{
  "url": "https://openlegislation.uk/eu-regulation-2016-1702/annex-II",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-1702/annex-II.json",
  "legislation": "eur/2016/1702",
  "legislation_title": "Commission Implementing Regulation (EU) 2016/1702 of 18 August 2016 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2016-1702",
  "path": "annex/II",
  "kind": "annex",
  "number": "II",
  "heading": null,
  "text": "ANNEX 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 validation rules are included in this part of the Implementing Technical Standard..\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 Regulation (EU) No 575/2013 (‘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.\n045\n1.1.1.1.1*\nOf which: Capital instruments subscribed by public authorities in emergency situations\nArticle 31 of CRR\nCapital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital 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\n(-) Additional 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\n(-) Additional 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.\n555\n1.3.1.3\nParticular approach for position risk in CIUs\nArticles 348(1), 350 (3) c) and 364 (2) a) CRR\nTotal risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3) c) CRR. The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.\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, multiplied by 12,5.\nIf 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, multiplied by 12,5 respectively.\n556\n1.3.1.3.*\nMemo item: CIUs exclusively invested in traded debt instruments\nTotal risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.\n557\n1.3.1.3.**\nCIUs invested exclusively in equity instruments or in mixed instruments\nTotal risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.\n560\n1.3.1.4\nForeign Exchange\nSee MKR SA FX template\n570\n1.3.1.5\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.\n225\n11.1\nEligible capital for the purposes of qualifying holdings outside the financial sector\nArticle 4(1)(71)(a)\n226\n11.2\nEligible capital for the purposes of large exposures\nArticle 4(1)(71)(b)\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), 48(4) and 49(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\nThe difference between the amount reported in position 880 and the total own funds pursuant to CRR has to be reported in this position.\nIf the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.\n880\nOwn funds fully adjusted for Basel I floor\nArticle 500(4) of CRR\nTotal own funds pursuant to CRR adjusted as required by Article 500(4) of CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Directive 93/6/EEC and Directive 2000/12/EC as those Directives stood prior to 1 January 2007 and the calculation of own funds under CRR deriving from the separate treatments of expected loss and unexpected loss under Part Three, Title II, Chapter 3, of CRR) have to be reported in this position.\nIf the SA alternative (Article 500(2) CRR) is applied, this row shall be empty.\n890\nOwn funds requirements for Basel I floor\nArticle 500(1) point (b) of CRR\nThe amount of own funds required by Article 500(1)(b) of CRR to be hold (i.e. 80 % of the total minimum amount of own funds that the institution would be required to hold under Article 4 of Directive 93/6/EEC as that Directive and Directive 2000/12/EC of the European Parliament and of the Council of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions as those Directives stood prior to January 2007) has to be reported in this position.\n900\nOwn funds requirements for Basel I floor — SA alternative\nArticle 500(2) and (3) of CRR\nThe amount of own funds required by Article 500(2) of CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2, and Part Three, Title III, Chapter 2 or 3 of CRR, as applicable, instead of in accordance with Part Three, Title II, Chapter 3, or Part Three, Title III, Chapter 4 of CRR, as applicable) has to be reported in this position.\n910\nDeficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative\nArticles 500(1) point (b) and 500 (2) CRR\nThis row has to be filled with:\n— if Article 500(1)(b) CRR is applied and row 880 < row 890:\nthe difference between row 890 and row 880\n— or if Article 500(2) CRR is applied and row 010 of C 01.00 < row 900 of C 04.00: the difference between row 900 of C 04.00 and row 010 of C 01.00\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 040 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 according to 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 according to 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 according to 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 according to 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 according to Article 36(1)(f) of CRR.\n211\n1.3.2.6.1**\nof which: Direct holdings\nArticle 469(1)(b), 472 (8) (a) of CRR\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.\n212\n1.3.2.6.1*\nof which: Indirect holdings\nArticle 469(1)(b), 472 (8) (b) of CRR\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.\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 according to 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 deduction0 according to 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 according to 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 according to 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 according to 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 according to 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 according to 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 according to 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 according to 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 according to Article 56 (d) of CRR\n420\n1.3.2.10.2\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 according to 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.\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)\n25.\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\n26.\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;\n27.\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\n28.\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.\n29.\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\n30.\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.\n31.\nThe third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.\n32.\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.\n33.\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.\n34.\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.\n35.\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.\n36.\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 (6) 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 (2), 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\nArticles 128 point (5), 133 and 134 of CRD\nIn this cell the amount of the systemic risk buffer shall be reported.\n460\nSYSTEMICAL IMPORTANT INSTITUTION BUFFER\nArticle 131 of CRD\nIn this cell the amount of the Systemically important institution buffer shall be reported.\n470\nGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nArticles 128 point (3) and 131 of CRD\nIn this cell the amount of the Global Systemically Important Institution buffer shall be reported.\n480\nOTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nArticles 128 point (4) and 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\n37.\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\n38.\nArticle 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.\n39.\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.\n40.\nArticles 196, 197 and 200 of CRR regulate the funded credit protection.\n41.\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.\n42.\nThe exposure type does not change because of unfunded credit protection.\n43.\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.\n44.\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\n45.\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\n46.\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\n47.\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.\n48.\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.\n49.\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.\n50.\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.\n51.\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.\n52.\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.\n53.\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).\n54.\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.\n55.\nThe memorandum rows provide additional information about the obligor structure of the exposure classes ‘in default’ or ‘secured by immovable property’. Exposures shall be reported in these rows wherethe 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’. However the figures reported are the same as used to calculate the risk weighted exposure amounts in the exposure classes ‘in default’ or ‘secured by immovable property.\n56.\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\n57.\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.\n58.\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.\n59.\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).\n60.\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.\n61.\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.\n62.\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.\n63.\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.\n64.\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’).\n65.\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.\n66.\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’\n67.\nReporting of intra-group exposures according to Article 113(6) to (7) of CRR shall be done as follows:\n68.\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.\n69.\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’\n70.\nThe assignment of SA exposures to the exposure class ‘covered bonds’ shall be done as follows:\n71.\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’\n72.\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 according to Article 111 of CRR 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 111 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\n(-) Of 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.\nThe figures reported shall be the fully adjusted exposure values before application of the conversion factor.\n200\nExposure value\nArticle 111 of CRR and Part 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\n015\nof which: Defaulted exposures\nArticle 127 CRR\nThis row shall only be reported in exposure classes ‘Items associated with a particular high risk’ and ‘Equity exposures’.\nIf an exposure is either listed in Article 128(2) of CRR or meets the criteria set in Articles 128(3) or 133 of CRR, it shall be assigned to the exposure class ‘Items associated with particular high risk’ or ‘Equity exposures’. Consequently, there should be no other allocation, even if the exposure is defaulted according to Article 127 of CRR.\n020\nof which: SME\nAll exposures to SME shall be reported here.\n030\nof which: Exposures subject to the SME-supporting factor\nOnly exposures 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 - 130\nExposures/Transactions subject to counterparty credit risk\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\n73.\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..\n74.\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).\n75.\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.\n76.\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\n77.\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\n4.2) 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).\n5.2) 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).\n5.5) Retail – Other non – SME\n(Article 147(2) point (d) CRR which were not reported under 5.2 and 5.3).\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:\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 relevant value used in the internal model 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.\nRegarding exposures subject to the double default treatment, the value of unfunded credit protection is re-ported in column 220.\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 own estimates of LGD are used (Article 183 of CRR), the relevant value used in the internal modelling shall be reported.\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 shall be reported in column 220.\n060\nOTHER FUNDED CREDIT PROTECTION\nIf collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects of the exposure), it shall be capped at the exposure value.\nWhen own estimates of LGD are not used, Article 232 of CRR shall be applied.\nWhen own estimates of LGD are used, those credit risk mitigants that comply with the criteria in Article 212 of the CRR shall be reported. The relevant value used in the internal model shall be reported.\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\n015\nof which: Exposures subject to SME-supporting factor\nOnly exposures which meet the requirements of Article 501 CRR shall be reported here.\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\n78.\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. Exposures to supranational organisations shall be assigned to the geographical area ‘other countries’.\n79.\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.\n80.\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.\n170\nTotal exposures\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 110of 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.\n150\nTotal exposures\n3.4.3.\nC 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)\n3.4.3.1.\nGeneral remarks\n81.\nThis table is implemented in order to receive more information regarding the elements of the institution specific countercyclical capital buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of the CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).\n82.\nInformation in template C 09.04 is requested for the ‘Total’ of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction are reported in a separate dimension.\n83.\nThe threshold set in Article 5 (a) (4) of this Regulation is not relevant for the reporting of this breakdown.\n84.\nIn order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.\n3.4.3.2.\nInstructions concerning specific positions\nColumns\n010\nAmount\nThe value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.\n020\nPercentage\n030\nQualitative Information\nThis information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the ‘Total’ of all countries.\nInstitutions shall report either {y} or {n} in accordance with the instructions for the relevant row.\nRows\n010-020\nRelevant credit exposures – Credit risk\nRelevant credit exposures defined in accordance with Article 140(4)(a) CRD.\n010\nExposure value under the Standardised Approach\nExposure value determined in accordance with Article 111 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.\nThe exposure value of securitisation positions in the banking book under the Standardised Approach shall be excluded from this row and reported in row 050.\n020\nExposure value under the IRB Approach\nExposure value determined in accordance with Article 166 CRR for relevant credit exposures defined in accordance with Article 140(4)(a) CRD.\nThe exposure value of securitisation positions in the banking book under the IRB Approach shall be excluded from this row and reported in row 060\n030-040\nRelevant credit exposures – Market risk\nRelevant credit exposures defined in accordance with Article 140(4)(b) CRD.\n030\nSum of long and short positions of trading book exposures for standardised approaches\nSum of net long and net short positions according to Article 327 CRR of relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 CRR:\nexposures to debt instruments other than securitisation,\nexposures to securitisation positions in the trading book,\nexposures to correlation trading portfolios,\nexposures to equity securities, and\nexposures to CIUs if capital requirements are calculated according to Article 348 CRR.\n040\nValue of trading book exposures under internal model approaches\nFor relevant credit exposures defined in accordance with Article 140(4)(b) CRD under Part Three, Title IV, Chapter 2 and Chapter 5 CRR, the sum of the following shall be reported:\nFair value of non-derivative positions, that represent relevant credit exposures as defined in Article 140(4)(b) CRD, determined in accordance with Article 104 CRR.\nNotional value of derivatives, that represent relevant credit exposures as defined in accordance with Article 140(4)(b) CRD.\n050-060\nRelevant credit exposures – Securitisation positions in the banking book\nRelevant credit exposures defined in accordance with Article 140(4)(c) CRD.\n050\nExposure value of securitisation positions in the banking book under the Standardised Approach\nExposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.\n060\nExposure value of securitisation positions in the banking book under the IRB Approach\nExposure value determined in accordance with Article 246 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD.\n070-110\nOwn funds requirements and weights\n070\nTotal own funds requirements for CCB\nThe sum of rows 080, 090 and 100.\n080\nOwn funds requirements for relevant credit exposures – Credit risk\nOwn funds requirements determined in accordance with Part Three, Title II, Chapter 1 to 4 and Chapter 6 CRR for relevant credit exposures, defined in accordance with Article 140(4)(a) of CRD, in the country in question.\nOwn fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 100.\nThe own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 1 to 4 and Chapter 6 of the CRR.\n090\nOwn funds requirements for relevant credit exposures – Market risk\nOwn funds requirements determined in accordance with Part Three, Title IV, Chapter 2 of CRR for specific risk, or in accordance with Part Three, Title IV, Chapter 5 of CRR for incremental default and migration risk for relevant credit exposures, defined in accordance with Article 140(4)(b) of CRD, in the country in question.\nThe own funds requirements for relevant credit exposures under the market risk framework include, among others, the own fund requirements for securitisation positions under Part Three, Title IV, Chapter 2 CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR.\n100\nOwn funds requirements for relevant credit exposures – Securitisation positions in the banking book\nOwn funds requirements determined in accordance with Part Three, Title II, Chapter 5 CRR for relevant credit exposures defined in accordance with Article 140(4)(c) CRD in the country in question.\nThe own-funds requirements are 8 % of the risk-weighted exposure amount determined according to the provisions of Part Three, Title II, Chapter 5 CRR.\n110\nOwn funds requirements weights\nThe weight applied to the countercyclical buffer rate in each country is calculated as a ratio of own fund requirements, determined as follows:\n1. Numerator The total own funds requirements that relates to the relevant credit exposures in the country in question [r070; c010 country sheet],\n2. Denominator The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) of CRD [r070;c010; ‘Total’].\nInformation on the Own fund requirements weights shall not be reported for the ‘Total’ of all countries.\n120-140\nCountercyclical buffer rates\n120\nCountercyclical capital buffer rate set by the Designated Authority\nCountercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Article 136, 137, 138 and 139 CRD.\nThis row should be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country.\nCountercyclical capital buffer rates that were set by the Designated Authority, but are not yet applicable in the country in question at the reporting reference date shall not be reported.\nInformation on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the ‘Total’ of all countries.\n130\nCountercyclical capital buffer rate applicable for the country of the institution\nCountercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Article 137, 138, 139 and Article 140(1), (2) and (3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported.\nInformation on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the ‘Total’ of all countries.\n140\nInstitution-specific countercyclical capital buffer rate\nInstitution-specific countercyclical capital buffer rate, determined in accordance with Article 140(1) CRD.\nThe institution-specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of Article 139(2) or (3) CRD. The relevant countercyclical buffer rate is reported in [r120; c020; country sheet], or [r130; c020; country sheet] as applicable.\nThe weight applied to the countercyclical buffer rate in each country is the share of own funds requirements in total own funds requirements, and is reported in [r110; c020; country sheet].\nInformation on the institution-specific countercyclical capital buffer rate shall only be reported for the ‘Total’ of all countries and not for each country separately.\n150 - 160\nUse of the 2 % threshold\n150\nUse of 2 % threshold for general credit exposure\nIn accordance with Article 2(5)(b) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, whose aggregate does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures is calculated by excluding the general credit exposures located in accordance with Article 2(5) point (a) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014.\nIf the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries.\nIf an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.\n160\nUse of 2 % threshold for trading book exposure\nIn accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State, if the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures.\nIf the institution makes use of this derogation, it shall indicate ‘y’ in the table for the jurisdiction corresponding to its home Member State and for the ‘Total’ of all countries.\nIf an institution does not make use of this derogation, it shall indicate ‘n’ in the respective cell.\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 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 (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight 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 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).\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\nshall 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 require 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\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.\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 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 (as originator, sponsor or original lender) 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?\nOriginators, sponsors and original lenders shall report one of 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 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 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\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.\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 day, month and year of the first foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.\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 day, month and year of the legal final maturity date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.\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 cannot 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 the 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: LOSSES AND RECOVERIES 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 and loss recoveries registered by an institution in the last year according to event types and business lines.\n120.\n‘Gross loss’ means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of Regulation (EU) No 575/2013 — before recoveries of any type, without prejudice to 122.\n121.\n‘Recovery’ means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties.\n122.\n‘Rapidly recovered loss events’ means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, as well as into the OPR Details reporting at all.\n123.\n‘Date of accounting’ means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows the ‘Date of occurrence’ (i.e. the date when the operational risk event happened or first began) and the ‘Date of discovery’ (i.e. the date on which the institution became aware of the operational risk event).\n124.\nThe Number of events is the number of operational risk events accounted for the first time within the reporting period.\n125.\nThe Total loss amount is the algebraic sum of the following elements:\ni.. The gross loss amounts pertinent to operational risk events ‘accounted for the first time’ within the reporting period (e.g. direct charges, provisions, settlements);\nii.. the gross loss amounts pertinent to positive loss adjustments made within the reporting period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events ‘accounted for the first time’ in previous reporting periods; and\niii.. the gross loss amounts pertinent to negative loss adjustments made within the reporting period — due to decrease of provisions — of operational risk events ‘accounted for the first time’ in previous reporting periods.\n126.\nThe Number of events shall conventionally include also the events accounted for the first time in previous reporting periods and not yet reported in previous supervisory reports. The Total loss amount shall conventionally include also the elements as of Paragraph 124 pertinent to previous reporting periods and not yet reported in previous supervisory reports.\n127.\nThe Maximum single loss is the largest single amount among those included in 124.i or 124.ii above.\n128.\nThe Sum of the five largest losses is the sum of the five largest amounts among those included in 124.i or 124.ii above.\n129.\nThe Total loss recovery is the sum of all the recoveries accounted within the reporting period and pertinent to operational risk events accounted for the first time within the reporting period or in previous reporting periods.\n130.\nThe figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1/1 to 30/6 of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1/1 to 31/12 of the calendar year).\n131.\nThe information is presented by distributing the losses and recoveries 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.\n132.\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.\n133.\nRows present the business lines, and within each business line, information on the number of events, the total loss amount, the maximum single loss, the sum of the five largest losses and the total loss recovery.\n134.\nFor the total business lines, data on the number of events and the total loss amount are also requested for certain ranges based on preset thresholds, 10 000, 20 000, 100 000, and 1 000 000. The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.\n135.\nWhere the algebraic sum of the elements of the total loss amount, as indicated in paragraph 124 above, determines a negative value for some business lines/event types combinations, the value of 0 shall be reported in the pertinent cells.\n136.\nThis template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.\n137.\nIn order to verify the conditions envisaged by Article 5 point (b) (2) (b), the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get ‘the sum of individual balance sheet totals of all institutions within the same Member State’.\n138.\nInstitutions subject to Article 5(b)(2)(b) 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);\n(d) sum of the five largest losses (row 940) and\n(e) total loss recovery (row 950).\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’, the total of ‘total loss amount’ and the total of ‘total loss recovery’ as the simple aggregation of the number of loss events, the total gross loss amounts and the total loss recovery 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 - 850\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 internal thresholds the following information: number of events, total loss amount, maximum single loss, sum of the five largest losses and total loss recovery. For a loss event that affects more than one business line the ‘total loss amount’ is distributed among all the affected business lines.\n910 - 950\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 950) has to be reported:\nNumber of events (row 910): the number of events above the internal threshold by event types for the total business lines shall be reported. 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.\nNumber of events. Of which, ≥ 10,000 and < 20,000, ≥ 20,000 and < 100,000, ≥ 100,000 and < 1 000 000, ≥ 1 000 000 (rows 911 to 914): the number of internal events included in the ranges defined in the pertinent rows shall be reported.\nTotal loss amount (row 920): the total loss amount is the simple aggregation of the total loss amount for each business line.\nTotal loss amount, Of which, ≥ 10,000 and < 20,000, ≥ 20,000 and < 100,000, ≥ 100,000 and < 1 000 000, ≥ 1 000 000 (rows 921 to 924): the total loss amount included in the ranges defined in the pertinent rows shall be reported.\nMaximum single loss (row 930): the maximum single loss is the maximum loss over the internal 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.\nTotal loss recovery (row 950): the total loss recovery is the simple aggregation of the total loss recovery for each business line.\n910-950/080\nTOTAL BUSINESS LINES — TOTAL EVENT TYPES\nNumber of events: for each row from 910 to 914, the number of events is equal to the horizontal aggregation of the number of events in the corresponding row, given that in those figures the events with impacts in different business lines shall have already been considered as one event. The number in row 910 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: for each row from 920 to 924, the total loss amount is equal to both the horizontal aggregation of total loss amounts by event type in the corresponding row. The total loss amount in row 920 is equal to 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.\nTotal loss recovery: it is equal to both the horizontal aggregation of total loss recoveries by event type in row 950 and the vertical aggregation of total loss recoveries by business line in column 080.\n5.\nMARKET RISK TEMPLATES\n139.\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.\n140.\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\n141.\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..\n142.\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, HRK, HUF, ISK, JPY, 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.\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\n143.\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.\n144.\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.\n145.\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 and110\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\n146.\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.\n147.\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.\n148.\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’.\n149.\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 and120\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\n150.\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.\n151.\nThe template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement the term ‘market’ shall be read as ‘country’ (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014).\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. Positions in stock-index futures according to the second sentence of Article 344(4) CRR shall not be included in this column.\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.\n090 - 130\nADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)\nArticle 329(2) and (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\n152.\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.\n153.\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.\n130-480\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\n154.\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\n155.\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.\n156.\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",
  "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."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2016/1702/annex/II",
    "retrieved_at": "2026-11-01T14:45:32.881051+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."
}