{
  "url": "https://openlegislation.uk/eu-regulation-2020-429/annex-II",
  "json_url": "https://openlegislation.uk/eu-regulation-2020-429/annex-II.json",
  "legislation": "eur/2020/429",
  "legislation_title": "Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2020-429",
  "path": "annex/II",
  "kind": "annex",
  "number": "II",
  "heading": null,
  "text": "ANNEX II\nREPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS\nPART I: GENERAL 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 this Implementing Regulation.\n3.\nInstitutions shall 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 points 5 to 8, when referring to the columns, rows and cells of the templates. Those 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 are 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.\n1.4.\nABBREVIATIONS\n9a.\nFor the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council is referred to as “CRR”, Directive 2013/36/EU of the European Parliament and of the Council is referred to as “CRD”, Directive 2013/34/EU of the European Parliament and of the Council is referred to as “AD” and Council Directive 86/635/EEC is referred to as “BAD”.\nPART II: TEMPLATE 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 the application of CRR and CRD transitional provisions and is structured in five templates:\n(a) CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of the application of CRR and CRD transitional provisions per type of capital;\n(b) CA2 template summarises the total risk exposures amounts as defined in Article 92(3) CRR;\n(c) CA3 template contains the ratios for which CRR states a minimum level, and some other related data;\n(d) CA4 template contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers;\n(e) CA5 template contains the data needed for calculating the effect of the application of CRR transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.\n11.\nThe templates shall be used by 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) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).\n13.\nThe application of CRR and CRD transitional provisions is treated as follows in CA templates:\n(a) The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those 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 those transitional provisions are included.\n(b) Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.\n(c) Template CA5 is exclusively used for reporting the effect due to the application of the CRR transitional provisions.\n14.\nThe treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting required under CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.\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. That 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\nCommission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8).\nRow\nLegal references and instructions\n010\n1.\nOwn funds\nPoint (118) of Article 4(1) and Article 72 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 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 CRR\n030\n1.1.1.1.\nCapital instruments eligible as CET1 capital\nPoints (a) and (b) of Articles 26(1), Articles 27 to 30, point (f) of Article 36(1) and Article 42 CRR\n040\n1.1.1.1.1.\nPaid up capital instruments\nPoint (a) of Article 26(1) and Articles 27 to 31 CRR\nCapital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 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 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\nPoints (b), (l) and (m) of Article 28(1) 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\nPoint (124) of Article 4(1), point (b) of Article 26(1) 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\nPoint (f) of Article 36(1) and Article 42 CRR\nOwn CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 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\nPoint (f) of Article 36(1) and Article 42 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 point (a) of Article 42 CRR.\n090\n1.1.1.1.4.2.\n(-) Indirect holdings of CET1 instruments\nPoint (114) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR\n091\n1.1.1.1.4.3.\n(-) Synthetic holdings of CET1 instruments\nPoint (126) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR\n092\n1.1.1.1.5.\n(-) Actual or contingent obligations to purchase own CET1 instruments\nPoint (f) of Article 36(1) and Article 42 CRR\nAccording to point (f) of Article 36(1) 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\nPoint (c) of Article 26(1) and Article 26(2) 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\nPoint (123) of Article 4(1) and point (c) of Article 26(1) CRR\nPoint (123) of Article 4(1) 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 framework”.\n150\n1.1.1.2.2.\nProfit or loss eligible\nPoint (121) of Article 4(1), Article 26(2) and point (a) of Article 36(1) CRR\nArticle 26(2) 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 point (a) of Article 36(1) CRR.\n160\n1.1.1.2.2.1.\nProfit or loss attributable to owners of the parent\nArticle 26(2) and point (a) of Article 36(1) 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) CRR\nThis row shall not present any figure if, for the reference period, the institution has reported losses, because the losses shall be completely deducted from CET1.\nIf the institution reports profits, the part, which is not eligible according to Article 26(2) CRR (i.e. profits not audited and foreseeable charges or dividends), shall be reported.\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\nPoint (100) of Article 4(1) and point (d) of Article 26(1) 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\nPoint (117) of Article 4(1) and point (e) of Article 26(1) CRR\nOther reserves are defined in CRR as “Reserves within the meaning of the applicable accounting framework 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\nPoint (112) of Article 4(1) and point (f) of Article 26(1) CRR\nFunds for general banking risk are defined in Article 38 BAD 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\nParagraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 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\nPoint (120) of Article 4(1) and Article 84 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 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 CRR\n260\n1.1.1.9.1.\n(-) Increases in equity resulting from securitised assets\nArticle 32(1) CRR\nThe amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with 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\nPoint (a) of Article 33(1) CRR\nThe amount to be reported can 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 to be expected 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\nPoint (b) of Article 33(1) CRR\nThe amount to be reported can 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\nPoint (c) of Article 33(1) and Article 33(2) CRR\nThe amount to be reported can 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 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 CRR\n300\n1.1.1.10.\n(-) Goodwill\nPoint (113) of Article 4(1), point (b) of Article 36(1) and Article 37 CRR\n310\n1.1.1.10.1.\n(-) Goodwill accounted for as intangible asset\nPoint (113) of Article 4(1) and point (b) of Article 36(1) CRR\nGoodwill has the same meaning as under the applicable accounting standard.\nThe amount to be reported here shall be the same as the amount that is reported in the balance sheet.\n320\n1.1.1.10.2.\n(-) Goodwill included in the valuation of significant investments\nPoint (b) of Article 37 and Article 43 CRR\n330\n1.1.1.10.3.\nDeferred tax liabilities associated to goodwill\nPoint (a) of Article 37 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\nPoint (115) of Article 4(1), point (b) of Article 36(1) and point (a) of Article 37 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\nPoint (115) of Article 4(1) and point (b) of Article 36(1) 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, other than goodwill.\n360\n1.1.1.11.2.\nDeferred tax liabilities associated to other intangible assets\nPoint (a) of Article 37 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\nPoint (c) of Article 36(1) and Article 38 CRR\n380\n1.1.1.13.\n(-) IRB shortfall of credit risk adjustments to expected losses\nPoint (d) of Article 36(1), Articles 40, 158 and 159 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 CRR).\n390\n1.1.1.14.\n(-) Defined benefit pension fund assets\nPoint (109) of Article 4(1), point (e) of Article 36(1) and Article 41 CRR\n400\n1.1.1.14.1.\n(-) Defined benefit pension fund assets\nPoint (109) of Article 4(1) and point (e) of Article 36(1) 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\nPoints (108) and (109) of Article 4(1) and point (a) of Article 41(1) 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\nPoint (109) of Article 4(1) and point (b) of Article 41(1) 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\nPoint (122) of Article 4(1), point (g) of Article 36(1) and Article 44 CRR\nHoldings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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\nPoint (j) of Article 36(1) CRR\nThe amount to be reported is directly taken from CA1 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\nPoint (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 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 point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1 250 %.\n460\n1.1.1.18.\n(-) Securitisation positions which can alternatively be subject to a 1250 % risk weight\nPoint (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR.\nSecuritisation positions, which are subject to a 1 250 % risk weight, but alternatively are allowed to be deducted from CET1 (point (k)(ii) of Article 36(1) CRR), shall be reported in this item.\n470\n1.1.1.19.\n(-) Free deliveries which can alternatively be subject to a 1,25 % risk weight\nPoint (k)(iii) of Article 36(1) and Article 379(3) 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 (point (k)(iii) of Article 36(1) 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\nPoint (k)(iv) of Articles 36(1) and Article 153(8) CRR\nAccording to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach 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\nPoint (k)(v) of Article 36(1) and Article 155(4) CRR\nAccording to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be 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\nPoint (27) of Article 4(1), point (h) of Article 36(1), Articles 43 to 46, paragraphs 2 and 3 of Article 49 and Article 79 CRR\nPart of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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 (paragraphs 2 and 3 of Article 49).\n490\n1.1.1.23.\n(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences\nPoint (c) of Article 36(1); Article 38 and point (a) of Article 48(1) 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), which according to point (b) of Article 38(5) CRR has to be deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR.\n500\n1.1.1.24.\n(-) CET1 instruments of financial sector entities where the institution has a significant investment\nPoint (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR\nPart of holdings by the institution of CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in point (b) of Article 48(1) CRR.\nSee alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 CRR).\n510\n1.1.1.25.\n(-) Amount exceeding the 17,65 % threshold\nArticle 48(2) CRR\nPart of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(2) CRR.\n520\n1.1.1.26.\nOther transitional adjustments to CET1 Capital\nArticles 469 to 472, 478 and 481 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 intended 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 or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524.\nThis row shall not be used to assign capital items/deductions which are not covered by 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 CRR\n540\n1.1.2.1.\nCapital instruments eligible as AT1 Capital\nPoint (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR\n550\n1.1.2.1.1.\nPaid up capital instruments\nPoint (a) of Article 51 and Articles 52, 53 and 54 CRR\nThe amount to be reported shall not include the share premium related to the instruments\n560\n1.1.2.1.2*\nMemorandum item: Capital instruments not eligible\nPoints (c), (e) and (f) of Article 52(1) 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\nPoint (b) of Article 51 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\nPoint (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR\nOwn AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 57 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\nPoint (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 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\nPoint (b)(ii) of Article 52(1), point (a) of Article 56 and Article 57 CRR\n621\n1.1.2.1.4.3.\n(-) Synthetic holdings of AT1 instruments\nPoint (126) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR\n622\n1.1.2.1.5.\n(-) Actual or contingent obligations to purchase own AT1 instruments\nPoint (a) of Article 56 and Article 57 CRR\nAccording to point (a) of Article 56 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\nParagraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 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 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 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 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\nPoint (122) of Article 4(1), point (b) of Article 56 and Article 58 CRR\nHoldings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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\nPoint (27) of Article 4(1), point (c) of Article 56; Articles 59, 60 and 79 CRR\nPart of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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\nPoint (27) of Article 4(1), point (d) of Article 56, Articles 59 and 79 CRR\nHoldings by the institution of AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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\nPoint (e) of Article 56 CRR\nThe amount to be reported is directly taken from CA1 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 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)\nPoint (j) of Article 36(1) 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. Where 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 intended 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 or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744.\nThis row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR).\n750\n1.2.\nTIER 2 CAPITAL\nArticle 71 CRR\n760\n1.2.1.\nCapital instruments and subordinated loans eligible as T2 Capital\nPoint (a) of Article 62, Articles 63 to 65, point (a) of Article 66 and Article 67 CRR\n770\n1.2.1.1.\nPaid up capital instruments and subordinated loans\nPoint (a) of Article 62, Articles 63 and 65 CRR\nThe amount to be reported shall not include the share premium related to the instruments\n780\n1.2.1.2*\nMemorandum item: Capital instruments and subordinated loans not eligible\nPoints (c), (e) and (f) of Article 63 and Article 64 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\nPoint (b) of Article 62 and Article 65 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\nPoint (b)(i) of Article 63, point (a) of Article 66, and Article 67 CRR\nOwn T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 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\nPoint (b) of Article 63, point (a) of Article 66 and Article 67 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\nPoint (114) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR\n841\n1.2.1.4.3.\n(-) Synthetic holdings of T2 instruments\nPoint (126) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR\n842\n1.2.1.5.\n(-) Actual or contingent obligations to purchase own T2 instruments\nPoint (a) of Article 66 and Article 67 CRR\nAccording to point (a) of Article 66 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\nParagraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 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 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 CRR) shall be included.\n900\n1.2.4.\nTransitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries\nArticle 480 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\nPoint (d) of Article 62 CRR\nFor institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, this item shall contain 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\nPoint (c) of Article 62 CRR\nFor institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item shall contain the general credit risk adjustments eligible as T2 capital.\n930\n1.2.7.\n(-) Reciprocal cross holdings in T2 Capital\nPoint (122) of Article 4(1), point (b) of Article 66 and Article 68 CRR\nHoldings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate the own funds of the institution artificially.\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\nPoint (27) of Article 4(1), point (c) of Article 66, Articles 68 to 70 and Article 79 CRR\nPart of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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\nPoint (27) of Article 4(1), point (d) of Article 66, Articles 68, 69 and Article 79 CRR\nHoldings by the institution of T2 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment shall be completely deducted.\n960\n1.2.10.\nOther transitional adjustments to T2 Capital\nArticles 476, 477, 478 and 481 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)\nPoint (e) of Article 56 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. Where 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 provides 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 or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974.\nThis row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope 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\nArticle 92(3) and Articles 95, 96 and 98 CRR\n020\n1*\nOf which: Investment firms under Article 95 paragraph 2 and Article 98 CRR\nFor investment firms under Article 95(2) and Article 98 CRR\n030\n1**\nOf which: Investment firms under Article 96 paragraph 2 and Article 97 CRR\nFor investment firms under Article 96(2) and Article 97 CRR\n040\n1.1.\nRISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES\nPoints (a) and (f) of Article 92(3) CRR\n050\n1.1.1.\nStandardised Approach (SA)\nCR SA and SEC SA templates at the level of total exposures\n051\n1.1.1*\nOf which: Additional stricter prudential requirements based on Article 124 CRR\nInstitutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been consulted with EBA, in accordance with paragraphs 2 and 5 of Article 124CRR.\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 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\n240\n1.1.2.\nInternal ratings based Approach (IRB)\n241\n1.1.2*\nOf which: Additional stricter prudential requirements based on Article 164 CRR\nInstitutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been notified to EBA, in accordance with paragraphs 5 and 7 of Article 164 CRR.\n242\n1.1.2**\nOf which: Additional stricter prudential requirements based on Article 124 CRR\nInstitutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements set by the competent authorities after having consulted EBA, as laid down in paragraphs 2 and 5 of Article 124 CRR and which are related to limits on the eligible market value of the collateral as laid down in point (d) of Article 125(2) and point (d) of Article 126(2) CRR.\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 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\n450\n1.1.2.5.\nOther non credit-obligation assets\nThe amount to be reported is the risk weighted exposure amount as calculated in accordance with Article 156 CRR.\n460\n1.1.3.\nRisk exposure amount for contributions to the default fund of a CCP\nArticles 307, 308 and 309 CRR\n470\n1.1.4.\nSecuritisation positions\nSee CR SEC template\n490\n1.2.\nTOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY\nPoint (c)(ii) of Article 92(3) and point (b) of Article 92(4) 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\nPoints (b)(i), (c)(i) and (c)(iii) of Article 92(3) and point (b) of Article 92(4) 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\nArticle 348(1), point (c) of Article 350(3) and point (a) of Article 364(2) CRR\nTotal risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) CRR either immediately or as a consequence of the cap laid down in point (c) of Article 350(3) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.\nWhere the particular approach laid down in the first sentence of Article 348(1) CRR is applied, the amount to be reported shall be 32 % of the net position of the CIU exposure in question, multiplied by 12,5.\nWhere the particular approach laid down in the second sentence of Article 348(1) CRR is applied, the amount to be reported shall be 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)\nPoint (e) of Article 92(3) and point (b) of Article 92(4) CRR\nFor investment firms under Articles 95(2) and 96(2) and Article 98 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) and 96(2), Article 97 and point (a) of Article 98(1) CRR\nOnly for investment firms under Article 95(2), Article 96(2) and Article 98 CRR. See also Article 97 CRR.\nInvestment firms under Article 96 CRR shall report the amount referred to in Article 97 multiplied by 12.5.\nInvestment firms under Article 95 CRR shall report as follows:\nWhere the amount referred to in point (a) of Article 95(2) CRR is greater than the amount referred to in point (b) of Article 95(2) CRR, the amount to be reported is zero.\nWhere the amount referred to in point (b) of Article 95(2) CRR is greater than the amount referred to in point (a) of Article 95(2) 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\nPoint (d) of Article 92(3) CRR\nSee CVA template.\n650\n1.6.1.\nAdvanced method\nOwn funds requirements for credit valuation adjustment risk in accordance with Article 383 CRR.\nSee CVA template.\n660\n1.6.2.\nStandardised method\nOwn funds requirements for credit valuation adjustment risk in accordance with Article 384 CRR.\nSee CVA template.\n670\n1.6.3.\nBased on OEM\nOwn funds requirements for credit valuation adjustment risk in accordance with Article 385 CRR.\nSee CVA template.\n680\n1.7.\nTOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK\nPoint (b)(ii) of Article 92(3) and Articles 395 to 401 CRR\n690\n1.8.\nOTHER RISK EXPOSURE AMOUNTS\nArticles 3, 458 and 459 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 Articles 458 and 459 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 Article 458 CRR\nArticle 458 CRR\n720\n1.8.2*\nOf which: requirements for large exposures\nArticle 458 CRR\n730\n1.8.2**\nOf which: due to modified risk weights for targeting asset bubbles in the residential and commercial property\nArticle 458 CRR\n740\n1.8.2***\nOf which: due to intra financial sector exposures\nArticle 458 CRR\n750\n1.8.3.\nOf which: Additional stricter prudential requirements based on Article 459 CRR\nArticle 459 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. It 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\nPoint (a) of Article 92(2) 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 point (a) of Article 92(1) CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.\n030\n3.\nT1 Capital ratio\nPoint (b) of Article 92(2) 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 point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.\n050\n5.\nTotal capital ratio\nPoint (c) of Article 92(2) 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 point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.\n130\n13.\nTotal SREP capital requirement (TSCR) ratio\nThe sum of (i) and (ii) as follows:\n(i) the total capital ratio (8 %) as specified in point (c) of Article 92(1) CRR;\n(ii) the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL).\nThis item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 of the EBA SREP GL.\nWhere no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported.\n140\n13*\nTSCR: to be made up of CET1 capital\nThe sum of (i) and (ii) as follows:\n(i) the CET1 capital ratio (4,5 %) as per point (a) of Article 92(1) CRR;\n(ii) the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital.\nWhere no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, only point (i) shall be reported.\n150\n13**\nTSCR: to be made up of Tier 1 capital\nThe sum of (i) and (ii) as follows:\n(i) the Tier 1 capital ratio (6 %) as per point (b) of Article 92(1) CRR;\n(ii) the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital.\nWhere no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) shall be reported.\n160\n14.\nOverall capital requirement (OCR) ratio\nThe sum of (i) and (ii) as follows:\n(i) the TSCR ratio referred to in row 130;\n(ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.\nThis item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP GL.\nWhere no buffer requirement is applicable, only point (i) shall be reported.\n170\n14*\nOCR: to be made up of CET1 capital\nThe sum of (i) and (ii) as follows:\n(i) the TSCR ratio to be made up of CET1 capital referred to in row 140;\n(ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.\nWhere no buffer requirement is applicable, only point (i) shall be reported.\n180\n14**\nOCR: to be made up of Tier 1 capital\nThe sum of (i) and (ii) as follows:\n(i) the TSCR ratio to be made up of Tier 1 capital referred to in row 150;\n(ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.\nWhere no buffer requirement is applicable, only point (i) shall be reported.\n190\n15.\nOverall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio\nThe sum of (i) and (ii) as follows:\n(i) the OCR ratio referred to in row 160;\n(ii) where applicable, the Pillar 2 Guidance (P2G) as defined in the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority.\nWhere no P2G is communicated by the competent authority, only point (i) shall be reported.\n200\n15*\nOCR and P2G: to be made up of CET1 capital\nThe sum of (i) and (ii) as follows:\n(i) the OCR ratio to be made up of CET1 capital referred to in row 170;\n(ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority.\nWhere no P2G is communicated by the competent authority, only point (i) shall be reported.\n210\n15**\nOCR and P2G: to be made up of Tier 1 capital\nThe sum of (i) and (ii) as follows:\n(i) the OCR ratio to be made up of Tier 1 capital referred to in row 180;\n(ii) where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority.\nWhere no P2G is communicated by the competent authority, only point (i) shall be reported.\n1.5.\nC 04.00 – MEMORANDUM ITEMS (CA4)\n1.5.1.\nInstructions concerning specific positions\nCouncil Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions (OJ L 141, 11.6.1993, p. 1).\nDirective 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 (OJ L 126, 26.5.2000, p. 1).\nRows\n010\n1.\nTotal deferred tax assets\nThe amount reported in this item shall be equal to the amount reported in the most recent verified/audited accounting balance sheet.\n020\n1.1.\nDeferred tax assets that do not rely on future profitability\nArticle 39(2) 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\nPoint (c) of Article 36(1) and Article 38 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\nPoint (c) of Article 36(1); Article 38 and point (a) of Article 48(1) 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 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\nParagraphs 3 and 4 of Article 38 CRR\nDeferred tax liabilities for which conditions in paragraphs 3 and 4 of Article 38 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 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\nParagraphs 3, 4 and 5 of Article 38 CRR\nDeferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR\n090\n2.2.2.\nDeductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences\nParagraphs 3, 4 and 5 of Article 38 CRR\nDeferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR\n093\n2A\nTax overpayments and tax loss carry backs\nArticle 39(1) CRR\nThe amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights.\n096\n2B\nDeferred Tax Assets subject to a risk weight of 250 %\nArticle 48(4) CRR\nThe amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.\n097\n2C\nDeferred Tax Assets subject to a risk weight of 0 %\nPoint (d) of Article 469(1), Article 470, Article 472(5) and Article 478 CRR\nThe amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to point (d) of Article 469(1) and Article 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.\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\nPoint (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 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 CRR\nThis item shall only be reported by IRB institutions.\n120\n3.1.1.\nGeneral credit risk adjustments\nArticle 159 CRR\nThis item shall only be reported by IRB institutions.\n130\n3.1.2.\nSpecific credit risk adjustments\nArticle 159 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 CRR\nThis item shall only be reported by IRB institutions.\n140\n3.2.\nTotal expected losses eligible\nParagraphs 5, 6 and 10 of Article 158 and Article 159 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\nPoint (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR\nThis item shall only be reported by IRB institutions.\n150\n4.1.\nSpecific credit risk adjustments and positions treated similarily\nArticle 159 CRR\nThis item shall only be reported by IRB institutions.\n155\n4.2.\nTotal expected losses eligible\nParagraphs 5, 6 and 10 of Article 158, and Article 159 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\nPoint (d) of Article 62 CRR\nFor IRB institutions, 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, in accordance with point (d) of Article 62 CRR.\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\nPoint (c) of Article 62 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\nPoint (c) of Article 62 CRR\nAccording to point (c) of Article 62 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\nPoint (a) of Article 46(1) 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\nPoints (a) and (b) of Article 48(1) 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) 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 to be calculated in such a way that the amount of the two items that is recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 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\nPoint (a) of point (71) of Article 4(1) CRR\n226\n11.2.\nEligible capital for the purposes of large exposures\nPoint (b) of point (71) of Article 4(1) CRR\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, 45, 46 and 49 CRR\n240\n12.1.\nDirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\nArticles 44, 45, 46 and 49 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 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 in accordance with point (g) of Article 36(1) CRR\n260\n12.1.2.\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 45 CRR\nArticle 45 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\nPoint (114) of Article 4(1) and Articles 44 and 45 CRR\n280\n12.2.1.\nGross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\nPoint (114) of Article 4(1) and Articles 44 and 45 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 in accordance with point (g) of Article 36(1) CRR shall not be included\n290\n12.2.2.\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nPoint (114) of Article 4(1) and Article 45 CRR\nPoint (a) of Article 45 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\nPoint (126) of Article 4(1) and Articles 44 and 45 CRR\n292\n12.3.2.\nGross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment\nPoint (126) of Article 4(1) and Articles 44 and 45 CRR\n293\n12.3.3.\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nPoint (126) of Article 4(1) and Article 45 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, 59 and 60 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 Article 60(2) CRR\n320\n13.1.1.\nGross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\nArticle 58 and Article 60(2) 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 in accordance with point (b) of Article 56 CRR\n330\n13.1.2.\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 59 CRR\nPoint (a) of Article 59 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\nPoint (114) of Article 4(1) and Articles 58 and 59 CRR\n350\n13.2.1.\nGross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\nPoint (114) of Article 4(1) and Articles 58 and 59 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 point (b) of Article 56 CRR shall not be included.\n360\n13.2.2.\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nPoint (114) of Article 4(1) and Article 59 CRR\nPoint (a) of Article 59 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\nPoint (126) of Article 4(1) and Articles 58 and 59 CRR\n362\n13.3.1.\nGross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment\nPoint (126) of Article 4(1) and Articles 58 and 59 CRR\n363\n13.3.2.\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nPoint (126) of Article 4(1) and Article 59 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, 69 and 70 CRR\n380\n14.1.\nDirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nArticles 68 and 69 and Article 70(2) CRR\n390\n14.1.1.\nGross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nArticle 68 and Article 70(2) 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 in accordance with point (b) of Article 66 CRR\n400\n14.1.2.\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 69 CRR\nPoint (a) of Article 69 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\nPoint (114) of Article 4(1) and Articles 68 and 69 CRR\n420\n14.2.1.\nGross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nPoint (114) of Article 4(1) and Articles 68 and 69 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 in accordance with Article 66 point (b) CRR shall not be included\n430\n14.2.2.\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nPoint (114) of Article 4(1) and Article 69 CRR\nPoint (a) of Article 69 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\nPoint (126) of Article 4(1) and Articles 68 and 69 CRR\n432\n14.3.1.\nGross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment\nPoint (126) of Article 4(1) and Articles 68 and 69 CRR\n433\n14.3.2.\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nPoint (126) of Article 4(1) and Article 69 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 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 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 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 in accordance with point (g) of Article 36(1) CRR\n470\n15.1.2.\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 45 CRR\nPoint (a) of Article 45 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\nPoint (114) of Article 4(1) and Articles 44 and 45 CRR\n490\n15.2.1.\nGross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment\nPoint (114) of Article 4(1) and Articles 44 and 45 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 in accordance with point (g) of Article 36(1) CRR shall not be included.\n500\n15.2.2.\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nPoint (114) of Article 4(1) and Article 45 CRR\nPoint (a) of Article 45 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\nPoint (126) of Article 4(1) and Articles 44 and 45 CRR\n502\n15.3.1.\nGross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment\nPoint (126) of Article 4(1) and Articles 44 and 45 CRR\n503\n15.3.2.\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nPoint (126) of Article 4(1) and Article 45 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 CRR\n520\n16.1.\nDirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\nArticles 58 and 59 CRR\n530\n16.1.1.\nGross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment\nArticle 58 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 (point (d) of Article 56 CRR); and\nb)) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR.\n540\n16.1.2.\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 59 CRR\nPoint (a) of Article 59 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\nPoint (114) of Article 4(1) and Articles 58 and 59 CRR\n560\n16.2.1.\nGross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment\nPoint (114) of Article 4(1) and Articles 58 and 59 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 in accordance with point (b) of Article 56 CRR shall not be included.\n570\n16.2.2.\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nPoint (114) of Article 4(1) and Article 59 CRR\nPoint (a) of Article 59 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\nPoint (126) of Article 4(1) and Articles 58 and 59 CRR\n572\n16.3.1.\nGross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment\nPoint (126) of Article 4(1) and Articles 58 and 59 CRR\n573\n16.3.2.\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nPoint (126) of Article 4(1) and Article 59 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 CRR\n590\n17.1.\nDirect holdings of T2 capital of financial sector entities where the institution has a significant investment\nArticles 68 and 69 CRR\n600\n17.1.1.\nGross direct holdings of T2 capital of financial sector entities where the institution has a significant investment\nArticle 68 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 (point (d) of Article 66 CRR); and\nb)) Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR\n610\n17.1.2.\n(-) Permitted offsetting short positions in relation to the direct gross holdings included above\nArticle 69 CRR\nPoint (a) of Article 69 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\nPoint (114) of Article 4(1) and Articles 68 and 69 CRR\n630\n17.2.1.\nGross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment\nPoint (114) of Article 4(1) and Articles 68 and 69 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 in accordance with point (b) of Article 66 CRR shall not be included\n640\n17.2.2.\n(-) Permitted offsetting short positions in relation to the indirect gross holdings included above\nPoint (114) of Article 4(1) and Article 69 CRR\nPoint (a) of Article 69 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\nPoint (126) of Article 4(1) and Articles 68 and 69 CRR\n642\n17.3.1.\nGross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment\nPoint (126) of Article 4(1) and Articles 68 and 69 CRR\n643\n17.3.2.\n(-) Permitted offsetting short positions in relation to the synthetic gross holdings included above\nPoint (126) of Article 4(1) and Article 69 CRR\n650\n18.\nRisk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital\nArticles 46(4), 48(4) and 49(4) 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) 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) 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 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, where it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity.\nNote that those 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 CRR\nA competent authority may waive 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 those 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 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 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 CRR\nA competent authority may waive 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 those 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 CRR\nA competent authority may waive 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 those instruments shall also be reported on item 17.1.\n740\n27.\nCombined buffer requirement\nPoint (6) of Article 128 CRD\n750\nCapital conservation buffer\nPoint (1) of Article 128 and Article 129 CRD\nIn accordance with Article 129(1) CRD, 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 row.\n760\nConservation buffer due to macro-prudential or systemic risk identified at the level of a Member State\nPoint (d)(iv) of Article 458(2) CRR\nIn this row, 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 in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported.\nThe amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.\n770\nInstitution specific countercyclical capital buffer\nPoint (2) of Article 128 and Articles 130, 135 to 140 CRD\nThe amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.\n780\nSystemic risk buffer\nPoint (5) of Article 128, Articles 133 and 134 CRD\nThe amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.\n800\nGlobal Systemically Important Institution buffer\nPoint (3) of Article 128 and Article 131 CRD\nThe amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.\n810\nOther Systemically Important Institution buffer\nPoint (4) Article 128 and Article 131 CRD\nThe amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.\n820\n28.\nOwn funds requirements related to Pillar II adjustments\nArticle 104(2) 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 row.\n830\n29.\nInitial capital\nArticles 12 and 28 to 31 CRD and Article 93 CRR\n840\n30.\nOwn funds based on Fixed Overheads\nPoint (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR\n850\n31.\nNon-domestic original exposures\nInformation necessary to calculate the threshold for reporting of the CR GB template in accordance with point (4) of Article 5(a) of this Implementing Regulation. 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 in accordance with point (4) of Article 5(a)of this Implementing Regulation. 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) CRR\nThe difference between the amount reported in row 880 and the total own funds pursuant to CRR has to be reported in this row.\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) CRR\nTotal own funds pursuant to CRR adjusted as required by Article 500(4) CRR (i.e. fully adjusted to reflect differences in the calculation of own funds under Council Directive 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council 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 Chapter 3 of Title II of Part Three 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\nPoint (b) of Article 500(1) CRR\nThe amount of own funds required by point (b) of Article 500(1) CRR to be held (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 and Directive 2000/12/EC has to be reported in this position.\n900\nOwn funds requirements for Basel I floor – SA alternative\nParagraphs 2 and 3 of Article 500 CRR\nThe amount of own funds required by Article 500(2) CRR to be hold (i.e. 80 % of the own funds that the institution would be required to hold under Article 92 CRR calculating risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three and Chapters 2 and 3 of Title III of Part Three CRR, as applicable, instead of in accordance with Chapter 3 of Title II of Part Three, or Chapter 4 of Title III of Part Three 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\nPoint (b) of Article 500(1) and Article 500(2) CRR\nThis row has to be filled with:\nwhere point (b) of Article 500(1) CRR is applied and row 880 < row 890: the difference between row 890 and row 880;\nor where 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 (CA5)\n1.6.1.\nGeneral remarks\n15.\nCA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 CRR.\n16.\nCA5 is structured as follows:\n(a) Template 5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template 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.\n(b) 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 laid down in Part Ten 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 CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491 CRR, compared to applying the final provisions laid down in Title II of Part Two CRR.\n21.\nInstitutions shall report in rows 020 to 060 information about the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 030 of row 060 of CA5.1 can be derived from the respective sections of CA5.2.\n22.\nInstitutions shall report in rows 070 to 092 information about the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 CRR).\n23.\nIn rows 100 onwards institutions shall report information about the transitional provisions of unrealised 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. That 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 shall 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 amounts adjusting the total risk exposure amount of Article 92(3) CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Article 92(4) CRR. That means that transitional amounts subject to Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12,5.\nWhereas columns 010 to 030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts shall be memorandum items only.\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 those adjustments\n020\n1.1.\nGrandfathered instruments\nArticles 483 to 491 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\nParagraphs 1, 2, 4 and 6 of Article 483 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\nParagraphs 1, 3, 5, 7 and 8 of Article 483CRR\n060\n1.1.2.\nInstruments not constituting state aid\nThe amounts to be reported shall be obtained from column 060 of CA5.2 template\n070\n1.2.\nMinority interests and equivalents\nArticles 479 and 480 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 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 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\nArticles 85 and 480 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\nArticles 87 and 480 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 Article 481 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 CRR\nThis row reflects the overall effect of transitional provisions on unrealised gains and losses measured at fair value.\n120\n1.3.1.1.\nUnrealised gains\nArticle 468(1) CRR\n130\n1.3.1.2.\nUnrealised losses\nArticle 467(1) 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 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 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 CRR\n140\n1.3.2.\nDeductions\nArticle 36(1) and Articles 469 to 478 CRR\nThis row reflects the overall effect of transitional provisions on deductions.\n150\n1.3.2.1.\nLosses for the current financial year\nPoint (a) of Article 36(1), Articles 469(1) and 472(3) and Article 478 CRR\nThe amount to be reported in column 060 of this row shall be the original deduction in accordance with point (a) of Article 36(1) 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\nPoint (b) of Article 36(1), Articles 469(1) and 472(4) and Article 478 CRR\nWhen determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 CRR.\nThe amount to be reported in column 060 of this row shall be the original deduction in accordance with point (b) of Article 36(1) CRR.\n170\n1.3.2.3.\nDeferred tax assets that rely on future profitability and do not arise from temporary differences\nPoint (c) of Article 36(1), Articles 469(1) and 472(5) and Article 478 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 CRR relating to the reduction of DTA by deferred tax liabilities.\nThe amount to be reported in column 060 of this row: Total amount in accordance with Article 469(1) CRR.\n180\n1.3.2.4.\nIRB shortfall of provisions to expected losses\nPoint (d) of Articles 36(1), Articles 469(1) and 472(6) and Article 478 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 CRR.\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 36(1) CRR\n190\n1.3.2.5.\nDefined benefit pension fund assets\nPoint (e) of Article 33(1), Articles 469(1) and 472(7), Articles 473 and 478 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 CRR.\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (e) of Article 36(1)CRR\n194\n1.3.2.5.*\nof which: Introduction of amendments to IAS 19 – positive item\nArticle 473 CRR\n198\n1.3.2.5.**\nof which: Introduction of amendments to IAS 19 – negative item\nArticle 473 CRR\n200\n1.3.2.6.\nOwn instruments\nPoint (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (f) of Article 36(1)CRR.\n210\n1.3.2.6.1.\nOwn CET1 instruments\nPoint (f) of Article 36(1), Articles 469(1) and 472(8) and Article 478 CRR\nWhen determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account Article 42 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 into “direct” and “indirect” holdings.\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (f) of Article 36(1) CRR.\n211\n1.3.2.6.1**\nof which: Direct holdings\nPoint (b) of Article 469(1) and point (a) of Article 472(8) 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\nPoint (b) of Article 469(1) and point (b) of Article 472(8) 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\nPoint (a) of Article 56, Article 474 and Article 475(2) and Article 478 CRR\nWhen determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 CRR.\nGiven that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 475(2) CRR), institutions shall break down the above-mentioned holdings into “direct” and “indirect” own Additional Tier 1 holdings.\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (a) of Article 56CRR.\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, point (b) of Article 474 and point (a) of Article 475(2) 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, point (b) of Article 474 and point (b) of Article 475(2) CRR.\n230\n1.3.2.6.3.\nOwn T2 instruments\nPoint (a) of Article 66, Article 476, Article 477(2) and Article 478 CRR\nWhen determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 CRR.\nGiven that the treatment of the “residual amount” differs depending upon the nature of the instrument (Article 477(2) CRR), institutions shall break down the above-mentioned holdings according to “direct” and “indirect” own Tier 2 holdings.\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (a) of Article 66 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, point (b) of Article 476 and point (a) of Article 477(2) 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, point (b) of Article 476 and point (b) of Article 477(2) 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) 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\nPoint (g) of Article 36(1), Articles 469(1) and 472(9) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (g) of Article 36(1)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\nPoint (g) of Article 36(1), Article 469(1), point (a) of Article 472(9) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Residual amount in accordance with point (b) of Article 469(1) 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\nPoint (g) of Article 36(1), Article 469(1), point (b) of Article 472(9) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Residual amount in accordance with point (b) of Article 469(1) CRR\n280\n1.3.2.7.2.\nReciprocal cross holdings in AT1 Capital\nPoint (b) of Article 56, Article 474, Article 475(3) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (b) of Article 56 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\nPoint (b) of Article 56, Article 474, point (a) of Article 475(3) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Residual amount in accordance with Article 475(3) 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\nPoint (b) of Article 56, Article 474, point (b) of Article 475(3) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Residual amount in accordance with Article 475(3) CRR.\n310\n1.3.2.7.3.\nReciprocal cross holdings in T2 Capital\nPoint (b) of Article 66, Article 476, Article 477(3) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (b) of Article 66 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\nPoint (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Residual amount in accordance with Article 477(3) 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\nPoint (b) of Article 66, Article 476, point (a) of Article 477(3) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Residual amount in accordance with Article 477(3) 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\nPoint (h) of Article 36(1), Articles 469(1) and 472(10) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (h) of Article 36(1) CRR.\n360\n1.3.2.8.2.\nAT1 instruments of financial sector entities where the institution does not have a significant investment\nPoint (c) of Article 56, Article 474, Article 475(4) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (c) of Article 56 CRR\n370\n1.3.2.8.3.\nT2 instruments of financial sector entities where the institution does not have a significant investment\nPoint (c) of Article 66, Article 476, Article 477(4) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (c) of Article 66 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\nParagraphs 2 and 3 of Article 470 CRR\nThe amount to be reported in column 060 of this row: Article 470(1) CRR\n385\nDeferred tax assets that are dependent on future profitability and arise from temporary differences\nPoint (c) of Article 469(1), Article 472(5) and Article 478 CRR.\nPart of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in point (a) of Article 470(2) 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\nPoint (i) of Article 36(1), Articles 469(1) and 472(11) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (i) of Article 36(1) CRR\n410\n1.3.2.10.2.\nAT1 instruments of financial sector entities where the institution has a significant investment\nPoint (d) of Article 56, Article 474, Article 475(4) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 56CRR.\n420\n1.3.2.10.2.\nT2 instruments of financial sector entities where the institution has a significant investment\nPoint (d) of Article 66, Article 476, Article 477(4) and Article 478 CRR\nThe amount to be reported in column 060 of this row: Original deduction in accordance with point (d) of Article 66 CRR\n425\n1.3.2.11.\nExemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items\nArticle 471 CRR\n430\n1.3.3.\nAdditional filters and deductions\nArticle 481 CRR\nThis row reflects the overall effect of transitional provisions on additional filters and deductions.\nIn accordance with Article 481 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.\n440\n1.3.4.\nAdjustments due to IFRS 9 transitional arrangements\nInstitutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions.\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 (Articles 484 to 491 CRR).\n1.6.3.1.\nInstructions concerning specific positions\nColumns\n010\nAmount of instruments plus related share premium\nParagraphs 3, 4 and 5 of Article 484 CRR\nInstruments which are eligible for each respective row, including their related share premiums.\n020\nBase for calculating the limit\nParagraphs 2, 3 and 4 of Article 486 CRR\n030\nApplicable percentage\nArticle 486(5) CRR\n040\nLimit\nParagraphs 2 to 5 of Article 486 CRR\n050\n(-) Amount that exceeds the limits for grandfathering\nParagraphs 2 to 5 of Article 486 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 CA5.1.\nRows\n010\n1.\nInstruments that qualified for point (a) of Article 57 of 2006/48/EC\nArticle 484(3) 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 Directive 2006/48/EC, subject to the limit of Article 489 CRR\nArticle 484(4) CRR\n030\n2.1.\nTotal instruments without a call or an incentive to redeem\nArticle 484(4) and Article 489 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 CRR\n050\n2.2.1.\nInstruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity\nArticle 489(3) and point (a) of Article 491 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 52 CRR after the date of effective maturity\nArticle 489(5) and point (a) of Article 491 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 52 CRR after the date of effective maturity\nArticle 489(6) and point (c) of Article 491 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) 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 Directive 2006/48/EC, subject to the limit of Article 490 CRR\nArticle 484(5) CRR\n100\n3.1.\nTotal items without an incentive to redeem\nArticle 490 CRR\n110\n3.2.\nGrandfathered items with an incentive to redeem\nArticle 490 CRR\n120\n3.2.1.\nItems with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity\nArticle 490(3) and point (a) of Article 491 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 CRR after the date of effective maturity\nArticle 490(5) and point (a) of Article 491 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 CRR after the date of effective maturity\nArticle 490(6) and point (c) of Article 491 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) 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. Template C 06.02 consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation.\n(a) Entities within the scope of consolidation;\n(b) Detailed group solvency information;\n(c) Information on the contribution of individual entities to group solvency;\n(d) Information on capital buffers;\n27.\nInstitutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 010 to 060 and 250 to 400.\n28.\nThe figures reported take into account all applicable transitional provisions CRR which are applicable at the respective reporting date.\n2.2.\nDETAILED GROUP SOLVENCY INFORMATION\n29.\nThe second part of template C 06.02 (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.\n30.\nIn the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.\n2.3.\nINFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY\n31.\nThe objective of the third part of template C 06.02 and template C 06.01 (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.\n32.\nThe third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.\n33.\nAs this third part of the template refers to “contributions”, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.\n34.\nThe principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in “Group Solvency” template. A direct link to the CA template is not possible where the 1 % threshold is not exceeded.\n35.\nThe institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.\n36.\nIt is possible for one consolidated group to be included within another consolidated group. That 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. A subgroup that is subject to reporting requirements shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group.\n37.\nAn institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. That 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 in accordance with Chapter 2 of Title II of Part One 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 template.\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, 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) assigns pre-LEI codes to counterparties.\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 where the entity is subject to own funds requirements pursuant to CRR and CRD or provisions at least equivalent to Basel provisions.\n“NO” shall be reported otherwise.\nMinority interests:\nPoint (a)(ii) of Article 81(1) and point (a)(ii) of Article 82(1) CRR\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 to the requirements CRR by virtue of applicable national law.\n035\nTYPE OF ENTITY\nThe type of entity shall be reported based on the following categories:\n(a) credit institution\nPoint (1) of Article 4(1)CRR;\n(b) investment firm\nPoint (2) of Article 4(1) CRR;\n(c) financial institution (other)\nPoints (20), (21) and (26) of Article 4(1) CRR\nFinancial institutions within the meaning of Article 4(1)(26) CRR which are not included in any of the categories (d), (f) or (g);\n(d) (mixed) financial holding company\nPoints (20) and (21) of Article 4(1)CRR;\n(e) ancillary services undertaking\nPoint (18) of Article 4(1) CRR;\n(f) securitisation special purpose entity (SSPE),\nPoint (66) of Article 4(1)CRR;\n(g) covered bond company\nEntity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above;\n(h) other type of entity\nEntity other than those referred to in points (a) to (g).\nWhere an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis.\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 referred to in 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 point 16 of Article 4(1) CRR, the share of holding 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 CRR), are effectively subject to solvency requirements laid down in 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 reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of 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 are 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 pursuant to Articles 95, 96, 97 and 98 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 shall correspond 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 template CA2.\n090\nPOSITION, FX AND COMMODITY RISKS\nThe amount to be reported in this column shall correspond 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 template CA2.\n100\nOPERATIONAL RISK\nThe amount to be reported in this column shall correspond 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 template CA2.\n110\nOTHER RISK EXPOSURE AMOUNTS\nThe amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 640, 680 and 690 of template CA2.\n120-240\nDETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS\nThe information reported in the following columns shall reflect the local solvency rules of the Member State in which 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 CRR\nThis column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that 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 and included in the CRR consolidation.\nThe amount to be reported shall include the effects of any transitional provisions. 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\nPoint (b) of Article 87(1)CRR\n150\nTOTAL TIER 1 CAPITAL\nArticle 25 CRR\n160\nOF WHICH: QUALIFYING TIER 1 CAPITAL\nArticle 82 CRR\nThis column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that 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\nPoint (b) of Article 85(1) CRR\n180\nCOMMON EQUITY TIER 1 CAPITAL\nArticle 50 CRR\n190\nOF WHICH: MINORITY INTERESTS\nArticle 81 CRR\nThis column shall only be reported for subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 84(3) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 CRR, where relevant, in accordance with Article 84(2), otherwise on a solo basis.\nMinority 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 provisions. 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\nPoint (b) of Article 84(1) CRR\n210\nADDITIONAL TIER 1 CAPITAL\nArticle 61 CRR\n220\nOF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL\nArticles 82 and 83 CRR\nThis column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 CRR, where relevant, in accordance with Article 85(2), otherwise on a solo basis.\nMinority 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 provisions. It shall be the eligible amount on the date of reporting.\n230\nTIER 2 CAPITAL\nArticle 71 CRR\n240\nOF WHICH: QUALIFYING TIER 2 CAPITAL\nArticles 82 and 83 CRR\nThis column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for subsidiaries referred to in Article 87(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 CRR, if relevant, in accordance with Article 87(2) CRR, otherwise on a solo basis.\nMinority 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 provisions, It shall be the eligible amount on 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 in accordance with 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 in accordance with the 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 in accordance with the 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 shall correspond 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 shall 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 shall correspond to the risk exposure amount for risks other than listed above.\n300-400\nCONTRIBUTION TO OWN FUNDS\nThis part of the template is not intended to impose on institutions 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, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 360 to 400 shall be reported for all 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 (mainly the own funds raised from third parties and accumulated reserves).\nThe information reported in the following columns shall be in accordance with 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 CRR, excluding any fund brought in by other group entities.\n300\nQUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS\nArticle 87 CRR\n310\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL\nArticle 85 CRR\n320\nMINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL\nArticle 84 CRR\nThe amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the CRR.\n330\nQUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL\nArticle 86 CRR\nThe amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the CRR.\n340\nQUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL\nArticle 88 CRR\nThe amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with 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” shall be 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 (-)) shall be reported. That includes the results attributable to minority interests.\n400\nOF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL\nGoodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here.\n410-480\nCAPITAL BUFFERS\nThe structure of the reporting of capital buffers for the GS template shall follow 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 in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing CRD and on CRR, including any transitional provisions provided for therein.\n410\nCOMBINED BUFFER REQUIREMENT\nPoint (6) of Article 128 CRD\n420\nCAPITAL CONSERVATION BUFFER\nPoint (1) of Article 128 and Article 129 CRD\nIn accordance with Article 129(1) CRD, 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\nPoint (2) of Article 128, Article 130 and Articles 135 to 140 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\nPoint (d)(iv) of Article 458(2) 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 in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported.\n450\nSYSTEMIC RISK BUFFER\nPoint (5) of Article 128, Articles 133 and 134 CRD\nIn this cell the amount of the systemic risk buffer shall be reported.\n470\nGLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nPoint (3) of Article 128 and Article 131 CRD\nIn this cell the amount of the Global Systemically Important Institution buffer shall be reported.\n480\nOTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER\nPoint (4) of Article 128 and Article 131 CRD\nIn this cell the amount of the Other Systemically Important Institution buffer shall be reported.\n3.\nCREDIT RISK TEMPLATES\n3.1.\nGENERAL REMARKS\n38.\nThere are different sets of templates for the Standardised Approach and the IRB Approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold set out in point (4) of Article 5(a) of this Implementing Regulation is exceeded.\n3.1.1.\nReporting of CRM techniques with substitution effect\n39.\nArticle 235 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection.\n40.\nArticle 236 CRR describes the computation procedure of the exposure which is fully protected by unfunded protection in the case of full protection/partial protection – equal seniority.\n41.\nArticles 196, 197 and 200 CRR regulate the funded credit protection.\n42.\nExposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class.\n43.\nThe exposure type shall not change because of unfunded credit protection.\n44.\nIf an exposure is secured by an unfunded credit protection, the secured part shall be 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 shall not change due to the change of the exposure class.\n45.\nThe substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure shall be risk weighted in accordance with the Standardised Approach and shall be reported in the CR SA template.\n3.1.2.\nReporting of Counterparty Credit Risk\n46.\nExposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.\n3.2.\nC 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)\n3.2.1.\nGeneral remarks\n47.\nThe CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk in accordance with the Standardised Approach. In particular, they provide detailed information on:\na)) the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;\nb)) the amount and type of credit risk mitigation techniques used for mitigating the risks.\n3.2.2.\nScope of the CR SA template\n48.\nIn accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements.\n49.\nThe information in CR SA is required for the total exposure classes and individually for each of the exposure classes under the Standardised Approach. The total figures as well as the information of each exposure class are reported in a separate dimension.\n50.\nHowever the following positions are not within the scope of CR SA:\n(a) Exposures assigned to exposure class “items representing securitisation positions” as referred to in point (m) of Article 112 CRR, which shall be reported in the CR SEC templates.\n(b) Exposures deducted from own funds.\n51.\nThe scope of the CR SA template shall cover the following own funds requirements:\n(a) Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book;\n(b) Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book;\n(c) Settlement risk arising from free deliveries in accordance with Article 379 CRR in respect of all the business activities.\n52.\nThe template shall include all exposures for which the own funds requirements are calculated in accordance with Chapter 2 of Title II of Part Three CRR in conjunction with Chapters 4 and 6 of Title II of Part Three CRR. Institutions that apply Article 94(1) CRR also need to report their trading book positions in this template when they apply Chapter 2 of Title II of Part Three CRR to calculate the own funds requirements thereof (Chapters 2 and 6 of Title II of Part Three and Title V of Part Three CRR). Therefore the template shall not only provide detailed information on the type of the exposure (e.g. on balance sheet/off balance sheet items), but also information on the allocation of risk weights within the respective exposure class.\n53.\nIn addition, CR SA includes memorandum items in rows 290 to 320 to collect further information about exposures secured by mortgages on immovable property and exposures in default.\n54.\nThose memorandum items shall only be reported for the following exposure classes:\n(a) Central governments or central banks (point (a) of Article 112 CRR);\n(b) Regional governments or local authorities (point (b) of Article 112 CRR)\n(c) Public sector entities (point (c) of Article 112 CRR);\n(d) Institutions (point (f) of Article 112 CRR);\n(e) Corporates (point (g) of Article 112 CRR);\n(f) Retail (point (h) of Article 112 CRR).\n55.\nThe reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in points (a) to (c) and (f) to (h) of Article 112 CRR nor of the exposure classes referred to in points (i) and (j) of Article 112 CRR reported in template CR SA.\n56.\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 where the obligors would have been reported in the exposure classes “Central governments or central banks”, “Regional governments or local authorities”, “Public sector entities”, “Institutions”, “Corporates” and “Retail” of CR SA, if those exposures were not assigned to the exposure classes “in default” or “secured by immovable property”. The figures reported, however, are the same as used to calculate the risk weighted exposure amounts in the exposure classes “in default” or “secured by immovable property”.\n57.\nE.g. if an exposure, the risk exposure amounts of which are calculated in accordance with Article 127 CRR and the value adjustments are less than 20 %, then that information shall be 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 that information shall also be reported in row 320 of exposure class “institutions”.\n3.2.3.\nAssignment of exposures to exposure classes under the Standardised Approach\n58.\nIn order to ensure a consistent categorisation of exposures into the different exposure classes referred to in Article 112 CRR the following sequential approach shall be applied:\n(a) In a first step, the Original exposure pre-conversion factors shall be classified into the corresponding (original) exposure class referred to in Article 112 CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.\n(b) In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.\n59.\nThe following criteria shall apply to for the classification of the Original exposure pre-conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.\n60.\nFor the purpose of classifying the original exposure pre-conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class referred to in point (i) of Article 112 CRR (exposures secured by mortgages on immovable property).\n61.\nArticle 112 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 (point (n) of Article 112 CRR) and exposures to institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but is not the only one. It is worth noting that the criteria used for establishing the exposure classes under the Standardised Approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non-disjoint groupings.\n62.\nFor a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre-conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below, using a decision tree scheme, are based on the assessment of the conditions explicitly laid down in CRR for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with CRR provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora.\n63.\nAn exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, the criteria graphically depicted in the following decision tree would work on a sequential process.\n64.\nWith this background the assessment ranking in the decision tree mentioned below shall follow the following order:\n1.. Securitisation positions;\n2.. Items associated with particular high risk;\n3.. Equity exposures\n4.. Exposures in default;\n5.. Exposures in the form of units or shares in collective investment undertakings (“CIU”)/Exposures in the form of covered bonds (disjoint exposure classes);\n6.. Exposures secured by mortgages on immovable property;\n7.. Other items;\n8.. Exposures to institutions and corporates with a short-term credit assessment;\n9.. All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.\n65.\nIn the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (paragraphs 3, 4 and 5 of Article 132 CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of Exposures in the form of units or shares in collective investment undertakings (“CIU”).\n66.\n“nth” to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the “Other items” exposure class. In that 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) CRR.\n67.\nIn a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.\nDECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH THE CRR\nOriginal exposure pre-conversion factors\nDoes it fit for being assigned to the exposure class of point (m) of Article 112 CRR?\nYES\nSecuritisation positions\nNO\nDoes it fit for being assigned to the exposure class of point (k) of Article 112 CRR?\nYES\nItems associated with particular high risk (see also Article 128 CRR)\nNO\nDoes it fit for being assigned to the exposure class of point (p) of Article 112 CRR?\nYES\nEquity exposures (see also Article 133 CRR)\nNO\nDoes it fit for being assigned to the exposure class of point (j) of Article 112 CRR?\nYES\nExposures in default\nNO\nDoes it fit for being assigned to the exposure classes of points (l) and (o) of Article 112 CRR?\nYES\nExposures in the form of units or shares in collective investment undertakings (CIU)\nExposures in the form of covered bonds (see also Article 129 CRR)\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 point (i) of Article 112 CRR?\nYES\nExposures secured by mortgages on immovable property (see also Article 124 CRR)\nNO\nDoes it fit for being assigned to the exposure class of point (q) of Article 112 CRR?\nYES\nOther items\nNO\nDoes it fit for being assigned to the exposure class of point (n) of Article 112 CRR?\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 CRR\n3.2.4.1.\nExposure Class “Institutions”\n68.\nIntra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows:\n69.\nExposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures.\n70.\nAccording to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that 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. That 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 Council Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.\n3.2.4.2.\nExposure Class “Covered Bonds”\n71.\nSA exposures shall be assigned to the exposure class “covered bonds” as follows:\n72.\nBonds referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council shall fulfil the requirements of paragraphs 1 and 2 of Article 129 CRR to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds referred to in Article 52(4) of Directive 2009/65/EC and issued before 31 December 2007 shall also be assigned to the exposure class “Covered Bonds” pursuant to Article 129(6) CRR.\n3.2.4.3.\nExposure class “Collective Investment Undertakings”\n73.\nWhere the possibility referred to in Article 132(5) CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) CRR.\n3.2.5.\nInstructions concerning specific positions\nColumns\n010\nORIGINAL EXPOSURE PRE-CONVERSION FACTORS\nExposure value calculated in accordance with Article 111 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) CRR:\n1.. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR or subject to point (f) of Article 92(3) CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated in accordance with the methods laid down Chapter 6 of Title II of Part Three CRR.\n2.. Exposure values for leases shall be subject to Article 134(7) CRR.\n3.. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral.\n4.. In the case of master netting agreements covering repurchase transactions, securities, commodities lending, borrowing transactions or other capital market driven transactions subject to Chapter 6 of Title II of Part Three CRR, the effect of Funded Credit Protection in the form of master netting agreements referred to in Article 220(4) CRR shall be reflected in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to Chapter 6 of Title II of Part Three CRR, E* as calculated in accordance with Articles 220 and 221 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 CRR\nValue adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject\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 point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in “Substitution of the exposure due to CRM”.\nCollateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.\nItems to be reported here:\ncollateral, incorporated in accordance with the Financial Collateral Simple Method;\neligible unfunded credit protection.\nPlease also see instructions of point 3.1.1.\n050 – 060\nUnfunded credit protection: adjusted values (GA)\nArticle 235 CRR\nArticle 239(3) CRR contains the formula for the calculation of the adjusted value GA of an unfunded credit protection.\n050\nGuarantees\nArticle 203 CRR\nUnfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.\n060\nCredit derivatives\nArticle 204 CRR\n070 – 080\nFunded credit protection\nThese columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors).\nInvestments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.\n070\nFinancial collateral: simple method\nParagraphs 1 and 2 of Article 222 CRR.\n080\nOther funded credit protection\nArticle 232 CRR.\n090 – 100\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nArticle 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR\nOutflows shall 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. That 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 to 228 CRR. They also include credit linked notes (Article 218 CRR)\nCredit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be 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, shall be calculated in accordance with Articles 223 to 228 CRR.\n120\nVolatility adjustment to the exposure\nParagraphs 2 and 3 of Article 223 CRR.\nThe amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He\n130\n(-) Financial collateral adjusted value (Cvam)\nArticle 239(2) CRR.\nFor trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included.\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 Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.\n140\n(-) Of which: Volatility and maturity adjustments\nArticle 223(1) CRR and Article 239(2) 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) CRR.\n160 – 190\nBreakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors\nArticle 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR.\nThe figures reported shall be the fully adjusted exposure values before application of the conversion factor.\n200\nExposure value\nArticle 111 CRR and Section 4 of Chapter 4 of Title II of Part Three 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 in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three 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 Chapter 6 of Title II of Part Three CRR, the exposure value for Counterparty Credit Risk calculated in accordance with the methods laid down in Sections 2 to 5 of Chapter 6 of Title II of Part Three CRR.\n215\nRisk weighted exposure amount pre SME-supporting factor\nParagraphs 1 to 5 of Article 113CRR, without taking into account the SME-supporting factor laid down in Article 501 CRR.\n220\nRisk weighted exposure amount after SME-supporting factor\nParagraphs 1 to 5 of Article 113CRR, taking into account the SME-supporting factor laid down in Article 501 CRR.\n230\nOf which: with a credit assessment by a nominated ECAI\nPoints (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR\n240\nOf which: with a credit assessment derived from central government\nPoints (b) to d), (f), (g), (l) and (o) of Article 112 CRR\nRows\nInstructions\n010\nTotal exposures\n015\nof which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”\nArticle 127 CRR\nThis row shall only be reported in exposure classes “Items associated with a particular high risk” and “Equity exposures”.\nAn exposure that is either listed in Article 128(2) CRR or meets the criteria set in Article 128(3) or Article 133 CRR shall be assigned to the exposure class “Items associated with particular high risk” or “Equity exposures”. Consequently, there shall be no other allocation, even in case of an exposure in default as referred to in Article 127 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 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 to which the Standardised Approach has been applied in accordance with Article 150(1) CRR\n060\nof which: Exposures under the Standardised Approach with prior supervisory permission to carry out a sequential IRB implementation\nArticle 148(1) 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.\nExposures to counterparty credit risk arising from the trading book business of the institution as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) 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 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 as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.\nExposures arising from assets posted to a CCP as defined in point (90) of Article 4(1)) CRR shall be included if not reported in row 080.\n080\nOff balance sheet exposures subject to credit risk\nOff-balance sheet positions comprise the items listed in Annex I 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 090, 110 and 130 and therefore not be reported in this row.\nExposures arising from assets posted to a CCP as defined in point (90) of Article 4(1) 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 as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272(3) CRR.\n100\nOf which: centrally cleared through a QCCP\nArticle 306 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR.\nTrade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP\n110\nDerivatives and Long Settlement Transactions\nDerivatives comprise the contracts listed in Annex II to the CRR.\nLong Settlement Transactions as defined in Article 272(2) 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 CRR for qualifying CCPs as defined in point (88) of Article 4(1) CRR in accordance with Article 301(2) CRR\nTrade exposures, as defined in point (91) of Article 4(1) CRR, to a CCP\n130\nFrom Contractual Cross Product Netting\nExposures that due to the existence of a contractual cross product netting (as defined in Article 272(11) 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) CRR\n160\n4 %\nArticle 305(3) CRR\n170\n10 %\n180\n20 %\n190\n35 %\n200\n50 %\n210\n70 %\nPoint (c) of Article 232(3) CRR.\n220\n75 %\n230\n100 %\n240\n150 %\n250\n250 %\nArticles 133(2) and 48(4) CRR\n260\n370 %\nArticle 471 CRR\n270\n1 250 %\nArticle 133(2) and Article 379 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.\nParagraphs 1 to 5 of Article 113 CRR.\nUnrated nth-to-default credit derivatives under the Standardised Approach (Article 134(6) CRR) shall be reported in this row under the exposure class “Other items”.\nSee also Article 124(2) and point (b) of Article 152(2) 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\nPoint (i) of Article 112 CRR\nThis is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 CRR the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate.\n300\nExposures in default subject to a risk weight of 100 %\nPoint (j) of Article 112 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\nPoint (i) of Article 112 CRR\nThis is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 CRR the exposures shall be broken down and reported in this row if the exposures are secured by real estate property.\n320\nExposures in default subject to a risk weight of 150 %\nPoint (j) of Article 112 CRR\nExposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.\n3.3.\nCREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)\n3.3.1.\nScope of the CR IRB template\n74.\nThe scope of the CR IRB template covers own funds requirements for:\ni.. Credit risk in the banking book, among which:\nCounterparty credit risk in the banking book;\nDilution risk for purchased receivables;\nii.. Counterparty credit risk in the trading book;\niii.. Free deliveries resulting from all business activities.\n75.\nThe scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three (IRB Approach).\n76.\nThe CR IRB template does not cover the following data:\ni.. Equity exposures, which are reported in the CR EQU IRB template;\nii.. Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates;\niii.. “Other non credit-obligation assets”, as referred to in point (g) of Article 147(2) 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, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be 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 shall be reported in the template CR GB.\n77.\nIn order to clarify whether the institution uses its own estimates for LGD or credit conversion factors, the following information shall be provided for each reported exposure class:\n“NO”\nin case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)\n“YES”\nin 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 supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.\n3.3.2.\nBreakdown of the CR IRB template\n78.\nThe CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:\n1. Total\n(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB Approach.)\n2. Central banks and central governments\n(point (a) of Article 147(2) CRR)\n3. Institutions\n(point (b) of Article 147(2) CRR)\n4.1) Corporate – SME\n(point (c) of Article 147(2) CRR\n4.2) Corporate – Specialised lending\n(Article 147(8) CRR)\n4.3) Corporate – Other\n(All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 and 4.2).\n5.1) Retail – Secured by immovable property SME\n(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property).\n5.2) Retail – Secured by immovable property non-SME\n(Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under 5.1).\n5.3) Retail – Qualifying revolving\n(Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR).\n5.4) Retail – Other SME\n(Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3).\n5.5) Retail – Other non – SME\n(Retail exposures as referred to in point (d) of Article 147(2) 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 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 in accordance with an internal master scale, that scale shall be used.\nOtherwise, the different rating systems shall be merged and ordered in accordance with 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 shall be used. All exposures, including defaulted exposures, are to be considered for the the calculation of the exposure weighted average PD (e.g. for “total exposure”). Defaulted exposures shall be those assigned to the last rating grade/s with a PD of 100 %.\n020\nORIGINAL EXPOSURE PRE-CONVERSION FACTORS\nInstitutions shall 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 CRR and paragraphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR.\nThe effect resulting from Article 166(3) CRR (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore 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 of entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.\n040-080\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nCredit risk mitigation as defined in point (57) of Article 4(1) 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 as defined in point (59) of Article 4(1) CRR.\nCollateral that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.\n040\nGUARANTEES:\nWhere own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided.\nWhen own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal model shall be reported.\nGuarantees shall be reported in column 040 where the adjustment is not made in the LGD. Where 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 shall be reported in column 220.\n050\nCREDIT DERIVATIVES:\nWhere own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided.\nWhere own estimates of LGD are used in accordance with Article 183 CRR, the relevant value used in the internal modelling shall be reported.\nWhere 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\nCollateral that has an effect on the exposure (e.g. where used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.\nWhere own estimates of LGD are not used, Article 232 CRR shall be applied.\nWhere own estimates of LGD are used, those credit risk mitigation that complies with the conditions in Article 212 CRR shall be reported. The relevant value used in the internal model shall be reported.\nThe amount shall be reported in column 060 where the adjustment is not made in the LGD. Where an adjustment is made in the LGD, that amount shall be reported in column 170.\n070-080\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nOutflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the protection provider’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the protection provider’s exposure class and, where relevant, obligor grades or pools.\nInflows and outflows within the same exposure classes and, where 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 exposure value determined in accordance with Article 166 CRR and the second sentence of Article 230(1) CRR shall be reported.\nFor the instruments referred to in Annex I, the credit conversion factors (paragraphs 8, 9 and 10 of Article 166 CRR), irrespective of the approach chosen by the institution, shall be applied.\nFor rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting), subject to Chapter 6 of Title II of Part Three CRR, the Exposure Value shall be the same as the value for Counterparty Credit Risk calculated in accordance with Sections 3 to 7 of Chapter 6 of Title II of Part Three CRR. Those values shall be 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 to entities referred to in Article 142(4) and (5) CRR subject to the higher correlation determined in accordance with 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, Article 228(2), Article 230(1) and (2) and Article 231 CRR shall be taken into account.\nWhere own estimates of LGD are used:\nRegarding unfunded credit protection, for exposures to central governments, central banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For retail exposures, Article 164(2) CRR shall be taken into account.\nRegarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) 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 CRR.\n180\nELIGIBLE FINANCIAL COLLATERAL\nFor trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title II of Part Three CRR shall be treated as cash collateral.\nWhere own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 4 of Article 193 and Article 194(1) CRR. The adjusted value (Cvam) as set out in Article 223(2) CRR shall be reported.\nWhere own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) 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, values shall be determined in accordance with paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR.\nWhere own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.\n190\nREAL ESTATE\nWhere own estimates of LGD are not used, values shall be determined in accordance with paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR.\nWhere 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 shall be determined in accordance with paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) CRR). See also Article 229(3) CRR.\nWhere own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.\n210\nRECEIVABLES\nWhere own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) CRR and shall be reported in this column.\nWhere 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 taking into account Article 202 and Article 217(1) 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 Chapters 3 and 4 of Title II of Part Three CRR shall be considered. In- case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR.\nFor defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account.\nThe exposure value referred to 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 shall be reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* as referred to in 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.\nWhere own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 CRR shall be taken into account.\nIn case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) 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 specialised lending exposures referred to in Article 153(5).\nExposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, but 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 to large financial sector entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR subject to the higher correlation determined in accordance with Article 153(2) CRR.\n250\nEXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)\nThe value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be 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. That 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 paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR.\nThe SME-supporting factor referred to in Article 501(1) 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 paragraphs 1 and 3 of Article 153 CRR. For retail, see Article 154(1) CRR.\nThe SME-supporting factor referred to in Article 501(1) 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 to large financial sectors entities as defined in Article 142(4) CRR and to unregulated financial sector entities as defined in Article 142(5) CRR, subject to the higher correlation determined in accordance with Article 153(2) CRR.\n280\nEXPECTED LOSS AMOUNT\nFor the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected loss amounts, see Article 158 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 credit risk adjustments in accordance with Article 159 CRR shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades.\n300\nNUMBER OF OBLIGORS\nParagraphs 1 and 2 of Article 172 CRR.\nFor all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of point (e) of Article 172(1) CRR, 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, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) 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(2) 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 CRR shall not be 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 as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.\nExposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if not reported in row 030.\n030\nOff balance sheet items subject to credit risk\nOff-balance sheet items shall comprise those items that are listed in Annex I 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 in this row.\nExposures arising from assets posted to a CCP as defined in point (91) of Article 4(1) CRR shall be included if they are considered as off-balance sheet items.\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 as defined in point (82) of Article 4(1) CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272(3) CRR.\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 that are listed in Annex II CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.\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 point (6) of Article 142(1) and point (c) of Article 170(1) CRR.\nFor retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) 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\nSPECIALISED LENDING SLOTTING CRITERIA: TOTAL\nArticle 153(5) CRR. This shall only apply to the exposure classes corporates, institutions and central governments and central banks.\n090-150\nBREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALISED LENDING SLOTTING CRITERIA:\n120\nOf which: In category 1\nTable 1 of Article 153(5) CRR\n160\nALTERNATIVE TREATMENT: SECURED BY REAL ESTATE\nParagraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) 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 the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.\n180\nDILUTION RISK: TOTAL PURCHASED RECEIVABLES\nSee point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157(1) CRR.\nIn accordance with Article 166(6) CRR, the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.\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 template. 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 CR IRB 1 template.\nRow\nInstructions\n010-001 – 010-NNN\nValues reported in these rows must be ordered from the lower to the higher in accordance with 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 in accordance with 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\n79.\nAll institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in point (4) of Article 5(a) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organisations shall be assigned to the geographical area “other countries”.\n80.\nThe term “residence of the obligor” refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area “Other countries”, irrespective of the exposure class where the exposure to supranational organisations is assigned.\n81.\nData regarding “original exposure pre-conversion factors” shall be reported referring to the country of residence of the immediate obligor. Data regarding “exposure value” and “Risk weighted exposure amounts” shall be reported as of the country of residence of the ultimate obligor.\n3.4.1.\nC 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)\n3.4.1.1.\nInstructions concerning specific positions\nColumns\n010\nORIGINAL EXPOSURE PRE-CONVERSION FACTORS\nSame definition as for column 010 of CR SA template\n020\nDefaulted exposures\nOriginal exposure pre-conversion factors for those exposures which have been classified as “exposures in default” and for defaulted exposures assigned to the exposure classes “exposures associated with particularly high risk” or “equity exposures”.\nThis “memorandum item” shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as “exposures in default” as referred to in point (j) of Article 112 CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes “exposures in default”.\nThis information is a “memorandum item” – hence does not affect the calculation of risk weighted exposure amounts of exposure classes “exposures in default”, “exposures associated with particularly high risk” or “equity exposures” as referred to in points (j), (k) and (p) of Article 112 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 as referred to in Article 110 CRR.\nThis item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in point (c) of Article 62 CRR.\nThe amount to be reported shall be gross of tax effects.\n055\nSpecific credit risk adjustments\nCredit risk adjustments as referred to in Article 110 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\nPoint (a) of Article 112 CRR\n020\nRegional governments or local authorities\nPoint (b) of Article 112 CRR.\n030\nPublic sector entities\nPoint (c) of Article 112 CRR\n040\nMultilateral developments banks\nPoint (d) of Article 112 CRR\n050\nInternational organisations\nPoint (e) of Article 112 CRR\n060\nInstitutions\nPoint (f) of Article 112 CRR\n070\nCorporates\nPoint (g) of Article 112 CRR\n075\nof which: SME\nSame definition as for row 020 of CR SA template\n080\nRetail\nPoint (h) of Article 112 CRR\n085\nof which: SME\nSame definition as for row 020 of CR SA template\n090\nSecured by mortgages on immovable property\nPoint (i) of Article 112 CRR\n095\nof which: SME\nSame definition as for row 020 of CR SA template\n100\nExposures in default\nPoint (j) of Article 112 CRR\n110\nItems associated with particularly high risk\nPoint (k) of Article 112 CRR\n120\nCovered bonds\nPoint (l) of Article 112 CRR\n130\nClaims on institutions and corporates with a short-term credit assessment\nPoint (n) of Article 112 CRR\n140\nCollective investments undertakings (CIU)\nPoint (o) of Article 112 CRR\n150\nEquity exposures\nPoint (p) of Article 112 CRR\n160\nOther exposures\nPoint (q) of Article 112 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 in accordance with Article 178 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 as referred to in Article 110 CRR.\n055\nSpecific credit risk adjustments\nCredit risk adjustments as referred to in Article 110 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 columns 230 and 240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply.\nData shall not be reported for specialised lending exposures referred to in Article 153(5) CRR.\n100\nOf which: defaulted\nExposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 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 in accordance with Article 178(1) 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\nPoint (a) of Article 147(2) CRR\n020\nInstitutions\nPoint (b) of Article 147(2) CRR\n030\nCorporates\nAll exposures to corporates as referred to in point (c) of Article 147(2) CRR\n042\nOf which: Specialised lending (excl. SL subject to slotting criteria)\nPoint (a) of Article 147(8) CRR\nData shall not be reported for specialized lending exposures as referred to in Article 153(5) CRR.\n045\nOf which: Specialised lending subject to slotting criteria\nPoint (a) of Article 147(8) and Article 153(5) CRR\n050\nOf which: SME\nPoint (c) of Article 147(2) CRR\n060\nRetail\nAll retail exposures as referred to in point (d) of Article 147(2) CRR\n070\nRetail – Secured by real estate property\nRetail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate\n080\nSME\nRetail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate\n090\nnon-SME\nRetail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate\n100\nRetail – Qualifying revolving\nRetail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR\n110\nOther Retail\nOther retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 070 – 100\n120\nSME\nOther retail exposures as referred to in point (d) of Article 147(2) CRR to SMEs\n130\nnon-SME\nOther retail exposures as referred to in point (d) of Article 147(2) CRR to non-SMEs\n140\nEquity\nEquity exposures as referred to in point (e) of Article 147(2) 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\n82.\nThis template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures).\n83.\nInformation in template C 09.04 shall be reported for the “Total” of relevant credit exposures across all jurisdictions where those 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 shall be reported in a separate dimension.\n84.\nThe threshold set in point (4) of Article 5(a) of this Implementing Regulation shall not apply for the reporting of this breakdown.\n85.\nIn order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014. Therefore, CRM techniques shall 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 as referred to in point (a) of Article 140(4) CRD.\n010\nExposure value under the Standardised Approach\nExposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.\nThe exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.\n020\nExposure value under the IRB Approach\nExposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD.\nThe exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 055.\n030-040\nRelevant credit exposures – Market risk\nRelevant credit exposures as referred to in point (b) of Article 140(4) CRD.\n030\nSum of long and short positions of trading book exposures for Standardised Approach\nSum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three 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;\nexposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR.\n040\nValue of trading book exposures under internal models\nFor relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported:\nFair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR.\nNotional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD.\n055\nRelevant credit exposures – Securitisation positions in the banking book\nExposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) 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 calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) 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 in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR.\n090\nOwn funds requirements for relevant credit exposures – Market risk\nOwn funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question.\nThe own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, 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 calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question.\nThe own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR.\n110\nOwn funds requirements weights\nThe weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows:\n1.. Numerator: The total own funds requirements that relate 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 as referred to in Article 140(4) 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 Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) CRD.\nThis row shall 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 Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(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, calculated in accordance with Article 140(1) CRD.\nThe institution-specific countercyclical capital buffer rate shall be 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 paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r120; c020; country sheet], or [r130; c020; country sheet], as applicable.\nThe weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be 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 point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which 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 shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) 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 template 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 where 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 template 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\n86.\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.\n87.\nThe CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (point (a) of Article 92(3) CRR) in accordance with Chapter 3 of Title II of Part Three CRR for equity exposures as referred to in point (e) of Article 147(2) CRR.\n88.\nIn accordance with Article 147(6) CRR, the following exposures shall be assigned to the equity exposure class:\n(a) non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer;\n(b) debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).\n89.\nCollective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152 CRR shall also be reported in the CR EQU IRB template.\n90.\nIn accordance with Article 151(1) CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 CRR:\nthe Simple Risk Weight approach;\nthe PD/LGD approach;\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 in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised Approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) CRR.\n91.\nThe following equity claims shall not be reported in the CR EQU IRB template:\nEquity exposures in the trading book (where institutions are not exempted from calculating own funds requirements for trading book positions (Article 94 CRR)).\nEquity exposures subject to the partial use of the Standardised Approach (Article 150 CRR), including:\nEquity exposures grandfathered in accordance with Article 495(1) CRR;\nEquity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (point (g) of Article 150(1) 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 (point (h) of Article 150(1) CRR),\nEquity exposures to ancillary services undertakings the risk weighted exposure amounts of which may be calculated in accordance with the treatment of “other non credit-obligation assets” (Article 155(1) CRR),\nEquity claims deducted from own funds in accordance with Articles 46 and 48 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 shall be a row identifier and shall be unique for each row in the template. 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 shall report in column 010 the probability of default (PD) calculated in accordance with Article 165(1) CRR.\nThe PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three 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). In accordance with Article 167 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 shall also include in column 020 the off balance sheet items referred to in Annex I 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) CRR) shall also take into account the offsetting referred to in the second subparagraph of Article 155(2) 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 recognise unfunded credit protection obtained on equity exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall 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 Chapter 4 of Title II of Part Three CRR.\n050\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\n(-) TOTAL OUTFLOWS\nInstitutions shall 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 Chapter 4 of Title II of Part Three CRR.\n060\nEXPOSURE VALUE\nInstitutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR).\nIn the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 CRR).\n070\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nInstitutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation.\nThe exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD.\nInstitutions shall take into account Article 165(2) CRR.\n080\nRISK WEIGHTED EXPOSURE AMOUNT\nInstitutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 CRR.\nWhere institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) 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) CRR).\n090\nMEMORANDUM ITEM: EXPECTED LOSS AMOUNT\nInstitutions shall report in column 090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.\n92.\nIn accordance with Article 155 CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach).\nRows\nCR EQU IRB 1 – row 020,\nPD/LGD APRROACH: TOTAL\nInstitutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required 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 APPROACH BY RISK WEIGHTS:\nInstitutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with 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) CRR) shall report the required 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 in accordance with 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) 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) CRR) shall report the required information in the CR EQU IRB 2 template.\nInstitutions using the PD/LGD approach that apply a unique rating system or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/master scale. In any other case, the different rating systems shall be merged and ordered in accordance with 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\n93.\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 as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR.\n94.\nInstitutions shall 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.\n95.\nIn accordance with Article 378 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 own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 CRR.\n96.\nIn case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That 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.\n97.\nInstitutions shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to determine the corresponding own funds requirements.\n98.\nIn accordance with point (b) of Article 92(4) CRR, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount.\n99.\nNote that own funds requirements for free deliveries as laid down in Article 379 CRR are not within the scope of the CR SETT template. Those own funds requirements 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\nInstitutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR.\nAll unsettled transactions shall be included in this column, 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\nInstitutions shall report 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, as referred to in Article 378 CRR.\nOnly unsettled transactions at a loss after the due settlement date shall be reported in this column.\n030\nOWN FUNDS REQUIREMENTS\nInstitutions shall report the own funds requirements calculated in accordance with Article 378 CRR.\n040\nTOTAL SETTLEMENT RISK EXPOSURE AMOUNT\nIn accordance with point (b) of Article 92(4) CRR, institutions shall 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 shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).\nInstitutions shall report in {r010;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.\nInstitutions shall report in {r010;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.\nInstitutions shall report in {r010;c030] 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 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 shall report in rows 020 to 060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.\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 shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).\nInstitutions shall report in {r070;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.\nInstitutions shall report in {r070;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.\nInstitutions shall report in {r070;c030} 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 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 shall report in rows 080 to 120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.\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 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)\n3.7.1.\nGeneral remarks\n100.\nWhere institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported.\n101.\nThe information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors.\n102.\nThis template shall gather joint information on both traditional and synthetic securitisations held in the banking book.\n3.7.2.\nInstructions concerning specific positions\nRegulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).\nColumns\n0010\nTOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED\nOriginator institutions shall 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 case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures.\n0020-0040\nSYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES\nArticles 251 and 252 CRR.\nMaturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.\n0020\n(-) FUNDED CREDIT PROTECTION (CVA)\nThe detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) CRR.\n0030\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 to which the reporting entity allocates 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 laid down in Article 233(3) CRR.\n0040\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.\n0050\nSECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS\nThis column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position.\nNetting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement.\nIn synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040.\n0060\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nArticle 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered.\n0070\nEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS\nThis column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position.\n0080-0110\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nPoint (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three, CRR and Article 249 CRR\nInstitutions shall report in these columns 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).\nCollateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.\nItems to be reported here:\n1.. collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method);\n2.. eligible unfunded credit protection.\n0080\n(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)\nUnfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR.\n0090\n(-) FUNDED CREDIT PROTECTION\nFunded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR.\nCredit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral.\n0100-0110\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM:\nInflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported.\n0100\n(-) TOTAL OUTFLOWS\nArticle 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR.\nOutflows shall correspond to the covered part of the “Exposure net of value adjustments and provisions” that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade.\nThat amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades.\n0110\nTOTAL INFLOWS\nSecuritisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.\n0120\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS\nThis column shall include the exposures 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”.\n0130\n(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)\nArticles 223 to 228 CRR\nThe reported amount shall also include credit linked notes (Article 218 CRR).\n0140\nFULLY ADJUSTED EXPOSURE VALUE (E*)\nThe exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR\n0150\nOF WHICH: SUBJECT TO A CCF OF 0 %\nPoint (b) of Article 248(1) CRR\nIn this respect, point (56) of Article 4(1) CRR defines a conversion factor.\nFor reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor.\n0160\n(-)NON REFUNDABLE PURCHASE PRICE DISCOUNT\nIn accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250 % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.\n0170\n(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES\nIn accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250 % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR.\n0180\nEXPOSURE VALUE\nThe exposure value of securitisation positions calculated in accordance with Article 248 CRR\n0190\n(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS\nIn accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to 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.\n0200\nEXPOSURE VALUE SUBJECT TO RISK WEIGHTS\nExposure value minus the exposure value deducted from own funds.\n0210\nSEC-IRBA\nPoint (a) of Article 254(1) CRR\n0220-0260\nBREAKDOWN BY RW BANDS\nSEC-IRBA exposures broken down by risk-weight bands.\n0270\nOF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES)\nArticle 255(4) CRR\nFor the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables.\n0280\nSEC-SA\nPoint (b) of Article 254(1) CRR\n0290-0340\nBREAKDOWN BY RW BANDS\nSEC-SA exposures broken down by risk-weight bands.\nFor the RW = 1 250 % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1 250 % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool.\n0350\nSEC-ERBA\nPoint (c) of Article 254(1) CRR\n0360-0570\nBREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS)\nArticle 263 CRR\nSEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating.\nExposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR.\n0580-0630\nBREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA\nFor each securitisation position, institutions shall consider one of the following options in columns 0580-0620.\n0580\nAUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES\nPoint (c) of Article 254(2) CRR\nAll auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2)(a) or (b) of CRR.\n0590\nSEC-ERBA OPTION\nArticle 254(3) CRR\n0600\nPOSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR\nPoint (a) of Article 254(2) CRR\n0610\nPOSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR\nPoint (b) of Article 254(2) CRR\n0620\nPOSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRR\nSecuritisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR\n0630\nFOLLOWING THE HIERARCHY OF APPROACHES\nSecuritisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR\n0640\nINTERNAL ASSESSMENT APPROACH\nArticle 254(5) CRR on the “Internal Assessment Approach” (IAA) for positions in ABCP programmes\n0650-0690\nBREAKDOWN BY RW BANDS\nInternal Assessment Approach exposures broken down by risk-weight bands\n0700\nOTHER (RW = 1 250 %)\nWhere none of the previous approaches is applied, a risk weight of 1 250 % shall be assigned to securitisation positions in accordance with Article 254(7) CRR.\n0710-0860\nRISK-WEIGHTED EXPOSURE AMOUNT\nTotal risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three 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.\n0840\nIAA: AVERAGE RISK WEIGHT (%)\nThe exposure-weighted average risk weights of the securitisation positions shall be reported in this column.\n0860\nRWEA OF WHICH: SYNTHETIC SECURITISATIONS\nFor synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.\n0870\nADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES\nMaturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.\n0880\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402\nIn accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall 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 Section 3 of Chapter 5 of Title II of Part Three CRR.\n0890\nBEFORE CAP\nTotal risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR.\n0900\n(-) REDUCTION DUE TO RISK WEIGHT CAP\nIn accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised.\n0910\n(-) REDUCTION DUE TO OVERALL CAP\nIn accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three in respect of the underlying exposures had they not been securitised.\n0920\nTOTAL RISK-WEIGHTED EXPOSURE AMOUNT\nTotal risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR.\n0930\nMEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS 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.\n103.\nThe 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 shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not.\n104.\nPositions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.\nRows\n0010\nTOTAL EXPOSURES\nTotal exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows.\n0020\nSECURITISATION POSITIONS\nTotal amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR.\n0030\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\nTotal amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR and therefore qualify for differentiated capital treatment.\n0040\nSTS EXPOSURES\nTotal amount of STS securitisation positions that meet the requirements set out in Article 243 CRR.\n0050\nSENIOR POSITION IN SMEs SECURITISATIONS\nTotal amount of senior securitisation positions in SMEs which meet the conditions set out in Article 270 CRR.\n0060, 0120, 0170, 0240, 0290, 0360 and 0410\nNOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\nParagraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR\nTotal amount of securitisation positions which do not qualify for differentiated capital treatment.\n0070, 0190, 0310 and 0430\nRE-SECURITISATION POSITIONS\nTotal amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) CRR.\n0080\nORIGINATOR: TOTAL EXPOSURES\nThis row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in point (13) of Article 4(1) CRR.\n0090-0130, 0210-0250 and 0330-0370\nSECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS\nIn accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 CRR.\nOn-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0110 and 0130.\n0100, 0220 and 0340\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\nTotal amount of securitisation positions which fulfil the criteria of Article 243 CRR and therefore qualify for differentiated capital treatment.\n0110, 0130, 0160, 0180, 0230, 0250, 0280, 0300, 0350, 0370, 400 and 420\nOF WHICH: SENIOR EXPOSURES\nTotal amount of senior securitisation positions as defined in Article 242(6) CRR.\n0140-0180, 0260-0300 and 0380-0420\nSECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThese rows shall 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 to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR.\nFor liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.\nFor interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) CRR) shall be provided.\nOff-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply.\n0150, 0270 and 0390\nQUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\nTotal amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 CRR and therefore qualify for differentiated capital treatment.\n0200\nINVESTOR: TOTAL EXPOSURES\nThis row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor.\nFor the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.\n0320\nSPONSOR: TOTAL EXPOSURES\nThis row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets.\n0440-0670\nBREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION\nThese rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported.\nThese rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.\n3.9.\nDETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)\n3.9.1.\nScope of the SEC DETAILS template\n109.\nThese templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported.\n110.\nThese template are to be reported for:\na.. Securitisations originated/sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, 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 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 2018.\nb.. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 160.\nc.. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).\n111.\nThese templates 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.\n112.\nBecause of Article 5 of Regulation (EU) 2017/2402, 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 shall be applied to investors to a limited extent. In particular, they shall report columns 010-040; 070-110; 161; 190; 290-300; 310-470.\n113.\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.\nBreakdown of the SEC DETAILS template\n113a.\nThe SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations and SEC DETAILS 2 provides a breakdown of the same securitisations by approach applied.\n113b.\nSecuritisation positions in the trading book shall only be reported in columns 005-020, 420, 430, 431, 432, 440 and 450-470. For columns 420, 430 and 440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.\n3.9.3.\nC 14.00 – Detailed information on securitisations (SEC DETAILS)\nColumns\n005\nROW NUMBER\nThe row number is a row identifier and shall be unique for each row in the template. 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 transaction.\n020\nIDENTIFIER OF THE SECURITISATION (Code/Name)\nCode used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation. Where 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.\n021\nINTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?\nThis column identifies whether the securitisation is an intra-group, private or public securitisation,\nInstitutions shall report one of the following abbreviations:\n“PRI” for Private\n“INT” for Intra-group\n“PUB” for Public.\n110\nROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)\nInstitutions shall report the following abbreviations:\n“O” for Originator;\n“S” for Sponsor;\n“I” for Investor.\n“L” for Original Lender;\nOriginator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall apply.\n030\nIDENTIFIER OF THE ORIGINATOR (Code/Name)\nThe LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column.\nIn the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported.\nIn the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is “multi-seller”.\n040\nSECURITISATION TYPE: (TRADITIONAL/SYNTHETIC/ABCP PROGRAMME/ABCP TRANSACTION)\nInstitutions shall report the following abbreviations:\n“AP” for ABCP programme;\n“AT” for ABCP transaction;\n“T” for Traditional;\n“S” for Synthetic.\nThe definitions of “Asset Backed Commercial Paper Programme”, “Asset Backed Commercial Paper Transaction”, “traditional securitisation” and “synthetic securitisation” are provided in points (11) to (14) of Article 242 CRR.\n051\nACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?\nInstitutions as originators, 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. Significant risk transfer (SRT) under Articles 244 and 245 CRR shall not affect the accounting treatment of the transaction under the relevant accounting framework.\nIn the case of securitisations of liabilities, originators shall not report this column.\nOption “P” (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.\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, 244 and 245 CRR.\nThis column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are calculated on the basis of securitised exposures or securitisation positions (banking book/trading book).\nWhere own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution.\nConversely, where own funds requirements are based on securitisation positions held in the banking book (as a significant risk transfer was achieved), the information on the calculation of own funds requirements for credit risk shall be reported in the CR SEC template. In case of securitisation positions held in the trading book, the information on the calculation 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.\n061\nSIGNIFICANT RISK TRANSFER\nOriginators, only, shall report the following abbreviations:\n“N” Not applied for SRT and the reporting entity risk weights its securitised exposures\n“A” Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR;\n“B” Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR;\n“C” Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR;\n“D” Applying a 1 250 % RW or deducting retained positions in accordance with point (b) of Article 244(1) or point (b) of Article 245(1) CRR.\nThis column summarises whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator.\n070\nSECURITISATION OR RE-SECURITISATION?\nIn accordance with the definition of “securitisation” in point (61) of Article 4(1) CRR and the definition of “re-securitisation” in point (64) of Article 4(1)CRR, report the type of underlying using the following abbreviations:\n“S” for securitisation;\n“R” for re-securitisation.\n075\nSTS SECURITISATION\nArticle 18 of Regulation (EU) 2017/2402\nReport one of the following abbreviations\nY Yes\nN No\n446\nSECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\nArticles 243 and 270 CRR.\nInstitutions shall report one of the following abbreviations\nY Yes\nN No\n“Yes” shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR.\n080-100\nRETENTION\nArticle 6 of the Regulation (EU) 2017/2402. In case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 CRR in the version applicable on 31 December 2018,\n080\nTYPE OF RETENTION APPLIED\nFor each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported:\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 the application of Article 6(6) of Regulation (EU) 2017/2402.\nU – In breach or unknown. This code shall be reported where the reporting institution does not know with certainty 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 not less than 5 % (at origination date).\nThis column shall not be reported where codes “E” (exempted) or “N” (not applicable) are reported under column 080 (Type of retention applied).\n100\nCOMPLIANCE WITH THE RETENTION REQUIREMENT?\nInstitutions shall report the following abbreviations:\nY Yes;\nN No.\nThis column shall not be reported where code “E” (exempted) is reported under column 080 (Type of retention applied).\n120-130\nNON ABCP PROGRAMMES\nBecause of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) CRR) shall be exempted from reporting in columns 120, 121 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 in 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 where the reporting entity does not hold any positions in the securitisation.\n121\nDATE OF LATEST ISSUANCE (mm/yyyy)\nThe month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: “mm/yyyy”.\nRegulation (EU) 2017/2402 only applies to securitisations the securities of which are issued on or after 1 January 2019. The date of the latest issuance of securities determines whether each securitisation scheme falls under the scope of Regulation (EU) 2017/2402.\nThis information shall be reported even where 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 (calculated on the basis of original exposures pre-conversion factors) of the securitised portfolio at the origination date.\nFor securitisation schemes backed by open pools, the amount referring to the origination date of the first issuance of securities shall be reported. For traditional securitisations, no other assets of the securitisation pool shall be included. For 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. For securitisations of liabilities, only the amounts issued by the reporting entity shall be reported.\nThis information shall be reported even where the reporting entity does not hold any positions in the securitisation.\n140-225\nSECURITISED EXPOSURES\nColumns 140 to 225 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 information shall be reported even where the reporting entity does not hold any positions in the securitisation.\n150\nINSTITUTION’S SHARE (%)\nInstitution’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 information shall be reported even where the reporting entity does not hold any positions in the securitisation.\n160\nTYPE\nThis column gathers information on the type of assets (“Residential mortgages” to “Other wholesale exposures”) or liabilities (“Covered bonds” and “Other liabilities”) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD:\nRetail:\nResidential mortgages;\nCredit card receivables;\nConsumer loans;\nLoans to SMEs (treated as retail);\nOther retail exposures.\nWholesale:\nCommercial mortgages;\nLeasing;\nLoans to corporates;\nLoans to SMEs (treated as corporates);\nTrade receivables;\nOther wholesale exposures.\nLiabilites:\nCovered bonds;\nOther liabilities.\nWhere the pool of securitised exposures is a mix of the types listed above, 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 “Other liabilities” includes treasury bonds and credit linked notes.\nFor securitisation schemes backed by closed pools the type cannot change between reporting dates.\n171\n% OF IRB IN APPROACH APPLIED\nThis column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures.\nInstitutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date.\nThis information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities.\n180\nNUMBER OF EXPOSURES\nArticle 259(4) CRR.\nThis column shall be compulsory for those institutions using the SEC-IRBA approach to the securitisation positions (and, therefore, reporting more than 95 % in column 171). The institution shall report the effective number of exposures.\nThis column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). This column shall not be reported where the reporting institution does not hold any positions in the securitisation. This column shall not be reported by investors.\n181\nEXPOSURES IN DEFAULT “W” (%)\nArticle 261(2) CRR.\nEven where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the “W” factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) CRR.\n190\nCOUNTRY\nInstitutions shall report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). Where the pool of the securitisation consists of different countries, the institution shall indicate the most important country. Where no country exceeds a 20 % threshold based on the amount of assets/liabilities, then “other countries” shall be reported.\n201\nLGD (%)\nThe exposure-weighted average loss-given-default (LGD) shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The LGD is to be calculated as indicated in Article 259(5) CRR.\nThis column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).\n202\nEL (%)\nThe exposure-weighted average expected loss (EL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171). In the case of SA securitised assets, the EL reported shall be the specific credit risk adjustments as referred to in Article 111 CRR. The EL shall be calculated as indicated in Section 3, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).\n203\nUL (%)\nThe exposure-weighted average unexpected loss (UL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 8 %. RWEA shall be calculated as indicated in Section 2, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in the case of a securitisation of assets).\n204\nEXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS\nThe exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset as indicated in points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap.\n210\n(-) VALUE ADJUSTMENTS AND PROVISIONS\nValue adjustments and provisions (Article 159 CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments shall include any amount recognised 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 assets purchased when in default as referred to in Article 166(1) CRR. Provisions shall 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 the case of a securitisation of liabilities.\nThis information shall be reported even where the reporting entity does not hold any positions in the securitisation.\n221\nOWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) KIRB\nThis column shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171) and gathers information on KIRB, as referred to in Article 255 CRR. KIRB shall be expressed as a percentage (with two decimals).\nThis column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.\n222\n% OF RETAIL EXPOSURES IN IRB POOLS\nIRB pools as defined in Article 242(7) CRR, provided that the institution is able to calculate KIRB in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR on a minimum of 95 % of the underlying exposure amount (Article 259(2) CRR)\n223\nOWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa\nEven where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on KSA, as referred to in Article 255(6) CRR. KSA shall be expressed as a percentage (with two decimals).\nThis column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.\n225\nMEMORANDUM ITEMS\n225\nCREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD\nArticle 110 CRR\n230-304\nSECURITISATION STRUCTURE\nThis block of columns gathers information on the structure of the securitisation on the basis of on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity at reporting date.\nFor multi-seller securitisations, only the amount corresponding or attributed to the reporting institution shall be reported.\n230-252\nON-BALANCE SHEET ITEMS\nThis block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).\n230-232\nSENIOR\n230\nAMOUNT\nThe amount of senior securitisation positions as defined in Article 242(6) CRR.\n231\nATTACHMENT POINT (%)\nThe attachment point (%) as referred to in Article 256(1) CRR\n232 and 252\nCQS\nCredit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Table 1 and 2 in Article 263 and Tables 3 and 4 in Article 264 CRR). These columns shall be reported for all rated transactions irrespective of the approach applied.\n240-242\nMEZZANINE\n240\nAMOUNT\nThe amount to be reported includes:\nmezzanine securitisation positions as defined in Article 242(18) CRR;\nadditional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) CRR.\n241\nNUMBER OF TRANCHES\nNumber of mezzanine tranches.\n242\nCQS OF THE MOST SUBORDINATED ONE\nCQS, as determined in accordance with Table 2 of Article 263 and Table 3 of Article 264 CRR, of the most subordinated mezzanine tranche.\n250-252\nFIRST LOSS\n250\nAMOUNT\nThe amount of first loss tranche as defined in Article 242(17) CRR\n251\nDETACHMENT POINT (%)\nThe detachment point (%) as referred to in Article 256(2) 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.\n290-300\nMATURITY\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 option (as defined in Article 242(1) 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 expected termination date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.\n291\nORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION\nType of call relevant for the first expected termination date:\nClean-up call option meeting the requirements of point (g) of Article 244(4) CRR;\nOther clean-up call option;\nOther type of call option.\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 where that information is available, otherwise the first day of the month shall be reported.\n302-304\nMEMORANDUM ITEMS\n302\nATTACHMENT POINT OF RISK SOLD (%)\nOriginators, only, shall report the attachment point of the most subordinated tranche sold to, for traditional securitisations, or protected by, for synthetic securitisations, third parties.\n303\nDETACHMENT POINT OF RISK SOLD (%)\nOriginators, only, shall report the detachment point of the most senior tranche sold to, fortraditional securitisations, or protected by, for synthetic securitisations, third parties.\n304\nRISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)\nOriginators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL and UL of the underlying exposures shall be reported, which shall then be allocated via the securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised exposures.\n3.9.4.\nC 14.01 – Detailed information on securitisations (SEC DETAILS 2)\n113c.\nThe template SEC DETAILS 2 shall be reported separately for the following approaches:\n1)) SEC-IRBA;\n2)) SEC-SA;\n3)) SEC-ERBA;\n4)) 1 250 %.\nColumns\n005\nROW NUMBER\nThe row number is a row identifier and shall be unique for each row in the template. 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 transaction.\n020\nIDENTIFIER OF THE SECURITISATION (Code/Name)\nCode used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where 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.\n310-400\nSECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS\nThis block of columns gathers information on the securitisation positions broken down by 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 columns 230, 240 and 250 shall be applied here.\n340-361\nOFF-BALANCE SHEET ITEMS AND DERIVATIVES\nThe same criteria of classification among tranches used for columns 260 to 280 shall be applied here.\n351 and 361\nRW CORRESPONDING TO PROTECTION PROVIDER/INSTRUMENT\n% RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 CRR.\n370-400\nMEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION FACTORS\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 340-361).\n370\nDIRECT CREDIT SUBSTITUTES (DCS)\nThis column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).\nIn accordance with Annex I to CRR, the following full risk off-balance sheet items shall be 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. Those derivatives are listed in Annex II to the CRR.\n390\nLIQUIDITY FACILITIES\nLiquidity facilities (LF) as defined in Article 242(3) CRR.\n400\nOTHER\nRemaining off-balance sheet items.\n411\nEXPOSURE VALUE\nThis information is closely related to column 0180 in the CR SEC template.\n420\n(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS\nThis information is closely related to column 0190 in the CR SEC 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. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount determined on the basis of securitised exposures), no data shall be reported in this column.\nIn the case of securitisations of liabilities, this column shall not be reported.\nIn the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 570 of MKR SA SEC, or columns 410 and 420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.\n431\n(-) REDUCTION DUE TO RISK WEIGHT CAP\nArticle 267 CRR\n432\n(-) REDUCTION DUE TO OVERALL CAP\nArticle 268 CRR\n440\nTOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP\nThis column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. own funds requirements determined on the basis of securitised exposures) no data shall be reported in this column.\nIn the case of securitisations of liabilities, this column shall not be reported.\nIn the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 600 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.\n447-448\nMEMORANDUM ITEMS\n447\nRISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA\nArticles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA.\n448\nRISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA\nArticles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA.\n450-470\nSECURITISATION POSITIONS – TRADING BOOK\n450\nCTP OR NON-CTP?\nInstitutions shall report 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.\n4.\nOPERATIONAL RISK TEMPLATES\n4.1.\nC 16.00 – OPERATIONAL RISK (OPR)\n4.1.1.\nGeneral Remarks\n114.\nThis template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 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.\n115.\nInstitutions using the BIA, TSA or ASA shall calculate their own funds requirement, based on the information at financial year-end. Where audited figures are not available, institutions may use business estimates. Where audited figures are used, institutions shall report the audited figures which are expected to 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.\n116.\nWhere 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. The competent authority may also on its own initiative require an institution to modify the calculation. An institution that has been in operation for less than three years may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as those data are available.\n117.\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. Where applicable, it must be detailed which part of that 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.\n118.\nBy rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA.\n119.\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) shall report the relevant indicator for the respective years in columns 010 to 030. Moreover, in case of a combined use of different approaches as referred in Article 314 CRR, institutions shall also report, for information purposes, relevant the indicator for the activities subject to AMA. The same shall apply 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 referred to in point 1 in Table 1 of Article 316 CRR.\nWhere 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 template. Where, for instance, historical data for only one year is available, those data shall be reported in column 030. Where it seems reasonable, the forward looking estimates shall be included in column 020 (estimate of next year) and column 010 (estimate of year +2).\nFurthermore, where 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, as referred to in point (b) of Article 319(1) CRR, for business lines “commercial banking” and “retail banking”. Those amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to the alternative standard approach (point (a) of Article 319(1) 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 shall be calculated in accordance with the approaches used and in accordance withArticles 312 to 324 CRR The resulting amount shall be reported in column 070.\n071\nTOTAL OPERATIONAL RISK EXPOSURE AMOUNT\nArticle 92(4) CRR\nOwn funds requirements in column 070 multiplied by 12,5.\n080\nOF WHICH: DUE TO AN ALLOCATION MECHANISM\nWhere a permission to use the AMA at consolidated level (Article 18(1) CRR) has been granted in accordance with Article 312(2) CRR, operational risk capital shall be allocated between the different entities of the group on the basis of the methodology applied by the institutions to consider diversification effects 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 an EU parent mixed financial holding company. The result of that allocation shall be reported in this column.\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 point (a) of Article 322(2) CRR) shall reported.\n110\n(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION\nThe diversification effect in column 110 shall be 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 where the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is calculated as the sum of the individual operational risk measures of the chosen risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and the value in the column has to be set to zero. Conversely, where the institution calculates 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 the AMA capital 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 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 as referred to in Article 323 CRR shall be 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 CRR).\n020\nBANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES\nThe own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 318 and 319 CRR) shall be reported.\n030-100\nSUBJECT TO TSA\nWhere the TSA is used, the relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines referred to in Table 2 of Article 317 CRR. The mapping of activities into business lines shall follow the principles described in Article 318 CRR.\n110-120\nSUBJECT TO ASA\nInstitutions using the ASA (Article 319 CRR) shall report for the respective years the relevant indicator separately for each business line in rows 030 to 050 and 080 to 100 and in rows 110 and 120 for business lines “commercial banking” and “retail banking”.\nRows 110 and 120 shall present the amount of the relevant indicator of activities subject to ASA, distinguishing between the amount corresponding to the business line “commercial banking” and the amounts corresponding to the business line “retail banking” (Article 319 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(2) and Articles 321, 322 and 323 CRR) shall be reported.\nWhere different approaches are combined as indicated in Article 314 CRR, information on relevant indicator for activities subject to AMA shall be reported. The same shall apply for all other AMA banks.\n4.2.\nOPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)\n4.2.1.\nGeneral Remarks\n120.\nTemplate C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year by event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the most recent year.\n121.\nOperational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02.\n122.\nIn case of a combined use of different approaches for the calculation of own funds requirements for operational risk in accordance with Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02, irrespective of the approach applied to calculate own funds requirements.\n123.\n“Gross loss” means a loss – as referred to in point (b) of Article 322(3) CRR – stemming from an operational risk event or loss event type before recoveries of any kind, without prejudice to “rapidly recovered loss events” as defined below.\n124.\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. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries.\n125.\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, and neither into the OPR DETAILS reporting.\n126.\n“Date of accounting” means the date when a loss or reserve/provision was first recognised in the Profit and Loss statement, against an operational risk loss. Those date logically follow 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).\n127.\nLosses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (“root-event”) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts, respectively amounts of loss adjustments, shall be summed up.\n128.\nThe figures reported in June of the respective year shall be interim figures, while the final figures shall be reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December shall have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in June and December, “previous reporting reference periods” shall mean all reporting reference periods until and including the one ending at the preceding calendar year end.\n129.\nIn order to verify compliance with the criterion laid down in point (i) of Article 5(b)(2)(b) of this Implementing Regulation, an institution shall use the latest statistics as available in the Supervisory Disclosure webpage of EBA to get “the sum of individual balance sheet totals of all institutions within the same Member State”. In order to verify the criterion laid down in point (iii) of Article 5(b)2(b) of this Implementing Regulation, the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used.\n4.2.2.\nC 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR DETAILS 1)\n4.2.2.1.\nGeneral Remarks\n130.\nIn template C 17.01, the information shall be presented by distributing the losses and recoveries above internal thresholds amongst business lines (as listed in Table 2 of Article 317 CRR, including the additional business line “corporate items” referred to in point (b) of Article 322(3) CRR) and loss event types (as referred to in in Article 324 CRR). It is possible that the losses corresponding to one loss event are distributed amongst several business lines.\n131.\nColumns present the different loss 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 where there is more than one threshold.\n132.\nRows present the business lines, and within each business line, information on the number of loss events (new loss events), the gross loss amount (new loss events), the number of loss events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms).\n133.\nFor the total business lines, data on the number of loss events and the gross loss amount shall also be reported for certain ranges based on set thresholds, that is 10 000, 20 000, 100 000, and 1 000 000. The thresholds are set in EUR and are included for comparability purposes of the reported losses among institutions. Those thresholds do therefore not necessarily relate to the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.\n4.2.2.2.\nInstructions concerning specific positions\nColumns\n0010-0070\nEVENT TYPES\nInstitutions shall report the losses in the respective columns 010 to 070 in accordance with the loss event types referred to in Article 324 CRR.\nInstitutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only.\n0080\nTOTAL LOSS EVENT TYPES\nIn column 080, for each business line, institutions shall report the total “number of loss events (new loss events)”, the total of “gross loss amount (new loss events)”, the total “number of loss events subject to loss adjustments”, the total of “loss adjustments relating to previous reporting periods”, the “maximum single loss”, the “sum of the five largest losses”, the total of “total direct loss recovery” and the total of “total recovery from insurance and other risk transfer mechanisms”.\nProvided that the institution has identified the loss event types for all losses, column 080 shall show the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the “loss adjustments relating to previous reporting periods” reported in columns 010 to 070.\nThe “maximum single loss” reported in column 080 shall be the maximum single loss within a business line and identical to the maximum of the “maximum single losses” reported in columns 010 to 070, provided that the institution has identified the loss event types for all losses.\nFor the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line shall be reported.\n0090-0100\nMEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION\nInstitutions shall report in columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of point (c) of Article 322(3) CRR.\nWhere the institution applies only one threshold for in each business line, only column 090 shall be filled in.\nWhere there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 100) shall be filled in as well.\nRows\n0010-0880\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 referred to in Table 2 of Article 317(4) CRR, including the additional business line “Corporate items” as referred to in point (b) of Article 322(3) CRR, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms.\nFor a loss event that affects more than one business line the “gross loss amount” shall be distributed amongst all the affected business lines.\nInstitutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 910-980 only.\n0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810\nNumber of loss events (new loss events)\nThe number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period.\nThe number of loss events shall refer to “new events”, i.e. operational risk events:\n(i) “accounted for the first time” within the reporting reference period; or\n(ii) “accounted for the first time” within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.\n“New loss events” do not include loss events “accounted for the first time” within a previous reporting reference period, which were already included in previous supervisory reports.\n0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820\nGross loss amount (new loss events)\nThe gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period.\nThe reported gross loss amount shall refer to “new loss events” as referred to in the row above of this table. For loss events “accounted for the first time” within a previous reporting reference period which were not included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date.\nThe amounts to be reported shall not take into account obtained recoveries.\n0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830\nNumber of loss events subject to loss adjustments\nThe number of loss events subject to loss adjustments shall be the number of operational risk loss events “accounted for the first time” in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period.\nWhere more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.\n0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840\nLoss adjustments relating to previous reporting periods\nLoss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative):\n(i) the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events “accounted for the first time” and reported in previous reporting reference periods;\n(ii) the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk loss events “accounted for the first time” and reported in previous reporting reference periods.\nWhere more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period.\nWhere, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself.\nThe amounts to be reported shall not take into account obtained recoveries.\n0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850\nMaximum single loss\nThe maximum single loss is the larger of:\n(i) the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and\n(ii) the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period.\nThe amounts to be reported shall not take into account obtained recoveries.\n0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860\nSum of the five largest losses\nThe sum of the five largest losses shall be the sum of the five largest amounts amongst:\n(i) the gross loss amounts for loss events reported for the first time within the reporting reference period; and\n(ii) the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment.\nThe amounts to be reported shall not take into account obtained recoveries.\n0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870\nTotal direct loss recovery\nDirect loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 CRR as referred to in the row of this table below.\nThe total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.\n0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880\nTotal recovery from insurance and other risk transfer mechanisms\nRecoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 CRR.\nThe total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.\n0910-0980\nTOTAL BUSINESS LINES\nFor each loss event type (column 0010 to 0080), the information on total business lines has to be reported.\n0910-0914\nNumber of loss events\nIn row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.\nIn rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported.\nProvided that the institution has assigned all its losses to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” as referred to in point (b) of Article 322(3) CRR or that it has identified the loss event types for all losses, the following shall apply for column 080, as appropriate:\nThe total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event.\nThe figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 080, because one loss event can have an impact in different business lines simultaneously.\n0920-0924\nGross loss amount (new loss events)\nProvided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line.\nIn rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.\n0930, 0935, 0936\nNumber of loss events subject to loss adjustments\nIn row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.\nThe number of loss events subject to loss adjustments shall be broken down into the number of loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).\n0940, 0945, 0946\nLoss adjustments relating to previous reporting periods\nIn row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the amount reported in row 0940 shall be the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines.\nThe amount of loss adjustments shall be broken down into the amount related to loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself.\n0950\nMaximum single loss\nProvided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines.\nProvided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR respectively that it has identified the loss event types for all losses, the following shall apply for column 0080:\nThe maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row.\nWhere there are loss events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of “Maximum single loss” per business line reported in other rows of column 080.\n0960\nSum of the five largest losses\nThe sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That sum has to be reported regardless of the number of losses.\nProvided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of “sum of the five largest losses” in row 0960 or the maximum value of “sum of the five largest losses” in column 0080.\n0970\nTotal direct loss recovery\nProvided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line.\n0980\nTotal recovery from insurance and other risk transfer mechanisms\nProvided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line “corporate items” referred to in point (b) of Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.\n4.2.3.\nC 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)\n4.2.3.1.\nGeneral Remarks\n134.\nIn template C 17.02, information on individual loss events shall be provided (one row per loss event).\n135.\nThe information reported in this template shall refer to “new loss events”, i.e. operational risk events:\n(a) “accounted for the first time” within the reporting reference period; or\n(b) “accounted for the first time” within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.\n136.\nOnly loss events entailing a gross loss amount of 100 000 € or more shall be reported.\nSubject to that threshold:\n(a) the largest event for each event type, provided that the institution has identified the event types for losses; and\n(b) at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.\n(c) Loss events shall be ranked based on the gross loss attributed to them.\n(d) A loss event shall only be considered once.\n4.2.3.2.\nInstructions concerning specific positions\nColumns\n0010\nEvent ID\nThe event ID is a row identifier and shall be unique for each row in the template.\nWhere an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.\n0020\nDate of Accounting\nDate of accounting means the date where a loss or reserve/provision against an operational risk loss was first recognised in the Profit and Loss statement.\n0030\nDate of occurrence\nDate of occurrence shall be the date when the operational risk loss event happened or first began.\n0040\nDate of discovery\nDate of discovery shall be the date on which the institution became aware of the operational risk loss event.\n0050\nLoss event type\nLoss event types as referred to in Article 324 CRR.\n0060\nGross loss\nGross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01\n0070\nGross loss net of direct recoveries\nGross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event\n0080 – 0160\nGross loss by business line\nThe gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Table 2 of Article 317(4) CRR and point (b) of Article 322(3) CRR.\n0170\nLegal Entity name\nName of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.\n0180\nLegal Entity ID\nLEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.\n0190\nBusiness Unit\nBusiness unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred.\n0200\nDescription\nNarrative description of the loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known.\n5.\nMARKET RISK TEMPLATES\n137.\nThese instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with 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 for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.\n138.\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 – that 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 – that 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 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\n139.\nThis template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 102 and Article 105(1) CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only 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.\n140.\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)\nArticle 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR.\n030-040\nNET POSITIONS (LONG AND SHORT)\nArticles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR.\n050\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nThose net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge.\n060\nOWN FUNDS REQUIREMENTS\nThe capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR.\n070\nTOTAL RISK EXPOSURE AMOUNT\nPoint (b) of Article 92(4) 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 in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be 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 CRR, where 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 referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.\n210-240\nGENERAL RISK. DURATION BASED APPROACH\nPositions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) 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 requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) 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 shall be calculated by summing up the risk weights of the reference entities (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – “look-through”). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) CRR) shall be reported separately in line 321.\nReporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 in accordance with the residual term to final maturity.\nWhere the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 CRR shall be applied.\n325\nOwn funds requirement for securitisation instruments\nTotal own funds requirements reported in column 610 of template MKR SA SEC. Those total own funds requirements 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. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.\n350-390\nADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)\nArticle 329(3) CRR.\nThe additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.\n5.2.\nC 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)\n5.2.1.\nGeneral Remarks\n141.\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.\n142.\nThe MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 CRR in connection with 337 CRR. Where 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 approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template.\n143.\nPositions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where 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)\nArticle 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR.\n030-040\n(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)\nPoint (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR\n050-060\nNET POSITIONS (LONG AND SHORT)\nArticles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR.\n061-104\nBREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS\nArticles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR.\nThe breakdown shall be done separately for long and short positions.\n402-406\nBREAKDOWN OF THE NET POSITIONS BY APPROACHES\nArticle 254 CRR\n402\nSEC-IRBA\nArticle 259 and 260 CRR\n403\nSEC-SA\nArticle 261 and 262 CRR\n404\nSEC-ERBA\nArticle 263 and 264 CRR\n405\nINTERNAL ASSESSMENT APPROACH\nArticles 254 and 265 CRR and Article 266(5) CRR.\n406\nOTHER (RW = 1 250 %)\nArticle 254(7) CRR\n530-540\nOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402\nArticle 270a CRR\n570\nBEFORE CAP\nArticle 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.\n601\nAFTER CAP/TOTAL OWN FUND REQUIREMENTS\nArticle 337 CRR, taking into account the discretion of Article 335 CRR.\nRows\n010\nTOTAL EXPOSURES\nTotal amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor.\n040, 070 and\n100\nSECURITISATION POSITIONS\nPoint 62 of Article 4(1) CRR.\n020, 050,\n080 and110\nRE-SECURITISATIONS POSITIONS\nPoint 64 of Article 4(1) CRR\n041, 071 and 101\nOF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT\nTotal amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment.\n030-050\nORIGINATOR\nPoint (13) of Article 4(1) CRR\n060-080\nINVESTOR\nCredit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender.\n090-110\nSPONSOR\nPoint (14) of Article 4(1) CRR.\nA sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.\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\n144.\nThis template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) CRR) and the corresponding own funds requirements under the Standardised Approach.\n145.\nThe MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 CRR in conjunction with paragraphs 2 and 3 of Article 338 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 approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template.\n146.\nThe template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. 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 row 110. The “other CTP-positions” are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) CRR), but they are explicitly “linked” to one of those two positions (because of the hedging intent).\n147.\nPositions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where 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)\nArticle 102 and Article 105(1) CRR in conjunction paragraphs 2 and 3 of Article 338 CRR (positions assigned to the Correlation Trading Portfolio)\nRegarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR.\n030-040\n(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)\nArticle 253 CRR\n050-060\nNET POSITIONS (LONG AND SHORT)\nArticles 327, 328, 329 and 334 CRR\nRegarding the distinction between long and short positions, see Article 328(2) CRR.\n071-097\nBREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS\nArticles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR\n402-406\nBREAKDOWN OF THE NET POSITIONS BY APPROACHES\nArticle 254 CRR\n402\nSEC-IRBA\nArticles 259 and 260 CRR\n403\nSEC-SA\nArticles 261 and 262 CRR\n404\nSEC-ERBA\nArticles 263 and 264 CRR\n405\nINTERNAL ASSESSMENT APPROACH\nArticles 254 and 265 and Article 266(5) CRR.\n406\nOTHER (RW = 1 250 %)\nArticle 254(7) CRR\n410-420\nBEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS\nArticle 338 CRR, without taking into account the discretion of Article 335 CRR\n430-440\nAFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS\nArticle 338 CRR, taking into account the discretion of Article 335 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\nPoint (13) of Article 4(1) CRR\n050-070\nINVESTOR\nCredit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender\n080-100\nSPONSOR\nPoint (14) of Article 4(1) CRR\nA sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.\n030, 060 and 090\nSECURITISATION POSITIONS\nThe correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 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 in accordance with Article 347 CRR shall both be reported here.\nThe positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.\n040, 070, 100 and 120\nOTHER CTP POSITIONS\nThe following positions are included:\nDerivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;\nCTP positions hedged by credit derivatives in accordance with Article 346 CRR;\nOther positions that satisfy Article 338(3) CRR.\n5.4.\nC 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)\n5.4.1.\nGeneral Remarks\n148.\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.\n149.\nThe template has to be filled out separately for the “Total”, plus a static, pre-defined list of the 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)\nArticle 102 and Article 105(1) CRR.\nThese are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR.\n030-040\nNET POSITIONS (LONG AND SHORT)\nArticles 327, 329, 332, 341 and 345 CRR.\n050\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nThose net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column.\n060\nOWN FUNDS REQUIREMENTS\nThe own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position\n070\nTOTAL RISK EXPOSURE AMOUNT\nPoint (b) of Article 92(4) CRR.\nResult of the multiplication of the own funds requirements by 12,5.\nCommission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council\nRows\n010-130\nEQUITIES IN TRADING BOOK\nOwn funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR.\n020-040\nGENERAL RISK\nPositions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three 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 request information on the breakdown by instruments.\nOnly the breakdown in rows 030 and 040 shall be 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 CRR, where 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 in accordance with Commission Implementing Regulation (EU) No 945/2014\nThose positions shall be 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 as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR\n050\nSPECIFIC RISK\nPositions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR\n090-130\nADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)\nParagraphs 2 and 3 of Article 329 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\n150.\nInstitutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs.\n151.\nRows 100 to 480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the 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) CRR\nIn accordance with Article 352(2) CRR 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) CRR 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)\nArticle 352(3), the first two sentences of Article 352(4), and Article 353 CRR\nThe net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time.\n060-080\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nThe third sentence of Article 352(4) and Articles 353 and 354 CRR\n060-070\nPOSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)\nThe long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions.\nLong net positions for each operation in a currency shall be added to obtain the long net position in that currency.\nShort net positions for each operation in a currency shall be added to obtain the short net position in that currency.\nUnmatched positions in non-reporting currencies shall be 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.\n090\nOWN FUNDS REQUIREMENTS\nThe capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR\n100\nTOTAL RISK EXPOSURE AMOUNT\nPoint (b) of Article 92(4) CRR.\nResult of the multiplication of the own funds requirements by 12,5.\nRows\n010\nTOTAL POSITIONS\nAll positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency).\n020\nCURRENCIES CLOSELY CORRELATED\nPositions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR.\n025\nCurrencies closely correlated: of which: reporting currency\nPositions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 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 Article 351 and paragraphs 2 and 4 of Article 352 CRR.\nReporting of CIU’s treated as separate currencies in accordance with Article 353 CRR:\nThere are two different treatments of CIUs treated as separate currencies for calculating the capital requirements:\n1.. The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);\n2.. Where the direction of the CIU’s investment is available, those CIUs 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 shall follow the calculation of the capital requirements.\n040\nGOLD\nPositions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR\n050 – 090\nADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)\nParagraphs 5 and 6 of Article 352 CRR\nThe additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.\n100-120\nBreakdown of total positions (reporting currency included) by exposure types\nTotal positions shall be broken down into 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 within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.\n120\nDerivatives\nPositions valued in accordance with Article 352 CRR.\n130-480\nMEMORANDUM ITEMS: CURRENCY POSITIONS\nThe memorandum items of the template shall be filled in separately for all currencies of the Member States of the Union, 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\n152.\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 in accordance with Article 357(4) CRR (see also Article 359(1) CRR)\n030-040\nNET POSITIONS (LONG AND SHORT)\nAs defined in Article 357(3) CRR\n050\nPOSITIONS SUBJECT TO CAPITAL CHARGE\nThose net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge\n060\nOWN FUNDS REQUIREMENTS\nThe own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position\n070\nTOTAL RISK EXPOSURE AMOUNT\nPoint (b) of Article 92(4) CRR.\nResult of the multiplication of the own funds requirements by 12,5\nRows\n010\nTOTAL POSITIONS IN COMMODITIES\nPositions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR\n020-060\nPOSITIONS BY CATEGORY OF COMMODITY\nFor reporting purposes, commodities shall be grouped in the four 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 referred to in Article 359 CRR\n080\nEXTENDED MATURITY LADDER APPROACH\nPositions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR\n090\nSIMPLIFIED APPROACH\nPositions in commodities subject to the simplified approach referred to in Article 360 CRR\n100-140\nADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)\nArticle 358(4) 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\n153.\nThis template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.\n154.\nGenerally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can be determined and reported separately or only as a total. 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 refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome.\n5.7.2.\nInstructions concerning specific positions\nColumns\n030-040\nValue at Risk (VaR)\nVaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.\n030\nMultiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)\nPoint (a)(ii) of Article 364(1) and Article 365(1) CRR\n040\nPrevious day VaR (VaRt-1)\nPoint (a)(i) of Article 364(1) and Article 365(1) CRR\n050-060\nStressed VaR\nStressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific 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)\nPoint (b)(ii) of Article 364(1) and Article 365(1) CRR\n060\nLatest available (SVaRt-1)\nPoint (b)(i) of Article 364(1) and Article 365(1) CRR\n070-080\nINCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE\nIncremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR.\n070\n12 weeks average measure\nPoint (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR\n080\nLast Measure\nPoint (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR\n090-110\nALL PRICE RISKS CAPITAL CHARGE FOR CTP\n090\nFLOOR\nPoint (c) of Article 364(3) CRR\n= 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the “all price risks” capital charge.\n100-110\n12 WEEKS AVERAGE MEASURE AND LAST MEASURE\nPoint (b) of Article 364(3) CRR\n110\nLAST MEASURE\nPoint (a) of Article 364(3) CRR\n120\nOWN FUNDS REQUIREMENTS\nOwn funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where 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 to Article 364(2) CRR\n130\nTOTAL RISK EXPOSURE AMOUNT\nPoint (b) of Article 92(4) CRR.\nResult of the multiplication of the own funds requirements by 12,5\n140\nNumber of overshootings (during previous 250 working days)\nReferred to in Article 366 CRR\nThe number of overshootings based on which the addend is determined shall be reported.\n150-160\nVaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)\nAs referred to in Article 366 CRR\n170-180\nASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP\nThe amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates 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) CRR linked to the risk factors specified in Article 367(2) CRR.\nConcerning the columns 030 to 060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.\n020\nTRADED DEBT INSTRUMENTS\nCorresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR.\n030\nTDI – GENERAL RISK\nGeneral risk component as referred to in Article 362 CRR\n040\nTDI – SPECIFIC RISK\nSpecific risk component as referred to in Article 362 CRR\n050\nEQUITIES\nCorresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR.\n060\nEQUITIES – GENERAL RISK\nGeneral risk component as referred to in Article 362 CRR\n070\nEQUITIES – SPECIFIC RISK\nSpecific risk component as referred to in Article 362 CRR\n080\nFOREIGN EXCHANGE RISK\nArticles 363(1) and point (b) of Article 367(2) CRR\n090\nCOMMODITY RISK\nArticles 363(1) and point (d) of Article 367(2) 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 where 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 where applicable)\n5.8.\nC 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)\n5.8.1.\nInstructions concerning specific positions\nColumns\n010\nExposure value\nArticle 271 CRR in conjunction with Article 382 CRR.\nTotal EAD from all transactions subject to CVA charge.\n020\nOf which: OTC derivatives\nArticle 271 CRR in conjunction with Article 382(1) 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 CRR in conjunction with Article 382(2) 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 CRR in conjunction with point (d) of Article 363(1) CRR.\nVaR calculation based on internal models for market risk\n050\nPREVIOUS DAY (VaRt-1)\nSee instructions for column 040.\n060\nMULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)\nSee instructions for column 040\n070\nLATEST AVAILABLE (SVaRt-1)\nSee instructions for column 040\n080\nOWN FUNDS REQUIREMENTS\nPoint (d) of Article 92(3) CRR.\nOwn funds requirements for CVA Risk calculated via the chosen method.\n090\nTOTAL RISK EXPOSURE AMOUNT\nPoint (b) of Article 92(4) CRR.\nOwn funds requirements multiplied by 12,5.\nMemorandum items\n100\nNumber of counterparties\nArticle 382 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 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\nPoint (a) of Article 386(1) CRR\nTotal notional amounts of single name CDS used as hedge for CVA risk.\n140\nINDEX CDS\nPoint (b) of Article 386(1) CRR\nTotal notional amounts of index CDS used as hedge for CVA risk.\nRows\n010\nCVA risk total\nSum of rows 020-040\n020\nAdvanced method\nAdvanced CVA risk method as prescribed by Article 383 CRR\n030\nStandardised method\nStandardised CVA risk method as prescribed by Article 384 CRR\n040\nBased on OEM\nAmounts subject to the application of Article 385 CRR\n6.\nPRUDENT VALUATION (PRUVAL)\n6.1.\nC 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)\n6.1.1.\nGeneral remarks\n154a.\nThis template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (“AVAs”). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 for using the simplified approach for the determination of AVAs are met.\n154b.\nWith regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 290 of C 01.00.\n6.1.2.\nInstructions concerning specific positions\nColumns\n0010\nFAIR-VALUED ASSETS AND LIABILITIES\nAbsolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.\n0020\nOF WHICH: trading book\nAbsolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book.\n0030-0070\nFAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1\nAbsolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.\n0030\nExactly matching\nExactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.\n0040\nHedge accounting\nFor positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101.\n0050\nPRUDENTIAL Filters\nAbsolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 CRR.\n0060\nOther\nAny other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to adjustments to their accounting value having only a proportional effect on CET1 capital.\nThis row shall only be populated in rare cases where elements excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template.\n0070\nComment for other\nThe main reasons why the positions reported in column 0060 were excluded shall be provided.\n0080\nFAIR-VALUED Assets and Liabilities included in ARTICLE 4(1) threshold\nAbsolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101.\n0090\nOF WHICH: trading book\nAbsolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book.\nRegulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).\nRows\n0010 – 0210\nThe definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2.\n0010\n1.\nTOTAL FAIR-VALUED ASSETS AND LIABILITIES\nTotal of fair-valued assets and liabilities reported in rows 20 to 210.\n0020\n1.1.\nTOTAL FAIR-VALUED ASSETS\nTotal of fair-valued assets reported in rows 0030 to 0140.\nRelevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards:\nIFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (“EU IFRS”);\nNational accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”); or\nNational GAAP based on BAD (FINREP “National GAAP based on BAD”).\n0030\n1.1.1.\nFINANCIAL ASSETS HELD FOR TRADING\nIFRS 9.Appendix A.\nThe information reported in this row shall correspond to row 050 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0040\n1.1.2.\nTRADING FINANCIAL ASSETS\nArticles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation\nThe information reported in this row shall correspond to row 091 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0050\n1.1.3.\nNON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS\nIFRS 7.8(a)(ii); IFRS 9.4.1.4.\nThe information reported in this row shall correspond to row 096 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0060\n1.1.4.\nFINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS\nIFRS 7.8(a)(i); IFRS 9.4.1.5; point (a) of Article 8(1) and Article 8(6) AD\nThe information reported in this row shall correspond to row 100 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0070\n1.1.5.\nFINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME\nIFRS 7.8(h); IFRS 9.4.1.2 A.\nThe information reported in this row shall correspond to row 141 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0080\n1.1.6.\nNON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS\nArticle 36(2) BAD. The information reported in this row shall correspond to row 171 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0090\n1.1.7.\nNON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY\nPoint (a) of Article 8(1) and Article 8(8) AD\nThe information reported in this row shall correspond to row 175 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0100\n1.1.8.\nOTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS\nArticle 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation\nThe information reported in this row shall correspond to row 234 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0110\n1.1.9.\nDERIVATIVES – HEDGE ACCOUNTING\nIFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) and paragraphs 6 and 8 of Article 8 AD; IAS 39.9\nThe information reported in this row shall correspond to row 240 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0120\n1.1.10.\nFAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK\nIAS 39.89 A(a); IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD. The information reported in this row shall correspond to row 250 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0130\n1.1.11.\nINVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES\nIAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and (8) of Article 4 BAD; Article 2(2) AD\nThe information reported in this row shall correspond to row 260 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0140\n1.1.12.\n(-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE\nPart 1.29 of Annex V to this Implementing Regulation\nThe information reported in this row shall correspond to row 375 of template F 01.01 of Annexes III and IV to this Implementing Regulation.\n0150\n1.2.\nTOTAL FAIR-VALUED LIABILITIES\nTotal of fair-valued liabilities reported in rows 0160 to 0210.\nRelevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards:\nIFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (“EU IFRS”)\nNational accounting standards compatible with EU IFRS (“National GAAP compatible IFRS”)\nor National GAAP based on BAD (FINREP “National GAAP based on BAD”).\n0160\n1.2.1.\nFINANCIAL LIABILITIES HELD FOR TRADING\nIFRS 7.8 (e) (ii); IFRS 9.BA.6.\nThe information reported in this row shall correspond to row 010 of template F 01.02 of Annexes III and IV to this Implementing Regulation.\n0170\n1.2.2.\nTRADING FINANCIAL LIABILITIES\nPoint (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD\nThe information reported in this row shall correspond to row 061 of template F 01.02 of Annexes III and IV to this Implementing Regulation.\n0180\n1.2.3.\nFINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS\nIFRS 7.8 (e)(i); IFRS 9.4.2.2; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9.\nThe information reported in this row shall correspond to row 070 of template F 01.02 of Annexes III and IV to this Implementing Regulation.\n0190\n1.2.4.\nDERIVATIVES – HEDGE ACCOUNTING\nIFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), Article 8(6) and point (a) of Article 8(8) AD\nThe information reported in this row shall correspond to row 150 of template F 01.02 of Annexes III and IV to this Implementing Regulation.\n0200\n1.2.5.\nFAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK\nIAS 39.89 A(b), IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to this Implementing Regulation\nThe information reported in this row shall correspond to row 160 of template F 01.02 of Annexes III and IV to this Implementing Regulation.\n0210\n1.2.6.\nHAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE\nPart 1.29 of Annex V to this Implementing Regulation\nThe information reported in this row shall correspond to row 295 of template F 01.02 of Annexes III and IV to this Implementing Regulation.\n6.2.\nC 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)\n6.2.1.\nGeneral remarks\n154c.\nThe purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs.\n154d.\nThis template shall be completed by all institutions that:\n(a) are required to use the core approach because they exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or\n(b) have chosen to apply the core approach despite not exceeding the threshold.\n154e.\nFor the purposes of this template, “upside uncertainty” shall mean the following: As determined by Article 8(2) of Delegated Regulation (EU) 2016/101, AVAs are calculated as the difference between the fair value and a prudent valuation that is determined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or “upside uncertainty” is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.\n6.2.2.\nInstructions concerning specific positions\nColumns\n0010 – 0100\nCATEGORY LEVEL AVA\nThe category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) 2016/101 respectively.\nFor the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) 2016/101 are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template].\nFor the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as referred to in point (b) of Article 9(5), point (b) of Article 10(6) and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in columns 0020, 0040 and 0060.\n0010\nMARKET PRICE UNCERTAINTY\nArticle 105(10) CRR.\nMarket price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regulation (EU) 2016/101.\n0020\nOF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH\nMarket price uncertainty AVAs calculated in accordance with point (b) of Article 9(5) of Delegated Regulation (EU) 2016/101.\n0030\nCLOSE-OUT COSTS\nArticle 105(10) CRR.\nClose-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 2016/101.\n0040\nOF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH\nClose-out costs AVAs calculated in accordance with point (b) of Article 10(6) of Delegated Regulation (EU) 2016/101.\n0050\nMODEL RISK\nArticle 105(10) CRR\nModel risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 2016/101.\n0060\nOF WHICH: CALCULATED USING THE EXPERT BASED APPROACH\nModel risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 2016/101.\n0070\nCONCENTRATED POSITIONS\nArticle 105(11) CRR\nConcentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101.\n0080\nFUTURE ADMINISTRATIVE COSTS\nArticle 105(10) CRR\nFuture administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101.\n0090\nEARLY TERMINATION\nArticle 105(10) CRR\nEarly termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101.\n0100\nOPERATIONAL RISK\nArticle 105(10) CRR\nOperational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 2016/101.\n0110\nTOTAL AVA\nRow 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 105 CRR and reported accordingly in row 290 of C 01.00. The total AVA shall be the sum of rows 0030 and 0180.\nRow 0020: Share of the total AVA reported in row 0010 stemming from trading book positions (absolute value).\nRows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100.\nRows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach.\n0120\nUPSIDE UNCERTAINTY\nArticle 8(2) of Delegated Regulation (EU) 2016/101.\nThe upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0110, but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.\n0130 -0140\nFAIR-VALUED ASSETS AND LIABILITIES\nAbsolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these amounts may have to be approximated or allocated based on expert judgement.\nRow 0010: Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.\nRow 0010 is the sum of row 0030 and row 0180.\nRow 0020: share of total absolute value of fair-valued assets and liabilities reported in row 0010 stemming from trading book positions (absolute value).\nRow 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of rows 0090 to 0130.\nRow 0050: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.\nRow 0060: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore.\nRow 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) 2016/101.\nRow 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in paragraphs 2 and 3 of Article 10 of Delegated Regulation (EU) 2016/101.\nRows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080.\nRow 0180: Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach\n0130\nFAIR-VALUED ASSETS\nAbsolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above.\n0140\nFAIR-VALUED LIABILITIES\nAbsolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above.\n0150\nQTD REVENUE\nThe quarter-to-date revenues (“QTD revenue”) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment.\n0160\nIPV DIFFERENCE\nThe sum across all positions and risk factors of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the relevant position or risk factor.\nUnadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.\nNo adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.\n0170 – 0250\nFAIR VALUE ADJUSTMENTS\nAdjustments, sometimes also referred to as “reserves”, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique that are in a form of a risk premium or exit cost and are compliant with the definition of fair value. They shall nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88)\n0170\nMARKET PRICE UNCERTAINTY\nAdjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA.\n0180\nCLOSE-OUT COSTS\nAdjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the close-out costs AVA.\n0190\nMODEL RISK\nAdjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (“valuation model”) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations and thus that can be identified as addressing the same source of valuation uncertainty as the model risk AVA.\n0200\nCONCENTRATED POSITIONS\nAdjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based and thus can be identified as addressing the same source of valuation uncertainty as the concentrated positions AVA.\n0210\nUNEARNED CREDIT SPREADS\nAdjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment “CVA” at institution level).\n0220\nINVESTING AND FUNDING COSTS\nAdjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment).\n0230\nFUTURE ADMINISTRATION COSTS\nAdjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA.\n0240\nEARLY TERMINATION\nAdjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model and thus can be identified as addressing the same source of valuation uncertainty as the Early termination AVA.\n0250\nOPERATIONAL RISK\nAdjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus can be identified as addressing the same source of valuation uncertainty as the operational risk AVA.\n0260\nDAY 1 P&L\nAdjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A).\n0270\nEXPLANATION DESCRIPTION\nDescription of the positions treated in accordance with point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101 and the reason why it was not possible to apply Articles 9 to 17 thereof.\nRows\n0010\n1.\nTOTAL CORE APPROACH\nArticle 7(2) of Delegated Regulation (EU) 2016/101.\nFor each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.\n0020\nOF WHICH: TRADING BOOK\nArticle 7(2) of Delegated Regulation (EU) 2016/101.\nFor each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value).\n0030\n1.1.\nPORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGULATION (EU) 2016/101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION\nPoint (a) of Article 7(2) of Delegated Regulation (EU) 2016/101.\nFor each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101.\nThat includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.\nThat includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101.\nRow 0030 shall be the difference between rows 0040 and 0140.\n0040 – 0130\n1.1.1.\nTOTAL CATEGORY LEVEL PRE-DIVERSIFICATION\nFor rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities.\nTo that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100.\nRegardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments).\nThe breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation.\nDiversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130.\n0050\nOF WHICH: UNEARNED CREDIT SPREADS AVA\nArticle 105(10) CRR, Article 12 of Delegated Regulation (EU) 2016/101.\nThe total AVA calculated for unearned credit spreads (“AVA on CVA”) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) 2016/101.\nColumn 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.\nColumns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.\n0060\nOF WHICH: INVESTMENT AND FUNDING COSTS AVA\nArticle 105(10) CRR, Article 17 of Delegated Regulation (EU) 2016/101.\nThe total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regulation (EU) 2016/101.\nColumn 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs.\nColumns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore.\n0070\nOF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF Delegated Regulation (EU) 2016/101\nAbsolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101.\n0080\nOF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF Delegated Regulation (EU) 2016/101\nAbsolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) 2016/101.\n0090\n1.1.1.1.\nINTEREST RATES\n0100\n1.1.1.2.\nFOREIGN EXCHANGE\n0110\n1.1.1.3.\nCREDIT\n0120\n1.1.1.4.\nEQUITIES\n0130\n1.1.1.5.\nCOMMODITIES\n0140\n1.1.2.\n(-) Diversification BenefitS\nTotal diversification benefit. Sum of rows 0150 and 0160.\n0150\n1.1.2.1.\n(-) Diversification Benefit calculated using Method 1\nFor those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.\n0160\n1.1.2.2.\n(-) Diversification Benefit calculated using Method 2\nFor those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation.\n0170\n1.1.2.2*\nMemorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2\nIn the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV).\n0180\n1.2.\nPortfolios calculated under the fall-back approach\nPoint (b) of Article 7(2) of Delegated Regulation (EU) 2016/101.\nFor portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210.\nRelevant balance sheet and other contextual information shall be provided in columns 0130 – 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270.\n0190\n1.2.1.\nFall-back approach; 100 % unrealised profit\nPoint (b)(i) of Article 7(2) of Delegated Regulation (EU) 2016/101.\n0200\n1.2.2.\nFall-back approach; 10 % notional value\nPoint (b)(ii) of Article 7(2) of Delegated Regulation (EU) 2016/101.\n0210\n1.2.3.\nFall-back approach; 25 % of inception value\nPoint (b)(iii) of Article 7(2) of Delegated Regulation (EU) 2016/101.\n6.3.\nC 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)\n6.3.1.\nGeneral remarks\n154f.\nThis template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101 at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level.\n154g.\nThis template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of Delegated Regulation (EU) 2016/101. That information corresponds to the information reported in column 0050 of template C 32.02.\n154h.\nThe top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs.\n154i.\nProducts corresponding to those top individual model risk AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.\n154j.\nWhere products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution.\n6.3.2.\nInstructions concerning specific positions\nColumns\n0005\nRANK\nThe rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.\n0010\nMODEL\nInternal name (alpha-numerical) of the model used by the institution to identify the model.\n0020\nRISK CATEGORY\nThe risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment.\nInstitutions shall report the following codes:\nIR – interest rates\nFX – foreign exchange\nCR – credit\nEQ – equities\nCO – commodities\n0030\nPRODUCT\nInternal name (alpha-numerical) for the product or group of products, in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that is valued using the model.\n0040\nOBSERVABILITY\nNumber of price observations for the product or group of products in the last 12 months that meet either of the following criteria:\nThe price observation is a price at which the institution has conducted a transaction;\nIt is a verifiable price for an actual transaction between third parties;\nThe price is obtained from a committed quote.\nInstitutions shall report one of the following values: “none”, “1-6”, “6-24”, “24-100”, “100+”.\n0050\nMODEL RISK AVA\nArticle 11(1) of Delegated Regulation (EU) 2016/101.\nIndividual model risk AVA before diversification benefit, but after portfolio netting where relevant.\n0060\nOF WHICH: USING EXPERT-BASED APPROACH\nAmounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.\n0070\nOF WHICH: AGGREGATED USING METHOD 2\nAmounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.\n0080\nAGGREGATED AVA CALCULATED UNDER METHOD 2\nThe contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex.\n0090 -0100\nFAIR-VALUED ASSETS AND LIABILITIES\nAbsolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.\n0090\nFAIR-VALUED ASSETS\nAbsolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.\n0100\nFAIR-VALUED LIABILITIES\nAbsolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.\n0110\nIPV DIFFERENCE (OUTPUT TESTING)\nThe sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the corresponding product or group of products.\nUnadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.\nNo adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.\nOnly results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included.\n0120\nIPV COVERAGE (OUTPUT TESTING)\nThe percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110.\n0130 – 0140\nFAIR VALUE ADJUSTMENTS\nFair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.\n0150\nDAY 1 P&L\nAdjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.\n6.4.\nC 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)\n6.4.1.\nGeneral remarks\n154k.\nThis template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level.\n154l.\nThis template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of Delegated Regulation (EU) 2016/101. This information shall correspond to the information reported in column 0070 of template C 32.02.\n154m.\nThe top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs.\n154n.\nProducts corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.\n154o.\nPositions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible to maximise the coverage of this template.\n6.4.2.\nInstructions concerning specific positions\nColumns\n0005\nRANK\nThe rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on.\n0010\nRISK CATEGORY\nThe risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position.\nInstitutions shall report the following codes:\nIR – Interest Rates\nFX – Foreign exchange\nCR – Credit\nEQ – Equities\nCO – Commodities\n0020\nPRODUCT\nInternal name for the product or group of products in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101.\n0030\nUNDERLYING\nInternal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives.\n0040\nCONCENTRATED POSITION SIZE\nSize of the individual concentrated valuation position identified in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050.\n0050\nSIZE MEASURE\nUnit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040.\nIn the case of positions in bonds or equity, please report the unit used for internal risk management, such as “number of bonds”, “number of shares” or “market value”.\nIn the case of position in derivatives, please report the unit used for internal risk management, such as “PV01; EUR per 1 basis point parallel yield curve shift”.\n0060\nMARKET VALUE\nMarket value of the position.\n0070\nPRUDENT EXIT PERIOD\nThe prudent exit period in number of days estimated in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) 2016/101.\n0080\nCONCENTRATED POSITIONS AVA\nThe concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned.\n0090\nCONCENTRATED POSITION FAIR VALUE ADJUSTMENT\nThe amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based.\nThe amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned.\n0100\nIPV DIFFERENCE\nThe sum of unadjusted difference amounts (“IPV difference”) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the individual concentrated valuation position concerned.\nUnadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process.\nNo adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.\n7.\nC 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV)\n7.1.\nGENERAL REMARKS\n155.\nThe information for the purpose of template C 33.00 shall cover all exposures to “General governments” as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.\n156.\nExposures to “General governments” are included in different exposure classes in accordance with Article 112 and Article 147 CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02.\n157.\nTable 2 (Standardised Approach) and Table 3 (IRB Approach), included in Part 3 of Annex V to this Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital requirements under CRR to counterparty sector “General governments”.\n158.\nInformation shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis.\n159.\nThe allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However, the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction shall include the incidence of credit risk mitigation techniques, including substitution effects.\n160.\nThe reporting of information on exposures to “General governments” by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds laid down in point (3) of Article 5(b) of this Implementing Regulation.\n7.2.\nSCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”\n161.\nThe scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to “General governments” in the banking and trading book. In addition, a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested.\n162.\nAn exposure is a direct exposure when the immediate counterparty is an entity that is a “General government” as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation.\n163.\nThe template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity\n7.3.\nINSTRUCTIONS CONCERNING SPECIFIC POSITIONS\nColumns\nInstructions\n010-260\nDIRECT EXPOSURES\n010-140\nON-BALANCE SHEET EXPOSURES\n010\nTotal gross carrying amount of non-derivative financial assets\nAggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation, and listed in columns 030 to 120\nPrudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value.\n020\nTotal carrying amount of non-derivative financial assets (net of short positions)\nAggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation and listed in columns 030 to 120, net of short positions.\nWhere the institution has a short position for the same residual maturity and the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. That net amount shall be considered to be zero when it is a negative amount.\nThe sum of the columns 030 to 120 minus column 130 shall be reported. If that amount is lower than zero, the amount to be reported shall be zero.\n030-120\nNON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS\nAggregate carrying amount of non-derivative financial assets, as defined in the row above of this table, to General governments, broken down by accounting portfolio under the applicable accounting framework\n030\nFinancial assets held for trading\nIFRS 7.8(a)(ii); IFRS 9 Appendix A\n040\nTrading financial assets\nArticles 32 and 33 BAD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; point (a) of Article 8(1) AD\nOnly to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).\n050\nNon-trading financial assets mandatorily at fair value through profit or loss\nIFRS 7.8(a)(ii); IFRS 9.4.1.4\n060\nFinancial assets designated at fair value through profit or loss\nIFRS 7.8(a)(i); IFRS 9.4.1.5 and point (a) of Article 8(1) and Article 8(6) AD\n070\nNon-trading non-derivative financial assets measured at fair value through profit or loss\nArticle 36(2) BAD; point (a) of Article 8(1) AD\nOnly to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).\n080\nFinancial assets at fair value through other comprehensive income\nIFRS 7.8(d); IFRS 9.4.1.2 A\n090\nNon-trading non-derivative financial assets measured at fair value to equity\nPoint (a) of Article 8(1) and Article 8(8) AD\nOnly to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).\n100\nFinancial assets at amortised cost\nIFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation\n110\nNon-trading non-derivative financial assets measured at a cost-based method\nArticle 35 BAD; point (i) of Article 6(1) and Article 8(2) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation\nOnly to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).\n120\nOther non-trading non-derivative financial assets\nArticle 37 BAD; Article 12(7) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation\nOnly to be reported by institutions under national Generally Accepted Accounting Principles (GAAP).\n130\nShort positions\nCarrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct counterparty is a General government as defined in paragraphs 155 to 160 of this Annex.\nShort positions arise where the institution sells securities acquired in a reverse repurchase loan or borrowed in a securities lending transaction.\nThe carrying amount is the fair value of the short positions.\nShort positions shall be reported by residual maturity bucket, as listed in rows 170 to 230, and by immediate counterparty. Short positions shall be used for netting with positions for the same residual maturity and immediate counterparty for the computation of columns 030 to 120.\n140\nOf which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets\nCarrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, where the direct counterparty of those securities is a General government and that are included in the held for trading or trading financial assets accounting portfolios (columns 030 or 040).\nShort positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column.\n150\nAccumulated impairment\nAggregate accumulated impairment related to non-derivative financial assets reported in columns 080 to 120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation)\n160\nAccumulated impairment – of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity\nAggregate of accumulated impairment related to non-derivative financial assets reported in columns 080 and 090.\n170\nAccumulated negative changes in fair value due to credit risk\nAggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060, 070, 080 and 090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation)\n180\nAccumulated negative changes in fair value due to credit risk – of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss\nAggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 050, 060 and 070.\n190\nAccumulated negative changes in fair value due to credit risk – of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity\nAggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 080 and 090.\n200-230\nDERIVATIVES\nDirect derivative positions shall be reported in columns 200 to 230.\nFor the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.\n200-210\nDerivatives with positive fair value\nAll derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether those instruments are used in a qualifying hedging relationship, are held for trading, or are included in the trading portfolio under IFRS and national GAAP based on BAD.\nDerivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).\n200\nDerivatives with positive fair value: Carrying amount\nCarrying amount of the derivatives accounted for as financial assets at the reporting reference date.\nUnder GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.\n210\nDerivatives with positive fair value: Notional amount\nUnder IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reporting reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is positive for the institution at the reference date.\n220-230\nDerivatives with negative fair value\nAll derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether those instruments are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD.\nDerivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation).\n220\nDerivatives with negative fair value: Carrying amount\nCarrying amount of the derivatives accounted for as financial liabilities at the reporting reference date.\nUnder GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments.\n230\nDerivatives with negative fair value: Notional amount\nUnder IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is negative for the institution at the reference date.\n240-260\nOFF-BALANCE SHEET EXPOSURES\n240\nNominal amount\nWhere the direct counterparty of the off-balance sheet item is a General government as defined in paragraphs 155 to 160 of this Annex, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (paragraphs 102-119 of Part 2 of Annex V to this Implementing Regulation,).\nIn accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing Regulation, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution.\n250\nProvisions\nPoint (6)(c) and “Off balance sheet items” of Article 4, Articles 27(11), 28(8) and Article 33 BAD+/; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Part 2.11 of Annex V to this Implementing Regulation.\nProvisions on all off-balance sheet exposures regardless of how they are measured, except those that are measured at fair value through profit or loss in accordance with IFRS 9.\nUnder IFRS, the impairment of a loan commitment given shall be reported in column 150 where the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 250.\n260\nAccumulated negative changes in fair value due to credit risk\nFor off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (paragraph 110 of Part 2 of Annex V to this Implementing Regulation)\n270-280\nMemorandum item: credit derivatives sold on general government exposures\nCredit derivatives that do not meet the definition of financial guarantees in Annex V, Part 2, paragraph 58 that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government shall be reported.\nThese columns shall not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 020 to 160).\nThe exposures reported in the section are not to be considered in the computation of exposure Value and Risk weighted amount (columns 290 and 300) which is based solely on direct exposures.\n270\nDerivatives with positive fair value – Carrying amount\nAggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.\nFor derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date.\nFor derivatives under GAAP based on BAD, the amount to be reported in this column shall be the fair value of the derivatives with a positive fair value at the reference reporting date, independently of how they are accounted for.\n280\nDerivatives with negative fair value – Carrying amount\nAggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments.\nFor derivatives under IFRS, the amount to be reported in this column shall be the carrying amount of the derivatives that are financial liabilities at the reporting date.\nFor derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently of how they are accounted for.\n290\nExposure value\nExposure value for exposures subject to the credit risk framework.\nFor exposures under the Standardised Approach (SA): see Article 111 CRR. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) CRR.\nFor the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown.\n300\nRisk weighted exposure amount\nRisk weighted exposure amount for exposures subject to the credit risk framework.\nFor exposures under the Standardised Approach (SA): see paragraphs 1 to 5 of Article 113 CRR. For exposures under the IRB Approach: see paragraphs 1 and 3 of Article 153 CRR.\nFor the reporting of direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown.\nRows\nInstructions\nBREAKDOWN OF EXPOSURES BY REGULATORY APPROACH\n010\nTotal exposures\nAggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this Annex.\n020-155\nExposures under the credit risk framework\nAggregate of exposures to General governments that shall be risk-weighted in accordance with Title II of Part Three CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk.\nDirect exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row.\n030\nStandardised Approach\nExposures to General governments that shall be risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.\n040\nCentral governments\nExposures to General governments that are central governments. These exposures are allocated to the “Central governments or central banks” exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.\n050\nRegional governments or local authorities\nExposures to General governments that are regional governments or local authorities. These exposures are allocated to the “Regional governments or local authorities” exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.\n060\nPublic sector entities\nExposures to General governments that are public sector entities. These exposures are allocated to the “Public sector entities” exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.\n070\nInternational Organisations\nExposures to General governments that are international organisations. These exposures are allocated to the “International Organisations” exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.\n075\nOther general government exposures subject to Standardised Approach\nExposures to General governments other than those included in rows 040 to 070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements.\n080\nIRB Approach\nExposures to General governments that shall be risk-weighted in accordance with Chapter 3 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.\n090\nCentral governments\nExposures to General governments that are central governments and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..\n100\nRegional governments or local authorities [Central governments and central banks]\nExposures to General governments that are regional governments or local authorities and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.\n110\nRegional governments or local authorities [Institutions]\nExposures to General governments that are regional governments or local authorities and that are allocated to the “Institutions” exposure class in accordance with point (a) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.\n120\nPublic sector entities [Central governments and central banks]\nExposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Central governments and central banks” exposure class in accordance with point (a) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.\n130\nPublic sector entities [Institutions]\nExposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the “Institutions” exposure class in accordance with point (b) of Article 147(4) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.\n140\nInternational Organisations [Central governments and central banks]\nExposures to General governments that are International Organisations and that are allocated to the “Central governments and central banks” exposure class in accordance with point (c) of Article 147(3) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply.\n155\nOther general government exposures subject to IRB Approach\nExposures to General governments other than those included in rows 090 to 140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements.\n160\nExposures subject to market risk\nMarket risk exposures cover positions for which own funds requirements are calculated in accordance with Title IV of Part Three CRR.\nDirect exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (020 to 155) and the market risk row (row 160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row.\n170-230\nBREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY\nResidual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions.\nExposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows:\n[0 – 3M [: Less than 90 days\n[3M – 1Y [: Equal or greater than 90 days and less than 365 days\n[1Y – 2Y [: Equal or greater than 365 days and less than 730 days\n[2Y – 3Y [: Equal or greater than 730 days and less than 1 095 days\n[3Y – 5Y [: Equal or greater than 1 095 days and less than 1 825 days\n[5Y – 10Y [: Equal or greater than 1 825 days and less than 3 650 days\n[10Y – more: Equal or greater than 3 650 days",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "footnote",
      "label": "f1",
      "text": "Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1)."
    },
    {
      "type": "footnote",
      "label": "f2",
      "text": "Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338)."
    },
    {
      "type": "footnote",
      "label": "f3",
      "text": "Directive 2013/34/EU of the European Parliament and of the Council on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19)."
    },
    {
      "type": "footnote",
      "label": "f4",
      "text": "Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1)."
    },
    {
      "type": "footnote",
      "label": "f5",
      "text": "Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8)."
    },
    {
      "type": "footnote",
      "label": "f6",
      "text": "Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions (OJ L 141, 11.6.1993, p. 1)."
    },
    {
      "type": "footnote",
      "label": "f7",
      "text": "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 (OJ L 126, 26.5.2000, p. 1)."
    },
    {
      "type": "footnote",
      "label": "f8",
      "text": "Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54(3)(g) of the Treaty on consolidated accounts (OJ L 193, 18.7.1983, p. 1)."
    },
    {
      "type": "footnote",
      "label": "f9",
      "text": "Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32)."
    },
    {
      "type": "footnote",
      "label": "f10",
      "text": "Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council 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 (OJ L 309, 30.10.2014, p. 5)."
    },
    {
      "type": "footnote",
      "label": "f11",
      "text": "Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35)."
    },
    {
      "type": "footnote",
      "label": "f12",
      "text": "“Stand alone institutions” are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements."
    },
    {
      "type": "footnote",
      "label": "f13",
      "text": "Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union (OJ L 174 26.6.2013, p. 1)."
    },
    {
      "type": "footnote",
      "label": "f14",
      "text": "Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148, 20.5.2014, p. 15)."
    },
    {
      "type": "footnote",
      "label": "f15",
      "text": "Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council"
    },
    {
      "type": "footnote",
      "label": "f16",
      "text": "Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54)."
    },
    {
      "type": "footnote",
      "label": "f17",
      "text": "Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2020/429/annex/II",
    "retrieved_at": "2026-11-01T14:42:46.143647+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."
}