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP\nThis 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.\nIn the case of the securitisations of liabilities this column shall not be reported.\n440\nTOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP\nThis 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.\nIn the case of the securitisations of liabilities this column shall not be reported.\n450-510\nSECURITISATION POSITIONS — TRADING BOOK\n450\nCTP OR NON-CTP?\nReport the following abbreviations:\nC Correlation Trading Portfolio (CTP);\nN Non-CTP\n460-470\nNET POSITIONS — LONG/SHORT\nSee columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.\n480\nTOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK\nSee column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.\n4.\nOPERATIONAL RISK TEMPLATES\n4.1.\nC 16.00 – OPERATIONAL RISK (OPR)\n4.1.1.\nGeneral Remarks\n113.\nThis 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\n114.\nInstitutions 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.\n115.\nIf 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.\n116.\nBy 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.\n117.\nBy rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.\n118.\nThis template shall be submitted by all institutions subject to operational risk own funds requirement.\n4.1.2.\nInstructions concerning specific positions\nColumns\n010-030\nRELEVANT INDICATOR\nInstitutions 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.\nHereafter, 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.\nIf 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).\nFurthermore if there are no historical data on \"relevant indicator\" available the institution may use forward-looking business estimates.\n040-060\nLOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)\nThese 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).\nFor the \"commercial banking\" business line, securities held in the non-trading book shall also be included.\n070\nOWN FUND REQUIREMENT\nThe 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.\n071\nTOTAL OPERATIONAL RISK EXPOSURE AMOUNT\nArticle 92(4) of CRR. Own funds requirements in column 070 multiplied by 12.5.\n080\nOF WHICH: DUE TO AN ALLOCATION MECHANISM\nArticle 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.\n090-120\nAMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE\n090\nOWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES\nThe 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).\n100\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES\nIn 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.\n110\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION\nThe 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.\n120\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)\nIn column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.\nRows\n010\nBANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)\nThis 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).\n020\nBANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES\nThe own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.\n030-100\nSUBJECT TO TSA\nIn 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.\n110-120\nSUBJECT TO ASA\nInstitutions 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\".\nRows 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).\n130\nBANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA\nThe relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported.\nIn 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.\n4.2.\nC 17.00 – OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)\n4.2.1.\nGeneral Remarks\n119.\nThis 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.\n120.\nThe 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.\n121.\nColumns 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.\n122.\nRows 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).\n123.\nThis template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.\n124.\nInstitutions 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:\n(a) number of events (row 910);\n(b) total loss amount (row 920);\n(c) maximum single loss (row 930); and\n(d) sum of the five largest losses (row 940).\n4.2.2.\nInstructions concerning specific positions\nColumns\n010-070\nEVENT TYPES\nInstitutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 of CRR.\nInstitutions 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.\n080\nTOTAL EVENT TYPES\nIn 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.\n090-100\nMEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION\nInstitutions 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.\nRows\n010-840\nBUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS\nFor 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.\n910-940\nTOTAL BUSINESS LINES\nFor 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:\nNumber 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.\nTotal loss amount (row 920): the total loss amount is the simple aggregation of the total loss amount for each business line.\nMaximum 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.\nSum 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.\n910-940/080\nTOTAL BUSINESS LINES — TOTAL EVENT TYPES\nNumber 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.\nTotal 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.\nMaximum 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.\nSum 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.\n5.\nMARKET RISK TEMPLATES\n125.\nThese 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.\n126.\nThe 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.\n5.1.\nC 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)\n5.1.1.\nGeneral Remarks\n127.\nThis 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.\n128.\nThe 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.\n5.1.2.\nInstructions concerning specific positions\nColumns\n010-020\nALL POSITIONS (LONG AND SHORT)\nArticles 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.\n030-040\nNET POSITIONS (LONG AND SHORT)\nArticles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.\n050\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nThose net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.\n060\nOWN FUNDS REQUIREMENTS\nThe capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.\n070\nTOTAL RISK EXPOSURE AMOUNT\nArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.\nRows\n010-350\nTRADED DEBT INSTRUMENTS IN TRADING BOOK\nPositions 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.\n011\nGENERAL RISK.\n012\nDerivatives\nDerivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.\n013\nOther assets and liabilities\nInstruments other than derivatives included in the calculation of interest rate risk of trading book positions.\n020-200\nMATURITY BASED APPROACH\nPositions 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.\n210-240\nGENERAL RISK. DURATION BASED APPROACH\nPositions 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.\n250\nSPECIFIC RISK\nSum of amounts reported in rows 251, 325 and 330.\nPositions 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.\n251-321\nOwn funds requirement for non-securitisation debt instruments\nSum of the amounts reported in rows 260 to 321.\nThe 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.\nReporting of positions subject to Article 336(3) CRR:\nThere 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.\nIf the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.\n325\nOwn funds requirement for securitisation instruments\nTotal 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.\n330\nOwn funds requirement for the correlation trading portfolio\nTotal 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.\n340\nPARTICULAR APPROACH FOR POSITION RISK IN CIUs\nArticles 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.\nIf 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.\n350-390\nADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)\nArticle 329(3) of CRR.\nThe additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.\n5.2.\nC 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)\n5.2.1.\nGeneral Remarks\n129.\nThis 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.\n130.\nThe 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.\n131.\nPositions 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.\n5.2.2.\nInstructions concerning specific positions\nColumns\n010-020\nALL POSITIONS (LONG AND SHORT)\nArticles 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.\n030-040\n(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)\nArticle 258 of CRR.\n050-060\nNET POSITIONS (LONG AND SHORT)\nArticles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.\n070-520\nBREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS\nArticles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.\n230-240 and 460-470\n1 250 %\nArticles 251 (Table 1) and 261 (1) (Table 4) of CRR.\n250-260 and 480-490\nSUPERVISORY FORMULA METHOD\nArticle 337(2) of CRR in connection with Article 262 of CRR.\nThese 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.\n270 and 500\nLOOK THROUGH\nSA: 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).\nIRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.\n280-290/510-520\nINTERNAL ASSESSMENT APPROACH\nArticle 109(1) sentence 2 and Article 259(3) and (4) of CRR.\nThese 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.\n530-540\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS\nArticle 337(3) of CRR in connection with Article 407 of CRR. Article 14(2) of CRR\n550-570\nBEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS\nArticle 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.\n580-600\nAFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS\nArticle 337 of CRR taking into account the discretion of Article 335 of CRR.\n610\nTOTAL OWN FUNDS REQUIREMENTS\nAccording 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.\nRows\n010\nTOTAL EXPOSURES\nTotal 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.\n040, 070 and 100\nSECURITISATIONS\nArticle 4(61) and (62) of CRR.\n020, 050, 080 and 110\nRE-SECURITISATIONS\nArticle 4(63) of CRR.\n030-050\nORIGINATOR\nArticle 4(13) of CRR\n060-080\nINVESTOR\nCredit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor\n090-110\nSPONSOR\nArticle 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\n120-210\nBREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES\nArticle 337(4), last sentence of CRR.\nThe breakdown of the underlying assets follows the classification used in the SEC Details template (Column 'Type'):\n1-residential mortgages;\n2-commercial mortgages;\n3-credit card receivables;\n4-leasing;\n5-loans to corporates or SMEs (treated as corporates);\n6-consumer loans;\n7-trade receivables;\n8-other assets;\n9-covered bonds;\n10-other liabilities.\nFor each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.\n5.3.\nC 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)\n5.3.1.\nGeneral Remarks\n132.\nThis 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.\n133.\nThe 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.\n134.\nThis 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\".\n135.\nPositions 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.\n5.3.2.\nInstructions concerning specific positions\nColumns\n010-020\nALL POSITIONS (LONG AND SHORT)\nArticles 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.\n030-040\n(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)\nArticle 258 of CRR.\n050-060\nNET POSITIONS (LONG AND SHORT)\nArticles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328(2) of CRR.\n070-400\nBREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB)\nArticles 251 (Table 1) and 261 (1) (Table 4) of CRR.\n160 and 330\nOTHER\nOther risk weights not explicitly mentioned in the previous columns.\nFor 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.\n170-180 and 360-370\n1 250 %\nArticles 251 (Table 1) and 261 (1) (Table 4) of CRR.\n190-200 and 340-350\nSUPERVISORY FORMULA METHOD\nArticle 337(2) of CRR in connection with Article 262 of CRR.\n210/380\nLOOK THROUGH\nSA: 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).\nIRB: Articles 263(2) and (3) of CRR. For early amortisations see Article 265(1) and 256 (5) of CRR.\n220-230 and 390-400\nINTERNAL ASSESSMENT APPROACH\nArticle 259(3) and (4) of CRR.\n410-420\nBEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS\nArticle 338 without taking into account the discretion of Article 335 of CRR.\n430-440\nAFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS\nArticle 338 taking into account the discretion of Article 335 of CRR.\n450\nTOTAL OWN FUNDS REQUIREMENTS\nThe 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).\nRows\n010\nTOTAL EXPOSURES\nTotal amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.\n020-040\nORIGINATOR\nArticle 4(13) of CRR\n050-070\nINVESTOR\nCredit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor\n080-100\nSPONSOR\nArticle 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\n030, 060 and 090\nSECURITISATIONS\nThe 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.\nDerivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions'.\n110\nN-TH-TO-DEFAULT CREDIT DERIVATIVES\nN-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.\nThe 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.\n040, 070, 100 and 120\nOTHER CTP POSITIONS\nThe positions in:\nDerivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions';\nCTP positions hedged by credit derivatives according to Article 346 CRR;\nOther positions that satisfy Article 338(3) of CRR;\nare included.\n5.4.\nC 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)\n5.4.1.\nGeneral Remarks\n136.\nThis 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.\n137.\nThe 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’.\n5.4.2.\nInstructions concerning specific positions\nColumns\n010-020\nALL POSITIONS (LONG AND SHORT)\nArticles 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).\n030-040\nNET POSITIONS (LONG AND SHORT)\nArticles 327, 329, 332, 341 and 345 of CRR\n050\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nThose 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.\n060\nOWN FUNDS REQUIREMENTS\nThe capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.\n070\nTOTAL RISK EXPOSURE AMOUNT\nArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.\nRows\n010-130\nEQUITIES IN TRADING BOOK\nOwn 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.\n020-040\nGENERAL RISK\nPositions 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.\nBoth breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.\nRows 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.\n021\nDerivatives\nDerivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.\n022\nOther assets and liabilities\nInstruments other than derivatives included in the calculation of equity risk of trading book positions.\n030\nExchange traded stock-index futures broadly diversified and subject to a particular approach\nExchange 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).\n040\nOther equities than exchange traded stock-index futures broadly diversified\nOther positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.\n050\nSPECIFIC RISK\nPositions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.\n080\nPARTICULAR APPROACH FOR POSITION RISK IN CIUs\nThe 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.\nPositions 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.\nIf 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.\nIf 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.\n090-130\nADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)\nArticle 329(3) of CRR.\nThe additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.\n5.5.\nC 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)\n5.5.1.\nGeneral Remarks\n138.\nInstitutions 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.\n139.\nThe 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.\n5.5.2.\nInstructions concerning specific positions\nColumns\n020-030\nALL POSITIONS (LONG AND SHORT)\nGross 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.\n040-050\nNET POSITIONS (LONG AND SHORT)\nArticles 352(3) and (4), first and second sentences, and 353 of CRR.\nThe net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.\n060-080\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nArticles 352(4), third sentence, 353 and 354 of CRR.\n060-070\nPOSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)\nThe long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions.\nLong net positions for each operation in a currency are added to obtain the long net position in that currency.\nShort net positions for each operation in a currency are added to obtain the short net position in that currency.\nUnmatched 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.\n080\nPOSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)\nMatched positions for closely correlated currencies\nRISK CAPITAL CHARGE (%)\nAs defined in Articles 351 and 354, the risk capital charges in percentage.\n090\nOWN FUNDS REQUIREMENTS\nThe capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.\n100\nTOTAL RISK EXPOSURE AMOUNT\nArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.\nRows\n010\nTOTAL POSITIONS IN NON REPORTING CURRENCIES\nPositions 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).\n020\nCURRENCIES CLOSELY CORRELATED\nPositions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.\n030\nALL OTHER CURRENCIES (including CIU’s treated as different currencies)\nPositions 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.\nReporting of CIU’s treated as separate currencies according to Article 353 CRR:\nThere are two different treatments of CIU’s treated as separate currencies for calculating the capital requirements:\n1.. 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)\n2.. 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)\nThe reporting of those CIU’s follows the calculation of the capital requirements accordingly.\n040\nGOLD\nPositions 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.\n050-090\nADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)\nArticle 352(5) and (6) of CRR.\nThe additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.\n100-120\nBreakdown of total positions (reporting currency included) by exposure types\nTotal positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.\n100\nOther assets and liabilities other than off-balance sheet items and derivatives\nPositions not included in row 110 or 120 shall be included here.\n110\nOff-balance sheet items\nItems included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.\n120\nDerivatives\nPositions valued according to Articles 352 CRR.\n130-470\nMEMORANDUM ITEMS: CURRENCY POSITIONS\nThe 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.\n5.6.\nC 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)\n5.6.1.\nGeneral Remarks\n140.\nThis template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.\n5.6.2.\nInstructions concerning specific positions\nColumns\n010-020\nAll POSITIONS (LONG AND SHORT)\nGross 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).\n030-040\nNET POSITIONS (LONG AND SHORT)\nAs defined in Article 357(3) of CRR\n050\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nThose net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.\n060\nOWN FUNDS REQUIREMENTS\nThe capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.\n070\nTOTAL RISK EXPOSURE AMOUNT\nArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.\nRows\n010\nTOTAL POSITIONS IN COMMODITIES\nPositions 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.\n020-060\nPOSITIONS BY CATEGORY OF COMMODITY\nFor reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.\n070\nMATURITY LADDER APPROACH\nPositions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.\n080\nEXTENDED MATURITY LADDER APPROACH\nPositions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR\n090\nSIMPLIFIED APPROACH\nPositions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.\n100-140\nADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)\nArticle 358(4) of CRR.\nThe additional requirements for options related to non-delta risks shall be reported in the method used for its calculation\n5.7.\nC 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)\n5.7.1.\nGeneral Remarks\n141.\nThis 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.\n142.\nGenerally 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.\n5.7.2.\nInstructions concerning specific positions\nColumns\n030-040\nVaR\nIt means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.\n030\nMultiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)\nArticles 364(1) point (a) (ii) and 365 (1) of CRR.\n040\nPrevious day VaR (VaRt-1)\nArticles 364(1) point (a) (i) and 365 (1) of CRR.\n050-060\nStressed VaR\nIt 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.\n050\nMultiplication factor (ms) x Average of previous 60 working days (SVaRavg)\nArticles 364(1) point (b) (ii) and 365 (1) of CRR.\n060\nLatest available (SVaRt-1)\nArticles 364(1) point (b) (i) and 365 (1) of CRR.\n070-080\nINCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE\nIt 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.\n070\n12 weeks average measure\nArticle 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.\n080\nLast Measure\nArticle 364(2) point (b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.\n090-110\nALL PRICE RISKS CAPITAL CHARGE FOR CTP\n090\nFLOOR\nArticle 364(3) point (c) of CRR.\n= 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.\n100-110\n12 WEEKS AVERAGE MEASURE AND LAST MEASURE\nArticle 364(3) point (b).\n110\nLAST MEASURE\nArticle 364(3) point (a)\n120\nOWN FUNDS REQUIREMENTS\nReferred 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.\n130\nTOTAL RISK EXPOSURE AMOUNT\nArticle 92(4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.\n140\nNumber of overshootings (during previous 250 working days)\nReferred to in Article 366 of CRR.\n150-160\nVaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)\nAs referred to in Article 366 of CRR.\n170-180\nASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP\nThe 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.\nRows\n010\nTOTAL POSITIONS\nCorresponds 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.\nConcerning 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.\n020\nTRADED DEBT INSTRUMENTS\nCorresponds 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.\n030\nTDI – GENERAL RISK\nGeneral risk defined in Article 362 of CRR.\n040\nTDI – SPECIFIC RISK\nSpecific risk defined in Article 362 of CRR.\n050\nEQUITIES\nCorresponds 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.\n060\nEQUITIES – GENERAL RISK\nGeneral risk defined in Article 362 of CRR.\n070\nEQUITIES – SPECIFIC RISK\nSpecific risk defined in Article 362 of CRR.\n080\nFOREIGN EXCHANGE RISK\nArticles 363(1) and 367 (2) of CRR.\n090\nCOMMODITY RISK\nArticles 363(1) and 367 (2) of CRR.\n100\nTOTAL AMOUNT FOR GENERAL RISK\nMarket 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).\n110\nTOTAL AMOUNT FOR SPECIFIC RISK\nSpecific 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).\n5.8.\nC 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)\n5.8.1.\nInstructions concerning specific positions\nColumns\n010\nExposure value\nArticle 271 of CRR in accordance with article 382 of CRR\nTotal EAD from all transactions subject to CVA charge\n020\nOf which: OTC derivatives\nArticle 271 of CRR in accordance with Article 382(1) of CRR\nThe 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\n030\nOf which: SFT\nArticle 271 of CRR in accordance with Article 382(2) of CRR\nThe 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\n040\nMULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)\nArticle 383 of CRR in accordance with Article 363(1)(d) of CRR\nVaR calculation based on internal models for market risk\n050\nPREVIOUS DAY (VaRt-1)\nSee instructions referring to column 040\n060\nMULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)\nSee instructions referring to column 040\n070\nLATEST AVAILABLE (SVaRt-1)\nSee instructions referring to column 040\n080\nOWN FUNDS REQUIREMENTS\nArticle 92(3) d) of CRR\nOwn funds requirements for CVA Risk calculated via the chosen method\n090\nTOTAL RISK EXPOSURE AMOUNT\nArticle 92(4) b) of CRR\nOwn funds requirements multiplied by 12,5.\nMemorandum items\n100\nNumber of counterparties\nArticle 382 of CRR\nNumber of counterparties included in calculation of own funds for CVA risk\nCounterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.\n110\nOf which: proxy was used to determine credit spread\nnumber of counterparties where the credit spread was determined using a proxy instead of directly observed market data\n120\nINCURRED CVA\nAccounting provisions due to decreased credit worthiness of derivatives counterparties\n130\nSINGLE NAME CDS\nArticle 386(1) lit. a of CRR\nTotal notional amounts of single name CDS used as hedge for CVA risk\n140\nINDEX CDS\nArticle 386(1) lit. b) of CRR\nTotal notional amounts of index CDS used as hedge for CVA risk\nRows\n010\nCVA risk total\nSum of rows 020-040 as applicable\n020\nAccording to Advanced method\nAdvanced CVA risk method as prescribed by Article 383 of CRR\n030\nAccording to Standardised method\nStandardised CVA risk method as prescribed by Article 384 of CRR\n040\nBased on OEM\nAmounts subject to the application of Article 385 of CRR\nANNEX III\nREPORTING FINANCIAL INFORMATION ACCORDING TO IFRS\nFINREP TEMPLATES FOR IFRS\nTEMPLATE NUMBER\nTEMPLATE CODE\nNAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATES\nPART 1 [QUARTERLY FREQUENCY]\nBalance Sheet Statement [Statement of Financial Position]\n1.1\nF 01.01\nBalance Sheet Statement: assets\n1.2\nF 01.02\nBalance Sheet Statement: liabilities\n1.3\nF 01.03\nBalance Sheet Statement: equity\n2\nF 02.00\nStatement of profit or loss\n3\nF 03.00\nStatement of comprehensive income\nBreakdown of financial assets by instrument and by counterparty sector\n4.1\nF 04.01\nBreakdown of financial assets by instrument and by counterparty sector: financial assets held for trading\n4.2\nF 04.02\nBreakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss\n4.3\nF 04.03\nBreakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets\n4.4\nF 04.04\nBreakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments\n4.5\nF 04.05\nSubordinated financial assets\n5\nF 05.00\nBreakdown of loans and advances by product\n6\nF 06.00\nBreakdown of loans and advances to non-financial corporations by NACE codes\n7\nF 07.00\nFinancial assets subject to impairment that are past due or impaired\nBreakdown of financial liabilities\n8.1\nF 08.01\nBreakdown of financial liabilities by product and by counterparty sector\n8.2\nF 08.02\nSubordinated financial liabilities\nLoan commitments, financial guarantees and other commitments\n9.1\nF 09.01\nOff-balance sheet exposures: loan commitments, financial guarantees and other commitments given\n9.2\nF 09.02\nLoan commitments, financial guarantees and other commitments received\n10\nF 10.00\nDerivatives - Trading\nDerivatives - Hedge accounting\n11.1\nF 11.01\nDerivatives - Hedge accounting: Breakdown by type of risk and type of hedge\n12\nF 12.00\nMovements in allowances for credit losses and impairment of equity instruments\nCollateral and guarantees received\n13.1\nF 13.01\nBreakdown of loans and advances by collateral and guarantees\n13.2\nF 13.02\nCollateral obtained by taking possession during the period [held at the reporting date]\n13.3\nF 13.03\nCollateral obtained by taking possession [tangible assets] accumulated\n14\nF 14.00\nFair value hierarchy: financial instruments at fair value\n15\nF 15.00\nDerecognition and financial liabilities associated with transferred financial assets\nBreakdown of selected statement of profit or loss items\n16.1\nF 16.01\nInterest income and expenses by instrument and counterparty sector\n16.2\nF 16.02\nGains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument\n16.3\nF 16.03\nGains or losses on financial assets and liabilities held for trading by instrument\n16.4\nF 16.04\nGains or losses on financial assets and liabilities held for trading by risk\n16.5\nF 16.05\nGains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument\n16.6\nF 16.06\nGains or losses from hedge accounting\n16.7\nF 16.07\nImpairment on financial and non-financial assets\nReconciliation between accounting and CRR scope of consolidation: Balance Sheet\n17.1\nF 17.01\nReconciliation between accounting and CRR scope of consolidation: Assets\n17.2\nF 17.02\nReconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given\n17.3\nF 17.03\nReconciliation between accounting and CRR scope of consolidation: Liabilities\n18\nF 18.00\nPerforming and non-performing exposures\n19\nF 19.00\nForborne exposures\nPART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]\nGeographical breakdown\n20.1\nF 20.01\nGeographical breakdown of assets by location of the activities\n20.2\nF 20.02\nGeographical breakdown of liabilities by location of the activities\n20.3\nF 20.03\nGeographical breakdown of main statement of profit or loss items by location of the activities\n20.4\nF 20.04\nGeographical breakdown of assets by residence of the counterparty\n20.5\nF 20.05\nGeographical breakdown of off-balance sheet exposures by residence of the counterparty\n20.6\nF 20.06\nGeographical breakdown of liabilities by residence of the counterparty\n20.7\nF 20.07\nGeographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes\n21\nF 21.00\nTangible and intangible assets: assets subject to operating lease\nAsset management, custody and other service functions\n22.1\nF 22.01\nFee and commission income and expenses by activity\n22.2\nF 22.02\nAssets involved in the services provided\nPART 3 [SEMI-ANNUAL]\nOff-balance sheet activities: interests in unconsolidated structured entities\n30.1\nF 30.01\nInterests in unconsolidated structured entities\n30.2\nF 30.02\nBreakdown of interests in unconsolidated structured entities by nature of the activities\nRelated parties\n31.1\nF 31.01\nRelated parties: amounts payable to and amounts receivable from\n31.2\nF 31.02\nRelated parties: expenses and income generated by transactions with\nPART 4 [ANNUAL]\nGroup structure\n40.1\nF 40.01\nGroup structure: \"entity-by-entity\"\n40.2\nF 40.02\nGroup structure: \"instrument-by-instrument\"\nFair value\n41.1\nF 41.01\nFair value hierarchy: financial instruments at amortised cost\n41.2\nF 41.02\nUse of the Fair Value Option\n41.3\nF 41.03\nHybrid financial instruments not designated at fair value through profit or loss\n42\nF 42.00\nTangible and intangible assets: carrying amount by measurement method\n43\nF 43.00\nProvisions\nDefined benefit plans and employee benefits\n44.1\nF 44.01\nComponents of net defined benefit plan assets and liabilities\n44.2\nF 44.02\nMovements in defined benefit plan obligations\n44.3\nF 44.03\nMemo items [related to staff expenses]\nBreakdown of selected items of statement of profit or loss\n45.1\nF 45.01\nGains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio\n45.2\nF 45.02\nGains or losses on derecognition of non-financial assets other than held for sale\n45.3\nF 45.03\nOther operating income and expenses\n46\nF 46.00\nStatement of changes in equity\n1.\nBalance Sheet Statement [Statement of Financial Position]\n1.1\nAssets\nReferences\nBreakdown in table\nCarrying amount\n010\n010\nCash, cash balances at central banks and other demand deposits\nIAS 1.54 (i)\n020\nCash on hand\nAnnex V.Part 2.1\n030\nCash balances at central banks\nAnnex V.Part 2.2\n040\nOther demand deposits\nAnnex V.Part 2.3\n5\n050\nFinancial assets held for trading\nIFRS 7.8(a)(ii); IAS 39.9, AG 14\n060\nDerivatives\nIAS 39.9\n10\n070\nEquity instruments\nIAS 32.11\n4\n080\nDebt securities\nAnnex V.Part 1.24, 26\n4\n090\nLoans and advances\nAnnex V.Part 1.24, 27\n4\n100\nFinancial assets designated at fair value through profit or loss\nIFRS 7.8(a)(i); IAS 39.9\n4\n110\nEquity instruments\nIAS 32.11\n4\n120\nDebt securities\nAnnex V.Part 1.24, 26\n4\n130\nLoans and advances\nAnnex V.Part 1.24, 27\n4\n140\nAvailable-for-sale financial assets\nIFRS 7.8(d); IAS 39.9\n4\n150\nEquity instruments\nIAS 32.11\n4\n160\nDebt securities\nAnnex V.Part 1.24, 26\n4\n170\nLoans and advances\nAnnex V.Part 1.24, 27\n4\n180\nLoans and receivables\nIFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16\n4\n190\nDebt securities\nAnnex V.Part 1.24, 26\n4\n200\nLoans and advances\nAnnex V.Part 1.24, 27\n4\n210\nHeld-to-maturity investments\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n4\n220\nDebt securities\nAnnex V.Part 1.24, 26\n4\n230\nLoans and advances\nAnnex V.Part 1.24, 27\n4\n240\nDerivatives – Hedge accounting\nIFRS 7.22(b); IAS 39.9\n11\n250\nFair value changes of the hedged items in portfolio hedge of interest rate risk\nIAS 39.89A(a)\n260\nInvestments in subsidaries, joint ventures and associates\nIAS 1.54(e); Annex V.Part 2.4\n4, 40\n270\nTangible assets\n280\nProperty, Plant and Equipment\nIAS 16.6; IAS 1.54(a)\n21, 42\n290\nInvestment property\nIAS 40.5; IAS 1.54(b)\n21, 42\n300\nIntangible assets\nIAS 1.54(c); CRR art 4(1)(115)\n310\nGoodwill\nIFRS 3.B67(d); CRR art 4(1)(113)\n320\nOther intangible assets\nIAS 38.8,118\n21, 42\n330\nTax assets\nIAS 1.54(n-o)\n340\nCurrent tax assets\nIAS 1.54(n); IAS 12.5\n350\nDeferred tax assets\nIAS 1.54(o); IAS 12.5; CRR art 4(106)\n360\nOther assets\nAnnex V.Part 2.5\n370\nNon-current assets and disposal groups classified as held for sale\nIAS 1.54(j); IFRS 5.38, Annex V.Part 2.6\n380\nTOTAL ASSETS\nIAS 1.9(a), IG 6\n1.2\nLiabilities\nReferences\nBreakdown in table\nCarrying amount\n010\n010\nFinancial liabilities held for trading\nIFRS 7.8 (e) (ii); IAS 39.9, AG 14-15\n8\n020\nDerivatives\nIAS 39.9, AG 15(a)\n10\n030\nShort positions\nIAS 39.AG 15(b)\n8\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30\n8\n050\nDebt securities issued\nAnnex V.Part 1.31\n8\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\n8\n070\nFinancial liabilities designated at fair value through profit or loss\nIFRS 7.8 (e)(i); IAS 39.9\n8\n080\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n8\n090\nDebt securities issued\nAnnex V.Part 1.31\n8\n100\nOther financial liabilities\nAnnex V.Part 1.32-34\n8\n110\nFinancial liabilities measured at amortised cost\nIFRS 7.8(f); IAS 39.47\n8\n120\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n8\n130\nDebt securities issued\nAnnex V.Part 1.31\n8\n140\nOther financial liabilities\nAnnex V.Part 1.32-34\n8\n150\nDerivatives – Hedge accounting\nIFRS 7.22(b); IAS 39.9; Annex V.Part 1.23\n8\n160\nFair value changes of the hedged items in portfolio hedge of interest rate risk\nIAS 39.89A(b)\n170\nProvisions\nIAS 37.10; IAS 1.54(l)\n43\n180\nPensions and other post employment defined benefit obligations\nIAS 19.63; IAS 1.78(d); Annex V.Part 2.7\n43\n190\nOther long term employee benefits\nIAS 19.153; IAS 1.78(d); Annex V.Part 2.8\n43\n200\nRestructuring\nIAS 37.71, 84(a)\n43\n210\nPending legal issues and tax litigation\nIAS 37.Appendix C. Examples 6 and 10\n43\n220\nCommitments and guarantees given\nIAS 37.Appendix C.9\n43\n230\nOther provisions\n43\n240\nTax liabilities\nIAS 1.54(n-o)\n250\nCurrent tax liabilities\nIAS 1.54(n); IAS 12.5\n260\nDeferred tax liabilities\nIAS 1.54(o); IAS 12.5; CRR art 4(1)(108)\n270\nShare capital repayable on demand\nIAS 32 IE 33; IFRIC 2; Annex V.Part 2.9\n280\nOther liabilities\nAnnex V.Part 2.10\n290\nLiabilities included in disposal groups classified as held for sale\nIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11\n300\nTOTAL LIABILITIES\nIAS 1.9(b);IG 6\n1.3\nEquity\nReferences\nBreakdown in table\nCarrying amount\n010\n010\nCapital\nIAS 1.54(r), BAD art 22\n46\n020\nPaid up capital\nIAS 1.78(e)\n030\nUnpaid capital which has been called up\nIAS 1.78(e); Annex V.Part 2.14\n040\nShare premium\nIAS 1.78(e); CRR art 4(1)(124)\n46\n050\nEquity instruments issued other than capital\nAnnex V.Part 2.15-16\n46\n060\nEquity component of compound financial instruments\nIAS 32.28-29; Annex V.Part 2.15\n070\nOther equity instruments issued\nAnnex V.Part 2.16\n080\nOther equity\nIFRS 2.10; Annex V.Part 2.17\n090\nAccumulated other comprehensive income\nCRR art 4(1)(100)\n46\n095\nItems that will not be reclassified to profit or loss\nIAS 1.82A(a)\n100\nTangible assets\nIAS 16.39-41\n110\nIntangible assets\nIAS 38.85-87\n120\nActuarial gains or (-) losses on defined benefit pension plans\nIAS 1.7\n122\nNon-current assets and disposal groups classified as held for sale\nIFRS 5.38, IG Example 12\n124\nShare of other recognised income and expense of investments in subsidaries, joint ventures and associates\nIAS 1.82(h); IAS 28.11\n128\nItems that may be reclassified to profit or loss\nIAS 1.82A(a)\n130\nHedge of net investments in foreign operations [effective portion]\nIAS 39.102(a)\n140\nForeign currency translation\nIAS 21.52(b); IAS 21.32, 38-49\n150\nHedging derivatives. Cash flow hedges [effective portion]\nIFRS 7.23(c); IAS 39.95-101\n160\nAvailable-for-sale financial assets\nIFRS 7.20(a)(ii); IAS 39.55(b)\n170\nNon-current assets and disposal groups classified as held for sale\nIFRS 5.38, IG Example 12\n180\nShare of other recognised income and expense of investments in subsidaries, joint ventures and associates\nIAS 1.82(h); IAS 28.11\n190\nRetained earnings\nCRR art 4(1)(123)\n200\nRevaluation reserves\nIFRS 1.30, D5-D8; Annex V.Part 2.18\n210\nOther reserves\nIAS 1.54; IAS 1.78(e)\n220\nReserves or accumulated losses of investments in subsidaries, joint ventures and associates\nIAS 28.11; Annex V.Part 2.19\n230\nOther\nAnnex V.Part 2.19\n240\n(-) Treasury shares\nIAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20\n46\n250\nProfit or loss attributable to owners of the parent\nIAS 27.28; IAS 1.81B (b)(ii)\n2\n260\n(-) Interim dividends\nIAS 32.35\n270\nMinority interests [Non-controlling interests]\nIAS 27.4; IAS 1.54(q); IAS 27.27\n280\nAccumulated Other Comprehensive Income\nIAS 27.27-28; CRR art 4(1)(100)\n46\n290\nOther items\nIAS 27.27-28\n46\n300\nTOTAL EQUITY\nIAS 1.9(c), IG 6\n46\n310\nTOTAL EQUITY AND TOTAL LIABILITIES\nIAS 1.IG6\n2.\nStatement of profit or loss\nReferences\nBreakdown in table\nCurrent period\n010\n010\nInterest income\nIAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21\n16\n020\nFinancial assets held for trading\nIFRS 7.20(a)(i), B5(e); Annex V.Part 2.24\n030\nFinancial assets designated at fair value through profit or loss\nIFRS 7.20(a)(i), B5(e)\n040\nAvailable-for-sale financial assets\nIFRS 7.20(b); IAS 39.55(b); IAS 39.9\n050\nLoans and receivables\nIFRS 7.20(b); IAS 39.9, 39.46(a)\n060\nHeld-to-maturity investments\nIFRS 7.20(b); IAS 39.9, 39.46(b)\n070\nDerivatives - Hedge accounting, interest rate risk\nIAS 39.9; Annex V.Part 2.23\n080\nOther assets\nAnnex V.Part 2.25\n090\n(Interest expenses)\nIAS 1.97; Annex V.Part 2.21\n16\n100\n(Financial liabilities held for trading\nIFRS 7.20(a)(i), B5(e); Annex V.Part 2.24\n110\n(Financial liabilities designated at fair value through profit or loss\nIFRS 7.20(a)(i), B5(e)\n120\n(Financial liabilities measured at amortised cost)\nIFRS 7.20(b); IAS 39.47\n130\n(Derivatives - Hedge accounting, interest rate risk)\nIAS 39.9; Annex V.Part 2.23\n140\n(Other liabilities)\nAnnex V.Part 2.26\n150\n(Expenses on share capital repayable on demand)\nIFRIC 2.11\n160\nDividend income\nIAS 18.35(b)(v); Annex V.Part 2.28\n170\nFinancial assets held for trading\nIFRS 7.20(a)(i), B5(e)\n180\nFinancial assets designated at fair value through profit or loss\nIFRS 7.20(a)(i), B5(e); IAS 39.9\n190\nAvailable-for-sale financial assets\nIFRS 7.20(a)(ii); IAS 39.9, 39.55(b)\n200\nFee and commission income\nIFRS 7.20(c)\n22\n210\n(Fee and commission expenses)\nIFRS 7.20(c)\n22\n220\nGains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net\nIFRS 7.20(a) (ii-v); Annex V.Part 2.97\n16\n230\nAvailable-for-sale financial assets\nIFRS 7.20(a)(ii); IAS 39.9, 39.55(b)\n240\nLoans and receivables\nIFRS 7.20(a)(iv); IAS 39.9, 39.56\n250\nHeld-to-maturity investments\nIFRS 7.20(a)(iii); IAS 39.9, 39.56\n260\nFinancial liabilities measured at amortised cost\nIFRS 7.20(a)(v); IAS 39.56\n270\nOther\n280\nGains or (-) losses on financial assets and liabilities held for trading, net\nIFRS 7.20(a)(i); IAS 39.55(a)\n16\n290\nGains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net\nIFRS 7.20(a)(i); IAS 39.55(a)\n16, 45\n300\nGains or (-) losses from hedge accounting, net\nIFRS 7.24; Annex V.Part 2.30\n16\n310\nExchange differences [gain or (-) loss], net\nIAS 21.28, 52 (a)\n330\nGains or (-) losses on derecognition of non financial assets, net\nIAS 1.34\n45\n340\nOther operating income\nAnnex V.Part 2.141-143\n45\n350\n(Other operating expenses)\nAnnex V.Part 2.141-143\n45\n355\nTOTAL OPERATING INCOME, NET\n360\n(Administrative expenses)\n370\n(Staff expenses)\nIAS 19.7; IAS 1.102, IG 6\n44\n380\n(Other administrative expenses)\n390\n(Depreciation)\nIAS 1.102, 104\n400\n(Property, Plant and Equipment)\nIAS 1.104; IAS 16.73(e)(vii)\n410\n(Investment Properties)\nIAS 1.104; IAS 40.79(d)(iv)\n420\n(Other intangible assets)\nIAS 1.104; IAS 38.118(e)(vi)\n430\n(Provisions or (-) reversal of provisions)\nIAS 37.59, 84; IAS 1.98(b)(f)(g)\n43\n440\n(Commitments and guarantees given)\n450\n(Other provisions)\n460\n(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)\nIFRS 7.20(e)\n16\n470\n(Financial assets measured at cost)\nIFRS 7.20(e); IAS 39.66\n480\n(Available- for-sale financial assets)\nIFRS 7.20(e); IAS 39.67\n490\n(Loans and receivables\nIFRS 7.20(e); IAS 39.63\n500\n(Held to maturity investments)\nIFRS 7.20(e); IAS 39.63\n510\n(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)\nIAS 28.40-43\n16\n520\n(Impairment or (-) reversal of impairment on non-financial assets)\nIAS 36.126(a)(b)\n16\n530\n(Property, plant and equipment)\nIAS 16.73(e)(v-vi)\n540\n(Investment properties)\nIAS 40.79(d)(v)\n550\n(Goodwill)\nIFRS 3.Appendix B67(d)(v); IAS 36.124\n560\n(Other intangible assets)\nIAS 38.118 (e)(iv)(v)\n570\n(Other)\nIAS 36.126 (a)(b)\n580\nNegative goodwill recognised in profit or loss\nIFRS 3.Appendix B64(n)(i)\n590\nShare of the profit or (-) loss of investments in subsidaries, joint ventures and associates\nIAS 1.82(c)\n600\nProfit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations\nIFRS 5.37; Annex V.Part 2.27\n610\nPROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS\nIAS 1.102, IG 6; IFRS 5.33 A\n620\n(Tax expense or (-) income related to profit or loss from continuing operations)\nIAS 1.82(d); IAS 12.77\n630\nPROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS\nIAS 1, IG 6\n640\nProfit or (-) loss after tax from discontinued operations\nIAS 1.82(e); IFRS 5.33(a), 5.33 A\n650\nProfit or (-) loss before tax from discontinued operations\nIFRS 5.33(b)(i)\n660\n(Tax expense or (-) income related to discontinued operations)\nIFRS 5.33 (b)(ii),(iv)\n670\nPROFIT OR (-) LOSS FOR THE YEAR\nIAS 1.81A(a)\n680\nAttributable to minority interest [non-controlling interests]\nIAS 1.83(a)(i)\n690\nAttributable to owners of the parent\nIAS 1.81B (b)(ii)\n3.\nStatement of comprehensive income\nReferences\nCurrent period\n010\n010\nProfit or (-) loss for the year\nIAS 1.7, 81(b), 83(a), IG6\n020\nOther comprehensive income\nIAS 1.7, 81(b), IG6\n030\nItems that will not be reclassified to profit or loss\nIAS 1.82A(a)\n040\nTangible assets\nIAS 1.7, IG6; IAS 16.39-40\n050\nIntangible assets\nIAS 1.7; IAS 38.85-86\n060\nActuarial gains or (-) losses on defined benefit pension plans\nIAS 1.7, IG6; IAS 19.93A\n070\nNon-current assets and disposal groups held for sale\nIFRS 5.38\n080\nShare of other recognised income and expense of entities accounted for using the equity method\nIAS 1.82(h), IG6; IAS 28.11\n090\nIncome tax relating to items that will not be reclassified\nIAS 1.91(b); Annex V.Part 2.31\n100\nItems that may be reclassified to profit or loss\nIAS 1.82A(b)\n110\nHedge of net investments in foreign operations [effective portion]\nIAS 39.102(a)\n120\nValuation gains or (-) losses taken to equity\nIAS 39.102(a)\n130\nTransferred to profit or loss\nIAS 1.7, 92-95; IAS 39.102(a)\n140\nOther reclassifications\n150\nForeign currency translation\nIAS 1.7, IG6; IAS 21.52(b)\n160\nTranslation gains or (-) losses taken to equity\nIAS 21.32, 38-47\n170\nTransferred to profit or loss\nIAS 1.7, 92-95; IAS 21.48-49\n180\nOther reclassifications\n190\nCash flow hedges [effective portion]\nIAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96\n200\nValuation gains or (-) losses taken to equity\nIAS 1.IG6; IAS 39.95(a)-96\n210\nTransferred to profit or loss\nIAS 1.7, 92-95, IG6; IAS 39.97-101\n220\nTransferred to initial carrying amount of hedged items\nIAS 1.IG6; IAS 39.97-101\n230\nOther reclassifications\n240\nAvailable-for-sale financial assets\nIAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b)\n250\nValuation gains or (-) losses taken to equity\nIFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b)\n260\nTransferred to profit or loss\nIFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b)\n270\nOther reclassifications\nIFRS 5.IG Example 12\n280\nNon-current assets and disposal groups held for sale\nIFRS 5.38\n290\nValuation gains or (-) losses taken to equity\nIFRS 5.38\n300\nTransferred to profit or loss\nIAS 1.7, 92-95; IFRS 5.38\n310\nOther reclassifications\nIFRS 5.IG Example 12\n320\nShare of other recognised income and expense of Investments in subsidaries, joint ventures and associates\nIAS 1.82(h), IG6; IAS 28.11\n330\nIncome tax relating to items that may be reclassified to profit or (-) loss\nIAS 1.91(b), IG6; Annex V.Part 2.31\n340\nTotal comprehensive income for the year\nIAS 1.7, 81A(a), IG6\n350\nAttributable to minority interest [Non-controlling interest]\nIAS 1.83(b)(i), IG6\n360\nAttributable to owners of the parent\nIAS 1.83(b)(ii), IG6\n4.\nBreakdown of financial assets by instrument and by counterparty sector\n4.1\nFinancial assets held for trading\nReferences\nCarrying amount\nAccumulated changes in fair value due to credit risk\nAnnex V.Part 2.46\n010\n020\n010\nEquity instruments\nIAS 32.11\n020\nof which: at cost\nIAS 39.46(c)\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\n4.2\nFinancial assets designated at fair value through profit or loss\nReferences\nCarrying amount\nAccumulated changes in fair value due to credit risk\nIFRS 7.9 (c); Annex V.Part 2.46\n010\n020\n010\nEquity instruments\nIAS 32.11\n020\nof which: at cost\nIAS 39.46(c)\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\n190\nFINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS\nIFRS 7.8(a)(i); IAS 39.9\n4.3\nAvailable-for-sale financial assets\nReferences\nCarrying amount of unimpaired assets\nCarrying amount of impaired assets\nCarrying amount\nAccumulated impairment\nIAS 39.58-62\nAnnex V.Part 2.34\nAnnex V.Part 2.46\n010\n020\n030\n040\n010\nEquity instruments\nIAS 32.11\n020\nof which: at cost\nIAS 39.46(c)\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\n190\nAVAILABLE-FOR-SALE FINANCIAL ASSETS\nIFRS 7.8(d); IAS 39.9\n4.4\nLoans and receivables and held-to-maturity investments\nReferences\nUnimpaired assets [gross carrying amount]\nImpaired assets [gross carrying amount]\nSpecific allowances for financial assets, individually estimated\nSpecific allowances for financial assets, collectively estimated\nCollective allowances for incurrred but not reported losses\nCarrying amount\nIFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59\nIAS 39.AG 84-92; Annex V.Part 2.36\nIAS 39.AG 84-92; Annex V.Part 2.37\nIAS 39.AG 84-92; Annex V.Part 2.38\nAnnex V.Part 2.39\n010\n020\n030\n040\n050\n060\n010\nDebt securities\nAnnex V.Part 1.24, 26\n020\nCentral banks\nAnnex V.Part 1.35(a)\n030\nGeneral governments\nAnnex V.Part 1.35(b)\n040\nCredit institutions\nAnnex V.Part 1.35(c)\n050\nOther financial corporations\nAnnex V.Part 1.35(d)\n060\nNon-financial corporations\nAnnex V.Part 1.35(e)\n070\nLoans and advances\nAnnex V.Part 1.24, 27\n080\nCentral banks\nAnnex V.Part 1.35(a)\n090\nGeneral governments\nAnnex V.Part 1.35(b)\n100\nCredit institutions\nAnnex V.Part 1.35(c)\n110\nOther financial corporations\nAnnex V.Part 1.35(d)\n120\nNon-financial corporations\nAnnex V.Part 1.35(e)\n130\nHouseholds\nAnnex V.Part 1.35(f)\n140\nLOANS AND RECEIVABLES\nIAS 39,9 AG 16, AG26; Annex V.Part 1.16\n150\nDebt securities\nAnnex V.Part 1.24, 26\n160\nCentral banks\nAnnex V.Part 1.35(a)\n170\nGeneral governments\nAnnex V.Part 1.35(b)\n180\nCredit institutions\nAnnex V.Part 1.35(c)\n190\nOther financial corporations\nAnnex V.Part 1.35(d)\n200\nNon-financial corporations\nAnnex V.Part 1.35(e)\n210\nLoans and advances\nAnnex V.Part 1.24, 27\n220\nCentral banks\nAnnex V.Part 1.35(a)\n230\nGeneral governments\nAnnex V.Part 1.35(b)\n240\nCredit institutions\nAnnex V.Part 1.35(c)\n250\nOther financial corporations\nAnnex V.Part 1.35(d)\n260\nNon-financial corporations\nAnnex V.Part 1.35(e)\n270\nHouseholds\nAnnex V.Part 1.35(f)\n280\nHELD-TO-MATURITY\nIFRS 7.8(c); IAS 39.9, AG16, AG26\n4.5\nSubordinated financial assets\nReferences\nCarrying amount\n010\n010\nLoans and advances\nAnnex V.Part 1.24, 27\n020\nDebt securities\nAnnex V.Part 1.24, 26\n030\nSUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS\nAnnex V.Part 2.40, 54\n5.\nBreakdown of Loan and advances by product\nReferences\nCentral banks\nGeneral governments\nCredit institutions\nOther financial corporations\nNon-financial corporations\nHouseholds\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(f)\n010\n020\n030\n040\n050\n060\nBy product\n010\nOn demand [call] and short notice [current account]\nAnnex V.Part 2.41(a)\n020\nCredit card debt\nAnnex V.Part 2.41(b)\n030\nTrade receivables\nAnnex V.Part 2.41(c)\n040\nFinance leases\nAnnex V.Part 2.41(d)\n050\nReverse repurchase loans\nAnnex V.Part 2.41(e)\n060\nOther term loans\nAnnex V.Part 2.41(f)\n070\nAdvances that are not loans\nAnnex V.Part 2.41(g)\n080\nLOANS AND ADVANCES\nAnnex V.Part 1.24, 27\nBy collateral\n090\nof which: mortgage loans [Loans collateralized by immovable property]\nAnnex V.Part 2.41(h)\n100\nof which: other collateralized loans\nAnnex V.Part 2.41(i)\nBy purpose\n110\nof which: credit for consumption\nAnnex V.Part 2.41(j)\n120\nof which: lending for house purchase\nAnnex V.Part 2.41(k)\nBy subordination\n130\nof which: project finance loans\nAnnex V.Part 2.41(l)\n6.\nBreakdown of loans and advances to non-financial corporations by NACE codes\nReferences\nNon-financial corporations\nGross carrying amount\nOf which: non-performing\nAccumulated impairment or Accumulated changes in fair value due to credit risk\nAnnex V.Part 2.45\nAnnex V.Part 2. 145-162\nAnnex V.Part 2.46\n010\n012\n020\n010\nA\nAgriculture, forestry and fishing\nNACE Regulation\n020\nB\nMining and quarrying\nNACE Regulation\n030\nC\nManufacturing\nNACE Regulation\n040\nD\nElectricity, gas, steam and air conditioning supply\nNACE Regulation\n050\nE\nWater supply\nNACE Regulation\n060\nF\nConstruction\nNACE Regulation\n070\nG\nWholesale and retail trade\nNACE Regulation\n080\nH\nTransport and storage\nNACE Regulation\n090\nI\nAccommodation and food service activities\nNACE Regulation\n100\nJ\nInformation and communication\nNACE Regulation\n110\nL\nReal estate activities\nNACE Regulation\n120\nM\nProfessional, scientific and technical activities\nNACE Regulation\n130\nN\nAdministrative and support service activities\nNACE Regulation\n140\nO\nPublic administration and defence, compulsory social security\nNACE Regulation\n150\nP\nEducation\nNACE Regulation\n160\nQ\nHuman health services and social work activities\nNACE Regulation\n170\nR\nArts, entertainment and recreation\nNACE Regulation\n180\nS\nOther services\nNACE Regulation\n190\nLOANS AND ADVANCES\nAnnex V.Part 1.24, 27, 42, 43\n7.\nFinancial assets subject to impairment that are past due or impaired\nReferences\nPast due but not impaired\nCarrying amount of the impaired assets\nSpecific allowances for financial assets, individually estimated\nSpecific allowances for financial assets, collectively estimated\nCollective allowances for incurrred but not reported losses\nAccumulated write-offs\n≤ 30 days\n> 30 days ≤ 60 days\n> 60 days ≤ 90 days\n> 90 days ≤ 180days\n> 180 days ≤ 1year\n> 1year\nIFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48\nIAS 39.58-70\nIAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36\nIAS 39 AG 84-92; Annex V.Part 2.37\nIAS 39 AG 84-92; Annex V.Part 2.38\nIAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n010\nEquity instruments\nIAS 32.11\n020\nof which: at cost\nIAS 39.46(c)\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\n190\nTOTAL\nLoans and advances by product, by collateral and by subordination\n200\nOn demand [call] and short notice [current account]\nAnnex V.Part 2.41(a)\n210\nCredit card debt\nAnnex V.Part 2.41(b)\n220\nTrade receivables\nAnnex V.Part 2.41(c)\n230\nFinance leases\nAnnex V.Part 2.41(d)\n240\nReverse repurchase loans\nAnnex V.Part 2.41(e)\n250\nOther term loans\nAnnex V.Part 2.41(f)\n260\nAdvances that are not loans\nAnnex V.Part 2.41(g)\n270\nof which: mortgage loans [Loans collateralized by inmovable property]\nAnnex V.Part 2.41(h)\n280\nof which: other collateralized loans\nAnnex V.Part 2.41(i)\n290\nof which: credit for consumption\nAnnex V.Part 2.41(j)\n300\nof which: lending for house purchase\nAnnex V.Part 2.41(k)\n310\nof which: project finance loans\nAnnex V.Part 2.41(l)\n8.\nBreakdown of financial liabilities\n8.1\nBreakdown of financial liabilities by product and by counterparty sector\nReferences\nCarrying amount\nAmount of cumulative change in fair values attributable to changes in credit risk\nAmount contractually required to pay at maturity\nHeld for trading\nDesignated at fair value through profit or loss\nAmortised cost\nHedge accounting\nIFRS 7.8(e)(ii); IAS 39.9, AG 14-15\nIFRS 7.8(e)(i); IAS 39.9\nIFRS 7.8(f); IAS 39.47\nIFRS 7.22(b); IAS 39.9\nCRR art 30(b), art 424(1)(d)(i)\n010\n020\n030\n037\n040\n050\n010\nDerivatives\nIAS 39.9, AG 15(a)\n020\nShort positions\nIAS 39 AG 15(b)\n030\nEquity instruments\nIAS 32.11\n040\nDebt securities\nAnnex V.Part 1.24, 26\n050\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n060\nCentral banks\nAnnex V.Part 1.35(a)\n070\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\n080\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\n090\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n100\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\n110\nGeneral governments\nAnnex V.Part 1.35(b)\n120\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\n130\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\n140\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n150\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\n160\nCredit institutions\nAnnex V.Part 1.35(c)\n170\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\n180\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\n190\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n200\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\n210\nOther financial corporations\nAnnex V.Part 1.35(d)\n220\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\n230\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\n240\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n250\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\n260\nNon-financial corporations\nAnnex V.Part 1.35(e)\n270\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\n280\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\n290\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n300\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\n310\nHouseholds\nAnnex V.Part 1.35(f)\n320\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\n330\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\n340\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n350\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\n360\nDebt securities issued\nAnnex V.Part 1.31; Annex V.Part 2.52\n370\nCertificates of deposits\nAnnex V.Part 2.52(a)\n380\nAsset-backed securities\nCRR art 4(1)(61)\n390\nCovered bonds\nCRR art 129(1)\n400\nHybrid contracts\nIAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d)\n410\nOther debt securities issued\nAnnex V.Part 2.52(e)\n420\nConvertible compound financial instruments\nIAS 32.AG 31\n430\nNon-convertible\n440\nOther financial liabilities\nAnnex V.Part 1.32-34\n450\nFINANCIAL LIABILITIES\n8.2.\nSubordinated financial liabilities\nCarriyng amount\nReferences\nDesignated at fair value through profit or loss\nAt amortized cost\nIFRS 7.8(e)(i); IAS 39.9\nIFRS 7.8(f); IAS 39.47\n010\n020\n010\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n020\nDebt securities issued\nAnnex V.Part 1.31\n030\nSUBORDINATED FINANCIAL LIABILITIES\nAnnex V.Part 2.53-54\n9.\nLoan commitments, financial guarantees and other commitments\n9.1\nOff-balance sheet exposures: Loan commitments, financial guarantees and other commitments given\nReferences\nNominal amount\nIFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62\n010\n010\nLoan commitments given\nIAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57\n021\nof which: non-performing\nAnnex V.Part 2. 145-162\n030\nCentral banks\nAnnex V.Part 1.35(a)\n040\nGeneral governments\nAnnex V.Part 1.35(b)\n050\nCredit institutions\nAnnex V.Part 1.35(c)\n060\nOther financial corporations\nAnnex V.Part 1.35(d)\n070\nNon-financial corporations\nAnnex V.Part 1.35(e)\n080\nHouseholds\nAnnex V.Part 1.35(f)\n090\nFinancial guarantees given\nIAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58\n101\nof which: non-performing\nAnnex V.Part 2. 145-162\n110\nCentral banks\nAnnex V.Part 1.35(a)\n120\nGeneral governments\nAnnex V.Part 1.35(b)\n130\nCredit institutions\nAnnex V.Part 1.35(c)\n140\nOther financial corporations\nAnnex V.Part 1.35(d)\n150\nNon-financial corporations\nAnnex V.Part 1.35(e)\n160\nHouseholds\nAnnex V.Part 1.35(f)\n170\nOther Commitments given\nCRR Annex I; Annex V.Part 2.56, 59\n181\nof which: non-performing\nAnnex V.Part 2. 145-162\n190\nCentral banks\nAnnex V.Part 1.35(a)\n200\nGeneral governments\nAnnex V.Part 1.35(b)\n210\nCredit institutions\nAnnex V.Part 1.35(c)\n220\nOther financial corporations\nAnnex V.Part 1.35(d)\n230\nNon-financial corporations\nAnnex V.Part 1.35(e)\n240\nHouseholds\nAnnex V.Part 1.35(f)\n9.2\nLoan commitments, financial guarantees and other commitments received\nReferences\nMaximum amount of the guarantee that can be considered\nNominal amount\nIFRS 7.36 (b); Annex V.Part 2.63\nAnnex V.Part 2.63\n010\n020\n010\nLoan commitments received\nIAS 39.2(h), 4(a)(c), BC 15; Annex V.Part 2.56-57\n020\nCentral banks\nAnnex V.Part 1.35(a)\n030\nGeneral governments\nAnnex V.Part 1.35(b)\n040\nCredit institutions\nAnnex V.Part 1.35(c)\n050\nOther financial corporations\nAnnex V.Part 1.35(d)\n060\nNon-financial corporations\nAnnex V.Part 1.35(e)\n070\nHouseholds\nAnnex V.Part 1.35(f)\n080\nFinancial guarantees received\nIAS 39.9 AG 4, BC 21; IFRS 4 Annex A; Annex V.Part 2.56, 58\n090\nCentral banks\nAnnex V.Part 1.35(a)\n100\nGeneral governments\nAnnex V.Part 1.35(b)\n110\nCredit institutions\nAnnex V.Part 1.35(c)\n120\nOther financial corporations\nAnnex V.Part 1.35(d)\n130\nNon-financial corporations\nAnnex V.Part 1.35(e)\n140\nHouseholds\nAnnex V.Part 1.35(f)\n150\nOther Commitments received\nAnnex V.Part 2.56, 59\n160\nCentral banks\nAnnex V.Part 1.35(a)\n170\nGeneral governments\nAnnex V.Part 1.35(b)\n180\nCredit institutions\nAnnex V.Part 1.35(c)\n190\nOther financial corporations\nAnnex V.Part 1.35(d)\n200\nNon-financial corporations\nAnnex V.Part 1.35(e)\n210\nHouseholds\nAnnex V.Part 1.35(f)\n10.\nDerivatives — Trading\nBy type of risk / By product or by type of market\nReferences\nCarrying amount\nNotional amount\nFinancial assets held for trading\nFinancial liabilities held for trading\nTotal Trading\nof which: sold\nAnnex V.Part 2.69\nAnnex V.Part 2.69\nAnnex V.Part 2.70-71\nAnnex V.Part 2.72\n010\n020\n030\n040\n010\nInterest rate\nAnnex V.Part 2.67(a)\n020\nof which: economic hedges\nAnnex V.Part 2.74\n030\nOTC options\n040\nOTC other\n050\nOrganized market options\n060\nOrganized market other\n070\nEquity\nAnnex V.Part 2.67(b)\n080\nof which: economic hedges\nAnnex V.Part 2.74\n090\nOTC options\n100\nOTC other\n110\nOrganized market options\n120\nOrganized market other\n130\nForeign exchange and gold\nAnnex V.Part 2.67(c)\n140\nof which: economic hedges\nAnnex V.Part 2.74\n150\nOTC options\n160\nOTC other\n170\nOrganized market options\n180\nOrganized market other\n190\nCredit\nAnnex V.Part 2.67(d)\n200\nof which: economic hedges\nAnnex V.Part 2.74\n210\nCredit default swap\n220\nCredit spread option\n230\nTotal return swap\n240\nOther\n250\nCommodity\nAnnex V.Part 2.67(e)\n260\nof which: economic hedges\nAnnex V.Part 2.74\n270\nOther\nAnnex V.Part 2.67(f)\n280\nof which: economic hedges\nAnnex V.Part 2.74\n290\nDERIVATIVES\nIAS 39.9\n300\nof which: OTC - credit institutions\nAnnex V.Part 1.35(c), 2.75(a)\n310\nof which: OTC - other financial corporations\nAnnex V.Part 1.35(d), 2.75(b)\n320\nof which: OTC - rest\nAnnex V.Part 2.75(c)\n11.\nDerivatives — Hedge accounting\n11.1\nDerivatives — Hedge accounting: Breakdown by type of risk and type of hedge\nBy product or by type of market\nReferences\nCarrying amount\nNotional amount\nAssets\nLiabilities\nTotal Hedging\nof which: sold\nAnnex V.Part 2.69\nAnnex V.Part 2.69\nAnnex V.Part 2.70, 71\nAnnex V.Part 2.72\n010\n020\n030\n040\n010\nInterest rate\nAnnex V.Part 2.67(a)\n020\nOTC options\n030\nOTC other\n040\nOrganized market options\n050\nOrganized market other\n060\nEquity\nAnnex V.Part 2.67(b)\n070\nOTC options\n080\nOTC other\n090\nOrganized market options\n100\nOrganized market other\n110\nForeign exchange and gold\nAnnex V.Part 2.67(c)\n120\nOTC options\n130\nOTC other\n140\nOrganized market options\n150\nOrganized market other\n160\nCredit\nAnnex V.Part 2.67(d)\n170\nCredit default swap\n180\nCredit spread option\n190\nTotal return swap\n200\nOther\n210\nCommodity\nAnnex V.Part 2.67(e)\n220\nOther\nAnnex V.Part 2.67(f)\n230\nFAIR VALUE HEDGES\nIFRS 7.22(b); IAS 39.86(a)\n240\nInterest rate\nAnnex V.Part 2.67(a)\n250\nOTC options\n260\nOTC other\n270\nOrganized market options\n280\nOrganized market other\n290\nEquity\nAnnex V.Part 2.67(b)\n300\nOTC options\n310\nOTC other\n320\nOrganized market options\n330\nOrganized market other\n340\nForeign exchange and gold\nAnnex V.Part 2.67(c)\n350\nOTC options\n360\nOTC other\n370\nOrganized market options\n380\nOrganized market other\n390\nCredit\nAnnex V.Part 2.67(d)\n400\nCredit default swap\n410\nCredit spread option\n420\nTotal return swap\n430\nOther\n440\nCommodity\nAnnex V.Part 2.67(e)\n450\nOther\nAnnex V.Part 2.67(f)\n460\nCASH FLOW HEDGES\nIFRS 7.22(b); IAS 39.86(b)\n470\nHEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION\nIFRS 7.22(b); IAS 39.86(c)\n480\nPORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK\nIAS 39.89A, IE 1-31\n490\nPORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK\nIAS 39 IG F6 1-3\n500\nDERIVATIVES-HEDGE ACCOUNTING\nIFRS 7.22(b); IAS 39.9\n510\nof which: OTC - credit institutions\nAnnex V.Part 1.35(c), 2.75(a)\n520\nof which: OTC - other financial corporations\nAnnex V.Part 1.35(d), 2.75(b)\n530\nof which: OTC - rest\nAnnex V.Part 2.75(c)\n12.\nMovements in allowances for credit losses and impairment of equity instruments\nReferences\nOpening balance\nIncreases due toamounts set aside for estimated loan losses during the period\nDecreases due toamounts reversed for estimated loan losses during the period\nDecreases due toamounts taken against allowances\nTransfers between allowances\nOther adjustments\nClosing balance\nRecoveries recorded directly to the statement of profit or loss\nValue adjustments recorded directly to the statement of profit or loss\nAnnex V.Part 2.77\nAnnex V.Part 2.77\nAnnex V.Part 2.78\nAnnex V.Part 2.78\n010\n020\n030\n040\n050\n060\n070\n080\n090\n010\nEquity instruments\n020\nSpecific allowances for financial assets, individually estimated\nIAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36\n030\nDebt securities\nAnnex V.Part 1.26\n040\nCentral banks\nAnnex V.Part 1.35(a)\n050\nGeneral governments\nAnnex V.Part 1.35(b)\n060\nCredit institutions\nAnnex V.Part 1.35(c)\n070\nOther financial corporations\nAnnex V.Part 1.35(d)\n080\nNon-financial corporations\nAnnex V.Part 1.35(e)\n090\nLoans and advances\nAnnex V.Part 1.27\n100\nCentral banks\nAnnex V.Part 1.35(a)\n110\nGeneral governments\nAnnex V.Part 1.35(b)\n120\nCredit institutions\nAnnex V.Part 1.35(c)\n130\nOther financial corporations\nAnnex V.Part 1.35(d)\n140\nNon-financial corporations\nAnnex V.Part 1.35(e)\n150\nHouseholds\nAnnex V.Part 1.35(f)\n160\nSpecific allowances for financial assets, collectively estimated\nIAS 39.59, 64; Annex V.Part 2.37\n170\nDebt securities\nAnnex V.Part 1.26\n180\nCentral banks\nAnnex V.Part 1.35(a)\n190\nGeneral governments\nAnnex V.Part 1.35(b)\n200\nCredit institutions\nAnnex V.Part 1.35(c)\n210\nOther financial corporations\nAnnex V.Part 1.35(d)\n220\nNon-financial corporations\nAnnex V.Part 1.35(e)\n230\nLoans and advances\nAnnex V.Part 1.27\n240\nCentral banks\nAnnex V.Part 1.35(a)\n250\nGeneral governments\nAnnex V.Part 1.35(b)\n260\nCredit institutions\nAnnex V.Part 1.35(c)\n270\nOther financial corporations\nAnnex V.Part 1.35(d)\n280\nNon-financial corporations\nAnnex V.Part 1.35(e)\n290\nHouseholds\nAnnex V.Part 1.35(f)\n300\nCollective allowances for incurred but not reported losses on financial assets\nIAS 39.59, 64; Annex V.Part 2.38\n310\nDebt securities\nAnnex V.Part 1.26\n320\nLoans and advances\nAnnex V.Part 1.27\n530\nTotal\n13.\nCollateral and guarantees received\n13.1\nBreakdown of loans and advances by collateral and guarantees\nMaximum amount of the collateral or guarantee that can be considered\nGuarantees and collateral\nReferences\nMortgage loans [Loans collateralized by immovable property]\nOther collateralized loans\nFinancial guarantees received\nResidential\nCommercial\nCash [Debt instruments issued]\nRest\nIFRS 7.36(b)\nAnnex V.Part 2.81(a)\nAnnex V.Part 2.81(a)\nAnnex V.Part 2.81(b)\nAnnex V.Part 2.81(b)\nAnnex V.Part 2.81(c)\n010\n020\n030\n040\n050\n010\nLoans and advances\nAnnex V.Part 2.81\n020\nof which: Other financial corporations\nAnnex V.Part 1.35(d)\n030\nof which: Non-financial corporations\nAnnex V.Part 1.35(e)\n040\nof which: Households\nAnnex V.Part 1.35(f)\n13.2\nCollateral obtained by taking possession during the period [held at the reporting date]\nReferences\nCarrying amount\n010\n010\nNon-current assets held-for-sale\nIFRS 7.38(a)\n020\nProperty, plant and equipment\nIFRS 7.38(a)\n030\nInvestment property\nIFRS 7.38(a)\n040\nEquity and debt instruments\nIFRS 7.38(a)\n050\nOther\nIFRS 7.38(a)\n060\nTotal\n13.3\nCollateral obtained by taking possession [tangible assets] accumulated\nReferences\nCarrying amount\n010\n010\nForeclosure [tangible assets]\nIFRS 7.38(a); Annex V.Part 2.84\n14.\nFair value hierachy: financial instruments at fair value\nReferences\nFair value hierarchy IFRS 13.93 (b)\nChange in fair value for the period ITS V.Part 2.86\nAccumulated change in fair value before taxes ITS V.Part 2.87\nLevel 1\nLevel 2\nLevel 3\nLevel 2\nLevel 3\nLevel 1\nLevel 2\nLevel 3\nIFRS 13.76\nIFRS 13.81\nIFRS 13.86\nIFRS 13.81\nIFRS 13.86, 93(f)\nIFRS 13.76\nIFRS 13.81\nIFRS 13.86\n010\n020\n030\n040\n050\n060\n070\n080\nASSETS\n010\nFinancial assets held for trading\nIFRS 7.8(a)(ii); IAS 39.9, AG 14\n020\nDerivatives\nIAS 39.9\n030\nEquity instruments\nIAS 32.11\n040\nDebt securities\nAnnex V.Part 1.24, 26\n050\nLoans and advances\nAnnex V.Part 1.24, 27\n060\nFinancial assets designated at fair value through profit or loss\nIFRS 7.8(a)(i); IAS 39.9\n070\nEquity instruments\nIAS 32.11\n080\nDebt securities\nAnnex V.Part 1.24, 26\n090\nLoans and advances\nAnnex V.Part 1.24, 27\n100\nAvailable-for-sale financial assets\nIFRS 7.8 (h)(d); IAS 39.9\n110\nEquity instruments\nIAS 32.11\n120\nDebt securities\nAnnex V.Part 1.24, 26\n130\nLoans and advances\nAnnex V.Part 1.24, 27\n140\nDerivatives – Hedge accounting\nIFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19\nLIABILITIES\n150\nFinancial liabilities held for trading\nIFRS 7.8 (e) (ii); IAS 39.9, AG 14-15\n160\nDerivatives\nIAS 39.9, AG 15(a)\n170\nShort positions\nIAS 39 AG 15(b)\n180\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n190\nDebt securities issued\nAnnex V.Part 1.31\n200\nOther financial liabilities\nAnnex V.Part 1.32-34\n210\nFinancial liabilities designated at fair value through profit or loss\nIFRS 7.8 (e) (i); IAS 39.9\n220\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n230\nDebt securities issued\nAnnex V.Part 1.31\n240\nOther financial liabilities\nAnnex V.Part 1.32-34\n250\nDerivatives – Hedge accounting\nIFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19\n15.\nDerecognition and financial liabilities associated with transferred financial assets\nReferences\nTransferred financial assets entirely recognized\nTransferred financial assets recognized to the extent of the instution's continuing involvement\nPrincipal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights\nAmounts derecognised for capital purposes\nTransferred assets\nAssociated liabilities ITS V.Part 2.89\nPrincipal amount outstanding of the original assets\nCarrying amount of assets still recognised [continuing involvement]\nCarrying amount of associated liabilites\nCarrying amount\nOf which: securitizations\nOf which: repurchase agreements\nCarrying amount\nOf which: securitizations\nOf which: repurchase agreements\nIFRS 7.42D.(e)\nIFRS 7.42D(e); CRR art 4(1)(61)\nIFRS 7.42D(e); Annex V.Part 2.91, 92\nIFRS 7.42D(e)\nIFRS 7.42D.(e)\nIFRS 7.42D(e); Annex V.Part 2.91, 92\nIFRS 7.42D(f)\nIFRS 7.42D(f); Annex V.Part 2.89\nCRR art 109; Annex V.Part 2.90\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n010\nFinancial assets held for trading\nIFRS 7.8 (a)(ii); IAS 39.9, AG 14\n020\nEquity instruments\nIAS 32.11\n030\nDebt securities\nAnnex V.Part 1.24, 26\n040\nLoans and advances\nAnnex V.Part 1.24, 27\n050\nFinancial assets designated at fair value through profit or loss\nIFRS 7.8(a)(i); IAS 39.9\n060\nEquity instruments\nIAS 32.11\n070\nDebt securities\nAnnex V.Part 1.24, 26\n080\nLoans and advances\nAnnex V.Part 1.24, 27\n090\nAvailable-for-sale financial assets\nIFRS 7.8(d); IAS 39.9\n100\nEquity instruments\nIAS 32.11\n110\nDebt securities\nAnnex V.Part 1.24, 26\n120\nLoans and advances\nAnnex V.Part 1.24, 27\n130\nLoans and receivables\nIFRS 7.8 (c); IAS 39.9, AG16, AG26\n140\nDebt securities\nAnnex V.Part 1.24, 26\n150\nLoans and advances\nAnnex V.Part 1.24, 27\n160\nHeld-to-maturity investments\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n170\nDebt securities\nAnnex V.Part 1.24, 26\n180\nLoans and advances\nAnnex V.Part 1.24, 27\n190\nTotal\n16.\nBreakdown of selected statement of profit or loss items\n16.1\nInterest income and expenses by instrument and counterparty sector\nCurrent period\nReferences\nIncome\nExpenses\nAnnex V.Part 2.95\nAnnex V.Part 2.95\n010\n020\n010\nDerivatives -Trading\nIAS 39.9; Annex V.Part 2.96\n020\nDebt securities\nAnnex V.Part 1.26\n030\nCentral banks\nAnnex V.Part 1.35(a)\n040\nGeneral governments\nAnnex V.Part 1.35(b)\n050\nCredit institutions\nAnnex V.Part 1.35(c)\n060\nOther financial corporations\nAnnex V.Part 1.35(d)\n070\nNon-financial corporations\nAnnex V.Part 1.35(e)\n080\nLoans and advances\nAnnex V.Part 1.27\n090\nCentral banks\nAnnex V.Part 1.35(a)\n100\nGeneral governments\nAnnex V.Part 1.35(b)\n110\nCredit institutions\nAnnex V.Part 1.35(c)\n120\nOther financial corporations\nAnnex V.Part 1.35(d)\n130\nNon-financial corporations\nAnnex V.Part 1.35(e)\n140\nHouseholds\nAnnex V.Part 1.35(f)\n150\nOther assets\nAnnex V.Part 1.51\n160\nDeposits\nECB/2008/32 Annex 2.Part 2.9\n170\nCentral banks\nAnnex V.Part 1.35(a)\n180\nGeneral governments\nAnnex V.Part 1.35(b)\n190\nCredit institutions\nAnnex V.Part 1.35(c)\n200\nOther financial corporations\nAnnex V.Part 1.35(d)\n210\nNon-financial corporations\nAnnex V.Part 1.35(e)\n220\nHouseholds\nAnnex V.Part 1.35(f)\n230\nDebt securities issued\nAnnex V.Part 1.31\n240\nOther financial liabilities\nAnnex V.Part 1.32-34\n250\nDerivatives - Hedge accounting, interest rate risk\nAnnex V.Part 2.95\n260\nOther Liabilities\nAnnex V.Part 2.10\n270\nINTEREST\nIAS 18.35(b); IAS 1.97\n16.2\nGains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument\nReferences\nCurrent period\n010\n010\nEquity instruments\nIAS 32.11\n020\nDebt securities\nAnnex V.Part 1.26\n030\nLoans and advances\nAnnex V.Part 1.27\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9\n050\nDebt securities issued\nAnnex V.Part 1.31\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\n070\nGAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET\nIFRS 7.20(a)(v-vii); IAS 39.55(a)\n16.3\nGains or losses on financial assets and liabilities held for trading by instrument\nReferences\nCurrent period\n010\n010\nDerivatives\nIAS 39.9\n020\nEquity instruments\nIAS 32.11\n030\nDebt securities\nAnnex V.Part 1.26\n040\nLoans and advances\nAnnex V.Part 1.27\n050\nShort positions\nIAS 39 AG 15(b)\n060\nDeposits\nECB/2008/32 Annex 2.Part 2.9\n070\nDebt securities issued\nAnnex V.Part 1.31\n080\nOther financial liabilities\nAnnex V.Part 1.32-34\n090\nGAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET\nIFRS 7.20(a)(i)\n16.4.\nGains or losses on financial assets and liabilities held for trading by risk\nReferences\nCurrent period\n010\n010\nInterest rate instruments and related derivatives\nAnnex V.Part 2.99(a)\n020\nEquity instruments and related derivatives\nAnnex V.Part 2.99(b)\n030\nForeign exchange trading and derivatives related with foreign exchange and gold\nAnnex V.Part 2.99I\n040\nCredit risk instruments and related derivatives\nAnnex V.Part 2.99(d)\n050\nDerivatives related with commodities\nAnnex V.Part 2.99(e)\n060\nOther\nAnnex V.Part 2.99(f)\n070\nGAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET\nIFRS 7.20(a)(i)\n16.5\nGains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument\nReferences\nCurrent period\nAccumulated changes in fair value due to credit risk\nAnnex V.Part 2.100\n010\n020\n010\nEquity instruments\nIAS 32.11\n020\nDebt securities\nAnnex V.Part 1.26\n030\nLoans and advances\nAnnex V.Part 1.27\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9\n050\nDebt securities issued\nAnnex V.Part 1.31\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\n070\nGAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET\nIFRS 7.20(a)(i)\n16.6\nGains or losses from hedge accounting\nReferences\nCurrent period\n010\n010\nFair value changes of the hedging instrument [including discontinuation]\nIFRS 7.24(a)(i)\n020\nFair value changes of the hedged item attributable to the hedged risk\nIFRS 7.24(a)(ii)\n030\nIneffectiveness in profit or loss from cash flow hedges\nIFRS 7.24(b)\n040\nIneffectiveness in profit or loss from hedges of net investments in foreign operations\nIFRS 7.24(c)\n050\nGAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET\nIFRS 7.24\n16.7\nImpairment on financial and non-financial assets\nCurrent period\nReferences\nAdditionsAnnex V.Part 2.102\nReversalsAnnex V.Part 2.102\nTotal\nAccumulated impairment\n010\n020\n030\n040\n010\nImpairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss\nIFRS 7.20(e)\n020\nFinancial assets measured at cost\nIFRS 7.20(e); IAS 39.66\n030\nAvailable-for-sale financial assets\nIFRS 7.20(e); IAS 39.67-70\n040\nLoans and receivables\nIFRS 7.20(e); IAS 39.63-65\n050\nHeld-to-maturity investments\nIFRS 7.20(e); IAS 39.63-65\n060\nImpairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates\nIAS 28.40-43\n070\nSubsidiaries\nIFRS 10 Appendix A\n080\nJoint ventures\nIAS 28.3\n090\nAssociates\nIAS 28.3\n100\nImpairment or (-) reversal of impairment on non-financial assets\nIAS 36.126(a),(b)\n110\nProperty, plant and equipment\nIAS 16.73(e)(v-vi)\n120\nInvestment properties\nIAS 40.79(d)(v)\n130\nGoodwill\nIAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)\n140\nOther intangible assets\nIAS 38.118(e)(iv)(v)\n145\nOther\nIAS 36.126(a),(b)\n150\nTOTAL\n160\nInterest income on impaired financial assets accrued\nIFRS 7.20(d); IAS 39.AG 93\n17.\nReconciliation between Accounting and CRR scope of consolidation: Balance Sheet\n17.1\nAssets\nReferences\nAccounting scope of consolidation [Carrying amount]\n010\n010\nCash, cash balances at central banks and other demand deposits\nIAS 1.54 (i)\n020\nCash on hand\nAnnex V.Part 2.1\n030\nCash balances at central banks\nAnnex V.Part 2.2\n040\nOther demand deposits\nAnnex V.Part 2.3\n050\nFinancial assets held for trading\nIFRS 7.8(a)(ii); IAS 39.9, AG 14\n060\nDerivatives\nIAS 39.9\n070\nEquity instruments\nIAS 32.11\n080\nDebt securities\nAnnex V.Part 1.24, 26\n090\nLoans and advances\nAnnex V.Part 1.24, 27\n100\nFinancial assets designated at fair value through profit or loss\nIFRS 7.8(a)(i); IAS 39.9\n110\nEquity instruments\nIAS 32.11\n120\nDebt securities\nAnnex V.Part 1.24, 26\n130\nLoans and advances\nAnnex V.Part 1.24, 27\n140\nAvailable-for-sale financial assets\nIFRS 7.8(d); IAS 39.9\n150\nEquity instruments\nIAS 32.11\n160\nDebt securities\nAnnex V.Part 1.24, 26\n170\nLoans and advances\nAnnex V.Part 1.24, 27\n180\nLoans and receivables\nIFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16\n190\nDebt securities\nAnnex V.Part 1.24, 26\n200\nLoans and advances\nAnnex V.Part 1.24, 27\n210\nHeld-to-maturity investments\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n220\nDebt securities\nAnnex V.Part 1.24, 26\n230\nLoans and advances\nAnnex V.Part 1.24, 27\n240\nDerivatives – Hedge accounting\nIFRS 7.22(b); IAS 39.9\n250\nFair value changes of the hedged items in portfolio hedge of interest rate risk\nIAS 39.89A(a)\n260\nInvestments in subsidaries, joint ventures and associates\nIAS 1.54(e); Annex V.Part 2.4\n270\nAssets under reinsurance and insurance contracts\nIFRS 4.IG20.(b)-(c); Annex V.Part 2.105\n280\nTangible assets\n290\nIntangible assets\nIAS 1.54(c); CRR art 4(1)(115)\n300\nGoodwill\nIFRS 3.B67(d); CRR art 4(1)(113)\n310\nOther intangible assets\nIAS 38.8,118\n320\nTax assets\nIAS 1.54(n-o)\n330\nCurrent tax assets\nIAS 1.54(n); IAS 12.5\n340\nDeferred tax assets\nIAS 1.54(o); IAS 12.5; CRR art 4(1)(106)\n350\nOther assets\nAnnex V.Part 2.5\n360\nNon-current assets and disposal groups classified as held for sale\nIAS 1.54(j); IFRS 5.38, Annex V.Part 2.6\n370\nTOTAL ASSETS\nIAS 1.9(a), IG 6\n17.2\nOff-balance sheet exposures: Loan commitments, financial guarantees and other commitments given\nReferences\nAccounting scope of consolidation [Nominal amount]\n010\n010\nLoan commitments given\nIAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57\n020\nFinancial guarantees given\nIAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58\n030\nOther Commitments given\nCRR Annex I; Annex V.Part 2.56, 59\n040\nOFF-BALANCE SHEET EXPOSURES\n17.3\nLiabilities and equity\nReferences\nAccounting scope of consolidation [Carrying amount]\n010\n010\nFinancial liabilities held for trading\nIFRS 7.8 (e) (ii); IAS 39.9, AG 14-15\n020\nDerivatives\nIAS 39.9, AG 15(a)\n030\nShort positions\nIAS 39.AG 15(b)\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30\n050\nDebt securities issued\nAnnex V.Part 1.31\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\n070\nFinancial liabilities designated at fair value through profit or loss\nIFRS 7.8 (e)(i); IAS 39.9\n080\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n090\nDebt securities issued\nAnnex V.Part 1.31\n100\nOther financial liabilities\nAnnex V.Part 1.32-34\n110\nFinancial liabilities measured at amortised cost\nIFRS 7.8(f); IAS 39.47\n120\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n130\nDebt securities issued\nAnnex V.Part 1.31\n140\nOther financial liabilities\nAnnex V.Part 1.32-34\n150\nDerivatives – Hedge accounting\nIFRS 7.22(b); IAS 39.9; Annex V.Part 1.23\n160\nFair value changes of the hedged items in portfolio hedge of interest rate risk\nIAS 39.89A(b)\n170\nLiabilities under insurance and reinsurance contracts\nIFRS 4.IG20(a); Annex V.Part 2.106\n180\nProvisions\nIAS 37.10; IAS 1.54(l)\n190\nTax liabilities\nIAS 1.54(n-o)\n200\nCurrent tax liabilities\nIAS 1.54(n); IAS 12.5\n210\nDeferred tax liabilities\nIAS 1.54(o); IAS 12.5; CRR art 4(1)(108)\n220\nShare capital repayable on demand\nIAS 32 IE 33; IFRIC 2; Annex V.Part 2.9\n230\nOther liabilities\nAnnex V.Part 2.10\n240\nLiabilities included in disposal groups classified as held for sale\nIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11\n250\nLIABILITIES\nIAS 1.9(b);IG 6\n260\nCapital\nIAS 1.54(r), BAD art 22\n270\nShare premium\nIAS 1.78(e); CRR art 4(1)(124)\n280\nEquity instruments issued other than capital\nAnnex V.Part 2.15-16\n290\nOther equity\nIFRS 2.10; Annex V.Part 2.17\n300\nAccumulated other comprehensive income\nCRR art 4(1)(100)\n310\nRetained earnings\nCRR art 4(1)(123)\n320\nRevaluation reserves\nIFRS 1.30, D5-D8\n330\nOther reserves\nIAS 1.54; IAS 1.78 (e)\n340\n(-) Treasury shares\nIAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20\n350\nProfit or loss attributable to owners of the parent\nIAS 27.28; IAS 1.83(a)(ii)\n360\n(-) Interim dividends\nIAS 32.35\n370\nMinority interests [Non-controlling interests]\nIAS 27.4; IAS 1.54(q); IAS 27.27\n380\nTOTAL EQUITY\nIAS 1.9(c), IG 6\n390\nTOTAL EQUITY AND TOTAL LIABILITIES\nIAS 1.IG6\n18.\nInformation on performing and non-performing exposures\nReferences\nGross carrying amount\nAccumulated impairment, accumulated changes in fair value due to credit risk and provisions\nCollateral received and financial guarantees received\nPerforming\nNon-performing\non performing exposures\non non-performing exposures\nNot past due or Past due <= 30 days\nPast due> 30 days <= 60 days\nPast due> 60 days <= 90 days\nUnlikely to pay that are not past-due or past-due <= 90 days\nPast due > 90 days <= 180 days\nPast due > 180 days <= 1 year\nPast due > 1 year\nOf which: defaulted\nOf which: impaired\nUnlikely to pay that are not past-due or past-due <= 90 days\nPast due > 90 days <= 180 days\nPast due > 180 days <= 1 year\nPast due > 1 year\nCollateral received on non-performing exposues\nFinancialguarantees received on non-performing exposures\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\nAnnex V. Part 2. 45, 109, 145-162\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 158\nAnnex V. Part 2. 158\nAnnex V. Part 2. 158\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 159\nAnnex V. Part 2. 159\nAnnex V. Part 2. 159\nAnnex V. Part 2. 159\nCRR art 178; Annex V. Part 2.61\nIAS 39. 58-70\nAnnex V. Part 2. 46\nAnnex V. Part 2. 161\nAnnex V. Part 2. 161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 162\nAnnex V. Part 2. 162\n010\nDebt securities\nAnnex V.Part 1.24, 26\n020\nCentral banks\nAnnex V.Part 1.35(a)\n030\nGeneral governments\nAnnex V.Part 1.35(b)\n040\nCredit institutions\nAnnex V.Part 1.35(c)\n050\nOther financial corporations\nAnnex V.Part 1.35(d)\n060\nNon-financial corporations\nAnnex V.Part 1.35(e)\n070\nLoans and advances\nAnnex V.Part 1.24, 27\n080\nCentral banks\nAnnex V.Part 1.35(a)\n090\nGeneral governments\nAnnex V.Part 1.35(b)\n100\nCredit institutions\nAnnex V.Part 1.35(c)\n110\nOther financial corporations\nAnnex V.Part 1.35(d)\n120\nNon-financial corporations\nAnnex V.Part 1.35(e)\n130\nOf which: Small and Medium-sized Enterprises\nSME Art 1 2(a)\n140\nOf which: Commercial real estate\n150\nHouseholds\nAnnex V.Part 1.35(f)\n160\nOf which: Residential mortgage loans\n170\nOf which: Credit for consumption\n180\nDEBT INSTRUMENTS AT AMORTISED COST\nAnnex V. Part I. 13 (d)(e)\n190\nDebt securities\nAnnex V.Part 1.24, 26\n200\nCentral banks\nAnnex V.Part 1.35(a)\n210\nGeneral governments\nAnnex V.Part 1.35(b)\n220\nCredit institutions\nAnnex V.Part 1.35(c)\n230\nOther financial corporations\nAnnex V.Part 1.35(d)\n240\nNon-financial corporations\nAnnex V.Part 1.35(e)\n250\nLoans and advances\nAnnex V.Part 1.24, 27\n260\nCentral banks\nAnnex V.Part 1.35(a)\n270\nGeneral governments\nAnnex V.Part 1.35(b)\n280\nCredit institutions\nAnnex V.Part 1.35(c)\n290\nOther financial corporations\nAnnex V.Part 1.35(d)\n300\nNon-financial corporations\nAnnex V.Part 1.35(e)\n310\nHouseholds\nAnnex V.Part 1.35(f)\n320\nDEBT INSTRUMENTS AT FAIR VALUE other than HFT\nAnnex V. Part I. 13 (b)(c)\n330\nDEBT INSTRUMENTS other than HFT\nAnnex V. Part I. 13 (b)(c)(d)(e)\n340\nLoan commitments given\nIAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57\n350\nCentral banks\nAnnex V.Part 1.35(a)\n360\nGeneral governments\nAnnex V.Part 1.35(b)\n370\nCredit institutions\nAnnex V.Part 1.35(c)\n380\nOther financial corporations\nAnnex V.Part 1.35(d)\n390\nNon-financial corporations\nAnnex V.Part 1.35(e)\n400\nHouseholds\nAnnex V.Part 1.35(f)\n410\nFinancial guarantees given\nIAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58\n420\nCentral banks\nAnnex V.Part 1.35(a)\n430\nGeneral governments\nAnnex V.Part 1.35(b)\n440\nCredit institutions\nAnnex V.Part 1.35(c)\n450\nOther financial corporations\nAnnex V.Part 1.35(d)\n460\nNon-financial corporations\nAnnex V.Part 1.35(e)\n470\nHouseholds\nAnnex V.Part 1.35(f)\n480\nOther Commitments given\nCRR Annex I; Annex V.Part 2.56, 59\n490\nCentral banks\nAnnex V.Part 1.35(a)\n500\nGeneral governments\nAnnex V.Part 1.35(b)\n510\nCredit institutions\nAnnex V.Part 1.35(c)\n520\nOther financial corporations\nAnnex V.Part 1.35(d)\n530\nNon-financial corporations\nAnnex V.Part 1.35(e)\n540\nHouseholds\nAnnex V.Part 1.35(f)\n550\nOFF-BALANCE SHEET EXPOSURES\nAnnex V.Part 2.55\n19.\nInformation forborne exposures\nReferences\nGross carrying amount of exposures with forbearance measures\nAccumulated impairment, accumulated changes in fair value due to credit risk and provisions\nCollateral received and financial guarantees received\nPerforming exposures with forbearance measures\nNon-performing exposures with forbearance measures\non perfoming exposures with forbearance measures\non non-performing exposures with forbearance measures\nInstruments with modifications in their terms and conditions\nRefinancing\nof which: Performing forborne exposures under probation\nInstruments with modifications in their terms and conditions\nRefinancing\nof which: Defaulted\nof which: Impaired\nof which: Forbearance of non-performing exposures\nInstruments with modifications in their terms and conditions\nRefinancing\nCollateral received on exposures with forbearance measures\nFinancial guarantees received on exposures with forbearance measures\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\nAnnex V. Part 2. 45, 109, 163-182\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 164 (a), 177, 178, 182\nAnnex V. Part 2. 164 (b), 177, 178, 181, 182\nAnnex V. Part 2. 176(b), 177, 180\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 164 (a), 179-180,182\nAnnex V. Part 2. 164 (b), 179-182\nCRR art 178; Annex V. Part 2.61\nIAS 39. 58-70\nAnnex V. Part 2. 172(a), 157\nAnnex V. Part 2. 46, 183\nAnnex V. Part 2. 145-183\nAnnex V. Part 2. 145-183\nAnnex V. Part 2. 164 (a), 179-180,182,183\nAnnex V. Part 2. 164 (b), 179-183\nAnnex V. Part 2. 162\nAnnex V. Part 2. 162\n010\nDebt securities\nAnnex V.Part 1.24, 26\n020\nCentral banks\nAnnex V.Part 1.35(a)\n030\nGeneral governments\nAnnex V.Part 1.35(b)\n040\nCredit institutions\nAnnex V.Part 1.35(c)\n050\nOther financial corporations\nAnnex V.Part 1.35(d)\n060\nNon-financial corporations\nAnnex V.Part 1.35(e)\n070\nLoans and advances\nAnnex V.Part 1.24, 27\n080\nCentral banks\nAnnex V.Part 1.35(a)\n090\nGeneral governments\nAnnex V.Part 1.35(b)\n100\nCredit institutions\nAnnex V.Part 1.35(c)\n110\nOther financial corporations\nAnnex V.Part 1.35(d)\n120\nNon-financial corporations\nAnnex V.Part 1.35(e)\n130\nOf which: Small and Medium-sized Enterprises\nSME Art 1 2(a)\n140\nOf which: Commercial real estate\n150\nHouseholds\nAnnex V.Part 1.35(f)\n160\nOf which: Residential mortgage loans\n170\nOf which: Credit for consumption\n180\nDEBT INSTRUMENTS AT AMORTISED COST\nAnnex V. Part I. 13 (d)(e)\n190\nDebt securities\nAnnex V.Part 1.24, 26\n200\nCentral banks\nAnnex V.Part 1.35(a)\n210\nGeneral governments\nAnnex V.Part 1.35(b)\n220\nCredit institutions\nAnnex V.Part 1.35(c)\n230\nOther financial corporations\nAnnex V.Part 1.35(d)\n240\nNon-financial corporations\nAnnex V.Part 1.35(e)\n250\nLoans and advances\nAnnex V.Part 1.24, 27\n260\nCentral banks\nAnnex V.Part 1.35(a)\n270\nGeneral governments\nAnnex V.Part 1.35(b)\n280\nCredit institutions\nAnnex V.Part 1.35(c)\n290\nOther financial corporations\nAnnex V.Part 1.35(d)\n300\nNon-financial corporations\nAnnex V.Part 1.35(e)\n310\nHouseholds\nAnnex V.Part 1.35(f)\n320\nDEBT INSTRUMENTS AT FAIR VALUE other than HFT\nAnnex V. Part I. 13 (b)(c)\n330\nDEBT INSTRUMENTS other than HFT\nAnnex V. Part I. 13 (b)(c)(d)(e)\n340\nLoan commitments given\nIAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57\n20.\nGeographical breakdown\n20.1\nGeographical breakdown of assets by location of the activities\nReferences\nCarrying amount\nDomestic activitivies\nNon-domestic activities\nAnnex V.Part 2.107\nAnnex V.Part 2.107\n010\n020\n010\nCash, cash balances at central banks and other demand deposits\nIAS 1.54 (i)\n020\nCash on hand\nAnnex V.Part 2.1\n030\nCash balances at central banks\nAnnex V.Part 2.2\n040\nOther demand deposits\nAnnex V.Part 2.3\n050\nFinancial assets held for trading\nIFRS 7.8(a)(ii); IAS 39.9, AG 14\n060\nDerivatives\nIAS 39.9\n070\nEquity instruments\nIAS 32.11\n080\nDebt securities\nAnnex V.Part 1.24, 26\n090\nLoans and advances\nAnnex V.Part 1.24, 27\n100\nFinancial assets designated at fair value through profit or loss\nIFRS 7.8(a)(i); IAS 39.9\n110\nEquity instruments\nIAS 32.11\n120\nDebt securities\nAnnex V.Part 1.24, 26\n130\nLoans and advances\nAnnex V.Part 1.24, 27\n140\nAvailable-for-sale financial assets\nIFRS 7.8(d); IAS 39.9\n150\nEquity instruments\nIAS 32.11\n160\nDebt securities\nAnnex V.Part 1.24, 26\n170\nLoans and advances\nAnnex V.Part 1.24, 27\n180\nLoans and receivables\nIFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16\n190\nDebt securities\nAnnex V.Part 1.24, 26\n200\nLoans and advances\nAnnex V.Part 1.24, 27\n210\nHeld-to-maturity investments\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n220\nDebt securities\nAnnex V.Part 1.24, 26\n230\nLoans and advances\nAnnex V.Part 1.24, 27\n240\nDerivatives – Hedge accounting\nIFRS 7.22(b); IAS 39.9\n250\nFair value changes of the hedged items in portfolio hedge of interest rate risk\nIAS 39.89A(a)\n260\nInvestments in subsidaries, joint ventures and associates\nIAS 1.54(e); Annex V.Part 2.4\n270\nTangible assets\n280\nIntangible assets\nIAS 1.54(c); CRR art 4(1)(115)\n290\nTax assets\nIAS 1.54(n-o)\n300\nOther assets\nAnnex V.Part 2.5\n310\nNon-current assets and disposal groups classified as held for sale\nIAS 1.54(j); IFRS 5.38\n320\nASSETS\nIAS 1.9(a), IG 6\n20.2\nGeographical breakdown of liabilities by location of the activities\nReferences\nCarrying amount\nDomestic activitivies\nNon-domestic activities\nAnnex V.Part 2.107\nAnnex V.Part 2.107\n010\n020\n010\nFinancial liabilities held for trading\nIFRS 7.8 (e) (ii); IAS 39.9, AG 14-15\n020\nDerivatives\nIAS 39.9, AG 15(a)\n030\nShort positions\nIAS 39.AG 15(b)\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30\n050\nDebt securities issued\nAnnex V.Part 1.31\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\n070\nFinancial liabilities designated at fair value through profit or loss\nIFRS 7.8 (e)(i); IAS 39.9\n080\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n090\nDebt securities issued\nAnnex V.Part 1.31\n100\nOther financial liabilities\nAnnex V.Part 1.32-34\n110\nFinancial liabilities measured at amortised cost\nIFRS 7.8(f); IAS 39.47\n120\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n130\nDebt securities issued\nAnnex V.Part 1.31\n140\nOther financial liabilities\nAnnex V.Part 1.32-34\n150\nDerivatives – Hedge accounting\nIFRS 7.22(b); IAS 39.9; Annex V.Part 1.23\n160\nFair value changes of the hedged items in portfolio hedge of interest rate risk\nIAS 39.89A(b)\n170\nProvisions\nIAS 37.10; IAS 1.54(l)\n180\nTax liabilities\nIAS 1.54(n-o)\n190\nShare capital repayable on demand\nIAS 32.IE 33; IFRIC 2; Annex V.Part 2.09\n200\nOther liabilities\nAnnex V.Part 2.10\n210\nLiabilities included in disposal groups classified as held for sale\nIAS 1.54(p); IFRS 5.38\n220\nLIABILITIES\nIAS 1.9(b);IG 6\n20.3\nGeographical breakdown of statement of profit or loss items by location of the activities\nReferences\nCurrent period\nDomestic activitivies\nNon-domestic activities\nAnnex V.Part 2.107\nAnnex V.Part 2.107\n010\n020\n010\nInterest income\nIAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21\n020\n(Interest expense)\nIAS 1.97; Annex V.Part 2.21\n030\n(Expenses on share capital repayable on demand)\nIFRIC 2.11\n040\nDividend income\nIAS 18.35(b)(v); Annex V.Part 2.28\n050\nFee and commission income\nIFRS 7.20(c)\n060\n(Fee and commission expenses)\nIFRS 7.20(c)\n070\nGains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net\nIFRS 7.20(a)(ii-v)\n080\nGains or (-) losses on financial assets and liabilities held for trading, net\nIFRS 7.20(a)(i); IAS 39.55(a)\n090\nGains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net\nIFRS 7.20(a) (i); IAS 39.55(a)\n100\nGains or (-) losses from hedge accounting, net\nIFRS 7.24\n110\nExchange differences [gain or (-) loss], net\nIAS 21.28, 52(a)\n130\nGains or (-) losses on derecognition of non financial assets, net\nIAS 1.34\n140\nOther operating income\nAnnex V.Part 2.141-143\n150\n(Other operating expenses)\nAnnex V.Part 2.141-143\n155\nTOTAL OPERATING INCOME, NET\n160\n(Administrative expenses)\n170\n(Depreciation)\nIAS 1.102, 104\n180\n(Provisions or (-) reversal of provisions)\nIAS 37.59, 84; IAS 1.98(b)(f)(g)\n190\n(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)\nIFRS 7.20(e)\n200\n(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)\nIAS 28.40-43\n210\n(Impairment or (-) reversal of impairment on non-financial assets)\nIAS 36.126(a)(b)\n220\nNegative goodwill recognised in profit or loss\nIFRS 3.Appendix B64(n)(i)\n230\nShare of the profit or (-) loss of investments in subsidaries, joint ventures and associates\nIAS 1.82(c)\n240\nProfit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations\nIFRS 5.37; Annex V.Part 2.27\n250\nPROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS\nIAS 1.102, IG 6; IFRS 5.33 A\n260\n(Tax expense or (-) income related to profit or loss from continuing operations)\nIAS 1.82(d); IAS 12.77\n270\nPROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS\nIAS 1, IG 6\n280\nProfit or (-) loss after tax from discontinued operations\nIAS 1.82(e); IFRS 5.33(a), 5.33 A\n290\nPROFIT OR (-) LOSS FOR THE YEAR\nIAS 1.81A(a)\n20.4\nGeographical breakdown of assets by residence of the counterparty\nz-axis\nCountry of residence of the counterparty\nReferences\nGross carrying amount\nOf which: debt forbearance\nOf which: non-perfoming\nAccumulated impairment or Accumulated changes in fair value due to credit risk\nAnnex V.Part 2.109\nAnnex V.Part 2.163-183\nAnnex V.Part 2. 145-162\nAnnex V.Part 2.46\n010\n022\n025\n031\n010\nDerivatives\nIAS 39.9\n020\nOf which: credit institutions\nAnnex V.Part 1.35(c)\n030\nOf which: other financial corporations\nAnnex V.Part 1.35(d)\n040\nEquity instruments\nIAS 32.11\n050\nOf which: credit institutions\nAnnex V.Part 1.35(c)\n060\nOf which: other financial corporations\nAnnex V.Part 1.35(d)\n070\nOf which: non-financial corporations\nAnnex V.Part 1.35(e)\n080\nDebt securities\nAnnex V.Part 1.24, 26\n090\nCentral banks\nAnnex V.Part 1.35(a)\n100\nGeneral governments\nAnnex V.Part 1.35(b)\n110\nCredit institutions\nAnnex V.Part 1.35(c)\n120\nOther financial corporations\nAnnex V.Part 1.35(d)\n130\nNon-financial corporations\nAnnex V.Part 1.35(e)\n140\nLoans and advances\nAnnex V.Part 1.24, 27\n150\nCentral banks\nAnnex V.Part 1.35(a)\n160\nGeneral governments\nAnnex V.Part 1.35(b)\n170\nCredit institutions\nAnnex V.Part 1.35(c)\n180\nOther financial corporations\nAnnex V.Part 1.35(d)\n190\nNon-financial corporations\nAnnex V.Part 1.35(e)\n200\nOf which: Small and Medium-sized Enterprises\nSME Art 1 2(a)\n210\nOf which: Loans collateralized by commercial immovable property\n220\nHouseholds\nAnnex V.Part 1.35(f)\n230\nOf which: Loans collateralized by residential immovable property\n240\nOf which: Credit for consumption\n20.5\nGeographical breakdown of off-balance sheet exposures by residence of the counterparty\nz-axis\nCountry of residence of the counterparty\nReferences\nNominal amount\nOf which: debt forbearance\nOf which: non-perfoming\nProvisions for commitments and guarantees given\nAnnex V.Part 2.62\nAnnex V.Part 2.163-183\nAnnex V.Part 2. 145-162\nAnnex V.Part 2.61\n010\n022\n025\n030\n010\nLoan commitments given\nIAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57\n020\nFinancial guarantees given\nIAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58\n030\nOther Commitments given\nCRR Annex I; Annex V.Part 2.56, 59\n20.6\nGeographical breakdown of liabilities by residence of the counterparty\nz-axis\nCountry of residence of the counterparty\nReferences\nCarrying amount\nAnnex V.Part 1.28, 2.107\n010\n010\nDerivatives\nIAS 39.9, AG 15(a)\n020\nOf which: credit institutions\nAnnex V.Part 1.35(c)\n030\nOf which: other financial corporations\nAnnex V.Part 1.35(d)\n040\nShort positions\nIAS 39 AG 15(b)\n050\nOf which: credit institutions\nAnnex V.Part 1.35(c)\n060\nOf which: other financial corporations\nAnnex V.Part 1.35(d)\n070\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n080\nCentral banks\nAnnex V.Part 1.35(a)\n090\nGeneral governments\nAnnex V.Part 1.35(b)\n100\nCredit institutions\nAnnex V.Part 1.35(c)\n110\nOther financial corporations\nAnnex V.Part 1.35(d)\n120\nNon-financial corporations\nAnnex V.Part 1.35(e)\n130\nHouseholds\nAnnex V.Part 1.35(f)\n20.7\nGeographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes\nz-axis\nCountry of residence of the counterparty\nNon-financial corporations\nReferences\nGross carrying amount\nOf which: non-performing\nAccumulated impairment or Accumulated changes in fair value due to credit risk\nAnnex V.Part 2.109\nAnnex V.Part 2. 145-162\nAnnex V.Part 2.46\n010\n012\n020\n010\nA\nAgriculture, forestry and fishing\nNACE Regulation\n020\nB\nMining and quarrying\nNACE Regulation\n030\nC\nManufacturing\nNACE Regulation\n040\nD\nElectricity, gas, steam and air conditioning supply\nNACE Regulation\n050\nE\nWater supply\nNACE Regulation\n060\nF\nConstruction\nNACE Regulation\n070\nG\nWholesale and retail trade\nNACE Regulation\n080\nH\nTransport ans storage\nNACE Regulation\n090\nI\nAccommodation and food service activities\nNACE Regulation\n100\nJ\nInformation and communication\nNACE Regulation\n110\nL\nReal estate activities\nNACE Regulation\n120\nM\nProfessional, scientific and technical activities\nNACE Regulation\n130\nN\nAdministrative and support service activities\nNACE Regulation\n140\nO\nPublic administration and defence, compulsory social security\nNACE Regulation\n150\nP\nEducation\nNACE Regulation\n160\nQ\nHuman health services and social work activities\nNACE Regulation\n170\nR\nArts, entertainment and recreation\nNACE Regulation\n180\nS\nOther services\nNACE Regulation\n190\nLOANS AND ADVANCES\nAnnex V.Part 1.24, 27\n21.\nTangible and intangible assets: assets subject to operating lease\nReferences\nCarrying amount\nAnnex V.Part 2.110-111\n010\n010\nProperty plant and equipment\nIAS 16.6; IAS 1.54(a)\n020\nRevaluation model\nIAS 17.49; IAS 16.31, 73(a)(d)\n030\nCost model\nIAS 17.49; IAS 16.30, 73(a)(d)\n040\nInvestment property\nIAS 40.IN5; IAS 1.54(b)\n050\nFair value model\nIAS 17.49; IAS 40.33-55, 76\n060\nCost model\nIAS 17.49; IAS 40.56,79(c)\n070\nOther intangible assets\nIAS 38.8, 118\n080\nRevaluation model\nIAS 17.49; IAS 38.75-87, 124(a)(ii)\n090\nCost model\nIAS 17.49; IAS 38.74\n22.\nAsset management, custody and other service functions\n22.1\nFee and commission income and expenses by activity\nReferences IFRS 7.20(c)\nCurrent period\n010\n010\nFee and commission income\nAnnex V.Part 2.113-115\n020\nSecurities\n030\nIssuances\nAnnex V.Part 2.116(a)\n040\nTransfer orders\nAnnex V.Part 2.116(b)\n050\nOther\nAnnex V.Part 2.116(c)\n060\nClearing and settlement\nAnnex V.Part 2.116(d)\n070\nAsset management\nAnnex V.Part 2.116(e); Annex V.Part 2.117(a)\n080\nCustody [by type of customer]\nAnnex V.Part 2.116(e); Annex V.Part 2.117(b)\n090\nCollective investment\n100\nOther\n110\nCentral administrative services for collective investment\nAnnex V.Part 2.116(e); Annex V.Part 2.117(c)\n120\nFiduciary transactions\nAnnex V.Part 2.116(e); Annex V.Part 2.117(d)\n130\nPayment services\nAnnex V.Part 2.116(e); Annex V.Part 2.117(e)\n140\nCustomer resources distributed but not managed [by type of product]\nAnnex V.Part 2.117(f)\n150\nCollective investment\n160\nInsurance products\n170\nOther\n180\nStructured Finance\nAnnex V.Part 2.116(f)\n190\nServicing of securitization activities\nAnnex V.Part 2.116(g)\n200\nLoan commitments given\nIAS 39.47(d)(ii); Annex V.Part 2.116(h)\n210\nFinancial guarantees given\nIAS 39.47(c)(ii); Annex V.Part 2.116(h)\n220\nOther\nAnnex V.Part 2.116(j)\n230\n(Fee and commission expenses)\nAnnex V.Part 2.113-115\n240\n(Clearing and settlement)\nAnnex V.Part 2.116(d)\n250\n(Custody)\nAnnex V.Part 2.117(b)\n260\n(Servicing of securitization activities)\nAnnex V.Part 2.116(g)\n270\n(Loan commitments received)\nAnnex V.Part 2.116(i)\n280\n(Financial guarantees received)\nAnnex V.Part 2.116(i)\n290\n(Other)\nAnnex V.Part 2.116(j)\n22.2\nAssets involved in the services provided\nReferences\nAmount of the assets involved in the services provided\nAnnex V.Part 2.117(g)\n010\n010\nAsset management [by type of customer]\nAnnex V.Part 2.117(a)\n020\nCollective investment\n030\nPension funds\n040\nCustomer portfolios managed on a discretionary basis\n050\nOther investment vehicles\n060\nCustody assets [by type of customer]\nAnnex V.Part 2.117(b)\n070\nCollective investment\n080\nOther\n090\nOf which: entrusted to other entities\n100\nCentral administrative services for collective investment\nAnnex V.Part 2.117(c)\n110\nFiduciary transactions\nAnnex V.Part 2.117(d)\n120\nPayment services\nAnnex V.Part 2.117(e)\n130\nCustomer resources distributed but not managed [by type of product]\nAnnex V.Part 2.117(f)\n140\nCollective investment\n150\nInsurance products\n160\nOther\n30.\nOff-balance sheet activities: Interests in unconsolidated structured entities\n30.1\nInterests in unconsolidated structured entities\nReferences\nCarrying amount of financial assets recognised in the balance sheet\nOf which: liquidity support drawn\nFair value of liquidity support drawn\nCarrying amount of financial liabilities recognised in the balance sheet\nNominal amount of off-balance sheet items given by the reporting institution\nOf which: Nominal amount of loan commitments given\nLosses incurred by the reporting institution in the current period\nIFRS 12.29(a)\nIFRS 12.29(a); Annex V.Part 2.118\nIFRS 12.29(a)\nIFRS 12.B26(e)\nIFRS 12 B26(b)\n010\n020\n030\n040\n050\n060\n070\n010\nTotal\n30.2\nBreakdown of interests in unconsolidated structured entities by nature of the activities\nBy nature of the activities\nReferences\nSecuritisation Special Purpose Entities\nAsset management\nOther activities\nCRR art 4(1)(66)\nAnnex V.Part 2.117(a)\nCarrying amount\nIFRS 12.28, B6.(a)\n010\n020\n030\n010\nSelected financial assets recognised in the reporting institution's balance sheet\nIFRS 12.29(a),(b)\n021\nof which: non-performing\nAnnex V.Part 2. 145-162\n030\nDerivatives\nIAS 39.9\n040\nEquity instruments\nIAS 32.11\n050\nDebt securities\nAnnex V.Part 1.24, 26\n060\nLoans and advances\nAnnex V.Part 1.24, 27\n070\nSelected equity and financial liabilites recognised in the reporting institution's balance sheet\nIFRS 12.29(a),(b)\n080\nEquity instruments issued\nIAS 32.4\n090\nDerivatives\nIAS 39.9, AG 15 (a)\n100\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n110\nDebt securities issued\nAnnex V.Part 1.31\nNominal amount\n120\nOff-balance sheet items given by the reporting institution\nIFRS 12.B26.(e)\n131\nof which: non-performing\nAnnex V.Part 2. 145-162\n31.\nRelated parties\n31.1\nRelated parties: amounts payable to and amounts receivable from\nReferences\nOutstanding balances\nParent and entities with joint control or significant influence\nSubsidiaries and other entities of the same group\nAssociates and joint ventures\nKey management of the institution or its parent\nOther related parties\nIAS 24.19(a),(b)\nIAS 24.19(c); Annex V.Part 2.120\nIAS 24.19(d),(e); Annex V.Part 2.120\nIAS 24.19(f)\nIAS 24.19(g)\nAnnex V.Part 2.120\n010\n020\n030\n040\n050\n010\nSelected financial assets\nIAS 24.18(b)\n020\nEquity instruments\nIAS 32.11\n030\nDebt securities\nAnnex V.Part 1.24, 26\n040\nLoans and advances\nAnnex V.Part 1.24, 27\n050\nof which: Impaired financial assets\n060\nSelected financial liabilities\nIAS 24.18(b)\n070\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n080\nDebt securities issued\nAnnex V.Part 1.31\n090\nNominal amount of loan commitments, financial guarantees and other commitments given\nIAS 24.18(b); Annex V.Part 2.62\n100\nof which: defaulted\nIAS 24.18(b); Annex V.Part 2.61\n110\nLoan commitments, financial guarantees and other commitments received\nIAS 24.18(b); Annex V.Part 2.63, 121\n120\nNotional amount of derivatives\nAnnex V.Part 2.70-71\n130\nAllowances 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]\nIAS 24.18(c)\n31.2\nRelated parties: expenses and income generated by transactions with\nReferences\nCurrent period\nParent and entities with joint control or significant influence\nSubsidiaries and other entities of the same group\nAssociates and joint ventures\nKey management of the institution or its parent\nOther related parties\nIAS 24.19(a),(b)\nIAS 24.19(c)\nIAS 24.19(d),(e)\nIAS 24.19(f)\nIAS 24.19(g)\nAnnex V.Part 2.120\n010\n020\n030\n040\n050\n010\nInterest income\nIAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21\n020\nInterest expenses\nIAS 24.18(a); IAS 1.97; Annex V.Part 2.21\n030\nDividend income\nIAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28\n040\nFee and commission income\nIAS 24.18(a); IFRS 7.20(c)\n050\nFee and commission expenses\nIAS 24.18(a); IFRS 7.20(c)\n060\nGains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss\nIAS 24.18(a)\n070\nGains or (-) losses on derecognition of non-financial assets\nIAS 24.18(a); Annex V.Part 2.122\n080\nIncrease or (-) decrease during the period in impairment and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments\nIAS 24.18(d)\n40.\nGroup structure\n40.1\nGroup structure: \"entity-by-entity\"\nLEI code\nEntity code\nEntity name\nEntry date\nShare capital\nEquity of investee\nTotal assets of investee\nProfit or (-) loss of investee\nResidence of investee\nSector of investee\nNACE Code\nAccumulated equity interest [%]\nVoting rights [%]\nGroup structure [relationship]\nAccounting treatment [Accounting Group]\nAccounting treatment [CRR Group]\nCarrying amount\nAcquisition cost\nGoodwill link to Investee\nFair value of investments for which there are published price quotations\nAnnex V.Part 2.123, 124(a)\nAnnex V.Part 2.123, 124(b)\nIFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c)\nAnnex V.Part 2.123, 124(d)\nAnnex V.Part 2.123, 124(e)\nIFRS 12.B12(b); Annex V.Part 2.123, 124(f)\nIFRS 12.B12(b); Annex V.Part 2.123, 124(f)\nIFRS 12.B12(b); Annex V.Part 2.123, 124(f)\nIFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g)\nAnnex V.Part 2.123, 124(h)\nAnnex V.Part 2.123, 124(i)\nIFRS 12.21(iv); Annex V.Part 2.123, 124(j)\nIFRS 12.21(iv); Annex V.Part 2.123, 124(k)\nIFRS 12.10(a)(i); Annex V.Part 2.123, 124(l)\nIFRS 12.21(b); Annex V.Part 2.123, 124(m)\nCRR art 18; Annex V.Part 2.123, 124(n)\nAnnex V.Part 2.123, 124(0)\nAnnex V.Part 2.123, 124(p)\nAnnex V.Part 2.123, 124(q)\nIFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r)\n010\n020\n030\n040\n050\n060\n070\n080\n090\n095\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n40.2\nGroup structure: \"instrument-by-instrument\"\nSecurity code\nEntity code\nHolding company LEI code\nHolding company code\nHolding company name\nAccumulated equity interest (%)\nCarrying amount\nAcquisition cost\nAnnex V.Part 2.125(a)\nAnnex V.Part 2.124(b), 125(c)\nAnnex V.Part 2.125(b)\nAnnex V.Part 2.124(j), 125(c)\nAnnex V.Part 2.124(o), 125(c)\nAnnex V.Part 2.124(p), 125(c)\n010\n020\n030\n040\n050\n060\n070\n080\n41.\nFair value\n41.1\nFair value hierarchy: financial instruments at amortised cost\nASSETS\nReferences\nFair value\nFair value hierarchy IFRS 13.93(b), BC216\nIFRS 7.25-26\nLevel 1 IFRS 13.76\nLevel 2 IFRS 13.81\nLevel 3 IFRS 13.86\n010\n020\n030\n040\n010\nLoans and receivables\nIFRS 7.8 (c); IAS 39.9, AG16, AG26\n020\nDebt securities\nAnnex V.Part 1.24, 26\n030\nLoans and advances\nAnnex V.Part 1.24, 27\n040\nHeld-to-maturity investments\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n050\nDebt securities\nAnnex V.Part 1.24, 26\n060\nLoans and advances\nAnnex V.Part 1.24, 27\nLIABILITIES\n070\nFinancial liabilities measured at amortised cost\nIFRS 7.8(f); IAS 39.47\n080\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n090\nDebt securities issued\nAnnex V.Part 1.31\n100\nOther financial liabilities\nAnnex V.Part 1.32-34\n41.2\nUse of the Fair Value Option\nFinancial instruments designated at fair value through profit or loss\nReferences\nCarrying amount\nAccounting mismatch\nEvaluation on a fair value basis\nHybrid contracts\nIFRS 7.B5(a)\nIAS 39.9b(i)\nIAS 39.9b(ii)\nIAS 39.11A-12\nASSETS\n010\n020\n030\n010\nFinancial assets designated at fair value through profit or loss\nIFRS 7.8(a)(i); IAS 39.9\n020\nEquity Instruments\nIAS 32.11\n030\nDebt securities\nAnnex V.Part 1.24, 26\n040\nLoans and advances\nAnnex V.Part 1.24, 27\nLIABILITIES\n050\nFinancial liabilities designated at fair value through profit or loss\nIFRS 7.8(e)(i); IAS 39.9\n060\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n070\nDebt securities issued\nAnnex V.Part 1.31\n080\nOther financial liabilities\nAnnex V.Part 1.32-34\n41.3\nHybrid financial instruments not designated at fair value through profit or loss\nRest of separable hybrid contracts [not designated at fair value through profit or loss]\nReferences\nCarrying amount\nFINANCIAL ASSETS\n010\n010\nFinancial assets held for trading\nIAS 39.9; Annex V.Part 2.129\n020\nAvailable-for-sale [Host contracts]\nIAS 39.11; Annex V.Part 2.130\n030\nLoans and receivables [Host contracts]\nIAS 39.11; Annex V.Part 2.130\n040\nHeld-to-maturity investments [Host contracts]\nIAS 39.11; Annex V.Part 2.130\nFINANCIAL LIABILITES\n050\nFinancial liabilities held for trading\nIAS 39.9; Annex V.Part 2.129\n060\nFinancial liabilities measured at amortized cost [Host contracts]\nIAS 39.11; Annex V.Part 2.130\n42.\nTangible and intangible assets: carrying amount by measurement method\nReferences\nCarrying amount\n010\n010\nProperty plant and equipment\nIAS 16.6; IAS 16.29; IAS 1.54(a)\n020\nRevaluation model\nIAS 16.31, 73(a),(d)\n030\nCost model\nIAS 16.30, 73(a),(d)\n040\nInvestment property\nIAS 40.5, 30; IAS 1.54(b)\n050\nFair value model\nIAS 40,33-55, 76\n060\nCost model\nIAS 40.56, 79(c)\n070\nOther intangible assets\nIAS 38.8, 118, 122; Annex V.Part 2.132\n080\nRevaluation model\nIAS 38.75-87, 124(a)(ii)\n090\nCost model\nIAS 38.74\n43.\nProvisions\nReferences\nCarrying amount\nPensions and other post employment defined benefit obligations\nOther long term employee benefits\nRestructuring\nPending legal issues and tax litigation\nCommitments and guarantees given\nOther provisions\nTotal\nIAS 19.63; IAS 1.78(d); Annex V.Part 2.7\nIAS 19.153; IAS 1.78(d); Annex V.Part 2.8\nIAS 37.70-83\nIAS 37.App C.6-10\nIAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4\nIAS 37.14\n010\n020\n030\n040\n050\n060\n070\n010\nOpening balance [carrying amount at the beginning of the period]\nIAS 37.84 (a)\n020\nAdditions, including increases in existing provisions\nIAS 37.84 (b)\n030\n(-) Amounts used\nIAS 37.84 (c)\n040\n(-) Unused amounts reversed during the period\nIAS 37.84 (d)\n050\nIncrease in the discounted amount [passage of time] and effect of any change in the discount rate\nIAS 37.84 (e)\n060\nOther movements\n070\nClosing balance [carrying amount at the end of the period]\nIAS 37.84 (a)\n44.\nDefined benefit plans and employee benefits\n44.1\nComponents of net defined benefit plan assets and liabilities\nReferences\nAmount\n010\n010\nFair value of defined benefit plan assets\nIAS 19.140(a)(i), 142\n020\nOf which: Financial instruments issued by the institution\nIAS 19.143\n030\nEquity instruments\nIAS 19.142(b)\n040\nDebt instruments\nIAS 19.142(c)\n050\nReal estate\nIAS 19.142(d)\n060\nOther defined benefit plan assets\n070\nPresent value of defined benefit obligations\nIAS 19.140(a)(ii)\n080\nEffect of the asset ceiling\nIAS 19.140(a)(iii)\n090\nNet defined benefit assets [Carrying amount]\nIAS 19.63; Annex V.Part 2.136\n100\nProvisions for pensions and other post-employment defined benefit obligations [Carrying amount]\nIAS 19.63, IAS 1.78(d); Annex V.Part 2.7\n110\nMemo item: Fair value of any right to reimbursement recognised as an asset\nIAS 19.140(b)\n44.2\nMovements in defined benefit obligations\nReferences\nDefined benefit obligations\n010\n010\nOpening balance [present value]\nIAS 19.140(a)(ii)\n020\nCurrent service cost\nIAS 19.141(a)\n030\nInterest cost\nIAS 19.141(b)\n040\nContributions paid\nIAS 19.141(f)\n050\nActuarial (-) gains or losses from changes in demographic assumptions\nIAS 19.141(c)(ii)\n060\nActuarial (-) gains or losses from changes in financial assumptions\nIAS 19.141(c)(iii)\n070\nForeign currency exchange increase or (-) decrease\nIAS 19.141(e)\n080\nBenefits paid\nIAS 19.141(g)\n090\nPast service cost, including gains and losses arising from settlements\nIAS 19.141(d)\n100\nIncrease or (-) decrease through business combinations and disposals\nIAS 19.141(h)\n110\nOther increases or (-) decreases\n120\nClosing balance [present value]\nIAS 19.140(a)(ii); Annex V.Part 2.138\n44.3\nMemo items [related to staff expenses]\nReferences\nCurrent period\n010\n010\nPension and similar expenses\nAnnex V.Part 2.139(a)\n020\nShare based payments\nIFRS 2.44; Annex V.Part 2.139(b)\n45.\nBreakdown of selected items of statement of profit or loss\n45.1\nGains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio\nReferences\nCurrent period\nChanges in fair value due to credit risk\n010\n020\n010\nFinancial assets designated at fair value through profit or loss\nIFRS 7.20(a)(i); IAS 39.55(a)\n020\nFinancial liabilities designated at fair value through profit or loss\nIFRS 7.20(a)(i); IAS 39.55(a)\n030\nGAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS\nIFRS 7.20(a)(i)\n45.2\nGains or losses on derecognition of non-financial assets other than held for sale\nReferences\nCurrent period\n010\n020\nInvestment property\nIAS 40.69; IAS 1.34(a), 98(d)\n030\nIntangible assets\nIAS 38.113-115A; IAS 1.34(a)\n040\nOther assets\nIAS 1.34 (a)\n050\nGAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS\nIAS 1.34\n45.3\nOther operating income and expenses\nReferences\nIncome\nExpenses\n010\n020\n010\nChanges in fair value in tangible assets measured using the fair value model\nIAS 40.76(d); Annex V.Part 2.141\n020\nInvestment property\nIAS 40.75(f); Annex V.Part 2.141\n030\nOperating leases other than investment property\nIAS 17.50, 51, 56(b); Annex V.Part 2.142\n040\nOther\nAnnex V.Part 2.143\n050\nOTHER OPERATING INCOME OR EXPENSES\nAnnex V.Part 2.141-142\n46.\nStatement of changes in equity\nSources of equity changes\nReferences\nCapital\nShare premium\nEquity instruments issued other than Capital\nOther equity\nAccumulated other comprehensive income\nRetained earnings\nRevaluation reserves\nOther reserves\n(-) Treasury shares\nProfit or (-) loss atributable to owners of the parent\n(-) Interim dividends\nMinority interests\nTotal\nAccumulated Other Comprehensive Income\nOther items\nIAS 1.106, 54(r)\nIAS 1.106, 78(e)\nIAS 1.106, Annex V.Part 2.15-16\nIAS 1.106; Annex V.Part 2.17\nIAS 1.106\nCRR art 4(1)(123)\nIFRS 1.30 D5-D8\nIAS 1.106, 54(c)\nIAS 1.106; IAS 32.34, 33; Annex V.Part 2.20\nIAS 1.106(a), 83 (a)(ii)\nIAS 1.106; IAS 32.35\nIAS 1.54(q), 106(a); IAS 27.27-28\nIAS 1.54(q), 106(a); IAS 27.27-28\nIAS 1.9(c), IG6\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n010\nOpening balance [before restatement]\n020\nEffects of corrections of errors\nIAS 1.106.(b); IAS 8.42\n030\nEffects of changes in accounting policies\nIAS 1.106.(b); IAS 1.IG6; IAS 8.22\n040\nOpening balance [current period]\n050\nIssuance of ordinary shares\nIAS 1.106.(d).(iii)\n060\nIssuance of preference shares\nIAS 1.106.(d).(iii)\n070\nIssuance of other equity instruments\nIAS 1.106.(d).(iii)\n080\nExercise or expiration of other equity instruments issued\nIAS 1.106.(d).(iii)\n090\nConversion of debt to equity\nIAS 1.106.(d).(iii)\n100\nCapital reduction\nIAS 1.106.(d).(iii)\n110\nDividends\nIAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6\n120\nPurchase of treasury shares\nIAS 1.106.(d).(iii); IAS 32.33\n130\nSale or cancellation of treasury shares\nIAS 1.106.(d).(iii); IAS 32.33\n140\nReclassification of financial instruments from equity to liability\nIAS 1.106.(d).(iii)\n150\nReclassification of financial instruments from liability to equity\nIAS 1.106.(d).(iii)\n160\nTransfers among components of equity\nIAS 1.106.(d).(iii)\n170\nEquity increase or (-) decrease resulting from business combinations\nIAS 1.106.(d).(iii)\n180\nShare based payments\nIAS 1.106.(d).(iii); IFRS 2.10\n190\nOther increase or (-) decrease in equity\nIAS 1.106.(d)\n200\nTotal comprehensive income for the year\nIAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6\n210\nClosing balance [current period]\nANNEX IV\nREPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS\nCOLOUR CODE IN TEMPLATES:\nParts for National GAAP reporters\nCell not to be submitted for reporting institutions subject to the relevant accounting framework\nFINREP TEMPLATES FOR GAAP\nTEMPLATE NUMBER\nTEMPLATE CODE\nNAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE\nPART 1 [QUARTERLY FREQUENCY]\nBalance Sheet Statement [Statement of Financial Position]\n1.1\nF 01.01\nBalance Sheet Statement: assets\n1.2\nF 01.02\nBalance Sheet Statement: liabilities\n1.3\nF 01.03\nBalance Sheet Statement: equity\n2\nF 02.00\nStatement of profit or loss\n3\nF 03.00\nStatement of comprehensive income\nBreakdown of financial assets by instrument and by counterparty sector\n4.1\nF 04.01\nBreakdown of financial assets by instrument and by counterparty sector: financial assets held for trading\n4.2\nF 04.02\nBreakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss\n4.3\nF 04.03\nBreakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets\n4.4\nF 04.04\nBreakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments\n4.5\nF 04.05\nSubordinated financial assets\n4.6\nF 04.06\nBreakdown of financial assets by instrument and by counterparty sector: trading financial assets\n4.7\nF 04.07\nBreakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss\n4.8\nF 04.08\nBreakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity\n4.9\nF 04.09\nBreakdown of financial assets by instrument and by counterparty sector: non-trading debt instruments measured at a cost-based method\n4.10\nF 04.10\nBreakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets\n5\nF 05.00\nBreakdown of loans and advances by product\n6\nF 06.00\nBreakdown of loans and advances to non-financial corporations by NACE codes\n7\nF 07.00\nFinancial assets subject to impairment that are past due or impaired\nBreakdown of financial liabilities\n8.1\nF 08.01\nBreakdown of financial liabilities by product and by counterparty sector\n8.2\nF 08.02\nSubordinated financial liabilities\nLoan commitments, financial guarantees and other commitments\n9.1\nF 09.01\nOff-balance sheet exposures: loan commitments, financial guarantees and other commitments given\n9.2\nF 09.02\nLoan commitments, financial guarantees and other commitments received\n10\nF 10.00\nDerivatives - Trading\nDerivatives - Hedge accounting\n11.1\nF 11.01\nDerivatives - Hedge accounting: Breakdown by type of risk and type of hedge\n11.2\nF 11.02\nDerivatives - Hedge accounting under National GAAP: Breakdown by type of risk\n12\nF 12.00\nMovements in allowances for credit losses and impairment of equity instruments\nCollateral and guarantees received\n13.1\nF 13.01\nBreakdown of loans and advances by collateral and guarantees\n13.2\nF 13.02\nCollateral obtained by taking possession during the period [held at the reporting date]\n13.3\nF 13.03\nCollateral obtained by taking possession [tangible assets] accumulated\n14\nF 14.00\nFair value hierarchy: financial instruments at fair value\n15\nF 15.00\nDerecognition and financial liabilities associated with transferred financial assets\nBreakdown of selected statement of profit or loss items\n16.1\nF 16.01\nInterest income and expenses by instrument and counterparty sector\n16.2\nF 16.02\nGains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument\n16.3\nF 16.03\nGains or losses on financial assets and liabilities held for trading by instrument\n16.4\nF 16.04\nGains or losses on financial assets and liabilities held for trading by risk\n16.5\nF 16.05\nGains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument\n16.6\nF 16.06\nGains or losses from hedge accounting\n16.7\nF 16.07\nImpairment on financial and non-financial assets\nReconciliation between accounting and CRR scope of consolidation: Balance Sheet\n17.1\nF 17.01\nReconciliation between accounting and CRR scope of consolidation: Assets\n17.2\nF 17.02\nReconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given\n17.3\nF 17.03\nReconciliation between accounting and CRR scope of consolidation: Liabilities\n18\nF 18.00\nPerforming and non-performing exposures\n19\nF 19.00\nForborne exposures\nPART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING]\nGeographical breakdown\n20.1\nF 20.01\nGeographical breakdown of assets by location of the activities\n20.2\nF 20.02\nGeographical breakdown of liabilities by location of the activities\n20.3\nF 20.03\nGeographical breakdown of main statement of profit or loss items by location of the activities\n20.4\nF 20.04\nGeographical breakdown of assets by residence of the counterparty\n20.5\nF 20.05\nGeographical breakdown of off-balance sheet exposures by residence of the counterparty\n20.6\nF 20.06\nGeographical breakdown of liabilities by residence of the counterparty\n20.7\nF 20.07\nGeographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes\n21\nF 21.00\nTangible and intangible assets: assets subject to operating lease\nAsset management, custody and other service functions\n22.1\nF 22.01\nFee and commission income and expenses by activity\n22.2\nF 22.02\nAssets involved in the services provided\nPART 3 [SEMI-ANNUAL]\nOff-balance sheet activities: interests in unconsolidated structured entities\n30.1\nF 30.01\nInterests in unconsolidated structured entities\n30.2\nF 30.02\nBreakdown of interests in unconsolidated structured entities by nature of the activities\nRelated parties\n31.1\nF 31.01\nRelated parties: amounts payable to and amounts receivable from\n31.2\nF 31.02\nRelated parties: expenses and income generated by transactions with\nPART 4 [ANNUAL]\nGroup structure\n40.1\nF 40.1\nGroup structure: \"entity-by-entity\"\n40.2\nF 40.02\nGroup structure: \"instrument-by-instrument\"\nFair value\n41.1\nF 41.01\nFair value hierarchy: financial instruments at amortised cost\n41.2\nF 41.02\nUse of the Fair Value Option\n41.3\nF 41.03\nHybrid financial instruments not designated at fair value through profit or loss\n42\nF 42.00\nTangible and intangible assets: carrying amount by measurement method\n43\nF 43.00\nProvisions\nDefined benefit plans and employee benefits\n44.1\nF 44.01\nComponents of net defined benefit plan assets and liabilities\n44.2\nF 44.02\nMovements in defined benefit plan obligations\n44.3\nF 44.03\nMemo items [related to staff expenses]\nBreakdown of selected items of statement of profit or loss\n45.1\nF 45.01\nGains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio\n45.2\nF 45.02\nGains or losses on derecognition of non-financial assets other than held for sale\n45.3\nF 45.03\nOther operating income and expenses\n46\nF 46.00\nStatement of changes in equity\n1.\nBalance Sheet Statement [Statement of Financial Position]\n1.1\nAssets\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nBreakdown in table\nCarrying amount\n010\n010\nCash, cash balances at central banks and other demand deposits\nBAD art 4.Assets(1)\nIAS 1.54 (i)\n020\nCash on hand\nAnnex V.Part 2.1\nAnnex V.Part 2.1\n030\nCash balances at central banks\nBAD art 13(2); Annex V.Part 2.2\nAnnex V.Part 2.2\n040\nOther demand deposits\nAnnex V.Part 2.3\n5\n050\nFinancial assets held for trading\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(ii); IAS 39.9, AG 14\n060\nDerivatives\nCRR Annex II\nIAS 39.9\n10\n070\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n4\n080\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n4\n090\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n4\n091\nTrading financial assets\nAnnex V.Part 1.15\n092\nDerivatives\nCRR Annex II; Annex V.Part 1.15\n093\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n4\n094\nDebt securities\nAnnex V.Part 1.24, 26\n4\n095\nLoans and advances\nAnnex V.Part 1.24, 27\n4\n100\nFinancial assets designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(i); IAS 39.9\n4\n110\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n4\n120\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n4\n130\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n4\n140\nAvailable-for-sale financial assets\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(d); IAS 39.9\n4\n150\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n4\n160\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n4\n170\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n4\n171\nNon-trading non-derivative financial assets measured at fair value through profit or loss\n4th Directive art 42a(1), (4)\n4\n172\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n4\n173\nDebt securities\nAnnex V.Part 1.24, 26\n4\n174\nLoan and advances\n4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27\n4\n175\nNon-trading non-derivative financial assets measured at fair value to equity\n4th Directive art 42a(1); art 42c (2)\n4\n176\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n4\n177\nDebt securities\nAnnex V.Part 1.24, 26\n4\n178\nLoan and advances\n4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27\n4\n180\nLoans and receivables\n4th Directive art 42a(4)(b),(5a); IAS 39.9\nIFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16\n4\n190\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n4\n200\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n4\n210\nHeld-to-maturity investments\n4th Directive art 42a(4)(a),(5a); IAS 39.9\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n4\n220\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n4\n230\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n4\n231\nNon-trading debt instruments measured at a cost-based method\nBAD art 37.1; art 42a(4)(b); Annex V.Part1.16\n4\n232\nDebt securities\nAnnex V.Part 1.24, 26\n4\n233\nLoans and advances\nAnnex V.Part 1.24, 27\n4\n234\nOther non-trading non-derivative financial assets\nBAD art 35-37; Annex V.Part 1.17\n4\n235\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n4\n236\nDebt securities\nAnnex V.Part 1.24, 26\n4\n237\nLoans and advances\nAnnex V.Part 1.24, 27\n4\n240\nDerivatives – Hedge accounting\n4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19\nIFRS 7.22(b); IAS 39.9\n11\n250\nFair value changes of the hedged items in portfolio hedge of interest rate risk\n4th Directive art 42a(5), (5a); IAS 39.89A (a)\nIAS 39.89A(a)\n260\nInvestments in subsidaries, joint ventures and associates\nBAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4\nIAS 1.54(e); Annex V.Part 2.4\n4, 40\n270\nTangible assets\nBAD art 4.Assets(10)\n280\nProperty, Plant and Equipment\nIAS 16.6; IAS 1.54(a)\n21, 42\n290\nInvestment property\nIAS 40.5; IAS 1.54(b)\n21, 42\n300\nIntangible assets\nBAD art 4.Assets(9); CRR art 4(115)\nIAS 1.54(c); CRR art 4(115)\n310\nGoodwill\nBAD art 4.Assets(9); CRR art 4(113)\nIFRS 3.B67(d); CRR art 4(113)\n320\nOther intangible assets\nBAD art 4.Assets(9)\nIAS 38.8,118\n21, 42\n330\nTax assets\nIAS 1.54(n-o)\n340\nCurrent tax assets\nIAS 1.54(n); IAS 12.5\n350\nDeferred tax assets\n4th Directive art 43(1)(11); CRR art 4(106)\nIAS 1.54(o); IAS 12.5; CRR art 4(106)\n360\nOther assets\nAnnex V.Part 2.5\nAnnex V.Part 2.5\n370\nNon-current assets and disposal groups classified as held for sale\nIAS 1.54(j); IFRS 5.38, Annex V.Part 2.6\n380\nTOTAL ASSETS\nBAD art 4 Assets\nIAS 1.9(a), IG 6\n1.2\nLiabilities\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nBreakdown in table\nCarrying amount\n010\n010\nFinancial liabilities held for trading\n4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15\nIFRS 7.8 (e) (ii); IAS 39.9, AG 14-15\n8\n020\nDerivatives\nCRR Annex II\nIAS 39.9, AG 15(a)\n10\n030\nShort positions\nIAS 39.AG 15(b)\n8\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30\n8\n050\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n8\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n8\n061\nTrading financial liabilities\n4th Directive art 42a(3)\n8\n062\nDerivatives\nCRR Annex II; Annex V.Part 1.15\n8\n063\nShort positions\n8\n064\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n8\n065\nDebt securities issued\nAnnex V.Part 1.31\n8\n066\nOther financial liabilities\nAnnex V.Part 1.32-34\n8\n070\nFinancial liabilities designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8 (e)(i); IAS 39.9\n8\n080\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n8\n090\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n8\n100\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n8\n110\nFinancial liabilities measured at amortised cost\n4th Directive art 42a(3), (5a); IAS 39.47\nIFRS 7.8(f); IAS 39.47\n8\n120\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n8\n130\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n8\n140\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n8\n141\nNon-trading non-derivative financial liabilities measured at a cost-based method\n4th Directive art 42a(3)\n8\n142\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n8\n143\nDebt securities issued\nAnnex V.Part 1.31\n8\n144\nOther financial liabilities\nAnnex V.Part 1.32-34\n8\n150\nDerivatives – Hedge accounting\n4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23\nIFRS 7.22(b); IAS 39.9; Annex V.Part 1.23\n11\n160\nFair value changes of the hedged items in portfolio hedge of interest rate risk\n4th Directive art 42a(5), (5a); IAS 39.89A(b)\nIAS 39.89A(b)\n170\nProvisions\nBAD art 4.Liabilities(6)\nIAS 37.10; IAS 1.54(l)\n43\n175\nFunds for general banking risks [if presented within liabilities]\nBAD art 38.1; CRR art 4(112); Annex V.Part 2.12\n180\nPensions and other post employment defined benefit obligations\nAnnex V.Part 2.7\nIAS 19.63; IAS 1.78(d); Annex V.Part 2.7\n43\n190\nOther long term employee benefits\nAnnex V.Part 2.8\nIAS 19.153; IAS 1.78(d); Annex V.Part 2.8\n43\n200\nRestructuring\nIAS 37.71, 84(a)\n43\n210\nPending legal issues and tax litigation\nIAS 37.Appendix C. Examples 6 and 10\n43\n220\nCommitments and guarantees given\nBAD art 24-25, 33(1)\nIAS 37.Appendix C.9\n43\n230\nOther provisions\n43\n240\nTax liabilities\nIAS 1.54(n-o)\n250\nCurrent tax liabilities\nIAS 1.54(n); IAS 12.5\n260\nDeferred tax liabilities\n4th Directive art 43(1)(11); CRR art 4(108)\nIAS 1.54(o); IAS 12.5; CRR art 4(108)\n270\nShare capital repayable on demand\nIAS 32 IE 33; IFRIC 2; Annex V.Part 2.9\n280\nOther liabilities\nAnnex V.Part 2.10\nAnnex V.Part 2.10\n290\nLiabilities included in disposal groups classified as held for sale\nIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11\n300\nTOTAL LIABILITIES\nIAS 1.9(b);IG 6\n1.3\nEquity\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nBreakdown in table\nCarrying amount\n010\n010\nCapital\nBAD art 4.Liabilities(9), BAD art 22\nIAS 1.54(r), BAD art 22\n46\n020\nPaid up capital\nBAD art 4.Liabilities(9)\nIAS 1.78(e)\n030\nUnpaid capital which has been called up\nBAD art 4.Liabilities(9)\nIAS 1.78(e); Annex V.Part 2.14\n040\nShare premium\nBAD art 4.Liabilities(10); CRR art 4(124)\nIAS 1.78(e); CRR art 4(124)\n46\n050\nEquity instruments issued other than capital\nAnnex V.Part 2.15-16\nAnnex V.Part 2.15-16\n46\n060\nEquity component of compound financial instruments\n4th Directive art 42a(5a); Annex V.Part 2.15\nIAS 32.28-29; Annex V.Part 2.15\n070\nOther equity instruments issued\nAnnex V.Part 2.16\nAnnex V.Part 2.16\n080\nOther equity\nAnnex V.Part 2.17\nIFRS 2.10; Annex V.Part 2.17\n090\nAccumulated other comprehensive income\nCRR art 4(100)\nCRR art 4(100)\n46\n095\nItems that will not be reclassified to profit or loss\nIAS 1.82A(a)\n100\nTangible assets\nIAS 16.39-41\n110\nIntangible assets\nIAS 38.85-87\n120\nActuarial gains or (-) losses on defined benefit pension plans\nIAS 1.7\n122\nNon-current assets and disposal groups classified as held for sale\nIFRS 5.38, IG Example 12\n124\nShare of other recognised income and expense of investments in subsidaries, joint ventures and associates\nIAS 1.82(h); IAS 28.11\n128\nItems that may be reclassified to profit or loss\nIAS 1.82A(a)\n130\nHedge of net investments in foreign operations [effective portion]\n4th Directive art 42a(1), (5a)\nIAS 39.102(a)\n140\nForeign currency translation\nBAD art 39(6)\nIAS 21.52(b); IAS 21.32, 38-49\n150\nHedging derivatives. Cash flow hedges [effective portion]\n4th Directive art 42a(1), (5a)\nIFRS 7.23(c); IAS 39.95-101\n160\nAvailable-for-sale financial assets\n4th Directive art 42a(1), (5a)\nIFRS 7.20(a)(ii); IAS 39.55(b)\n170\nNon-current assets and disposal groups classified as held for sale\nIFRS 5.38, IG Example 12\n180\nShare of other recognised income and expense of investments in subsidaries, joint ventures and associates\nIAS 1.82(h); IAS 28.11\n190\nRetained earnings\nBAD art 4.Liabilities(13); CRR art 4(123)\nCRR art 4(123)\n200\nRevaluation reserves\nBAD art 4.Liabilities(12)\nIFRS 1.30, D5-D8; Annex V.Part 2.18\n201\nTangible assets\n4th Directive art 33(1)(c)\n202\nEquity instruments\n4th Directive art 33(1)(c)\n203\nDebt securities\n4th Directive art 33(1)(c)\n204\nOther\n4th Directive art 33(1)(c)\n205\nFair value reserves\n4th Directive art 42a(1)\n206\nHedge of net investments in foreign operations\n4th Directive art 42a(1); art 42c(1)(b)\n207\nHedging derivatives. Cash flow hedges\n4th Directive art 42a(1); art 42c(1)(a); CRR article 30(a)\n208\nHedging derivatives. Other hedges\n4th Directive art 42a(1); art 42c(1)(a)\n209\nNon-trading non-derivative financial assets measured at fair value to equity\n4th Directive art 42a(1); art 42c (2)\n210\nOther reserves\nBAD art 4 Liabilities(11)-(13)\nIAS 1.54; IAS 1.78(e)\n215\nFunds for general banking risks [if presented within equity]\nBAD art 38.1; CRR art 4(112); Annex V.Part 1.38\n220\nReserves or accumulated losses of investments in subsidaries, joint ventures and associates\n4th Directive art 59.4;Annex V.Part 2.19\nIAS 28.11; Annex V.Part 2.19\n230\nOther\nAnnex V.Part 2.19\nAnnex V.Part 2.19\n235\nFirst consolidation differences\n7th Directive 19(1)(c)\n240\n(-) Treasury shares\n4th Directive. Assets C (III)(7), D (III)(2); Annex V.Part 2.20\nIAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20\n46\n250\nProfit or loss attributable to owners of the parent\nBAD art 4.Liabilities(14)\nIAS 27.28; IAS 1.81B (b)(ii)\n2\n260\n(-) Interim dividends\nCRR Article 26(2b)\nIAS 32.35\n270\nMinority interests [Non-controlling interests]\n7th Directive art 21\nIAS 27.4; IAS 1.54(q); IAS 27.27\n280\nAccumulated Other Comprehensive Income\nCRR art 4(100)\nIAS 27.27-28; CRR art 4(100)\n46\n290\nOther items\nIAS 27.27-28\n46\n300\nTOTAL EQUITY\nIAS 1.9(c), IG 6\n46\n310\nTOTAL EQUITY AND TOTAL LIABILITIES\nBAD art 4.Liabilities\nIAS 1.IG6\n2.\nStatement of profit or loss\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nBreakdown in table\nCurrent period\n010\n010\nInterest income\nBAD art 27.Vertical layout(1); Annex V.Part 2.21\nIAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21\n16\n020\nFinancial assets held for trading\nIFRS 7.20(a)(i), B5(e); Annex V.Part 2.24\n030\nFinancial assets designated at fair value through profit or loss\nIFRS 7.20(a)(i), B5(e)\n040\nAvailable-for-sale financial assets\nIFRS 7.20(b); IAS 39.55(b); IAS 39.9\n050\nLoans and receivables\nIFRS 7.20(b); IAS 39.9, 39.46(a)\n060\nHeld-to-maturity investments\nIFRS 7.20(b); IAS 39.9, 39.46(b)\n070\nDerivatives - Hedge accounting, interest rate risk\nIAS 39.9; Annex V.Part 2.23\n080\nOther assets\nAnnex V.Part 2.25\n090\n(Interest expenses)\nBAD art 27.Vertical layout(2); Annex V.Part 2.21\nIAS 1.97; Annex V.Part 2.21\n16\n100\n(Financial liabilities held for trading\nIFRS 7.20(a)(i), B5(e); Annex V.Part 2.24\n110\n(Financial liabilities designated at fair value through profit or loss\nIFRS 7.20(a)(i), B5(e)\n120\n(Financial liabilities measured at amortised cost)\nIFRS 7.20(b); IAS 39.47\n130\n(Derivatives - Hedge accounting, interest rate risk)\nIAS 39.9; Annex V.Part 2.23\n140\n(Other liabilities)\nAnnex V.Part 2.26\n150\n(Expenses on share capital repayable on demand)\nIFRIC 2.11\n160\nDividend income\nBAD art 27.Vertical layout(3); Annex V.Part 2.28\nIAS 18.35(b)(v); Annex V.Part 2.28\n170\nFinancial assets held for trading\nIFRS 7.20(a)(i), B5(e)\n180\nFinancial assets designated at fair value through profit or loss\nIFRS 7.20(a)(i), B5(e); IAS 39.9\n190\nAvailable-for-sale financial assets\nIFRS 7.20(a)(ii); IAS 39.9, 39.55(b)\n200\nFee and commission income\nBAD art 27.Vertical layout(4)\nIFRS 7.20(c)\n22\n210\n(Fee and commission expenses)\nBAD art 27.Vertical layout(5)\nIFRS 7.20(c)\n22\n220\nGains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a) (ii-v); Annex V.Part 2.97\n16\n230\nAvailable-for-sale financial assets\nIFRS 7.20(a)(ii); IAS 39.9, 39.55(b)\n240\nLoans and receivables\nIFRS 7.20(a)(iv); IAS 39.9, 39.56\n250\nHeld-to-maturity investments\nIFRS 7.20(a)(iii); IAS 39.9, 39.56\n260\nFinancial liabilities measured at amortised cost\nIFRS 7.20(a)(v); IAS 39.56\n270\nOther\n280\nGains or (-) losses on financial assets and liabilities held for trading, net\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a)(i); IAS 39.55(a)\n16\n285\nGains or (-) losses on trading financial assets and liabilities, net\nBAD art 27.Vertical layout(6)\n16\n290\nGains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a)(i); IAS 39.55(a)\n16, 45\n295\nGains or (-) losses on non-trading financial assets and liabilities, net\nBAD art 27.Vertical layout(6)\n16\n300\nGains or (-) losses from hedge accounting, net\n4th Directive art 42a(1), (5a), art 42c(1)(a)\nIFRS 7.24; Annex V.Part 2.30\n16\n310\nExchange differences [gain or (-) loss], net\nBAD art 39\nIAS 21.28, 52 (a)\n320\nGains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net\nBAD art 27.Vertical layout(13)-(14)\n330\nGains or (-) losses on derecognition of non financial assets, net\nIAS 1.34\n45\n340\nOther operating income\nBAD art 27.Vertical layout(7); Annex V.Part 2.141-143\nAnnex V.Part 2.141-143\n45\n350\n(Other operating expenses)\nBAD art 27.Vertical layout(10); Annex V.Part 2.141-143\nAnnex V.Part 2.141-143\n45\n355\nTOTAL OPERATING INCOME, NET\n360\n(Administrative expenses)\nBAD art 27.Vertical layout(8)\n370\n(Staff expenses)\nBAD art 27.Vertical layout(8)(a)\nIAS 19.7; IAS 1.102, IG 6\n44\n380\n(Other administrative expenses)\nBAD art 27.Vertical layout(8)(b);\n390\n(Depreciation)\nIAS 1.102, 104\n400\n(Property, Plant and Equipment)\nBAD art 27.Vertical layout(9)\nIAS 1.104; IAS 16.73(e)(vii)\n410\n(Investment Properties)\nBAD art 27.Vertical layout(9)\nIAS 1.104; IAS 40.79(d)(iv)\n415\n(Goodwill)\nBAD art 27.Vertical layout(9)\n420\n(Other intangible assets)\nBAD art 27.Vertical layout(9)\nIAS 1.104; IAS 38.118(e)(vi)\n430\n(Provisions or (-) reversal of provisions)\nIAS 37.59, 84; IAS 1.98(b)(f)(g)\n43\n440\n(Commitments and guarantees given)\nBAD art 27.Vertical layout(11)-(12)\n450\n(Other provisions)\n455\n(Increases or (-) decreases of the fund for general banking risks, net)\nBAD art 38.2\n460\n(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)\nBAD art 35-37\nIFRS 7.20(e)\n16\n470\n(Financial assets measured at cost)\nIFRS 7.20(e); IAS 39.66\n480\n(Available- for-sale financial assets)\nIFRS 7.20(e); IAS 39.67\n490\n(Loans and receivables\nIFRS 7.20(e); IAS 39.63\n500\n(Held to maturity investments)\nIFRS 7.20(e); IAS 39.63\n510\n(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)\nBAD art 27.Vertical layout(13)-(14)\nIAS 28.40-43\n16\n520\n(Impairment or (-) reversal of impairment on non-financial assets)\nIAS 36.126(a)(b)\n16\n530\n(Property, plant and equipment)\nBAD art 27.Vertical layout(9)\nIAS 16.73(e)(v-vi)\n540\n(Investment properties)\nBAD art 27.Vertical layout(9)\nIAS 40.79(d)(v)\n550\n(Goodwill)\nBAD art 27.Vertical layout(9)\nIFRS 3.Appendix B67(d)(v); IAS 36.124\n560\n(Other intangible assets)\nBAD art 27.Vertical layout(9)\nIAS 38.118 (e)(iv)(v)\n570\n(Other)\nIAS 36.126 (a)(b)\n580\nNegative goodwill recognised in profit or loss\n7th Directive art 31\nIFRS 3.Appendix B64(n)(i)\n590\nShare of the profit or (-) loss of investments in subsidaries, joint ventures and associates\nBAD art 27.Vertical layout(13)-(14)\nIAS 1.82(c)\n600\nProfit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations\nIFRS 5.37; Annex V.Part 2.27\n610\nPROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS\nIAS 1.102, IG 6; IFRS 5.33 A\n620\n(Tax expense or (-) income related to profit or loss from continuing operations)\nBAD art 27.Vertical layout(15)\nIAS 1.82(d); IAS 12.77\n630\nPROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS\nBAD art 27.Vertical layout(16)\nIAS 1, IG 6\n632\nExtraordinary profit or (-) loss after tax\nBAD art 27.Vertical layout(21)\n633\nExtraordinary profit or loss before tax\nBAD art 27.Vertical layout(19)\n634\n(Tax expense or (-) income related to extraordinary profit or loss)\nBAD art 27.Vertical layout(20)\n640\nProfit or (-) loss after tax from discontinued operations\nIAS 1.82(e); IFRS 5.33(a), 5.33 A\n650\nProfit or (-) loss before tax from discontinued operations\nIFRS 5.33(b)(i)\n660\n(Tax expense or (-) income related to discontinued operations)\nIFRS 5.33 (b)(ii),(iv)\n670\nPROFIT OR (-) LOSS FOR THE YEAR\nBAD art 27.Vertical layout(23)\nIAS 1.81A(a)\n680\nAttributable to minority interest [non-controlling interests]\nIAS 1.83(a)(i)\n690\nAttributable to owners of the parent\nIAS 1.81B (b)(ii)\n3.\nStatement of comprehensive income\nReferences National GAAP compatible IFRS\nCurrent period\n010\n010\nProfit or (-) loss for the year\nIAS 1.7, 81(b), 83(a), IG6\n020\nOther comprehensive income\nIAS 1.7, 81(b), IG6\n030\nItems that will not be reclassified to profit or loss\nIAS 1.82A(a)\n040\nTangible assets\nIAS 1.7, IG6; IAS 16.39-40\n050\nIntangible assets\nIAS 1.7; IAS 38.85-86\n060\nActuarial gains or (-) losses on defined benefit pension plans\nIAS 1.7, IG6; IAS 19.93A\n070\nNon-current assets and disposal groups held for sale\nIFRS 5.38\n080\nShare of other recognised income and expense of entities accounted for using the equity method\nIAS 1.82(h), IG6; IAS 28.11\n090\nIncome tax relating to items that will not be reclassified\nIAS 1.91(b); Annex V.Part 2.31\n100\nItems that may be reclassified to profit or loss\nIAS 1.82A(b)\n110\nHedge of net investments in foreign operations [effective portion]\nIAS 39.102(a)\n120\nValuation gains or (-) losses taken to equity\nIAS 39.102(a)\n130\nTransferred to profit or loss\nIAS 1.7, 92-95; IAS 39.102(a)\n140\nOther reclassifications\n150\nForeign currency translation\nIAS 1.7, IG6; IAS 21.52(b)\n160\nTranslation gains or (-) losses taken to equity\nIAS 21.32, 38-47\n170\nTransferred to profit or loss\nIAS 1.7, 92-95; IAS 21.48-49\n180\nOther reclassifications\n190\nCash flow hedges [effective portion]\nIAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96\n200\nValuation gains or (-) losses taken to equity\nIAS 1.IG6; IAS 39.95(a)-96\n210\nTransferred to profit or loss\nIAS 1.7, 92-95, IG6; IAS 39.97-101\n220\nTransferred to initial carrying amount of hedged items\nIAS 1.IG6; IAS 39.97-101\n230\nOther reclassifications\n240\nAvailable-for-sale financial assets\nIAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b)\n250\nValuation gains or (-) losses taken to equity\nIFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b)\n260\nTransferred to profit or loss\nIFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b)\n270\nOther reclassifications\nIFRS 5.IG Example 12\n280\nNon-current assets and disposal groups held for sale\nIFRS 5.38\n290\nValuation gains or (-) losses taken to equity\nIFRS 5.38\n300\nTransferred to profit or loss\nIAS 1.7, 92-95; IFRS 5.38\n310\nOther reclassifications\nIFRS 5.IG Example 12\n320\nShare of other recognised income and expense of Investments in subsidaries, joint ventures and associates\nIAS 1.82(h), IG6; IAS 28.11\n330\nIncome tax relating to items that may be reclassified to profit or (-) loss\nIAS 1.91(b), IG6; Annex V.Part 2.31\n340\nTotal comprehensive income for the year\nIAS 1.7, 81A(a), IG6\n350\nAttributable to minority interest [Non-controlling interest]\nIAS 1.83(b)(i), IG6\n360\nAttributable to owners of the parent\nIAS 1.83(b)(ii), IG6\n4.\nBreakdown of financial assets by instrument and by counterparty sector\n4.1\nFinancial assets held for trading\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\nAccumulated changes in fair value due to credit risk\nAnnex V.Part 2.46\n010\n020\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n020\nof which: at cost\nIAS 39.46(c)\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n4.2\nFinancial assets designated at fair value through profit or loss\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\nAccumulated changes in fair value due to credit risk\nIFRS 7.9 (c); Annex V.Part 2.46\n010\n020\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n020\nof which: at cost\nIAS 39.46(c)\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n190\nFINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(i); IAS 39.9\n4.3\nAvailable-for-sale financial assets\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount of unimpaired assets\nCarrying amount of impaired assets\nCarrying amount\nAccumulated impairment\nIAS 39.58-62\nAnnex V.Part 2.34\nAnnex V.Part 2.46\n010\n020\n030\n040\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n020\nof which: at cost\nIAS 39.46(c)\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n190\nAVAILABLE-FOR-SALE FINANCIAL ASSETS\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(d); IAS 39.9\n4.4\nLoans and receivables and held-to-maturity investments\nUnimpaired assets [gross carrying amount]\nImpaired assets [gross carrying amount]\nSpecific allowances for financial assets, individually estimated\nSpecific allowances for financial assets, collectively estimated\nCollective allowances for incurrred but not reported losses\nCarrying amount\nReferences National GAAP compatible IFRS\nIFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59\nIAS 39.AG 84-92; Annex V.Part 2.36\nIAS 39.AG 84-92; Annex V.Part 2.37\nIAS 39.AG 84-92; Annex V.Part 2.38\nAnnex V.Part 2.39\nReferences National GAAP based on BAD\nAnnex V.Part 2.36\nAnnex V.Part 2.37\nAnnex V.Part 2.38\nAnnex V.Part 2.39\n010\n020\n030\n040\n050\n060\n010\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n020\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n030\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n040\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n050\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n060\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n070\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n080\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n090\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n100\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n110\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n120\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n130\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n140\nLOANS AND RECEIVABLES\n4th Directive art 42a(4)(b),(5a); IAS 39.9\nIAS 39,9 AG 16, AG26; Annex V.Part 1.16\n150\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n160\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n170\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n180\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n190\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n200\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n210\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n220\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n230\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n240\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n250\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n260\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n270\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n280\nHELD-TO-MATURITY\n4th Directive art 42a(4)(a),(5a); IAS 39.9\nIFRS 7.8(c); IAS 39.9, AG16, AG26\n4.5\nSubordinated financial assets\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\n010\n010\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n020\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n030\nSUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS\nAnnex V.Part 2.40, 54\nAnnex V.Part 2.40, 54\n4.6\nTrading Financial assets\nReferences National GAAP based on BAD\nCarrying amount\nAccumulated changes in fair value due to credit risk\nAnnex V.Part 2.46\n010\n020\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n020\nof which: unquoted\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\n4.7\nNon-trading non-derivative financial assets measured at fair value through profit or loss\nReferences National GAAP based on BAD\nCarrying amount\nAccumulated changes in fair value due to credit risk\nAnnex V.Part 2.46\n010\n020\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n020\nof which: unquoted\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\n190\nNON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS\n4th Directive art 42a(1), (4)\n4.8\nNon-trading non-derivative financial assets measured at fair value to equity\nReferences National GAAP based on BAD\nCarrying amount\nAccumulated changes in fair value due to credit risk\nAnnex V.Part 2.46\n010\n020\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n020\nof which: unquoted\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\n190\nNON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY\n4th Directive art 42a(1); art 42c (2)\n4.9\nNon-trading debt instruments measured at a cost-based method\nReferences National GAAP based on BAD\nUnimpaired assets\nImpaired assets [gross carrying amount]\nSpecific allowances for credit risk\nGeneral allowances for credit risk\nCarrying amount\nCRR art 4(95)\nCRR art 4(95)\nCRR art 4(95)\nAnnex V.Part 2.39\n010\n020\n030\n040\n050\n010\nDebt securities\nAnnex V.Part 1.24, 26\n020\nCentral banks\nAnnex V.Part 1.35(a)\n030\nGeneral governments\nAnnex V.Part 1.35(b)\n040\nCredit institutions\nAnnex V.Part 1.35(c)\n050\nOther financial corporations\nAnnex V.Part 1.35(d)\n060\nNon-financial corporations\nAnnex V.Part 1.35(e)\n070\nLoans and advances\nAnnex V.Part 1.24, 27\n080\nCentral banks\nAnnex V.Part 1.35(a)\n090\nGeneral governments\nAnnex V.Part 1.35(b)\n100\nCredit institutions\nAnnex V.Part 1.35(c)\n110\nOther financial corporations\nAnnex V.Part 1.35(d)\n120\nNon-financial corporations\nAnnex V.Part 1.35(e)\n130\nHouseholds\nAnnex V.Part 1.35(f)\n140\nNON-TRADING DEBT INSTRUMENTS MEASURED AT A COST-BASED METHOD\nBAD art 37.1; art 42a(4)(b)\n4.10\nOther non-trading non-derivative financial assets\nReferences National GAAP based on BAD\nCarrying amount\n010\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n020\nof which: unquoted\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\n190\nOTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS\n4th Directive art 42a(1); art 42c(2)\n5.\nBreakdown of Loan and advances by product\nCentral banks\nGeneral governments\nCredit institutions\nOther financial corporations\nNon-financial corporations\nHouseholds\nReferences National GAAP compatible IFRS\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(f)\nReferences National GAAP based on BAD\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(f)\n010\n020\n030\n040\n050\n060\nBy product\n010\nOn demand [call] and short notice [current account]\nAnnex V.Part 2.41(a)\n020\nCredit card debt\nAnnex V.Part 2.41(b)\n030\nTrade receivables\nAnnex V.Part 2.41(c)\n040\nFinance leases\nAnnex V.Part 2.41(d)\n050\nReverse repurchase loans\nAnnex V.Part 2.41(e)\n060\nOther term loans\nAnnex V.Part 2.41(f)\n070\nAdvances that are not loans\nAnnex V.Part 2.41(g)\n080\nLOANS AND ADVANCES\nAnnex V.Part 1.24, 27\nBy collateral\n090\nof which: mortgage loans [Loans collateralized by immovable property]\nAnnex V.Part 2.41(h)\n100\nof which: other collateralized loans\nAnnex V.Part 2.41(i)\nBy purpose\n110\nof which: credit for consumption\nAnnex V.Part 2.41(j)\n120\nof which: lending for house purchase\nAnnex V.Part 2.41(k)\nBy subordination\n130\nof which: project finance loans\nAnnex V.Part 2.41(l)\n6.\nBreakdown of loans and advances to non-financial corporations\nNon-financial corporations\nGross carrying amount\nOf which: non-performing\nAccumulated impairment or Accumulated changes in fair value due to credit risk\nReferences National GAAP compatible IFRS\nAnnex V.Part 2.45\nAnnex V.Part 2. 145-162\nAnnex V.Part 2.46\nReferences National GAAP based on BAD\nAnnex V.Part 2.45\nAnnex V.Part 2. 145-162\nAnnex V.Part 2.46\n010\n012\n020\n010\nA\nAgriculture, forestry and fishing\nNACE Regulation\n020\nB\nMining and quarrying\nNACE Regulation\n030\nC\nManufacturing\nNACE Regulation\n040\nD\nElectricity, gas, steam and air conditioning supply\nNACE Regulation\n050\nE\nWater supply\nNACE Regulation\n060\nF\nConstruction\nNACE Regulation\n070\nG\nWholesale and retail trade\nNACE Regulation\n080\nH\nTransport and storage\nNACE Regulation\n090\nI\nAccommodation and food service activities\nNACE Regulation\n100\nJ\nInformation and communication\nNACE Regulation\n110\nL\nReal estate activities\nNACE Regulation\n120\nM\nProfessional, scientific and technical activities\nNACE Regulation\n130\nN\nAdministrative and support service activities\nNACE Regulation\n140\nO\nPublic administration and defence, compulsory social security\nNACE Regulation\n150\nP\nEducation\nNACE Regulation\n160\nQ\nHuman health services and social work activities\nNACE Regulation\n170\nR\nArts, entertainment and recreation\nNACE Regulation\n180\nS\nOther services\nNACE Regulation\n190\nLOANS AND ADVANCES\nAnnex V.Part 1.24, 27, 2.42-43\n7.\nFinancial assets subject to impairment that are past due or impaired\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nPast due but not impaired\nCarrying amount of the impaired assets\nSpecific allowances for financial assets, individually estimated\nSpecific allowances for financial assets, collectively estimated\nCollective allowances for incurrred but not reported losses\nSpecific alowances for credit risk\nGeneral allowances for credit risk\nGeneral allowance for banking risks\nAccumulated write-offs\n≤ 30 days\n> 30 days ≤ 60 days\n> 60 days ≤ 90 days\n> 90 days ≤ 180days\n> 180 days ≤ 1year\n> 1year\nIFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48\nIAS 39.58-70\nIAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36\nIAS 39 AG 84-92; Annex V.Part 2.37\nIAS 39 AG 84-92; Annex V.Part 2.38\nIAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50\nCRR art 4(95); Annex V.Part 2.47-48\nCRR art 4(95)\nCRR art 4(95); Annex V.Part 2.36\nCRR art 4(95); Annex V.Part 2.37\nCRR art 4(95); Annex V.Part 2.38\nCRR art 4(95)\nCRR art 4(95)\nBAD art 37.2; CRR art 4(95)\nCRR art 4(95); Annex V.Part 2.49-50\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n102\n103\n104\n110\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n020\nof which: at cost\nIAS 39.46(c)\n030\nof which: credit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n040\nof which: other financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n050\nof which: non-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n060\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n070\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n080\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n090\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n100\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n110\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n120\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n130\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n140\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n150\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n160\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n170\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n180\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n190\nTOTAL\nLoans and advances by product, by collateral and by subordination\n200\nOn demand [call] and short notice [current account]\nAnnex V.Part 2.41(a)\nAnnex V.Part 2.41(a)\n210\nCredit card debt\nAnnex V.Part 2.41(b)\nAnnex V.Part 2.41(b)\n220\nTrade receivables\nAnnex V.Part 2.41(c)\nAnnex V.Part 2.41(c)\n230\nFinance leases\nAnnex V.Part 2.41(d)\nAnnex V.Part 2.41(d)\n240\nReverse repurchase loans\nAnnex V.Part 2.41(e)\nAnnex V.Part 2.41(e)\n250\nOther term loans\nAnnex V.Part 2.41(f)\nAnnex V.Part 2.41(f)\n260\nAdvances that are not loans\nAnnex V.Part 2.41(g)\nAnnex V.Part 2.41(g)\n270\nof which: mortgage loans [Loans collateralized by inmovable property]\nAnnex V.Part 2.41(h)\nAnnex V.Part 2.41(h)\n280\nof which: other collateralized loans\nAnnex V.Part 2.41(i)\nAnnex V.Part 2.41(i)\n290\nof which: credit for consumption\nAnnex V.Part 2.41(j)\nAnnex V.Part 2.41(j)\n300\nof which: lending for house purchase\nAnnex V.Part 2.41(k)\nAnnex V.Part 2.41(k)\n310\nof which: project finance loans\nAnnex V.Part 2.41(l)\nAnnex V.Part 2.41(l)\n8.\nBreakdown of financial liabilities\n8.1\nBreakdown of financial liabilities by product and by counterparty sector\nCarrying amount\nAccumulated changes in fair value due to credit risk\nAmount contractually required to pay at maturity\nHeld for trading\nDesignated at fair value through profit or loss\nAmortised cost\nTrading\nAt a cost-based method\nHedge accounting\nReferences National GAAP compatible IFRS\nIFRS 7.8(e)(ii); IAS 39.9, AG 14-15\nIFRS 7.8(e)(i); IAS 39.9\nIFRS 7.8(f); IAS 39.47\nIFRS 7.22(b); IAS 39.9\nCRR art 33(1)(b), art 33(1)(c)\nReferences National GAAP based on BAD\n4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15\n4th Directive art 42a(1), (5a); IAS 39.9\n4th Directive art 42a(3), (5a); IAS 39.47\n4th Directive art 42a(3); Annex V.Part 1.15\n4th Directive art 42a(3)\n4th Directive art 42a(1), (5a), art 42c(1)(a)\nCRR art 33(1)(b), art 33(1)(c)\nECB/2008/32 art 7(2)\n010\n020\n030\n034\n035\n037\n040\n050\n010\nDerivatives\nCRR Annex II\nIAS 39.9, AG 15(a)\n020\nShort positions\nIAS 39 AG 15(b)\n030\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n040\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n050\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n060\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n070\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\nECB/2008/32 Annex 2.Part 2.9.1\n080\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\nECB/2008/32 Annex 2.Part 2.9.2\n090\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 1.51\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n100\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\nECB/2008/32 Annex 2.Part 2.9.4\n110\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n120\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\nECB/2008/32 Annex 2.Part 2.9.1\n130\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\nECB/2008/32 Annex 2.Part 2.9.2\n140\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n150\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\nECB/2008/32 Annex 2.Part 2.9.4\n160\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n170\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\nECB/2008/32 Annex 2.Part 2.9.1\n180\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\nECB/2008/32 Annex 2.Part 2.9.2\n190\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n200\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\nECB/2008/32 Annex 2.Part 2.9.4\n210\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n220\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\nECB/2008/32 Annex 2.Part 2.9.1\n230\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\nECB/2008/32 Annex 2.Part 2.9.2\n240\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n250\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\nECB/2008/32 Annex 2.Part 2.9.4\n260\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n270\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\nECB/2008/32 Annex 2.Part 2.9.1\n280\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\nECB/2008/32 Annex 2.Part 2.9.2\n290\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n300\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\nECB/2008/32 Annex 2.Part 2.9.4\n310\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n320\nCurrent accounts / overnight deposits\nECB/2008/32 Annex 2.Part 2.9.1\nECB/2008/32 Annex 2.Part 2.9.1\n330\nDeposits with agreed maturity\nECB/2008/32 Annex 2.Part 2.9.2\nECB/2008/32 Annex 2.Part 2.9.2\n340\nDeposits redeemable at notice\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\nECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51\n350\nRepurchase agreements\nECB/2008/32 Annex 2.Part 2.9.4\nECB/2008/32 Annex 2.Part 2.9.4\n360\nDebt securities issued\nAnnex V.Part 1.31; Annex V.Part 2.52\nAnnex V.Part 1.31; Annex V.Part 2.52\n370\nCertificates of deposits\nAnnex V.Part 2.52(a)\nAnnex V.Part 2.52(a)\n380\nAsset-backed securities\nCRR art 4(61)\nCRR art 4(61)\n390\nCovered bonds\nCRR art 129(1)\nCRR art 129(1)\n400\nHybrid contracts\nAnnex V.Part 2.52(d)\nIAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d)\n410\nOther debt securities issued\nAnnex V.Part 2.52(e)\nAnnex V.Part 2.52(e)\n420\nConvertible compound financial instruments\nIAS 32.AG 31\n430\nNon-convertible\n440\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n450\nFINANCIAL LIABILITIES\n8.2\nSubordinated financial liabilities\nCarriyng amount\nDesignated at fair value through profit or loss\nAt amortized cost\nAt a cost-based method\nReferences National GAAP compatible IFRS\nIFRS 7.8(e)(i); IAS 39.9\nIFRS 7.8(f); IAS 39.47\nReferences National GAAP\n4th Directive art 42a(1), (5a); IAS 39.9\n4th Directive art 42a(3), (5a); IAS 39.47\n4th Directive art 42a(3)\n010\n020\n030\n010\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n020\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n030\nSUBORDINATED FINANCIAL LIABILITIES\nAnnex V.Part 2.53-54\nAnnex V.Part 2.53-54\n9.\nLoan commitments, financial guarantees and other commitments\n9.1\nOff-balance sheet exposures: Loan commitments, financial guarantees and other commitments given\nReferences National GAAP\nReferences National GAAP compatible IFRS\nNominal amount\nIFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62\nCRR Annex I; Annex V.Part 2.62\n010\n010\nLoan commitments given\nCRR Annex I; Annex V.Part 2.56-57\nIAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57\n021\nof which: non-performing\nAnnex V.Part 2. 145-162\nAnnex V.Part 2. 145-162\n030\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n040\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n050\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n060\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n070\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n080\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n090\nFinancial guarantees given\nCRR Annex I; Annex V.Part 2.56,58\nIAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58\n101\nof which: non-performing\nAnnex V.Part 2. 145-162\nAnnex V.Part 2. 145-162\n110\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n120\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n130\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n140\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n150\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n160\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n170\nOther Commitments given\nCRR Annex I; Annex V.Part 2.56, 59\nCRR Annex I; Annex V.Part 2.56, 59\n181\nof which: non-performing\nAnnex V.Part 2. 145-162\nAnnex V.Part 2. 145-162\n190\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n200\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n210\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n220\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n230\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n240\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n9.2\nLoan commitments, financial guarantees and other commitments received\nReferences National GAAP\nReferences National GAAP compatible IFRS\nMaximum amount of the guarantee that can be considered\nNominal amount\nIFRS 7.36 (b); Annex V.Part 2.63\nAnnex V.Part 2.63\nAnnex V.Part 2.63\nAnnex V.Part 2.63\n010\n020\n010\nLoan commitments received\nAnnex V.Part 2.56-57\nIAS 39.2(h), 4(a)(c), BC 15; Annex V.Part 2.56-57\n020\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n030\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n040\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n050\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n060\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n070\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n080\nFinancial guarantees received\nAnnex V.Part 2.56, 58\nIAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58\n090\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n100\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n110\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n120\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n130\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n140\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n150\nOther Commitments received\nAnnex V.Part 2.56, 59\nAnnex V.Part 2.56, 59\n160\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n170\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n180\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n190\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n200\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n210\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n10.\nDerivatives — Trading\nBy type of risk / By product or by type of market\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\nMark-to-market [Mark-to-Model] value\nNotional amount\nFinancial assets held for trading\nFinancial liabilities held for trading\nPositive value. Trading\nNegative value. Trading\nTotal Trading\nof which: sold\nAnnex V.Part 2.69\nAnnex V.Part 2.69\nAnnex V.Part 2.70-71\nAnnex V.Part 2.72\nCRR art 105\nCRR art 105\nAnnex V.Part 2.70-71\nAnnex V.Part 2.72\n010\n020\n022\n025\n030\n040\n010\nInterest rate\nAnnex V.Part 2.67(a)\nAnnex V.Part 2.67(a)\n020\nof which: economic hedges\nAnnex V.Part 2.74\nAnnex V.Part 2.74\n030\nOTC options\n040\nOTC other\n050\nOrganized market options\n060\nOrganized market other\n070\nEquity\nAnnex V.Part 2.67(b)\nAnnex V.Part 2.67(b)\n080\nof which: economic hedges\nAnnex V.Part 2.74\nAnnex V.Part 2.74\n090\nOTC options\n100\nOTC other\n110\nOrganized market options\n120\nOrganized market other\n130\nForeign exchange and gold\nAnnex V.Part 2.67(c)\nAnnex V.Part 2.67(c)\n140\nof which: economic hedges\nAnnex V.Part 2.74\nAnnex V.Part 2.74\n150\nOTC options\n160\nOTC other\n170\nOrganized market options\n180\nOrganized market other\n190\nCredit\nAnnex V.Part 2.67(d)\nAnnex V.Part 2.67(d)\n200\nof which: economic hedges\nAnnex V.Part 2.74\nAnnex V.Part 2.74\n210\nCredit default swap\n220\nCredit spread option\n230\nTotal return swap\n240\nOther\n250\nCommodity\nAnnex V.Part 2.67(e)\nAnnex V.Part 2.67(e)\n260\nof which: economic hedges\nAnnex V.Part 2.74\nAnnex V.Part 2.74\n270\nOther\nAnnex V.Part 2.67(f)\nAnnex V.Part 2.67(f)\n280\nof which: economic hedges\nAnnex V.Part 2.74\nAnnex V.Part 2.74\n290\nDERIVATIVES\nCRR Annex II; Annex V.Part 1.15\nIAS 39.9\n300\nof which: OTC - credit institutions\nAnnex V.Part 1.35(c), 2.75(a)\nAnnex V.Part 1.35(c), 2.75(a)\n310\nof which: OTC - other financial corporations\nAnnex V.Part 1.35(d), 2.75(b)\nAnnex V.Part 1.35(d), 2.75(b)\n320\nof which: OTC - rest\nAnnex V.Part 2.75(c)\nAnnex V.Part 2.75(c)\n11.\nDerivatives — Hedge accounting\n11.1\nDerivatives — Hedge accounting: Breakdown by type of risk and type of hedge\nBy product or by type of market\nReferences National GAAP compatible IFRS\nCarrying amount\nNotional amount\nAssets\nLiabilities\nTotal Hedging\nof which: sold\nAnnex V.Part 2.69\nAnnex V.Part 2.69\nAnnex V.Part 2.70, 71\nAnnex V.Part 2.72\n010\n020\n030\n040\n010\nInterest rate\nAnnex V.Part 2.67(a)\n020\nOTC options\n030\nOTC other\n040\nOrganized market options\n050\nOrganized market other\n060\nEquity\nAnnex V.Part 2.67(b)\n070\nOTC options\n080\nOTC other\n090\nOrganized market options\n100\nOrganized market other\n110\nForeign exchange and gold\nAnnex V.Part 2.67(c)\n120\nOTC options\n130\nOTC other\n140\nOrganized market options\n150\nOrganized market other\n160\nCredit\nAnnex V.Part 2.67(d)\n170\nCredit default swap\n180\nCredit spread option\n190\nTotal return swap\n200\nOther\n210\nCommodity\nAnnex V.Part 2.67(e)\n220\nOther\nAnnex V.Part 2.67(f)\n230\nFAIR VALUE HEDGES\nIFRS 7.22(b); IAS 39.86(a)\n240\nInterest rate\nAnnex V.Part 2.67(a)\n250\nOTC options\n260\nOTC other\n270\nOrganized market options\n280\nOrganized market other\n290\nEquity\nAnnex V.Part 2.67(b)\n300\nOTC options\n310\nOTC other\n320\nOrganized market options\n330\nOrganized market other\n340\nForeign exchange and gold\nAnnex V.Part 2.67(c)\n350\nOTC options\n360\nOTC other\n370\nOrganized market options\n380\nOrganized market other\n390\nCredit\nAnnex V.Part 2.67(d)\n400\nCredit default swap\n410\nCredit spread option\n420\nTotal return swap\n430\nOther\n440\nCommodity\nAnnex V.Part 2.67(e)\n450\nOther\nAnnex V.Part 2.67(f)\n460\nCASH FLOW HEDGES\nIFRS 7.22(b); IAS 39.86(b)\n470\nHEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION\nIFRS 7.22(b); IAS 39.86(c)\n480\nPORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK\nIAS 39.89A, IE 1-31\n490\nPORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK\nIAS 39 IG F6 1-3\n500\nDERIVATIVES-HEDGE ACCOUNTING\nIFRS 7.22(b); IAS 39.9\n510\nof which: OTC - credit institutions\nAnnex V.Part 1.35(c), 2.75(a)\n520\nof which: OTC - other financial corporations\nAnnex V.Part 1.35(d), 2.75(b)\n530\nof which: OTC - rest\nAnnex V.Part 2.75(c)\n11.2\nDerivatives — Hedge accounting under National GAAP: Breakdown by type of risk\nBy product or by type of market\nReferences National GAAP based on BAD\nNotional amount\nTotal Hedging\nof which: sold\nAnnex V.Part 2.70, 71\nAnnex V.Part 2.72\n010\n020\n010\nInterest rate\nAnnex V.Part 2.67(a)\n020\nOTC options\n030\nOTC other\n040\nOrganized market options\n050\nOrganized market other\n060\nEquity\nAnnex V.Part 2.67(b)\n070\nOTC options\n080\nOTC other\n090\nOrganized market options\n100\nOrganized market other\n110\nForeign exchange and gold\nAnnex V.Part 2.67(c)\n120\nOTC options\n130\nOTC other\n140\nOrganized market options\n150\nOrganized market other\n160\nCredit\nAnnex V.Part 2.67(d)\n170\nCredit default swap\n180\nCredit spread option\n190\nTotal return swap\n200\nOther\n210\nCommodity\nAnnex V.Part 2.67(e)\n220\nOther\nAnnex V.Part 2.67(f)\n230\nDERIVATIVES-HEDGE ACCOUNTING\n240\nof which: OTC - credit institutions\nAnnex V.Part 1.35(c), 2.75(a)\n250\nof which: OTC - other financial corporations\nAnnex V.Part 1.35(d), 2.75(b)\n260\nof which: OTC - rest\nAnnex V.Part 2.75(c)\n12.\nMovements in allowances for credit losses and impairment of equity instruments\nReferences National GAAP CRR article 428(i)\nReferences National GAAP compatible IFRS IFRS 7.16, B5 (d); CRR article 428(i)\nOpening balance\nIncreases due toamounts set aside for estimated loan losses during the period\nDecreases due toamounts reversed for estimated loan losses during the period\nDecreases due toamounts taken against allowances\nTransfers between allowances\nOther adjustments\nClosing balance\nRecoveries recorded directly to the statement of profit or loss\nValue adjustments recorded directly to the statement of profit or loss\nAnnex V.Part 2.77\nAnnex V.Part 2.77\nAnnex V.Part 2.78\nAnnex V.Part 2.78\nAnnex V.Part 2.77\nAnnex V.Part 2.77\nAnnex V.Part 2.78\nAnnex V.Part 2.78\n010\n020\n030\n040\n050\n060\n070\n080\n090\n010\nEquity instruments\n020\nSpecific allowances for financial assets, individually estimated\nCRR art 4(95); Annex V.Part 2.36\nIAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36\n030\nDebt securities\nAnnex V.Part 1.26\nAnnex V.Part 1.26\n040\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n050\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n060\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n070\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n080\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n090\nLoans and advances\nAnnex V.Part 1.27\nAnnex V.Part 1.27\n100\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n110\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n120\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n130\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n140\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n150\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n160\nSpecific allowances for financial assets, collectively estimated\nCRR art 4(95); Annex V.Part 2.37\nIAS 39.59, 64; Annex V.Part 2.37\n170\nDebt securities\nAnnex V.Part 1.26\nAnnex V.Part 1.26\n180\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n190\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n200\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n210\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n220\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n230\nLoans and advances\nAnnex V.Part 1.27\nAnnex V.Part 1.27\n240\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n250\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n260\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n270\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n280\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n290\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n300\nCollective allowances for incurred but not reported losses on financial assets\nCRR art 4(95); Annex V.Part 2.38\nIAS 39.59, 64; Annex V.Part 2.38\n310\nDebt securities\nAnnex V.Part 1.26\nAnnex V.Part 1.26\n320\nLoans and advances\nAnnex V.Part 1.27\nAnnex V.Part 1.27\n330\nSpecific allowances for credit risk\nCRR art 428 (g)(ii)\n340\nDebt securities\nAnnex V.Part 1.26\n350\nCentral banks\nAnnex V.Part 1.35(a)\n360\nGeneral governments\nAnnex V.Part 1.35(b)\n370\nCredit institutions\nAnnex V.Part 1.35(c)\n380\nOther financial corporations\nAnnex V.Part 1.35(d)\n390\nNon-financial corporations\nAnnex V.Part 1.35(e)\n400\nLoans and advances\nAnnex V.Part 1.17\n410\nCentral banks\nAnnex V.Part 1.35(a)\n420\nGeneral governments\nAnnex V.Part 1.35(b)\n430\nCredit institutions\nAnnex V.Part 1.35(c)\n440\nOther financial corporations\nAnnex V.Part 1.35(d)\n450\nNon-financial corporations\nAnnex V.Part 1.35(e)\n460\nHouseholds\nAnnex V.Part 1.35(f)\n470\nGeneral alowances for credit risk\nCRR art 4(95)\n480\nDebt securities\nAnnex V.Part 1.26\n490\nLoans and advances\nAnnex V.Part 1.27\n500\nGeneral allowance for banking risks\nBAD art 37.2; CRR art 4(95)\n510\nDebt securities\nAnnex V.Part 1.26\n520\nLoans and advances\nAnnex V.Part 1.27\n530\nTotal\n13.\nCollateral and guarantees received\n13.1\nBreakdown of loans and advances by collateral and guarantees\nGuarantees and collateral\nReferences National GAAP based on BAD\nMaximum amount of the collateral or guarantee that can be considered\nReferences National GAAP compatible IFRS\nMortgage loans [Loans collateralized by immovable property]\nOther collateralized loans\nFinancial guarantees received\nResidential\nCommercial\nCash [Debt instruments issued]\nRest\nIFRS 7.36(b)\nAnnex V.Part 2.81(a)\nAnnex V.Part 2.81(a)\nAnnex V.Part 2.81(b)\nAnnex V.Part 2.81(b)\nAnnex V.Part 2.81(c)\n010\n020\n030\n040\n050\n010\nLoans and advances\nAnnex V.Part 2.80\nAnnex V.Part 2.81\n020\nof which: Other financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n030\nof which: Non-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n040\nof which: Households\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n13.2\nCollateral obtained by taking possession during the period [held at the reporting date]\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\n010\n010\nNon-current assets held-for-sale\nIFRS 7.38(a)\n020\nProperty, plant and equipment\nIFRS 7.38(a)\n030\nInvestment property\nIFRS 7.38(a)\n040\nEquity and debt instruments\nIFRS 7.38(a)\n050\nOther\nIFRS 7.38(a)\n060\nTotal\n13.3\nCollateral obtained by taking possession [tangible assets] accumulated\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\n010\n010\nForeclosure [tangible assets]\nAnnex V.Part 2.84\nIFRS 7.38(a); Annex V.Part 2.84\n14.\nFair value hierachy: financial instruments at fair value\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nFair value hierarchy IFRS 13.93 (b)\nChange in fair value for the period Annex V.Part 2.86\nAccumulated change in fair value before taxes Annex V.Part 2.87\nLevel 1\nLevel 2\nLevel 3\nLevel 2\nLevel 3\nLevel 1\nLevel 2\nLevel 3\nIFRS 13.76\nIFRS 13.81\nIFRS 13.86\nIFRS 13.81\nIFRS 13.86, 93(f)\nIFRS 13.76\nIFRS 13.81\nIFRS 13.86\n010\n020\n030\n040\n050\n060\n070\n080\nASSETS\n010\nFinancial assets held for trading\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(ii); IAS 39.9, AG 14\n020\nDerivatives\nCRR Annex II\nIAS 39.9\n030\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n040\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n050\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n060\nFinancial assets designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(i); IAS 39.9\n070\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n080\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n090\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n100\nAvailable-for-sale financial assets\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8 (h)(d); IAS 39.9\n110\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n120\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n130\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n140\nDerivatives – Hedge accounting\n4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19\nIFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19\nLIABILITIES\n150\nFinancial liabilities held for trading\n4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15\nIFRS 7.8 (e) (ii); IAS 39.9, AG 14-15\n160\nDerivatives\nCRR Annex II\nIAS 39.9, AG 15(a)\n170\nShort positions\nIAS 39 AG 15(b)\n180\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n190\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n200\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n210\nFinancial liabilities designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8 (e) (i); IAS 39.9\n220\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n230\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n240\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n250\nDerivatives – Hedge accounting\n4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.19\nIFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19\n15.\nDerecognition and financial liabilities associated with transferred financial assets\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nTransferred financial assets entirely recognized\nTransferred financial assets recognized to the extent of the instution's continuing involvement\nPrincipal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights\nAmounts derecognised for capital purposes\nTransferred assets\nAssociated liabilitiesAnnex V.Part 2.89\nPrincipal amount outstanding of the original assets\nCarrying amount of assets still recognised [continuing involvement]\nCarrying amount of associated liabilites\nCarrying amount\nOf which: securitizations\nOf which: repurchase agreements\nCarrying amount\nOf which: securitizations\nOf which: repurchase agreements\nIFRS 7.42D.(e)\nIFRS 7.42D(e); CRR art 4(61)\nIFRS 7.42D(e); Annex V.Part 2.91, 92\nIFRS 7.42D(e)\nIFRS 7.42D.(e)\nIFRS 7.42D(e); Annex V.Part 2.91, 92\nIFRS 7.42D(f)\nIFRS 7.42D(f); Annex V.Part 2.89\nCRR art 109; Annex V.Part 2.90\nCRR art 4(61)\nAnnex V.Part 2.91, 92\nCRR art 4(61)\nAnnex V.Part 2.91, 92\nCRR art 109; Annex V.Part 2.90\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n010\nFinancial assets held for trading\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8 (a)(ii); IAS 39.9, AG 14\n020\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n030\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n040\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n041\nTrading financial assets\nAnnex V.Part 1.15\n042\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n043\nDebt securities\nAnnex V.Part 1.24, 26\n044\nLoans and advances\nAnnex V.Part 1.24, 27\n050\nFinancial assets designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(i); IAS 39.9\n060\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n070\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n080\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n090\nAvailable-for-sale financial assets\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(d); IAS 39.9\n100\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n110\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n120\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n121\nNon-trading non-derivative financial assets measured at fair value through profit or loss\n4th Directive art 42a(1), (4)\n122\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n123\nDebt securities\nAnnex V.Part 1.24, 26\n124\nLoan and advances\n4th Directive art 42a(1), (4)(b); part 1.14, part 3.35\n125\nNon-trading non-derivative financial assets measured at fair value to equity\n4th Directive art 42a(1); art 42c (2)\n126\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n127\nDebt securities\nAnnex V.Part 1.24, 26\n128\nLoan and advances\n4th Directive art 42a(1), (4)(b);part 1.14, part 3.35\n130\nLoans and receivables\n4th Directive art 42a(4)(b),(5a); IAS 39.9\nIFRS 7.8 (c); IAS 39.9, AG16, AG26\n140\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n150\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n160\nHeld-to-maturity investments\n4th Directive art 42a(4)(a),(5a); IAS 39.9\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n170\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n180\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n181\nNon-trading debt instruments measured at a cost-based method\nBAD art 37.1; art 42a(4)(b); Annex V.Part 1.16\n182\nDebt securities\nAnnex V.Part 1.24, 26\n183\nLoans and advances\nAnnex V.Part 1.24, 27\n184\nOther non-trading non-derivative financial assets\nBAD art 35-37\n185\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n186\nDebt securities\nAnnex V.Part 1.24, 26\n187\nLoans and advances\nAnnex V.Part 1.24, 27\n190\nTotal\n16.\nBreakdown of selected statement of profit or loss items\n16.1\nInterest income and expenses by instrument and counterparty sector\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\nIncome\nExpenses\nAnnex V.Part 2.95\nAnnex V.Part 2.95\n010\n020\n010\nDerivatives -Trading\nCRR Annex II; Annex V.Part 2.96\nIAS 39.9; Annex V.Part 2.96\n020\nDebt securities\nAnnex V.Part 1.26\nAnnex V.Part 1.26\n030\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n040\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n050\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n060\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n070\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n080\nLoans and advances\nAnnex V.Part 1.27\nAnnex V.Part 1.27\n090\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n100\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n110\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n120\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n130\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n140\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n150\nOther assets\nAnnex V.Part 1.51\nAnnex V.Part 1.51\n160\nDeposits\nECB/2008/32 Annex 2.Part 2.9\nECB/2008/32 Annex 2.Part 2.9\n170\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n180\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n190\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n200\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n210\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n220\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n230\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n240\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n250\nDerivatives - Hedge accounting, interest rate risk\nAnnex V.Part 2.95\nAnnex V.Part 2.95\n260\nOther Liabilities\nAnnex V.Part 2.10\nAnnex V.Part 2.10\n270\nINTEREST\nBAD art 27.Vertical layout(1), (2)\nIAS 18.35(b); IAS 1.97\n16.2\nGains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\n010\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n020\nDebt securities\nAnnex V.Part 1.26\nAnnex V.Part 1.26\n030\nLoans and advances\nAnnex V.Part 1.27\nAnnex V.Part 1.27\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9\nECB/2008/32 Annex 2.Part 2.9\n050\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n070\nGAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a)(v-vii); IAS 39.55(a)\n16.3\nGains or losses on financial assets and liabilities held for trading by instrument\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\n010\n010\nDerivatives\nCRR Annex II\nIAS 39.9\n020\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n030\nDebt securities\nAnnex V.Part 1.26\nAnnex V.Part 1.26\n040\nLoans and advances\nAnnex V.Part 1.27\nAnnex V.Part 1.27\n050\nShort positions\nIAS 39 AG 15(b)\n060\nDeposits\nECB/2008/32 Annex 2.Part 2.9\nECB/2008/32 Annex 2.Part 2.9\n070\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n080\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n090\nGAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a)(i)\n100\nDerivatives\nCRR Annex II\n110\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n120\nDebt securities\nAnnex V.Part 1.26\n130\nLoans and advances\nAnnex V.Part 1.27\n140\nShort positions\n150\nDeposits\nECB/2008/32 Annex 2.Part 2.9\n160\nDebt securities issued\nAnnex V.Part 1.31\n170\nOther financial liabilities\nAnnex V.Part 1.32-34\n180\nGAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET\nBAD art 27.Vertical layout(6)\n16.4\nGains or losses on financial assets and liabilities held for trading by risk\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\n010\n010\nInterest rate instruments and related derivatives\nAnnex V.Part 2.99(a)\nAnnex V.Part 2.99(a)\n020\nEquity instruments and related derivatives\nAnnex V.Part 2.99(b)\nAnnex V.Part 2.99(b)\n030\nForeign exchange trading and derivatives related with foreign exchange and gold\nAnnex V.Part 2.99(c)\nAnnex V.Part 2.99(c)\n040\nCredit risk instruments and related derivatives\nAnnex V.Part 2.99(d)\nAnnex V.Part 2.99(d)\n050\nDerivatives related with commodities\nAnnex V.Part 2.99(e)\nAnnex V.Part 2.99(e)\n060\nOther\nAnnex V.Part 2.99(f)\nAnnex V.Part 2.99(f)\n070\nGAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a)(i)\n080\nInterest rate instruments and related derivatives\nAnnex V.Part 2.99(a)\n090\nEquity instruments and related derivatives\nAnnex V.Part 2.99(b)\n100\nForeign exchange trading and derivatives related with foreign exchange and gold\nAnnex V.Part 2.99(c)\n110\nCredit risk instruments and related derivatives\nAnnex V.Part 2.99(d)\n120\nDerivatives related with commodities\nAnnex V.Part 2.99(e)\n130\nOther\nAnnex V.Part 2.99(f)\n140\nGAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET\nBAD art 27.Vertical layout(6)\n16.5\nGains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\nChanges in fair value due to credit risk\nAnnex V.Part 2.100\n010\n020\n010\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n020\nDebt securities\nAnnex V.Part 1.26\nAnnex V.Part 1.26\n030\nLoans and advances\nAnnex V.Part 1.27\nAnnex V.Part 1.27\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9\nECB/2008/32 Annex 2.Part 2.9\n050\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n070\nGAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a)(i)\n080\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n090\nDebt securities\nAnnex V.Part 1.26\n100\nLoans and advances\nAnnex V.Part 1.27\n110\nDeposits\nECB/2008/32 Annex 2.Part 2.9\n120\nDebt securities issued\nAnnex V.Part 1.31\n130\nOther financial liabilities\nAnnex V.Part 1.32-34\n140\nGAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NET\nBAD art 27.Vertical layout(6)\n16.6\nGains or losses from hedge accounting\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\n010\n010\nFair value changes of the hedging instrument [including discontinuation]\n4th Directive art 42a(1), (5a); art 42c(1)(a)\nIFRS 7.24(a)(i)\n020\nFair value changes of the hedged item attributable to the hedged risk\n4th Directive art 42a(1), (5a); art 42c(1)(a)\nIFRS 7.24(a)(ii)\n030\nIneffectiveness in profit or loss from cash flow hedges\n4th Directive art 42a(1), (5a); art 42c(1)(a)\nIFRS 7.24(b)\n040\nIneffectiveness in profit or loss from hedges of net investments in foreign operations\n4th Directive art 42a(1), (5a); art 42c(1)(a)\nIFRS 7.24(c)\n050\nGAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET\n4th Directive art 42a(1), (5a), art 42c(1)(a)\nIFRS 7.24\n16.7\nImpairment on financial and non-financial assets\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\nAdditions Annex V.Part 2.102\nReversals Annex V.Part 2.102\nTotal\nAccumulated impairment\n010\n020\n030\n040\n010\nImpairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss\nBAD art 35-37\nIFRS 7.20(e)\n020\nFinancial assets measured at cost\nIFRS 7.20(e); IAS 39.66\n030\nAvailable-for-sale financial assets\nIFRS 7.20(e); IAS 39.67-70\n040\nLoans and receivables\nIFRS 7.20(e); IAS 39.63-65\n050\nHeld-to-maturity investments\nIFRS 7.20(e); IAS 39.63-65\n060\nImpairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates\nBAD art 27.Vertical layout(13)-(14)\nIAS 28.40-43\n070\nSubsidiaries\nIFRS 10 Appendix A\n080\nJoint ventures\nIAS 28.3\n090\nAssociates\n4th Directive art 17\nIAS 28.3\n100\nImpairment or (-) reversal of impairment on non-financial assets\nIAS 36.126(a),(b)\n110\nProperty, plant and equipment\nBAD art 27.Vertical layout(9)\nIAS 16.73(e)(v-vi)\n120\nInvestment properties\nBAD art 27.Vertical layout(9)\nIAS 40.79(d)(v)\n130\nGoodwill\nBAD art 27.Vertical layout(9)\nIAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v)\n140\nOther intangible assets\nBAD art 27.Vertical layout(9)\nIAS 38.118(e)(iv)(v)\n145\nOther\nIAS 36.126(a),(b)\n150\nTOTAL\n160\nInterest income on impaired financial assets accrued\nIFRS 7.20(d); IAS 39.AG 93\n17.\nReconciliation between Accounting and CRR scope of consolidation: Balance Sheet\n17.1\nAssets\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nAccounting scope of consolidation [Carrying amount]\n010\n010\nCash, cash balances at central banks and other demand deposits\nBAD art 4.Assets(1)\nIAS 1.54 (i)\n020\nCash on hand\nAnnex V.Part 2.1\nAnnex V.Part 2.1\n030\nCash balances at central banks\nBAD art 13(2); Annex V.Part 2.2\nAnnex V.Part 2.2\n040\nOther demand deposits\nAnnex V.Part 2.3\n050\nFinancial assets held for trading\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(ii); IAS 39.9, AG 14\n060\nDerivatives\nCRR Annex II\nIAS 39.9\n070\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n080\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n090\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n091\nTrading financial assets\nAnnex V.Part 1.15\n092\nDerivatives\nCRR Annex II; Annex V.Part 1.15\n093\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n094\nDebt securities\nAnnex V.Part 1.24, 26\n095\nLoans and advances\nAnnex V.Part 1.24, 27\n100\nFinancial assets designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(i); IAS 39.9\n110\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n120\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n130\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n140\nAvailable-for-sale financial assets\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(d); IAS 39.9\n150\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n160\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n170\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n171\nNon-trading non-derivative financial assets measured at fair value through profit or loss\n4th Directive art 42a(1), (4)\n172\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n173\nDebt securities\nAnnex V.Part 1.24, 26\n174\nLoan and advances\n4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27\n175\nNon-trading non-derivative financial assets measured at fair value to equity\n4th Directive art 42a(1); art 42c (2)\n176\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n177\nDebt securities\nAnnex V.Part 1.24, 26\n178\nLoan and advances\n4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27\n180\nLoans and receivables\n4th Directive art 42a(4)(b),(5a); IAS 39.9\nIFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16\n190\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n200\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n210\nHeld-to-maturity investments\n4th Directive art 42a(4)(a),(5a); IAS 39.9\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n220\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n230\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n231\nNon-trading debt instruments measured at a cost-based method\nBAD art 37.1; art 42a(4)(b); Annex V.Part1.16\n232\nDebt securities\nAnnex V.Part 1.24, 26\n233\nLoans and advances\nAnnex V.Part 1.24, 27\n234\nOther non-trading non-derivative financial assets\nBAD art 35-37; Annex V.Part 1.17\n235\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n236\nDebt securities\nAnnex V.Part 1.24, 26\n237\nLoans and advances\nAnnex V.Part 1.24, 27\n240\nDerivatives – Hedge accounting\n4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19\nIFRS 7.22(b); IAS 39.9\n250\nFair value changes of the hedged items in portfolio hedge of interest rate risk\n4th Directive art 42a(5), (5a); IAS 39.89A (a)\nIAS 39.89A(a)\n260\nInvestments in subsidaries, joint ventures and associates\nBAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4\nIAS 1.54(e); Annex V.Part 2.4\n270\nAssets under reinsurance and insurance contracts\nIFRS 4.IG20.(b)-(c); Annex V.Part 2.105\n280\nTangible assets\nBAD art 4.Assets(10)\n290\nIntangible assets\nBAD art 4.Assets(9); CRR art 4(115)\nIAS 1.54(c); CRR art 4(115)\n300\nGoodwill\nBAD art 4.Assets(9); CRR art 4(113)\nIFRS 3.B67(d); CRR art 4(113)\n310\nOther intangible assets\nBAD art 4.Assets(9)\nIAS 38.8,118\n320\nTax assets\nIAS 1.54(n-o)\n330\nCurrent tax assets\nIAS 1.54(n); IAS 12.5\n340\nDeferred tax assets\n4th Directive art 43(1)(11); CRR art 4(106)\nIAS 1.54(o); IAS 12.5; CRR art 4(106)\n350\nOther assets\nAnnex V.Part 2.5\nAnnex V.Part 2.5\n360\nNon-current assets and disposal groups classified as held for sale\nIAS 1.54(j); IFRS 5.38, Annex V.Part 2.6\n370\nTOTAL ASSETS\nBAD art 4 Assets\nIAS 1.9(a), IG 6\n17.2\nOff-balance sheet exposures: Loan commitments, financial guarantees and other commitments given\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nAccounting scope of consolidation [Nominal amount]\n010\n010\nLoan commitments given\nCRR Annex I; Annex V.Part 2.56, 57\nIAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57\n020\nFinancial guarantees given\nCRR Annex I; Annex V.Part 2.56, 58\nIAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58\n030\nOther Commitments given\nCRR Annex I; Annex V.Part 2.56, 59\nCRR Annex I; Annex V.Part 2.56, 59\n040\nOFF-BALANCE SHEET EXPOSURES\n17.3\nLiabilities and equity\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nAccounting scope of consolidation [Carrying amount]\n010\n010\nFinancial liabilities held for trading\n4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15\nIFRS 7.8 (e) (ii); IAS 39.9, AG 14-15\n020\nDerivatives\nCRR Annex II\nIAS 39.9, AG 15(a)\n030\nShort positions\nIAS 39.AG 15(b)\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30\n050\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n061\nTrading financial liabilities\n4th Directive art 42a(3)\n062\nDerivatives\nCRR Annex II; Annex V.Part 1.15\n063\nShort positions\n064\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n065\nDebt securities issued\nAnnex V.Part 1.31\n066\nOther financial liabilities\nAnnex V.Part 1.32-34\n070\nFinancial liabilities designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8 (e)(i); IAS 39.9\n080\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n090\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n100\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n110\nFinancial liabilities measured at amortised cost\n4th Directive art 42a(3), (5a); IAS 39.47\nIFRS 7.8(f); IAS 39.47\n120\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n130\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n140\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n141\nNon-trading non-derivative financial liabilities measured at a cost-based method\n4th Directive art 42a(3)\n142\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n143\nDebt securities issued\nAnnex V.Part 1.31\n144\nOther financial liabilities\nAnnex V.Part 1.32-34\n150\nDerivatives – Hedge accounting\n4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23\nIFRS 7.22(b); IAS 39.9; Annex V.Part 1.23\n160\nFair value changes of the hedged items in portfolio hedge of interest rate risk\n4th Directive art 42a(5), (5a); IAS 39.89A(b)\nIAS 39.89A(b)\n170\nLiabilities under insurance and reinsurance contracts\nIFRS 4.IG20(a); Annex V.Part 2.106\n180\nProvisions\nBAD art 4.Liabilities(6)\nIAS 37.10; IAS 1.54(l)\n190\nTax liabilities\nIAS 1.54(n-o)\n200\nCurrent tax liabilities\nIAS 1.54(n); IAS 12.5\n210\nDeferred tax liabilities\n4th Directive art 43(1)(11); CRR art 4(108)\nIAS 1.54(o); IAS 12.5; CRR art 4(108)\n220\nShare capital repayable on demand\nIAS 32 IE 33; IFRIC 2; Annex V.Part 2.9\n230\nOther liabilities\nAnnex V.Part 2.10\nAnnex V.Part 2.10\n240\nLiabilities included in disposal groups classified as held for sale\nIAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11\n250\nLIABILITIES\nIAS 1.9(b);IG 6\n260\nCapital\nBAD art 4.Liabilities(9), BAD art 22\nIAS 1.54(r), BAD art 22\n270\nShare premium\nBAD art 4.Liabilities(10); CRR art 4(124)\nIAS 1.78(e); CRR art 4(124)\n280\nEquity instruments issued other than capital\nAnnex V.Part 2.15-16\nAnnex V.Part 2.15-16\n290\nOther equity\nAnnex V.Part 2.17\nIFRS 2.10; Annex V.Part 2.17\n300\nAccumulated other comprehensive income\nCRR art 4(100)\nCRR art 4(100)\n310\nRetained earnings\nCRR art 4(123)\nCRR art 4(123)\n320\nRevaluation reserves\nBAD art 4.Liabilities(12)\nIFRS 1.30, D5-D8\n325\nFair value reserves\n4th Directive art 42a(1)\n330\nOther reserves\nBAD art 4.Liabilities (11)-(13)\nIAS 1.54; IAS 1.78 (e)\n335\nFirst consolidation differences\n7th Directive 19(1)(c)\n340\n(-) Treasury shares\n4th Directive. Assets C (III)(7), D (III)(2); Annex V.Part 2.20\nIAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20\n350\nProfit or loss attributable to owners of the parent\nBAD art 4.Liabilities(14)\nIAS 27.28; IAS 1.83(a)(ii)\n360\n(-) Interim dividends\nCRR Article 26 (2)\nIAS 32.35\n370\nMinority interests [Non-controlling interests]\n7th Directive art 21\nIAS 27.4; IAS 1.54(q); IAS 27.27\n380\nTOTAL EQUITY\nIAS 1.9(c), IG 6\n390\nTOTAL EQUITY AND TOTAL LIABILITIES\nBAD art 4.Liabilities\nIAS 1.IG6\n18.\nInformation on performing and non-performing exposures\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nGross carrying amount\nAccumulated impairment, accumulated changes in fair value due to credit risk and provisions\nCollateral received and financial guarantees received\nPerforming\nNon-performing\non performing exposures\non non-performing exposures\nNot past due or Past due <= 30 days\nPast due > 30 days <= 60 days\nPast due > 60 days <= 90 days\nUnlikely to pay that are not past-due or past-due < = 90 days\nPast due > 90 days <= 180 days\nPast due > 180 days <= 1 year\nPast due > 1 year\nOf which: defaulted\nOf which: impaired\nUnlikely to pay that are not past-due or past-due < = 90 days\nPast due > 90 days <= 180 days\nPast due > 180 days <= 1 year\nPast due > 1 year\nCollateral received on non-performing exposues\nFinancial guarantees received on non-performing exposures\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\nAnnex V. Part 2. 45, 109, 145-162\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 158\nAnnex V. Part 2. 158\nAnnex V. Part 2. 158\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 159\nAnnex V. Part 2. 159\nAnnex V. Part 2. 159\nAnnex V. Part 2. 159\nCRR art 178; Annex V. Part 2.61\nIAS 39. 58-70\nAnnex V. Part 2. 46\nAnnex V. Part 2. 161\nAnnex V. Part 2. 161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 162\nAnnex V. Part 2. 162\nAnnex V. Part 2. 45, 109, 145-162\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 158\nAnnex V. Part 2. 158\nAnnex V. Part 2. 158\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 159\nAnnex V. Part 2. 159\nAnnex V. Part 2. 159\nAnnex V. Part 2. 159\nCRR art 178; Annex V. Part 2.61\nCRR art 4(95)\nAnnex V. Part 2. 46\nAnnex V. Part 2. 161\nAnnex V. Part 2. 161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 159,161\nAnnex V. Part 2. 162\nAnnex V. Part 2. 162\n010\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n020\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n030\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n040\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n050\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n060\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n070\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n080\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n090\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n100\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n110\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n120\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n130\nOf which: Small and Medium-sized Enterprises\nSME Art 1 2(a)\nSME Art 1 2(a)\n140\nOf which: Commercial real estate\n150\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n160\nOf which: Residential mortgage loans\n170\nOf which: Credit for consumption\n180\nDEBT INSTRUMENTS AT AMORTISED COST\nAnnex V. Part I. 13 (d)(e); 14 (d)(e)\nAnnex V. Part I. 13 (d)(e)\n190\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n200\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n210\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n220\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n230\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n240\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n250\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n260\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n270\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n280\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n290\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n300\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n310\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n320\nDEBT INSTRUMENTS AT FAIR VALUE other than HFT\nAnnex V. Part I. 13 (b)(c); 14 (b)(c)\nAnnex V. Part I. 13 (b)(c)\n330\nDEBT INSTRUMENTS other than HFT\nAnnex V. Part I. 13 (b)(c)(d)(e); 14 (b)(c)(d)(e)\nAnnex V. Part I. 13 (b)(c)(d)(e)\n340\nLoan commitments given\nCRR Annex I; Annex V.Part 2.56-57\nIAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57\n350\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n360\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n370\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n380\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n390\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n400\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n410\nFinancial guarantees given\nCRR Annex I; Annex V.Part 2.56,58\nIAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58\n420\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n430\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n440\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n450\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n460\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n470\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n480\nOther Commitments given\nCRR Annex I; Annex V.Part 2.56, 59\nCRR Annex I; Annex V.Part 2.56, 59\n490\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n500\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n510\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n520\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n530\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n540\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n550\nOFF-BALANCE SHEET EXPOSURES\nAnnex V.Part 2.55\nAnnex V.Part 2.55\n19.\nInformation forborne exposures\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nGross carrying amount of exposures with forbearance measures\nAccumulated impairment, accumulated changes in fair value due to credit risk and provisions\nCollateral received and financial guarantees received\nPerforming exposures with forbearance measures\nNon-performing exposures with forbearance measures\non perfoming exposures with forbearance measures\non non-performing exposures with forbearance measures\nInstruments with modifications in their terms and conditions\nRefinancing\nof which: Performing forborne exposures under probation\nInstruments with modifications in their terms and conditions\nRefinancing\nof which: Defaulted\nof which: Impaired\nof which: Forbearance of non-performing exposures\nInstruments with modifications in their terms and conditions\nRefinancing\nCollateral received on exposures with forbearance measures\nFinancial guarantees received on exposures with forbearance measures\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\nAnnex V. Part 2. 45, 109, 163-182\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 164 (a), 177, 178, 182\nAnnex V. Part 2. 164 (b), 177, 178, 181, 182\nAnnex V. Part 2. 176(b),177, 180\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 164 (a), 179-180, 182\nAnnex V. Part 2. 164 (b), 179-182\nCRR art 178; Annex V. Part 2.61\nIAS 39. 58-70\nAnnex V. Part 2. 172(a), 157\nAnnex V. Part 2. 46, 183\nAnnex V. Part 2. 145-183\nAnnex V. Part 2. 145-183\nAnnex V. Part 2. 164 (a), 179-180,182,183\nAnnex V. Part 2. 164 (b), 179-183\nAnnex V. Part 2. 162\nAnnex V. Part 2. 162\nAnnex V. Part 2. 45, 109, 163-182\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 164 (a), 177, 178, 182\nAnnex V. Part 2. 164 (b), 177, 178, 181, 182\nAnnex V. Part 2. 176(b), 177, 180\nAnnex V. Part 2. 145-162\nAnnex V. Part 2. 164 (a), 179-180,182\nAnnex V. Part 2. 164 (b), 179-182\nCRR art 178; Annex V. Part 2.61\nCRR art 4(95)\nAnnex V. Part 2. 172(a), 157\nAnnex V. Part 2. 46, 183\nAnnex V. Part 2. 145-183\nAnnex V. Part 2. 145-183\nAnnex V. Part 2. 164 (a), 179-180,182,183\nAnnex V. Part 2. 164 (b), 179-183\nAnnex V. Part 2. 162\nAnnex V. Part 2. 162\n010\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n020\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n030\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n040\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n050\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n060\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n070\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n080\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n090\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n100\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n110\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n120\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n130\nOf which: Small and Medium-sized Enterprises\nSME Art 1 2(a)\nSME Art 1 2(a)\n140\nOf which: Commercial real estate\n150\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n160\nOf which: Residential mortgage loans\n170\nOf which: Credit for consumption\n180\nDEBT INSTRUMENTS AT AMORTISED COST\nAnnex V. Part I. 13 (d)(e); 14 (d)(e)\nAnnex V. Part I. 13 (d)(e)\n190\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n200\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n210\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n220\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n230\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n240\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n250\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n260\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n270\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n280\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n290\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n300\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n310\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n320\nDEBT INSTRUMENTS AT FAIR VALUE other than HFT\nAnnex V. Part I. 13 (b)(c); 14 (b)(c)\nAnnex V. Part I. 13 (b)(c)\n330\nDEBT INSTRUMENTS other than HFT\nAnnex V. Part I. 13 (b)(c)(d)(e); 14 (b)(c)(d)(e)\nAnnex V. Part I. 13 (b)(c)(d)(e)\n340\nLoan commitments given\nCRR Annex I; Annex V.Part 2.56-57\nIAS 39.2 (h), 4 (a) (c), BC 15; CRR Annex I; Annex V.Part 2.56-57\n20.\nGeographical breakdown\n20.1\nGeographical breakdown of assets by location of the activities\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\nDomestic activitivies\nNon-domestic activities\nAnnex V.Part 2.107\nAnnex V.Part 2.107\n010\n020\n010\nCash, cash balances at central banks and other demand deposits\nBAD art 4.Assets(1)\nIAS 1.54 (i)\n020\nCash on hand\nAnnex V.Part 2.1\nAnnex V.Part 2.1\n030\nCash balances at central banks\nBAD art 13(2); Annex V.Part 2.2\nAnnex V.Part 2.2\n040\nOther demand deposits\nAnnex V.Part 2.3\n050\nFinancial assets held for trading\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(ii); IAS 39.9, AG 14\n060\nDerivatives\nCRR Annex II\nIAS 39.9\n070\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n080\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n090\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n091\nTrading financial assets\nAnnex V.Part 1.15\n092\nDerivatives\nCRR Annex II; Annex V.Part 1.15\n093\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n094\nDebt securities\nAnnex V.Part 1.24, 26\n095\nLoans and advances\nAnnex V.Part 1.24, 27\n100\nFinancial assets designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(i); IAS 39.9\n110\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n120\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n130\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n140\nAvailable-for-sale financial assets\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(d); IAS 39.9\n150\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n160\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n170\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n171\nNon-trading non-derivative financial assets measured at fair value through profit or loss\n4th Directive art 42a(1), (4)\n172\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n173\nDebt securities\nAnnex V.Part 1.24, 26\n174\nLoan and advances\n4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27\n175\nNon-trading non-derivative financial assets measured at fair value to equity\n4th Directive art 42a(1); art 42c (2)\n176\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n177\nDebt securities\nAnnex V.Part 1.24, 26\n178\nLoan and advances\n4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27\n180\nLoans and receivables\n4th Directive art 42a(4)(b),(5a); IAS 39.9\nIFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16\n190\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n200\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n210\nHeld-to-maturity investments\n4th Directive art 42a(4)(a),(5a); IAS 39.9\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n220\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n230\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n231\nNon-trading debt instruments measured at a cost-based method\nBAD art 37.1; art 42a(4)(b); Annex V.Part1.16\n232\nDebt securities\nAnnex V.Part 1.24, 26\n233\nLoans and advances\nAnnex V.Part 1.24, 27\n234\nOther non-trading non-derivative financial assets\nBAD art 35-37; Annex V.Part 1.17\n235\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\n236\nDebt securities\nAnnex V.Part 1.24, 26\n237\nLoans and advances\nAnnex V.Part 1.24, 27\n240\nDerivatives – Hedge accounting\n4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19\nIFRS 7.22(b); IAS 39.9\n250\nFair value changes of the hedged items in portfolio hedge of interest rate risk\n4th Directive art 42a(5), (5a); IAS 39.89A (a)\nIAS 39.89A(a)\n260\nInvestments in subsidaries, joint ventures and associates\nBAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4\nIAS 1.54(e); Annex V.Part 2.4\n270\nTangible assets\nBAD art 4.Assets(10)\n280\nIntangible assets\nBAD art 4.Assets(9); CRR art 4(115)\nIAS 1.54(c); CRR art 4(115)\n290\nTax assets\nIAS 1.54(n-o)\n300\nOther assets\nAnnex V.Part 2.5\nAnnex V.Part 2.5\n310\nNon-current assets and disposal groups classified as held for sale\nIAS 1.54(j); IFRS 5.38\n320\nASSETS\nBAD art 4 Assets\nIAS 1.9(a), IG 6\n20.2\nGeographical breakdown of liabilities by location of the activities\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\nDomestic activitivies\nNon-domestic activities\nAnnex V.Part 2.107\nAnnex V.Part 2.107\n010\n020\n010\nFinancial liabilities held for trading\n4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15\nIFRS 7.8 (e) (ii); IAS 39.9, AG 14-15\n020\nDerivatives\nCRR Annex II\nIAS 39.9, AG 15(a)\n030\nShort positions\nIAS 39.AG 15(b)\n040\nDeposits\nECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30\n050\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n060\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n061\nTrading financial liabilities\n4th Directive art 42a(3)\n062\nDerivatives\nCRR Annex II; Annex V.Part 1.15\n063\nShort positions\n064\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n065\nDebt securities issued\nAnnex V.Part 1.31\n066\nOther financial liabilities\nAnnex V.Part 1.32-34\n070\nFinancial liabilities designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8 (e)(i); IAS 39.9\n080\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n090\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n100\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n110\nFinancial liabilities measured at amortised cost\n4th Directive art 42a(3), (5a); IAS 39.47\nIFRS 7.8(f); IAS 39.47\n120\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n130\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n140\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n141\nNon-trading non-derivative financial liabilities measured at a cost-based method\n4th Directive art 42a(3)\n142\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n143\nDebt securities issued\nAnnex V.Part 1.31\n144\nOther financial liabilities\nAnnex V.Part 1.32-34\n150\nDerivatives – Hedge accounting\n4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23\nIFRS 7.22(b); IAS 39.9; Annex V.Part 1.23\n160\nFair value changes of the hedged items in portfolio hedge of interest rate risk\n4th Directive art 42a(5), (5a); IAS 39.89A(b)\nIAS 39.89A(b)\n170\nProvisions\nBAD art 4.Liabilities(6)\nIAS 37.10; IAS 1.54(l)\n180\nTax liabilities\nIAS 1.54(n-o)\n190\nShare capital repayable on demand\nIAS 32.IE 33; IFRIC 2; Annex V.Part 2.09\n200\nOther liabilities\nAnnex V.Part 2.10\nAnnex V.Part 2.10\n210\nLiabilities included in disposal groups classified as held for sale\nIAS 1.54(p); IFRS 5.38\n220\nLIABILITIES\nIAS 1.9(b);IG 6\n20.3\nGeographical breakdown of statement of profit or loss items by location of the activities\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\nDomestic activitivies\nNon-domestic activities\nAnnex V.Part 2.107\nAnnex V.Part 2.107\n010\n020\n010\nInterest income\nBAD art 27.Vertical layout(1); Annex V.Part 2.21\nIAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21\n020\n(Interest expense)\nBAD art 27.Vertical layout(2); Annex V.Part 2.21\nIAS 1.97; Annex V.Part 2.21\n030\n(Expenses on share capital repayable on demand)\nIFRIC 2.11\n040\nDividend income\nBAD art 27.Vertical layout(3); Annex V.Part 2.28\nIAS 18.35(b)(v); Annex V.Part 2.28\n050\nFee and commission income\nBAD art 27.Vertical layout(4)\nIFRS 7.20(c)\n060\n(Fee and commission expenses)\nBAD art 27.Vertical layout(5)\nIFRS 7.20(c)\n070\nGains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a)(ii-v)\n080\nGains or (-) losses on financial assets and liabilities held for trading, net\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a)(i); IAS 39.55(a)\n085\nGains or (-) losses on trading financial assets and liabilities, net\nBAD art 27.Vertical layout(6)\n090\nGains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a) (i); IAS 39.55(a)\n095\nGains or (-) losses on non trading financial assets and liabilities, net\nBAD art 27.Vertical layout(6)\n100\nGains or (-) losses from hedge accounting, net\n4th Directive art 42a(1), (5a), art 42c(1)(a)\nIFRS 7.24\n110\nExchange differences [gain or (-) loss], net\nBAD art 39\nIAS 21.28, 52(a)\n120\nGains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net\nBAD art 27.Vertical layout(13)-(14)\n130\nGains or (-) losses on derecognition of non financial assets, net\nIAS 1.34\n140\nOther operating income\nBAD art 27.Vertical layout(7); Annex V.Part 2.141-143\nAnnex V.Part 2.141-143\n150\n(Other operating expenses)\nBAD art 27.Vertical layout(10); Annex V.Part 2.141-143\nAnnex V.Part 2.141-143\n155\nTOTAL OPERATING INCOME, NET\n160\n(Administrative expenses)\nBAD art 27.Vertical layout(8)\n170\n(Depreciation)\nIAS 1.102, 104\n175\n(Increases or (-) decreases of the fund for general banking risks, net)\nBAD art 38.2\n180\n(Provisions or (-) reversal of provisions)\nIAS 37.59, 84; IAS 1.98(b)(f)(g)\n190\n(Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)\nBAD art 35-37\nIFRS 7.20(e)\n200\n(Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates)\nBAD art 27.Vertical layout(13)-(14)\nIAS 28.40-43\n210\n(Impairment or (-) reversal of impairment on non-financial assets)\nIAS 36.126(a)(b)\n220\nNegative goodwill recognised in profit or loss\n7th Directive art 31\nIFRS 3.Appendix B64(n)(i)\n230\nShare of the profit or (-) loss of investments in subsidaries, joint ventures and associates\nBAD art 27.Vertical layout(13)-(14)\nIAS 1.82(c)\n240\nProfit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations\nIFRS 5.37; Annex V.Part 2.27\n250\nPROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS\nIAS 1.102, IG 6; IFRS 5.33 A\n260\n(Tax expense or (-) income related to profit or loss from continuing operations)\nBAD art 27.Vertical layout(15)\nIAS 1.82(d); IAS 12.77\n270\nPROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS\nBAD art 27.Vertical layout(16)\nIAS 1, IG 6\n275\nExtraordinary profit or (-) loss after tax\nBAD art 27.Vertical layout(21)\n280\nProfit or (-) loss after tax from discontinued operations\nIAS 1.82(e); IFRS 5.33(a), 5.33 A\n290\nPROFIT OR (-) LOSS FOR THE YEAR\nBAD art 27.Vertical layout(23)\nIAS 1.81A(a)\n20.4\nGeographical breakdown of assets by residence of the counterparty\nz-axis\nCountry of residence of the counterparty\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nGross carrying amount\nOf which: debt forbearance\nOf which: non-perfoming\nAccumulated impairment or Accumulated changes in fair value due to credit risk\nAnnex V.Part 2.109\nAnnex V.Part 2.163-183\nAnnex V.Part 2. 145-162\nAnnex V.Part 2.46\n010\n022\n025\n030\n010\nDerivatives\nCRR Annex II; Annex V.Part 1.15\nIAS 39.9\n020\nOf which: credit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n030\nOf which: other financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n040\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n050\nOf which: credit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n060\nOf which: other financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n070\nOf which: non-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n080\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n090\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n100\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n110\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n120\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n130\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n140\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n150\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n160\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n170\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n180\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n190\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n200\nOf which: Small and Medium-sized Enterprises\nSME Art 1 2(a)\nSME Art 1 2(a)\n210\nOf which: Loans collateralized by commercial immovable property\n220\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n230\nOf which: Loans collateralized by residential immovable property\n240\nOf which: Credit for consumption\n20.5\nGeographical breakdown of off-balance sheet exposures by residence of the counterparty\nz-axis\nCountry of residence of the counterparty\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nNominal amount\nOf which: debt forbearance\nOf which: non-perfoming\nProvisions for commitments and guarantees given\nAnnex V.Part 2.62\nAnnex V.Part 2.163-183\nAnnex V.Part 2. 145-162\n010\n022\n025\n030\n010\nLoan commitments given\nCRR Annex I; Annex V.Part 2.56, 57\nIAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57\n020\nFinancial guarantees given\nCRR Annex I; Annex V.Part 2.56, 58\nIAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58\n030\nOther Commitments given\nCRR Annex I; Annex V.Part 2.56, 59\nCRR Annex I; Annex V.Part 2.56, 59\n20.6\nGeographical breakdown of liabilities by residence of the counterparty\nz-axis\nCountry of residence of the counterparty\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\nAnnex V.Part 1.28, 2.107\n010\n010\nDerivatives\nCRR Annex II\nIAS 39.9, AG 15(a)\n020\nOf which: credit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n030\nOf which: other financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n040\nShort positions\nIAS 39 AG 15(b)\n050\nOf which: credit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n060\nOf which: other financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n070\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n080\nCentral banks\nAnnex V.Part 1.35(a)\nAnnex V.Part 1.35(a)\n090\nGeneral governments\nAnnex V.Part 1.35(b)\nAnnex V.Part 1.35(b)\n100\nCredit institutions\nAnnex V.Part 1.35(c)\nAnnex V.Part 1.35(c)\n110\nOther financial corporations\nAnnex V.Part 1.35(d)\nAnnex V.Part 1.35(d)\n120\nNon-financial corporations\nAnnex V.Part 1.35(e)\nAnnex V.Part 1.35(e)\n130\nHouseholds\nAnnex V.Part 1.35(f)\nAnnex V.Part 1.35(f)\n20.7\nGeographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes\nz-axis\nCountry of residence of the counterparty\nNon-financial corporations\nGross carrying amount\nOf which: non-performing\nAccumulated impairment or Accumulated changes in fair value due to credit risk\nReferences National GAAP compatible IFRS\nAnnex V.Part 2.109\nAnnex V.Part 2. 145-162\nAnnex V.Part 2.46\nReferences National GAAP based on BAD\nAnnex V.Part 2.109\nAnnex V.Part 2. 145-162\nAnnex V.Part 2.46\n010\n012\n020\n010\nA\nAgriculture, forestry and fishing\nNACE Regulation\n020\nB\nMining and quarrying\nNACE Regulation\n030\nC\nManufacturing\nNACE Regulation\n040\nD\nElectricity, gas, steam and air conditioning supply\nNACE Regulation\n050\nE\nWater supply\nNACE Regulation\n060\nF\nConstruction\nNACE Regulation\n070\nG\nWholesale and retail trade\nNACE Regulation\n080\nH\nTransport ans storage\nNACE Regulation\n090\nI\nAccommodation and food service activities\nNACE Regulation\n100\nJ\nInformation and communication\nNACE Regulation\n110\nL\nReal estate activities\nNACE Regulation\n120\nM\nProfessional, scientific and technical activities\nNACE Regulation\n130\nN\nAdministrative and support service activities\nNACE Regulation\n140\nO\nPublic administration and defence, compulsory social security\nNACE Regulation\n150\nP\nEducation\nNACE Regulation\n160\nQ\nHuman health services and social work activities\nNACE Regulation\n170\nR\nArts, entertainment and recreation\nNACE Regulation\n180\nS\nOther services\nNACE Regulation\n190\nLOANS AND ADVANCES\nAnnex V.Part 1.24, 27\n21.\nTangible and intangible assets: assets subject to operating lease\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\nAnnex V.Part 2. 110-111\n010\n010\nProperty plant and equipment\nIAS 16.6; IAS 1.54(a)\n020\nRevaluation model\nIAS 17.49; IAS 16.31, 73(a)(d)\n030\nCost model\nIAS 17.49; IAS 16.30, 73(a)(d)\n040\nInvestment property\nIAS 40.IN5; IAS 1.54(b)\n050\nFair value model\nIAS 17.49; IAS 40.33-55, 76\n060\nCost model\nIAS 17.49; IAS 40.56,79(c)\n070\nOther intangible assets\nBAD art 4.Assets(9)\nIAS 38.8, 118\n080\nRevaluation model\nIAS 17.49; IAS 38.75-87, 124(a)(ii)\n090\nCost model\nIAS 17.49; IAS 38.74\n22.\nAsset management, custody and other service functions\n22.1\nFee and commission income and expenses by activity\nReferences National GAAP based on BAD BAD art 27.Vertical layout(4), (5)\nReferences National GAAP compatible IFRS IFRS 7.20(c)\nCurrent period\n010\n010\nFee and commission income\nITS 2.Part 2.10-12\n020\nSecurities\n030\nIssuances\nAnnex V.Part 2.116(a)\nAnnex V.Part 2.116(a)\n040\nTransfer orders\nAnnex V.Part 2.116(b)\nAnnex V.Part 2.116(b)\n050\nOther\nAnnex V.Part 2.116(c)\nAnnex V.Part 2.116(c)\n060\nClearing and settlement\nAnnex V.Part 2.116(d)\nAnnex V.Part 2.116(d)\n070\nAsset management\nAnnex V.Part 2.116(e); Annex V.Part 2.117(a)\nAnnex V.Part 2.116(e); Annex V.Part 2.117(a)\n080\nCustody [by type of customer]\nAnnex V.Part 2.116(e); Annex V.Part 2.117(b)\nAnnex V.Part 2.116(e); Annex V.Part 2.117(b)\n090\nCollective investment\n100\nOther\n110\nCentral administrative services for collective investment\nAnnex V.Part 2.116(e); Annex V.Part 2.117(c)\nAnnex V.Part 2.116(e); Annex V.Part 2.117(c)\n120\nFiduciary transactions\nAnnex V.Part 2.116(e); Annex V.Part 2.117(d)\nAnnex V.Part 2.116(e); Annex V.Part 2.117(d)\n130\nPayment services\nAnnex V.Part 2.116(e); Annex V.Part 2.117(e)\nAnnex V.Part 2.116(e); Annex V.Part 2.117(e)\n140\nCustomer resources distributed but not managed [by type of product]\nAnnex V.Part 2.117(f)\nAnnex V.Part 2.117(f)\n150\nCollective investment\n160\nInsurance products\n170\nOther\n180\nStructured Finance\nAnnex V.Part 2.116(f)\nAnnex V.Part 2.116(f)\n190\nServicing of securitization activities\nAnnex V.Part 2.116(g)\nAnnex V.Part 2.116(g)\n200\nLoan commitments given\nAnnex V.Part 2.116(h)\nIAS 39.47(d)(ii); Annex V.Part 2.116(h)\n210\nFinancial guarantees given\nAnnex V.Part 2.116(h)\nIAS 39.47(c)(ii); Annex V.Part 2.116(h)\n220\nOther\nAnnex V.Part 2.116(j)\nAnnex V.Part 2.116(j)\n230\n(Fee and commission expenses)\nITS 2.Part 2.10-12\n240\n(Clearing and settlement)\nAnnex V.Part 2.116(d)\nAnnex V.Part 2.116(d)\n250\n(Custody)\nAnnex V.Part 2.117(b)\nAnnex V.Part 2.117(b)\n260\n(Servicing of securitization activities)\nAnnex V.Part 2.116(g)\nAnnex V.Part 2.116(g)\n270\n(Loan commitments received)\nAnnex V.Part 2.116(i)\nAnnex V.Part 2.116(i)\n280\n(Financial guarantees received)\nAnnex V.Part 2.116(i)\nAnnex V.Part 2.116(i)\n290\n(Other)\nAnnex V.Part 2.116(j)\nAnnex V.Part 2.116(j)\n22.2\nAssets involved in the services provided\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nAmount of the assets involved in the services provided\nAnnex V.Part 2.117(g)\n010\n010\nAsset management [by type of customer]\nAnnex V.Part 2.117(a)\nAnnex V.Part 2.117(a)\n020\nCollective investment\n030\nPension funds\n040\nCustomer portfolios managed on a discretionary basis\n050\nOther investment vehicles\n060\nCustody assets [by type of customer]\nAnnex V.Part 2.117(b)\nAnnex V.Part 2.117(b)\n070\nCollective investment\n080\nOther\n090\nOf which: entrusted to other entities\n100\nCentral administrative services for collective investment\nAnnex V.Part 2.117(c)\nAnnex V.Part 2.117(c)\n110\nFiduciary transactions\nAnnex V.Part 2.117(d)\nAnnex V.Part 2.117(d)\n120\nPayment services\nAnnex V.Part 2.117(e)\nAnnex V.Part 2.117(e)\n130\nCustomer resources distributed but not managed [by type of product]\nAnnex V.Part 2.117(f)\nAnnex V.Part 2.117(f)\n140\nCollective investment\n150\nInsurance products\n160\nOther\n30.\nOff-balance sheet activities: Interests in unconsolidated structured entities\n30.1\nInterests in unconsolidated structured entities\nReferences National GAAP compatible IFRS\nCarrying amount of financial assets recognised in the balance sheet\nOf which: liquidity support drawn\nFair value of liquidity support drawn\nCarrying amount of financial liabilities recognised in the balance sheet\nNominal amount of off-balance sheet items given by the reporting institution\nOf which: Nominal amount of loan commitments given\nLosses incurred by the reporting institution in the current period\nIFRS 12.29(a)\nIFRS 12.29(a); Annex V.Part 2.118\nIFRS 12.29(a)\nIFRS 12.B26(e)\nIFRS 12 B26(b)\n010\n020\n030\n040\n050\n060\n070\n010\nTotal\n30.2\nBreakdown of interests in unconsolidated structured entities by nature of the activities\nBy nature of the activities\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nSecuritisation Special Purpose Entities\nAsset management\nOther activities\nCRR art 4 (66)\nAnnex V.Part 2.117(a)\nCarrying amount\nIFRS 12.28, B6.(a)\n010\n020\n030\n010\nSelected financial assets recognised in the reporting institution's balance sheet\nIFRS 12.29(a),(b)\n021\nof which: non-performing\nAnnex V.Part 2. 145-162\nAnnex V.Part 2. 145-163\n030\nDerivatives\nCRR Annex II; Annex V.Part 1.6\nIAS 39.9\n040\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n050\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n060\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n070\nSelected equity and financial liabilites recognised in the reporting institution's balance sheet\nIFRS 12.29(a),(b)\n080\nEquity instruments issued\nIAS 32.4\n090\nDerivatives\nCRR Annex II\nIAS 39.9, AG 15 (a)\n100\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n110\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\nNominal amount\n120\nOff-balance sheet items given by the reporting institution\nIFRS 12.B26.(e)\n131\nof which: non-performing\nAnnex V.Part 2. 145-162\nAnnex V.Part 2. 145-162\n31.\nRelated parties\n31.1\nRelated parties: amounts payable to and amounts receivable from\nOutstanding balances\nParent and entities with joint control or significant influence\nSubsidiaries and other entities of the same group\nAssociates and joint ventures\nKey management of the institution or its parent\nOther related parties\nReferences National GAAP compatible IFRS\nIAS 24.19(a),(b)\nIAS 24.19(c); Annex V.Part 2.120\nIAS 24.19(d),(e); Annex V.Part 2.120\nIAS 24.19(f)\nIAS 24.19(g)\nReferences National GAAP based on BAD\n4th Directive art 43(7a)\n4th Directive art 43(7a)\n4th Directive art 43(7a)\n4th Directive art 43(7a)\n4th Directive art 43(7a)\nAnnex V.Part 2.120\nAnnex V.Part 2.120\n010\n020\n030\n040\n050\n010\nSelected financial assets\nIAS 24.18(b)\n020\nEquity instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n030\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n040\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n050\nof which: Impaired financial assets\n060\nSelected financial liabilities\nIAS 24.18(b)\n070\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n080\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n090\nNominal amount of loan commitments, financial guarantees and other commitments given\nAnnex V.Part 2.62\nIAS 24.18(b); Annex V.Part 2.62\n100\nof which: defaulted\nAnnex V.Part 2.61\nIAS 24.18(b); Annex V.Part 2.61\n110\nLoan commitments, financial guarantees and other commitments received\nAnnex V.Part 2.63, 121\nIAS 24.18(b); Annex V.Part 2.63, 121\n120\nNotional amount of derivatives\nAnnex V.Part 2.70-71\nAnnex V.Part 2.70-71\n130\nAllowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments\nIAS 24.18(c)\n31.2\nRelated parties: expenses and income generated by transactions with\nCurrent period\nParent and entities with joint control or significant influence\nSubsidiaries and other entities of the same group\nAssociates and joint ventures\nKey management of the institution or its parent\nOther related parties\nReferences National GAAP compatible IFRS\nIAS 24.19(a),(b)\nIAS 24.19(c)\nIAS 24.19(d),(e)\nIAS 24.19(f)\nIAS 24.19(g)\nReferences National GAAP based on BAD\nAnnex V.Part 2.120\nAnnex V.Part 2.120\n010\n020\n030\n040\n050\n010\nInterest income\nBAD art 27.Vertical layout(1); Annex V.Part 2.21\nIAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21\n020\nInterest expenses\nBAD art 27.Vertical layout(2); Annex V.Part 2.21\nIAS 24.18(a); IAS 1.97; Annex V.Part 2.21\n030\nDividend income\nBAD art 27.Vertical layout(3); Annex V.Part 2.28\nIAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28\n040\nFee and commission income\nBAD art 27.Vertical layout(4)\nIAS 24.18(a); IFRS 7.20(c)\n050\nFee and commission expenses\nBAD art 27.Vertical layout(5)\nIAS 24.18(a); IFRS 7.20(c)\n060\nGains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss\nBAD art 27.Vertical layout(6)\nIAS 24.18(a)\n070\nGains or (-) losses on derecognition of non-financial assets\nAnnex V.Part 2.122\nIAS 24.18(a); Annex V.Part 2.122\n080\nIncrease or (-) decrease during the period in impairment and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments\nIAS 24.18(d)\n40.\nGroup structure\n40.1\nGroup structure: \"entity-by-entity\"\nLEI code\nEntity code\nEntity name\nEntry date\nShare capital\nEquity of investee\nTotal assets of investee\nProfit or (-) loss of investee\nResidence of investee\nSector of investee\nNACE Code\nAccumulated equity interest [%]\nVoting rights [%]\nGroup structure [relationship]\nAccounting treatment [Accounting Group]\nAccounting treatment [CRR Group]\nCarrying amount\nAcquisition cost\nGoodwill link to Investee\nFair value of investments for which there are published price quotations\nAnnex V.Part 2.123, 124(a)\nAnnex V.Part 2.123, 124(b)\nIFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c)\nAnnex V.Part 2.123, 124(d)\nAnnex V.Part 2.123, 124(e)\nIFRS 12.B12(b); Annex V.Part 2.123, 124(f)\nIFRS 12.B12(b); Annex V.Part 2.123, 124(f)\nIFRS 12.B12(b); Annex V.Part 2.123, 124(f)\nIFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g)\nAnnex V.Part 2.123, 124(h)\nAnnex V.Part 2.123, 124(i)\nIFRS 12.21(iv); Annex V.Part 2.123, 124(j)\nIFRS 12.21(iv); Annex V.Part 2.123, 124(k)\nIFRS 12.10(a)(i); Annex V.Part 2.123, 124(l)\nIFRS 12.21(b); Annex V.Part 2.123, 124(m)\nCRR art 423(b); Annex V.Part 2.123, 124(n)\nAnnex V.Part 2.123, 124(0)\nAnnex V.Part 2.123, 124(p)\nAnnex V.Part 2.123, 124(q)\nIFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r)\nAnnex V.Part 2.123, 124(a)\nAnnex V.Part 2.123, 124(b)\nAnnex V.Part 2.123, 124(c)\nAnnex V.Part 2.123, 124(d)\nAnnex V.Part 2.123, 124(e)\nAnnex V.Part 2.123, 124(f)\nAnnex V.Part 2.123, 124(f)\nAnnex V.Part 2.123, 124(f)\nAnnex V.Part 2.123, 124(q)\nAnnex V.Part 2.123, 124(h)\nAnnex V.Part 2.123, 124(i)\nAnnex V.Part 2.123, 124(j)\nAnnex V.Part 2.123, 124(k)\nAnnex V.Part 2.123, 124(l)\nAnnex V.Part 2.123, 124(m)\nCRR art 423(b); Annex V.Part 2.123, 124(n)\nAnnex V.Part 2.123, 124(0)\nAnnex V.Part 2.123, 124(p)\nAnnex V.Part 2.123, 124(q)\nAnnex V.Part 2.123, 124(r)\n010\n020\n030\n040\n050\n060\n070\n080\n090\n095\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n40.2.\nGroup structure: \"instrument-by-instrument\"\nSecurity code\nEntity code\nHolding company LEI code\nHolding company code\nHolding company name\nAccumulated equity interest (%)\nCarrying amount\nAcquisition cost\nAnnex V.Part 2.125(a)\nAnnex V.Part 2.124(b), 125(c)\nAnnex V.Part 2.125(b)\nAnnex V.Part 2.124(j), 125(c)\nAnnex V.Part 2.124(o), 125(c)\nAnnex V.Part 2.124(p), 125(c)\nAnnex V.Part 2.125(a)\nAnnex V.Part 2.124(b), 125(c)\nAnnex V.Part 2.125(b)\nAnnex V.Part 2.124(j), 125(c)\nAnnex V.Part 2.124(o), 125(c)\nAnnex V.Part 2.124(p), 125(c)\n010\n020\n030\n040\n050\n060\n070\n080\n41.\nFair value\n41.1\nFair value hierarchy: financial instruments at amortised cost\nASSETS\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nFair value\nFair value hierarchy IFRS 13.93(b), BC216\nIFRS 7.25-26\nLevel 1 IFRS 13.76\nLevel 2 IFRS 13.81\nLevel 3 IFRS 13.86\n010\n020\n030\n040\n010\nLoans and receivables\n4th Directive art 42a(4)(b),(5a); IAS 39.9\nIFRS 7.8 (c); IAS 39.9, AG16, AG26\n020\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n030\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\n040\nHeld-to-maturity investments\n4th Directive art 42a(4)(a),(5a); IAS 39.9\nIFRS 7.8(b); IAS 39.9, AG16, AG26\n050\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n060\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\nLIABILITIES\n070\nFinancial liabilities measured at amortised cost\n4th Directive art 42a(3), (5a); IAS 39.47\nIFRS 7.8(f); IAS 39.47\n080\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n090\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n100\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n41.2\nUse of the Fair Value Option\nCarrying amount\nFinancial instruments designated at fair value through profit or loss\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nAccounting mismatch\nEvaluation on a fair value basis\nHybrid contracts\nIFRS 7.B5(a)\nIAS 39.9b(i)\nIAS 39.9b(ii)\nIAS 39. 11A-12; Annex V.Part 2.127\nASSETS\n010\n020\n030\n010\nFinancial assets designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(a)(i); IAS 39.9\n020\nEquity Instruments\nECB/2008/32 Annex 2.Part 2.4-5\nIAS 32.11\n030\nDebt securities\nAnnex V.Part 1.24, 26\nAnnex V.Part 1.24, 26\n040\nLoans and advances\nAnnex V.Part 1.24, 27\nAnnex V.Part 1.24, 27\nLIABILITIES\n050\nFinancial liabilities designated at fair value through profit or loss\n4th Directive art 42a(1), (5a); IAS 39.9\nIFRS 7.8(e)(i); IAS 39.9\n060\nDeposits\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\nECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30\n070\nDebt securities issued\nAnnex V.Part 1.31\nAnnex V.Part 1.31\n080\nOther financial liabilities\nAnnex V.Part 1.32-34\nAnnex V.Part 1.32-34\n41.3\nHybrid financial instruments not designated at fair value through profit or loss\nRest of separable hybrid contracts [not designated at fair value through profit or loss]\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCarrying amount\nFINANCIAL ASSETS\n010\n010\nFinancial assets held for trading\n4th Directive art 42a(4)(b),(5a); IAS 39.9; Annex V.Part 2.129\nIAS 39.9; Annex V.Part 2.129\n020\nAvailable-for-sale [Host contracts]\n4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130\nIAS 39.11; Annex V.Part 2.130\n030\nLoans and receivables [Host contracts]\n4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130\nIAS 39.11; Annex V.Part 2.130\n040\nHeld-to-maturity investments [Host contracts]\n4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130\nIAS 39.11; Annex V.Part 2.130\nFINANCIAL LIABILITES\n050\nFinancial liabilities held for trading\n4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.129\nIAS 39.9; Annex V.Part 2.129\n060\nFinancial liabilities measured at amortized cost [Host contracts]\n4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.130\nIAS 39.11; Annex V.Part 2.130\n42.\nTangible and intangible assets: carrying amount by measurement method\nReferences National GAAP compatible IFRS\nCarrying amount\n010\n010\nProperty plant and equipment\nIAS 16.6; IAS 16.29; IAS 1.54(a)\n020\nRevaluation model\nIAS 16.31, 73(a),(d)\n030\nCost model\nIAS 16.30, 73(a),(d)\n040\nInvestment property\nIAS 40.5, 30; IAS 1.54(b)\n050\nFair value model\nIAS 40,33-55, 76\n060\nCost model\nIAS 40.56, 79(c)\n070\nOther intangible assets\nIAS 38.8, 118, 122; Annex V.Part 2.132\n080\nRevaluation model\nIAS 38.75-87, 124(a)(ii)\n090\nCost model\nIAS 38.74\n43.\nProvisions\nCarrying amount\nPensions and other employment defined benefit obligations\nOther long term employee benefits\nRestructuring\nPending legal issues and tax litigation\nCommitments and guarantees given\nOther provisions\nTotal\nReferences National GAAP compatible IFRS\nIAS 19.63; IAS 1.78(d); Annex V.Part 2.7\nIAS 19.153; IAS 1.78(d); Annex V.Part 2.8\nIAS 37.70-83\nIAS 37.App C.6-10\nIAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4\nIAS 37.14\nReferences National GAAP based on BAD\nAnnex V.Part 2.7\nAnnex V.Part 2.8\nBAD art 24-25, 33(1)\n010\n020\n030\n040\n050\n060\n070\n010\nOpening balance [carrying amount at the beginning of the period]\nIAS 37.84 (a)\n020\nAdditions, including increases in existing provisions\nIAS 37.84 (b)\n030\n(-) Amounts used\nIAS 37.84 (c)\n040\n(-) Unused amounts reversed during the period\nIAS 37.84 (d)\n050\nIncrease in the discounted amount [passage of time] and effect of any change in the discount rate\nIAS 37.84 (e)\n060\nOther movements\n070\nClosing balance [carrying amount at the end of the period]\nIAS 37.84 (a)\n44\nDefined benefit plans and employee benefits\n44.1\nComponents of net defined benefit plan assets and liabilities\nReferences National GAAP compatible IFRS\nAmount\n010\n010\nFair value of defined benefit plan assets\nIAS 19.140(a)(i), 142\n020\nOf which: Financial instruments issued by the institution\nIAS 19.143\n030\nEquity instruments\nIAS 19.142(b)\n040\nDebt instruments\nIAS 19.142(c)\n050\nReal estate\nIAS 19.142(d)\n060\nOther defined benefit plan assets\n070\nPresent value of defined benefit obligations\nIAS 19.140(a)(ii)\n080\nEffect of the asset ceiling\nIAS 19.140(a)(iii)\n090\nNet defined benefit assets [Carrying amount]\nIAS 19.63; Annex V.Part 2.136\n100\nProvisions for pensions and other post-employment defined benefit obligations [Carrying amount]\nIAS 19.63, IAS 1.78(d); Annex V.Part 2.7\n110\nMemo item: Fair value of any right to reimbursement recognised as an asset\nIAS 19.140(b)\n44.2\nMovements in defined benefit obligations\nReferences National GAAP compatible IFRS\nDefined benefit obligations\n010\n010\nOpening balance [present value]\nIAS 19.140(a)(ii)\n020\nCurrent service cost\nIAS 19.141(a)\n030\nInterest cost\nIAS 19.141(b)\n040\nContributions paid\nIAS 19.141(f)\n050\nActuarial (-) gains or losses from changes in demographic assumptions\nIAS 19.141(c)(ii)\n060\nActuarial (-) gains or losses from changes in financial assumptions\nIAS 19.141(c)(iii)\n070\nForeign currency exchange increase or (-) decrease\nIAS 19.141(e)\n080\nBenefits paid\nIAS 19.141(g)\n090\nPast service cost, including gains and losses arising from settlements\nIAS 19.141(d)\n100\nIncrease or (-) decrease through business combinations and disposals\nIAS 19.141(h)\n110\nOther increases or (-) decreases\n120\nClosing balance [present value]\nIAS 19.140(a)(ii); Annex V.Part 2.138\n44.3\nMemo items [related to staff expenses]\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\n010\n010\nPension and similar expenses\nAnnex V.Part 2.139(a)\nAnnex V.Part 2.139(a)\n020\nShare based payments\nAnnex V.Part 2.139b)\nIFRS 2.44; Annex V.Part 2.139(b)\n45\nBreakdown of selected items of statement of profit or loss\n45.1\nGains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\nChanges in fair value due to credit risk\n010\n020\n010\nFinancial assets designated at fair value through profit or loss\n4th Directive art 42a(1),(5a); IAS 39.9\nIFRS 7.20(a)(i); IAS 39.55(a)\n020\nFinancial liabilities designated at fair value through profit or loss\n4th Directive art 42a(1),(5a); IAS 39.9\nIFRS 7.20(a)(i); IAS 39.55(a)\n030\nGAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS\nBAD art 27.Vertical layout(6)\nIFRS 7.20(a)(i)\n45.2\nGains or losses on derecognition of non-financial assets other than held for sale\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nCurrent period\n010\n020\nInvestment property\nIAS 40.69; IAS 1.34(a), 98(d)\n030\nIntangible assets\nIAS 38.113-115A; IAS 1.34(a)\n040\nOther assets\nIAS 1.34 (a)\n050\nGAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS\nIAS 1.34\n45.3\nOther operating income and expenses\nReferences National GAAP based on BAD\nReferences National GAAP compatible IFRS\nIncome\nExpenses\n010\n020\n010\nChanges in fair value in tangible assets measured using the fair value model\nAnnex V.Part 2.141\nIAS 40.76(d); Annex V.Part 2.141\n020\nInvestment property\nAnnex V.Part 2.141\nIAS 40.75(f); Annex V.Part 2.141\n030\nOperating leases other than investment property\nAnnex V.Part 2.142\nIAS 17.50, 51, 56(b); Annex V.Part 2.142\n040\nOther\nAnnex V.Part 2.143\nAnnex V.Part 2.143\n050\nOTHER OPERATING INCOME OR EXPENSES\nAnnex V.Part 2.141-142\nAnnex V.Part 2.141-142\n46.\nStatement of changes in equity\nSources of equity changes\nCapital\nShare premium\nEquity instruments issued other than Capital\nOther equity\nAccumulated other comprehensive income\nRetained earnings\nRevaluation reserves\nFair value reserves\nOther reserves\nFirst consolidation differences\n(-) Treasury shares\nProfit or (-) loss atributable to owners of the parent\n(-) Interim dividends\nMinority interests\nTotal\nAccumulated Other Comprehensive Income\nOther items\nReferences National GAAP compatible IFRS\nIAS 1.106, 54(r)\nIAS 1.106, 78(e)\nIAS 1.106, Annex V.Part 2.15-16\nIAS 1.106; Annex V.Part 2.17\nIAS 1.106\nCRR art 4(123)\nIFRS 1.30 D5-D8\nIAS 1.106, 54(c)\nIAS 1.106; IAS 32.34, 33; Annex V.Part 2.20\nIAS 1.106(a), 83 (a)(ii)\nIAS 1.106; IAS 32.35\nIAS 1.54(q), 106(a); IAS 27.27-28\nIAS 1.54(q), 106(a); IAS 27.27-28\nIAS 1.9(c), IG6\nReferences National GAAP based on BAD\nBAD art 4.Liabilities(9), BAD art 22\nBAD art 4.Liabilities(10); CRR art 4(124)\nAnnex V.Part 2.15-17\nAnnex V.Part 2.17\n4th Directive art 42a(1), (5a)\nBAD art 4 Liabilities (13); CRR art 4(123)\nBAD art 4.Liabilities(12)\n7th Directive 19(1)(c)\n4th Directive.Assets C (III)(7), D (III)(2); Annex V.Part 2.20\nBAD art 4.Liabilities(14)\nCRR Article 26(2b)\n7th Directive art 21\n7th Directive art 21\n010\n020\n030\n040\n050\n060\n070\n075\n080\n085\n090\n100\n110\n120\n130\n140\n010\nOpening balance [before restatement]\n020\nEffects of corrections of errors\nIAS 1.106.(b); IAS 8.42\n030\nEffects of changes in accounting policies\nIAS 1.106.(b); IAS 1.IG6; IAS 8.22\n040\nOpening balance [current period]\n050\nIssuance of ordinary shares\nIAS 1.106.(d).(iii)\n060\nIssuance of preference shares\nIAS 1.106.(d).(iii)\n070\nIssuance of other equity instruments\nIAS 1.106.(d).(iii)\n080\nExercise or expiration of other equity instruments issued\nIAS 1.106.(d).(iii)\n090\nConversion of debt to equity\nIAS 1.106.(d).(iii)\n100\nCapital reduction\nIAS 1.106.(d).(iii)\n110\nDividends\nIAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6\n120\nPurchase of treasury shares\nIAS 1.106.(d).(iii); IAS 32.33\n130\nSale or cancellation of treasury shares\nIAS 1.106.(d).(iii); IAS 32.33\n140\nReclassification of financial instruments from equity to liability\nIAS 1.106.(d).(iii)\n150\nReclassification of financial instruments from liability to equity\nIAS 1.106.(d).(iii)\n160\nTransfers among components of equity\nIAS 1.106.(d).(iii)\n170\nEquity increase or (-) decrease resulting from business combinations\nIAS 1.106.(d).(iii)\n180\nShare based payments\nIAS 1.106.(d).(iii); IFRS 2.10\n190\nOther increase or (-) decrease in equity\nIAS 1.106.(d)\n200\nTotal comprehensive income for the year\nIAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6\n210\nClosing balance [current period]\nANNEX V\nREPORTING ON FINANCIAL INFORMATION\nPART 1\nGENERAL INSTRUCTIONS\n1.\nREFERENCES\n1.\nThis 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.\n2.\nThe 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.\n3.\nInstitutions shall only submit those parts of the templates related to:\n(a) assets, liabilities, equity, income and expenses that are recognised by the institution;\n(b) off-balance sheet exposures and activities in which the institution is involved;\n(c) transactions performed by the institution;\n(d) valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.\n4.\nFor the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:\n(a) ‘IAS regulation’: Regulation (EC) No 1606/2002;\n(b) ‘IAS’ or ‘IFRS’: ‘International Accounting Standards’, as defined in Article 2 of the IAS regulation that has been adopted by the Commission;\n(c) ‘ECB BSI Regulation’ or ‘ECB/2008/32’: Regulation (EC) No 25/2009 of the European Central Bank;\n(d) ‘NACE Regulation’: Regulation (EC) No 1893/2006 of the European Parliament and of the Council;\n(e) ‘BAD’: Council Directive 86/635/EEC;\n(f) ‘4th Directive’: Fourth Council Directive 78/660/EEC;\n(g) ‘National GAAP’: national generally accepted accounting principles developed under BAD;\n(h) ‘SME’: micro, small and medium-sized enterprises defined in Commission Recommendation C(2003)1422; ‘ISIN code’: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;\n(i) ‘LEI code’: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction.\n2.\nCONVENTION\n5.\nFor 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.\n6.\nTemplates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions.\n7.\nThe 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.\n8.\nItems 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’.\n9.\nIn 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.\n10.\nSchematically, this convention works as in Table 1.\nTable 1\nCredit/debit convention, positive and negative signs\nElement\nCredit/Debit\nBalance/Movement\nFigure reported\nAssets\nDebit\nBalance on assets\nPositive (‘Normal’, no sign needed)\nIncrease on assets\nPositive (‘Normal’, no sign needed)\nNegative balance on assets\nNegative (Minus ‘–’ sign needed)\nDecrease on assets\nNegative (Minus ‘–’ sign needed)\nExpenses\nBalance on expenses\nPositive (‘Normal’, no sign needed)\nIncrease on expenses\nPositive (‘Normal’, no sign needed)\nNegative balance (including reversals) on expenses\nNegative (Minus ‘–’ sign needed)\nDecrease on expenses\nNegative (Minus ‘–’ sign needed)\nLiabilities\nCredit\nBalance on liabilities\nPositive (‘Normal’, no sign needed)\nIncrease on liabilities\nPositive (‘Normal’, no sign needed)\nNegative balance on liabilities\nNegative (Minus ‘–’ sign needed)\nDecrease on liabilities\nNegative (Minus ‘–’ sign needed)\nEquity\nBalance on equity\nPositive (‘Normal’, no sign needed)\nIncrease on equity\nPositive (‘Normal’, no sign needed)\nNegative balance on equity\nNegative (Minus ‘–’ sign needed)\nDecrease on equity\nNegative (Minus ‘–’ sign needed)\nIncome\nBalance on income\nPositive (‘Normal’, no sign needed)\nIncrease on income\nPositive (‘Normal’, no sign needed)\nNegative balance (including reversals) on income\nNegative (Minus ‘–’ sign needed)\nDecrease on income\nNegative (Minus ‘–’ sign needed)\n3.\nCONSOLIDATION\n11.\nUnless 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:\n(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;\n(b) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR;\n(c) institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) of CRR.\n4.\nACCOUNTING PORTFOLIOS\n4.1.\nAssets\n12.\n‘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’.\n13.\nThe following accounting portfolios based on IFRS shall be used for financial assets:\n(a) ‘Financial assets held for trading’;\n(b) ‘Financial assets designated at fair value through profit or loss’;\n(c) ‘Available-for-sale financial assets’;\n(d) ‘Loans and Receivables’;\n(e) ‘Held-to-maturity investments’.\n14.\nThe following accounting portfolios based on National GAAP shall be used for financial assets:\n(a) ‘Trading financial assets’;\n(b) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’;\n(c) ‘Non-trading non-derivative financial assets measured at fair value to equity’;\n(d) ‘Non-trading debt instruments measured at a cost-based method’; and\n(e) ‘Other non-trading non-derivative financial assets’.\n15.\n‘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.\n16.\nFor financial assets, ‘cost-based methods’ include those valuation rules by which the financial asset is measured at cost plus interest accrued less impairment losses.\n17.\nUnder 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’).\n18.\nUnder 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.\n19.\n‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.\n4.2.\nLiabilities\n20.\nThe following accounting portfolios based on IFRS shall be used for financial liabilities:\n(a) ‘Financial liabilities held for trading’;\n(b) ‘Financial liabilities designated at fair value through profit or loss’;\n(c) ‘Financial liabilities measured at amortised cost’.\n21.\nThe following accounting portfolios based on National GAAP shall be used for financial liabilities:\n(a) ‘Trading financial liabilities’; and\n(b) ‘Non-trading non-derivative financial liabilities measured at a cost-based method’.\n22.\nUnder 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.\n23.\nBoth under IFRS and National GAAP, ‘Derivatives — Hedge accounting’ shall include derivatives held for hedge accounting under the relevant accounting framework.\n5.\nFINANCIAL INSTRUMENTS\n5.1.\nFinancial assets\n24.\nThe 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.\n25.\nFinancial assets shall be distributed among the following classes of instruments: ‘Cash on hand’, ‘Derivatives’, ‘Equity instruments’, ‘Debt securities’, and ‘Loan and advances’.\n26.\n‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation.\n27.\n‘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’.\n5.2.\nFinancial liabilities\n28.\nThe 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.\n29.\nFinancial liabilities shall be distributed among the following classes of instruments: ‘Derivatives’, ‘Short positions’, ‘Deposits’, ‘Debt securities issued’ and ‘Other financial liabilities’.\n30.\n‘Deposits’ are defined in the same way as in the ECB BSI Regulation.\n31.\n‘Debt securities issued’ are debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation.\n32.\n‘Other financial liabilities’ include all financial liabilities other than derivatives, short positions, deposits and debt securities issued.\n33.\nUnder 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’.\n34.\n‘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).\n6.\nCOUNTERPARTY BREAKDOWN\n35.\nWhere a breakdown by counterparty is required the following counterparty sectors shall be used:\n(a) central banks;\n(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;\n(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;\n(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;\n(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;\n(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.\n36.\nThe 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.\nPART 2\nTEMPLATE RELATED INSTRUCTIONS\n1.\nBALANCE SHEET\n1.1.\nAssets (1.1)\n1.\n‘Cash on hand’ includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.\n2.\n‘Cash balances at central banks’ include balances receivable on demand at central banks.\n3.\n‘Other demand deposits’ include balances receivable on demand with credit institutions.\n4.\n‘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.\n5.\nAssets 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.\n6.\n‘Non-current assets and disposal groups classified as held for sale’ has the same meaning as under IFRS 5.\n1.2.\nLiabilities (1.2)\n7.\nProvisions for ‘Pensions and other post employment defined benefit obligations’ include the amount of net defined benefit liabilities.\n8.\nUnder 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’.\n9.\n‘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.\n10.\nLiabilities 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’.\n11.\n‘Liabilities included in disposal groups classified as held for sale’ has the same meaning as under IFRS 5.\n12.\n‘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’.\n1.3.\nEquity (1.3)\n13.\nUnder IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the scope of IAS 32.\n14.\n‘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.\n15.\n‘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).\n16.\n‘Other equity instruments issued’ includes equity instruments that are financial instruments other than ‘Capital’ and ‘Equity component of compound financial instruments’.\n17.\n‘Other equity’ shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10].\n18.\nUnder 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.\n19.\n‘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.\n20.\n‘Treasury shares’ cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution.\n2.\nSTATEMENT OF PROFIT OR LOSS (2)\n21.\nInterest 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’).\n22.\nInstitutions shall report the following items broken down by accounting portfolios:\n(a) ‘Interest income’;\n(b) ‘Interest expense’;\n(c) ‘Dividend income’;\n(d) ‘Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss, net’;\n(e) ‘Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss’.\n23.\n‘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.\n24.\nThe 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’.\n25.\n‘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.\n26.\n‘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.\n27.\n‘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.\n28.\nDividend 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’.\n29.\nUnder 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.\n30.\nFor ‘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.\n3.\nSTATEMENT OF COMPREHENSIVE INCOME (3)\n31.\nUnder 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.\n4.\nBREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4)\n32.\nFinancial assets shall be broken down by instrument and – where required – by counterparty.\n33.\nUnder 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.\n34.\nFor 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.\n35.\nUnder 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.\n36.\n‘Specific allowances for financial assets, individually estimated’ shall include cumulative amount of impairment related to financial assets which have been assessed individually.\n37.\n‘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.\n38.\n‘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.\n39.\nThe sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount.\n40.\nTemplate 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.\n5.\nBREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5)\n41.\nThe ‘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:\n(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;\n(b) ‘Credit card debt’ includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation];\n(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);\n(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;\n(e) ‘Reverse repurchase loans’ include finance granted in exchange for securities bought under repurchase agreements or borrowed under securities lending agreements;\n(f) ‘Other term loans’ include debit balances with contractually fixed maturities or terms that are not included in other items;\n(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);\n(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’);\n(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;\n(j) ‘Credit for consumption’ includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation];\n(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];\n(l) ‘Project finance loans’ include loans that are recovered solely from the income of the projects financed by them.\n6.\nBREAKDOWN OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6)\n42.\nGross 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.\n43.\nThe classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36 of Part 1.\n44.\nReporting of NACE codes shall be done with the first level of disaggregation (by ‘section’).\n45.\nFor 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’.\n46.\n‘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.\n7.\nFINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR IMPAIRED (7)\n47.\nDebt 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’.\n48.\nAssets 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.\n49.\nThe 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.\n50.\n‘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.\n8.\nBREAKDOWN OF FINANCIAL LIABILITIES (8)\n51.\nAs ‘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.\n52.\n‘Debt securities issued’ shall be disaggregated into the following type of products:\n(a) ‘Certificates of deposits’ are securities that enable the holders to withdraw funds from an account;\n(b) ‘Asset backed securities’ according to Article 4(1)(61) of CRR;\n(c) ‘Covered Bonds’ according to Article 129(1) of CRR;\n(d) ‘Hybrid contracts’ comprise contracts with embedded derivatives;\n(e) ‘Other debt securities issued’ includes debt securities not recorded in the previous lines and distinguishes convertible and non-convertible instruments.\n53.\n‘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’.\n54.\nTemplate 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].\n9.\nLOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9)\n55.\nOff-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.\n56.\nInformation on loan commitments, financial guarantees, and other commitments given and received include both revocable and irrevocable commitments.\n57.\n‘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’:\n(a) ‘Forward deposits’.\n(b) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ under pre-specified terms and conditions.\n58.\n‘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’:\n(a) ‘Guarantees having the character of credit substitute’;\n(b) ‘Credit derivatives’ that meet the definition of financial guarantee;\n(c) ‘Irrevocable standby letters of credit having the character of credit substitutes’;\n59.\n‘Other commitments’ includes the following items of Annex I of CRR:\n(a) ‘Unpaid portion of partly-paid shares and securities’;\n(b) ‘Documentary credits issued or confirmed’;\n(c) Trade finance Off-balance sheet items;\n(d) ‘Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions’;\n(e) ‘Warranties and indemnities’ (including tender and performance bonds) and ‘guarantees not having the character of credit substitutes’;\n(f) ‘Shipping guarantees, customs and tax bonds’;\n(g) Note issuance facilities (NIFs) and revolving underwritings facilities (RUFs);\n(h) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ when the terms and conditions are not pre-specified;\n(i) ‘Undrawn credit facilities’ which comprise agreements to ‘purchase securities’ or ‘provide guarantees’;\n(j) ‘Undrawn credit facilities for tender and performance guarantees’;\n(k) ‘Other off-balance sheet items’ in Annex I of CRR.\n60.\nUnder 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:\n(a) ‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IAS 39;\n(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;\n(c) ‘Endorsements on bills’ that do not meet the criteria for de-recognition under IAS 39;\n(d) ‘Transactions with recourse’ that do not meet the criteria for de-recognition under IAS 39;\n(e) ‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IAS 39;\n(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.\n61.\n‘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.\n62.\nFor 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.\n63.\nIn 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.\n10.\nDERIVATIVES (10 AND 11)\n64.\nThe 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.\n65.\nInstitutions shall report the derivatives held for hedge accounting broken down by type of hedge.\n66.\nDerivatives 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).\n10.1.\nClassification of derivatives by type of risk\n67.\nAll derivatives shall be classified into the following risk categories:\n(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.\n(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.\n(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.\n(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.\n(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.\n(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.\n68.\nWhen 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:\n(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.\n(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.\n(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.\n10.2.\nAmounts to be reported for derivatives\n69.\nThe ‘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’).\n70.\nThe ‘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:\n(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;\n(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;\n(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;\n(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;\n(e) Credit derivatives: The contract amount to be reported for credit derivatives is the nominal value of the relevant reference credit;\n(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.\n71.\nThe 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.\n72.\nThe ‘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).\n10.3.\nDerivatives classified as ‘economic hedges’\n73.\nDerivatives 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.\n74.\nDerivatives ‘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.\n10.4.\nBreakdown of derivatives by counterparty sector\n75.\nThe 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:\n(a) ‘credit institutions’,\n(b) ‘other financial corporations’, and\n(c) ‘rest’ comprising all other counterparties.\n76.\nAll 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.\n11.\nMOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY INSTRUMENTS (12)\n77.\n‘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.\n78.\nAs 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.\n12.\nCOLLATERAL AND GUARANTEES RECEIVED (13)\n12.1.\nBreakdown of loans and advances by collateral and guarantees (13.1)\n79.\nThe 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.\n80.\nIn 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.\n81.\nFor reporting loans and advances according to the type of pledge the following definitions shall be used:\n(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;\n(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;\n(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.\n82.\nFor 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.\n12.2.\nCollateral obtained by taking possession during the period [held at the reporting date] (13.2)\n83.\nThis 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.\n12.3.\nCollateral obtained by taking possession [tangible assets] accumulated (13.3)\n84.\n‘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’.\n13.\nFAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)\n85.\nInstitutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by in IFRS 13.72.\n86.\n‘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.\n87.\n‘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.\n14.\nDERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)\n88.\nTemplate 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.\n89.\nThe 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.\n90.\nThe 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.\n91.\n‘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:\n(a) Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral;\n(b) Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.\n92.\n‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) involve cash received or loaned out by the institution.\n93.\nIn 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.\n15.\nBREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)\n94.\nFor selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.\n15.1.\nInterest income and expenses by instrument and counterparty sector (16.1)\n95.\nThe 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.\n96.\nInterest 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.\n15.2.\nGains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)\n97.\nGains 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.\n15.3.\nGains or losses on financial assets and liabilities held for trading by instrument (16.3)\n98.\nGains 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.\n15.4.\nGains or losses on financial assets and liabilities held for trading by risk (16.4)\n99.\nGains 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:\n(a) Interest rate instruments: including trading of loans and advances, deposits and debt securities (held or issued);\n(b) Equity instruments: including trading of shares, quotas of UCITS and other equity instruments;\n(c) Foreign exchange trading: including exclusively trading on foreign exchanges;\n(d) Credit risk instruments: including trading of credit link notes;\n(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’.\n(f) Other: including trading of financial instruments which cannot be classified in other breakdowns.\n15.5.\nGains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)\n100.\nGains 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).\n15.6.\nGains or losses from hedge accounting (16.6)\n101.\nGains 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.\n15.7.\nImpairment on financial and non-financial assets (16.7)\n102.\n‘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.\n16.\nRECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)\n103.\n‘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.\n104.\nIn 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\n105.\n‘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.\n106.\nLiabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts issued.\n17.\nGEOGRAPHICAL BREAKDOWN (20)\n107.\nTemplate 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.\n108.\nTemplates 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’.\n109.\nIn 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’).\n18.\nTANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)\n110.\nFor 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.\n111.\nUnder 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.\n19.\nASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)\n112.\nFor 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’.\n19.1.\nFee and commission income and expenses by activity (22.1)\n113.\nThe 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:\n(a) amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and\n(b) amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].\n114.\nTransaction 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].\n115.\nTransaction 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.\n116.\nInstitutions shall report fee and commission income and expenses according to the following criteria:\n(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;\n(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;\n(c) ‘Securities. Other’ includes fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;\n(d) ‘Clearing and settlement’ includes fee and commission income (expenses) generated by (charged to) the institution when participating in counterparty, clearing and settlement facilities;\n(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;\n(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;\n(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;\n(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’;\n(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;\n(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.\n19.2.\nAssets involved in the services provided (22.2)\n117.\nBusiness related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:\n(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;\n(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;\n(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;\n(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;\n(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;\n(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;\n(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.\n20.\nINTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)\n118.\n‘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.\n21.\nRELATED PARTIES (31)\n119.\nInstitutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party.\n120.\nIntra-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.\n21.1.\nRelated parties: amounts payable to and amounts receivable from (31.1)\n121.\nFor ‘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.\n21.2.\nRelated parties: expenses and income generated by transactions with (31.2)\n122.\n‘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’:\n(a) ‘Gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates’;\n(b) ‘Gains or losses on de-recognition of non-financial assets other than held for sale’;\n(c) ‘Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations’, and;\n(d) ‘Profit or loss after tax from discontinued operations’.\n22.\nGROUP STRUCTURE (40)\n123.\nInstitutions 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.\n22.1.\nGroup structure: ‘entity-by-entity’ (40.1)\n124.\nThe following information shall be reported on a ‘entity-by-entity’ basis:\n(a) ‘LEI code’ includes the LEI code of the investee;\n(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.\n(c) ‘Entity name’ includes the name of the investee;\n(d) ‘Entry date’ means the date in which the investee entered within the ‘scope of the group’;\n(e) ‘Share capital’ means the total amount of capital issued by the investee as at the reference date;\n(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;\n(g) ‘Residence of investee’ means the country of residence of the investee.\n(h) ‘Sector of investee’ means the sector of counterparty as defined in paragraph 35 of Part 1;\n(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’);\n(j) ‘Accumulated equity interest (%)’ is the percentage of ownership instruments held by the institution as of the reference date;\n(k) ‘Voting rights (%)’ means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.\n(l) ‘Group structure [relationship]’ shall indicate the relationship between the parent and the investee (subsidiary, joint venture or associate);\n(m) ‘Accounting treatment [Accounting Group]’ shall indicate the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation or equity method);\n(n) ‘Accounting treatment [CRR Group]’ shall indicate the accounting treatment with the CRR scope of consolidation (full integration, proportional integration or equity method);\n(o) ‘Carrying amount’ means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;\n(p) ‘Acquisition cost’ means the amount paid by the investors;\n(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’;\n(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.\n22.2.\nGroup structure: ‘instrument-by-instrument’ (40.2)\n125.\nThe following information shall be reported on an ‘instrument-by-instrument’ basis:\n(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;\n(b) ‘Holding company code’ is the identification code of the entity within the group that holds the investment;\n(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.\n23.\nFAIR VALUE (41)\n23.1.\nFair value hierarchy: financial instruments at amortised cost (41.1)\n126.\nInformation 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.\n23.2.\nUse of fair value option (41.2)\n127.\nInformation 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.\n23.3.\nHybrid financial instruments not designated at fair value through profit or loss (41.3)\n128.\nIn 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.\n129.\n‘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.\n130.\nThe 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.\n24.\nTANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42)\n131.\n‘Property, plant and equipment’, ‘Investment property’ and ‘Other intangible assets’ shall be reported by the criteria used in their measurement.\n132.\n‘Other intangible assets’ include all other intangible assets than goodwill.\n25.\nPROVISIONS (43)\n133.\nThis 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.\n26.\nDEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44)\n134.\nThese 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.\n26.1.\nComponents of net defined benefit plan assets and liabilities (44.1)\n135.\n‘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)].\n136.\n‘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.\n26.2.\nMovements in defined benefit obligations (44.2)\n137.\n‘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.\n138.\nThe amount of ‘Closing balance [present value]’ in the template for movements in defined benefit obligations shall be equal to ‘Present value defined benefit obligations’.\n26.3.\nMemo items [related to staff expenses] (44.3)\n139.\nFor reporting of memorandum items related to staff expenses, the following definitions shall be used:\n(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.\n(b) ‘Share based payments’ include the amount recognized in the period as staff expenses for share based payments.\n27.\nBREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)\n27.1.\nGains or losses on de-recognition of non-financial assets other than held-for-sale (45.2)\n140.\nGains 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.\n27.2.\nOther operating income and expenses (45.3)\n141.\nOther 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.\n142.\n‘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’.\n143.\nGains 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’\n28.\nSTATEMENT OF CHANGES IN EQUITY (46)\n144.\nThe 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.\n29.\nNON-PERFORMING EXPOSURES (18)\n145.\nFor the purpose of template 18, non-performing exposures are those that satisfy any of the following criteria:\n(a) material exposures which are more than 90 days past due;\n(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.\n146.\nThat 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.\n147.\nExposures 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.\n148.\nExposures 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.\n149.\nFor 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:\n(a) loan commitments given;\n(b) financial guarantees given;\n(c) other commitments given.\n150.\nFor 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.\n151.\nFor the purpose of template 18, ‘debtor’ means an obligor within the meaning of Article 178 of CRR.\n152.\nA 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.\n153.\nFinancial 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.\n154.\nExposures 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:\n(a) for non-performing exposures classified as defaulted in accordance with Article 178 of CRR, the categorisation approach of Article 178 shall be applied;\n(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;\n(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.\n155.\nWhere 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.\n156.\nExposures shall be considered to have ceased being non-performing when all of the following conditions are met:\n(a) the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification;\n(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;\n(c) the debtor does not have any amount past-due by more than 90 days.\nAn 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.\n157.\nWhere 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:\n(a) the application of forbearance measures does not lead to the recognition of impairment or default;\n(b) one year has passed since the forbearance measures were applied;\n(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.\nThose 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.\n158.\nPast 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.\n159.\nNon-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.\n160.\nThe following exposures shall be identified in separate columns:\n(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;\n(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.\n161.\n‘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.\n162.\nInformation 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.\n30.\nFORBORNE EXPOSURES (19)\n163.\nFor 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’).\n164.\nFor the purpose of template 19, a concession refers to either of the following actions:\n(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;\n(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.\nA concession may entail a loss for the lender.\n165.\nEvidence of a concession includes the following:\n(a) a difference in favour of the debtor between the modified terms of the contract and the previous terms of the contract;\n(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.\n166.\nThe 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.\n167.\n‘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.\n168.\nFor 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.\n169.\nFor the purpose of template 19, ‘debt’ includes loans, debt securities and revocable and irrevocable loan commitments given, but excludes exposures held for trading.\n170.\nFor the purpose of template 19, ‘exposure’ has the same meaning as given for ‘debt’ in paragraph 169.\n171.\nFor the purpose of template 19, ‘institution’ means the institution which applied the forbearance measures.\n172.\nExposures 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:\n(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;\n(b) the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt;\n(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;\n(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.\n173.\nA modification involving repayments made by taking possession of collateral shall be treated as a forbearance measure where that modification constitutes a concession.\n174.\nThere is a rebuttable presumption that forbearance has taken place in the following circumstances:\n(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;\n(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;\n(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.\n175.\nFinancial 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.\n176.\nThe classification as forborne shall be discontinued when all of the following conditions are met:\n(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;\n(b) a minimum two year probation period has passed from the date the forborne exposure was considered to be performing;\n(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;\n(d) none of the exposures to the debtor is more than 30 days past due at the end of the probation period.\n177.\nWhere 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.\n178.\nA forborne exposure may be considered as performing from the date the forbearance measures were applied where either of the following conditions is met:\n(a) that extension has not led the exposure to be classified as non-performing;\n(b) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.\n179.\nWhere 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.\n180.\n‘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:\n(a) exposures which have become non-performing due to the application of forbearance measures;\n(b) exposures which were non-performing prior to the extension of forbearance measures;\n(c) exposures to which the conditions referred to in paragraph 157 apply;\n(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.\nExposures to which paragraph 157 applies shall be separately identified in the column ‘of which: forbearance of non-performing exposures’.\n181.\nThe 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.\n182.\nForborne 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.\n183.\nAccumulated 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.\nPART 3\nMAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS\n1.\nThe following tables map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables.\nTable 2\nStandardised Approach\nSA exposure classes (CRR Article 112)\nFINREP counterparty sectors\nComments\n(a)\nCentral governments or central banks\n(1)\nCentral banks\n(2)\nGeneral governments\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty\n(b)\nRegional governments or local authorities\n(2)\nGeneral governments\n(c)\nPublic sector entities\n(2)\nGeneral governments\n(d)\nMultilateral development banks\n(3)\nCredit institutions\n(e)\nInternational organisations\n(2)\nGeneral governments\n(f)\nInstitutions\n(i.e. credit institutions and investment firms)\n(3)\nCredit institutions\n(4)\nOther financial corporations\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty\n(g)\nCorporates\n(2)\nGeneral governments\n(4)\nOther financial corporations\n(5)\nNon financial corporations.\n(6)\nHouseholds\n(h)\nRetail\n(4)\nOther financial corporations\n(5)\nNon financial corporations\n(6)\nHouseholds\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty\n(i)\nSecured by mortgages on immovable property\n(2)\nGeneral governments\n(3)\nCredit institutions\n(4)\nOther financial corporations\n(5)\nNon-financial corporations\n(6)\nHouseholds\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.\n(j)\nIn default\n(1)\nCentral banks\n(2)\nGeneral governments\n(3)\nCredit institutions\n(4)\nOther financial corporations\n(5)\nNon-financial corporations\n(6)\nHouseholds\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.\n(ja)\nItems associated with particularly high risk\n(1)\nCentral banks\n(2)\nGeneral governments\n(3)\nCredit institutions\n(4)\nOther financial corporations\n(5)\nNon-financial corporations\n(6)\nHouseholds\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.\n(k)\nCovered bonds\n(3)\nCredit institutions\n(4)\nOther financial corporations\n(5)\nNon-financial corporations\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.\n(l)\nSecuritisation positions\n(2)\nGeneral governments\n(3)\nCredit institutions\n(4)\nOther financial corporations\n(5)\nNon-financial corporations\n(6)\nHouseholds\nThese 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.\n(m)\nInstitutions and corporates with a short-term credit assessment\n(3)\nCredit institutions\n(4)\nOther financial corporations\n(5)\nNon-financial corporations\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty.\n(n)\nCollective investment undertakings\nEquity instruments\nInvestments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through.\n(o)\nEquity\nEquity instruments\nIn FINREP, equities are separated as instruments under different categories of financial assets\n(p)\nOther items\nVarious items of the balance sheet\nIn FINREP, other items may be included under different asset categories.\nTable 3\nInternal Ratings Based Approach\nIRBA exposure classes (CRR Article 147)\nFINREP counterparty sectors\nComments\n(a)\nCentral governments and central banks\n(1)\nCentral banks\n(2)\nGeneral governments\n(3)\nCredit institutions\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty\n(b)\nInstitutions\n(i.e. credit institution and investment firms as well as some general governments and multilateral banks)\n(2)\nGeneral governments\n(3)\nCredit institutions\n(4)\nOther financial corporations\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty\n(c)\nCorporates\n(4)\nOther financial corporations\n(5)\nNon-financial corporations\n(6)\nHouseholds\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty\n(d)\nRetail\n(4)\nOther financial corporations\n(5)\nNon financial corporations\n(6)\nHouseholds\nThese exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty\n(e)\nEquity\nEquity instruments\nIn FINREP, equities are separated as instruments under different categories of financial assets\n(f)\nSecuritisation positions\n(2)\nGeneral governments\n(3)\nCredit institutions\n(4)\nOther financial corporations\n(5)\nNon-financial corporations\n(6)\nHouseholds\nThese 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\n(g)\nOther non credit obligations\nVarious items of the balance sheet\nIn FINREP, other items may be included under different asset categories.",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "footnote",
      "label": "f1",
      "text": "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)."
    },
    {
      "type": "footnote",
      "label": "f2",
      "text": "‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements."
    },
    {
      "type": "footnote",
      "label": "f3",
      "text": "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)."
    },
    {
      "type": "footnote",
      "label": "f4",
      "text": "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)."
    },
    {
      "type": "footnote",
      "label": "f5",
      "text": "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)."
    },
    {
      "type": "footnote",
      "label": "f6",
      "text": "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)."
    },
    {
      "type": "footnote",
      "label": "f7",
      "text": "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)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2015/227/annex/I",
    "retrieved_at": "2026-11-01T14:46:52.908433+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}